public void TestMarginForSymbolWithOneLinerHistory()
{
const decimal price = 1.2345m;
var time = new DateTime(2016, 1, 1);
var expDate = new DateTime(2017, 1, 1);
var tz = TimeZones.NewYork;
// For this symbol we dont have any history, but only one date and margins line
var ticker = QuantConnect.Securities.Futures.Softs.Coffee;
var symbol = Symbol.CreateFuture(ticker, Market.ICE, expDate);
var futureSecurity = new Future(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var buyingPowerModel = new TestFutureMarginModel(futureSecurity);
Assert.AreEqual(buyingPowerModel.MaintenanceOvernightMarginRequirement, buyingPowerModel.GetMaintenanceMargin(futureSecurity));
}
public void TestMarginForSymbolWithNoHistory()
{
const decimal price = 1.2345m;
var time = new DateTime(2016, 1, 1);
var expDate = new DateTime(2017, 1, 1);
var tz = TimeZones.NewYork;
// For this symbol we dont have any history at all
var ticker = "NOT-A-SYMBOL";
var symbol = Symbol.CreateFuture(ticker, Market.USA, expDate);
var futureSecurity = new Future(SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var buyingPowerModel = new TestFutureMarginModel();
Assert.AreEqual(0m, buyingPowerModel.GetMaintenanceMargin(futureSecurity));
}
public void GetInitialMarginRequiredForOrder(decimal quantity)
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
var ticker = QuantConnect.Securities.Futures.Financials.EuroDollar;
const decimal price = 1.2345m;
var time = new DateTime(2013, 1, 1);
var futureSecurity = algorithm.AddFuture(ticker);
var buyingPowerModel = new TestFutureMarginModel(futureSecurity);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var initialMargin = buyingPowerModel.GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(algorithm.Portfolio.CashBook,
futureSecurity,
new MarketOrder(futureSecurity.Symbol, quantity, algorithm.UtcTime)));
var initialMarginExpected = buyingPowerModel.GetInitialMarginRequirement(futureSecurity, quantity);
Assert.AreEqual(initialMarginExpected
+ 18.50m * Math.Sign(quantity), // fees -> 10 quantity * 1.85
initialMargin);
}
public void GetInitialMarginRequirement(decimal quantity)
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
var ticker = QuantConnect.Securities.Futures.Financials.EuroDollar;
const decimal price = 1.2345m;
var time = new DateTime(2013, 1, 1);
var futureSecurity = algorithm.AddFuture(ticker);
var buyingPowerModel = new TestFutureMarginModel();
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, quantity);
var initialMargin = buyingPowerModel.GetInitialMarginRequirement(futureSecurity, futureSecurity.Holdings.AbsoluteQuantity);
Assert.IsTrue(initialMargin > 0);
var overnightMargin = Math.Abs(buyingPowerModel.GetMaintenanceMargin(futureSecurity));
// initial margin is greater than the maintenance margin
Assert.Greater(initialMargin, overnightMargin);
}
public void GetMaintenanceMargin(decimal quantity)
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
var ticker = QuantConnect.Securities.Futures.Financials.EuroDollar;
const decimal price = 1.2345m;
var time = new DateTime(2013, 1, 1);
var futureSecurity = algorithm.AddFuture(ticker);
var buyingPowerModel = new TestFutureMarginModel(futureSecurity);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, quantity);
var res = buyingPowerModel.GetMaintenanceMargin(futureSecurity);
Assert.AreEqual(buyingPowerModel.MaintenanceOvernightMarginRequirement * futureSecurity.Holdings.AbsoluteQuantity, res);
// We increase the quantity * 2, maintenance margin should DOUBLE
futureSecurity.Holdings.SetHoldings(1.5m, quantity * 2);
res = buyingPowerModel.GetMaintenanceMargin(futureSecurity);
Assert.AreEqual(buyingPowerModel.MaintenanceOvernightMarginRequirement * futureSecurity.Holdings.AbsoluteQuantity, res);
}
public void TestMarginForSymbolWithHistory()
{
const decimal price = 1.2345m;
var time = new DateTime(2013, 1, 1);
var expDate = new DateTime(2017, 1, 1);
var tz = TimeZones.NewYork;
