[TestCase(-40.5, 12.5, 1508, .5, 161)] // -506.25
public void OrderCalculation(decimal currentHoldings, decimal perUnitMargin, decimal targetMargin, decimal lotSize, decimal expectedOrderSize)
{
var spy = SetupSecurity(currentHoldings, lotSize, perUnitMargin);
var currentHoldingsMargin = _model.GetInitialMarginRequirement(spy, spy.Holdings.Quantity);
// Determine the order size to get us to our target margin
var orderSize = _model.GetAmountToOrder(spy, targetMargin, perUnitMargin, out _);
Assert.AreEqual(expectedOrderSize, orderSize);
// Determine the final margin and assert we have met our target condition
var resultMargin = currentHoldingsMargin + (orderSize * perUnitMargin);
Assert.IsTrue(Math.Abs(resultMargin) <= Math.Abs(targetMargin));
}
[TestCase(-40.5, 12.5, 1508, .5, 161)] // -506.25
public void OrderCalculation(decimal currentHoldings, decimal perUnitMargin, decimal targetMargin, decimal lotSize, decimal expectedOrderSize)
{
var currentHoldingsMargin = currentHoldings * perUnitMargin;
// Determine the order size to get us to our target margin
var orderSize = BuyingPowerModel.GetAmountToOrder(currentHoldingsMargin, targetMargin, perUnitMargin, lotSize);
Assert.AreEqual(expectedOrderSize, orderSize);
// Determine the final margin and assert we have met our target condition
var resultMargin = currentHoldingsMargin + (orderSize * perUnitMargin);
Assert.IsTrue(Math.Abs(resultMargin) <= Math.Abs(targetMargin));
}
[TestCase(-40.5, 12.5, 1508, .5, 120.5)] // -506.25
public void OrderAdjustmentCalculation(decimal currentOrderSize, decimal perUnitMargin, decimal targetMargin, decimal lotSize, decimal expectedOrderSize)
{
var currentOrderMargin = currentOrderSize * perUnitMargin;
// Determine the adjustment to get us to our target margin and apply it
// Use our GetAmountToOrder for determining adjustment to reach the end goal
var orderAdjustment =
BuyingPowerModel.GetAmountToOrder(currentOrderMargin, targetMargin, perUnitMargin, lotSize);
// Apply the change in margin
var resultMargin = currentOrderMargin + (orderAdjustment * perUnitMargin);
// Assert after our adjustment we have met our target condition
Assert.IsTrue(Math.Abs(resultMargin) <= Math.Abs(targetMargin));
// Verify our adjustment meets our expected order size
var adjustOrderSize = currentOrderSize + orderAdjustment;
Assert.AreEqual(expectedOrderSize, adjustOrderSize);
}
