public void TestBasicFeaturesWithOptionsFutures()
{
var securities = new SecurityManager(TimeKeeper);
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.SPY), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities[Symbols.SPY].SetMarketPrice(new TradeBar {
Time = securities.UtcTime, Symbol = Symbols.SPY, Close = 195
});
var option1 = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 192m, new DateTime(2016, 02, 16));
securities.Add(option1, new Option(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Option, option1), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
var option2 = Symbol.CreateOption("SPY", Market.USA, OptionStyle.American, OptionRight.Call, 193m, new DateTime(2016, 03, 19));
securities.Add(option2, new Option(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Option, option2), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
var future1 = Symbol.CreateFuture("ES", Market.USA, new DateTime(2016, 02, 16));
securities.Add(future1, new Future(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Future, future1), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
var future2 = Symbol.CreateFuture("ES", Market.USA, new DateTime(2016, 02, 19));
securities.Add(future2, new Future(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Future, future2), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency))));
var cal = new TradingCalendar(securities, marketHoursDatabase);
var optionDays = cal.GetDaysByType(TradingDayType.OptionExpiration, new DateTime(2016, 02, 16), new DateTime(2016, 03, 19)).Count();
Assert.AreEqual(2, optionDays);
var futureDays = cal.GetDaysByType(TradingDayType.OptionExpiration, new DateTime(2016, 02, 16), new DateTime(2016, 03, 19)).Count();
Assert.AreEqual(2, futureDays);
var days = cal.GetTradingDays(new DateTime(2016, 02, 16), new DateTime(2016, 03, 19));
var optionAndfutureDays = days.Where(x => x.FutureExpirations.Any() || x.OptionExpirations.Any()).Count();
Assert.AreEqual(3, optionAndfutureDays);
// why? because option1 and future1 expire in one day 2016-02-16. Lets have a look.
var day = cal.GetTradingDay(new DateTime(2016, 02, 16));
Assert.AreEqual(1, day.OptionExpirations.Count());
Assert.AreEqual(1, day.FutureExpirations.Count());
var businessDays = days.Where(x => x.BusinessDay).Count();
Assert.AreEqual(24, businessDays);
var weekends = days.Where(x => x.Weekend).Count();
Assert.AreEqual(9, weekends);
Assert.AreEqual(24 + 9, (new DateTime(2016, 03, 19) - new DateTime(2016, 02, 16)).TotalDays + 1 /*inclusive*/);
}