// For this symbol we dont have history
var ticker = QuantConnect.Securities.Futures.Financials.EuroDollar;
var symbol = Symbol.CreateFuture(ticker, Market.CME, expDate);
var futureSecurity = new Future(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var buyingPowerModel = new TestFutureMarginModel(futureSecurity);
Assert.AreEqual(buyingPowerModel.MaintenanceOvernightMarginRequirement,
buyingPowerModel.GetMaintenanceMargin(futureSecurity));
// now we move forward to exact date when margin req changed
time = new DateTime(2014, 06, 13);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
Assert.AreEqual(buyingPowerModel.MaintenanceOvernightMarginRequirement, buyingPowerModel.GetMaintenanceMargin(futureSecurity));
// now we fly beyond the last line of the history file (currently) to see how margin model resolves future dates
time = new DateTime(2016, 06, 04);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
Assert.AreEqual(buyingPowerModel.MaintenanceOvernightMarginRequirement, buyingPowerModel.GetMaintenanceMargin(futureSecurity));
}
public void GetMaximumOrderQuantityForTargetBuyingPower_WithHoldingsInverseDirection(decimal target)
{
var algorithm = new QCAlgorithm();
algorithm.SetFinishedWarmingUp();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
var orderProcessor = new FakeOrderProcessor();
algorithm.Transactions.SetOrderProcessor(orderProcessor);
var ticker = QuantConnect.Securities.Futures.Financials.EuroDollar;
var futureSecurity = algorithm.AddFuture(ticker);
// set closed market for simpler math
futureSecurity.Exchange.SetLocalDateTimeFrontier(new DateTime(2020, 2, 1));
futureSecurity.Holdings.SetHoldings(100, 10 * -1 * Math.Sign(target));
Update(futureSecurity, 100, algorithm);
var model = new TestFutureMarginModel(futureSecurity);
futureSecurity.BuyingPowerModel = model;
var quantity = algorithm.CalculateOrderQuantity(futureSecurity.Symbol, target);
var expected = (algorithm.Portfolio.TotalPortfolioValue * Math.Abs(target) + model.GetInitialMarginRequirement(futureSecurity, futureSecurity.Holdings.AbsoluteQuantity))
/ model.InitialOvernightMarginRequirement - 1 * Math.Abs(target); // -1 fees
expected -= expected % futureSecurity.SymbolProperties.LotSize;
Log.Trace($"Expected {expected}");
Assert.AreEqual(expected * Math.Sign(target), quantity);
var request = GetOrderRequest(futureSecurity.Symbol, quantity);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(algorithm.Transactions, request));
Assert.IsTrue(model.HasSufficientBuyingPowerForOrder(
new HasSufficientBuyingPowerForOrderParameters(algorithm.Portfolio,
futureSecurity,
new MarketOrder(futureSecurity.Symbol, expected * Math.Sign(target), DateTime.UtcNow))).IsSufficient);
}
public void MarginForSymbolWithOneLinerHistory()
{
const decimal price = 1.2345m;
var time = new DateTime(2020, 10, 14);
var expDate = new DateTime(2021, 3, 19);
var tz = TimeZones.NewYork;
// For this symbol we dont have any history, but only one date and margins line
var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
var future = Symbol.CreateFuture(ticker, Market.CME, expDate);
var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m, new DateTime(2021, 3, 19));
var optionSecurity = new Option(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
optionSecurity.Underlying = new Future(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
optionSecurity.Underlying.SetMarketPrice(new Tick {
Value = price, Time = time
});
optionSecurity.Underlying.Holdings.SetHoldings(1.5m, 1);
var futureBuyingPowerModel = new TestFutureMarginModel(optionSecurity.Underlying);
var futureOptionBuyingPowerModel = new TestFuturesOptionsMarginModel(optionSecurity);
Assert.AreNotEqual(0m, futureOptionBuyingPowerModel.GetMaintenanceMargin(optionSecurity));
Assert.AreEqual(futureBuyingPowerModel.GetMaintenanceMargin(optionSecurity.Underlying) * 1.5m, futureOptionBuyingPowerModel.GetMaintenanceMargin(optionSecurity));
}
