public void VerifyMarginCallOrderShort()
{
var netLiquidationValue = 5000m;
var totalMargin = 10000m;
var securityPrice = 100m;
var quantity = -300;
var orderProcessor = new MarginCallModelTests.OrderProcessor();
var portfolio = GetPortfolio(orderProcessor, quantity);
var model = new PatternDayTradingMarginBuyingPowerModel();
// Open Market
var security = CreateSecurity(Noon);
security.Holdings.SetHoldings(securityPrice, quantity);
var expected = (int)(Math.Round((totalMargin - netLiquidationValue) / securityPrice, MidpointRounding.AwayFromZero) * 4m);
var actual = portfolio.MarginCallModel.GenerateMarginCallOrder(security, netLiquidationValue, totalMargin, model.GetMaintenanceMarginRequirement(security)).Quantity;
Assert.AreEqual(expected, actual);
// Closed Market
security = CreateSecurity(Midnight);
security.Holdings.SetHoldings(securityPrice, quantity);
expected = (int)(Math.Round((totalMargin - netLiquidationValue) / securityPrice, MidpointRounding.AwayFromZero) * 2m);
actual = portfolio.MarginCallModel.GenerateMarginCallOrder(security, netLiquidationValue, totalMargin, model.GetMaintenanceMarginRequirement(security)).Quantity;
Assert.AreEqual(expected, actual);
}
public void InitializationTests()
{
// No parameters initialization, used default PDT 4x leverage open market and 2x leverage otherwise
var model = new PatternDayTradingMarginBuyingPowerModel();
var leverage = model.GetLeverage(CreateSecurity(Noon));
Assert.AreEqual(4.0m, leverage);
model = new PatternDayTradingMarginBuyingPowerModel(2.0m, 5.0m);
leverage = model.GetLeverage(CreateSecurity(Noon));
Assert.AreEqual(5.0m, leverage);
}
public void SetLeverageTest()
{
var model = new PatternDayTradingMarginBuyingPowerModel();
// Open market
var security = CreateSecurity(Noon);
security.BuyingPowerModel = new PatternDayTradingMarginBuyingPowerModel();
model.SetLeverage(security, 10m);
Assert.AreNotEqual(10m, model.GetLeverage(security));
// Closed market
security = CreateSecurity(Midnight);
model.SetLeverage(security, 10m);
Assert.AreNotEqual(10m, model.GetLeverage(security));
security.Holdings.SetHoldings(100m, 100);
}
