public void VerifyMarginCallOrderLong()
{
var netLiquidationValue = 5000m;
var totalMargin = 10000m;
var securityPrice = 100m;
var quantity = 300;
var model = new PatternDayTradingMarginModel();
// Open Market
var security = CreateSecurity(Noon);
security.Holdings.SetHoldings(securityPrice, quantity);
var expected = -(int)(Math.Round((totalMargin - netLiquidationValue) / securityPrice, MidpointRounding.AwayFromZero) * 4m);
var actual = model.GenerateMarginCallOrder(security, netLiquidationValue, totalMargin).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 = model.GenerateMarginCallOrder(security, netLiquidationValue, totalMargin).Quantity;
Assert.AreEqual(expected, actual);
}
public void VerifyClosedMarketLeverageAltVersion()
{
var leverage = 3m;
var expected = 100 * 100m / leverage + 1;
var model = new PatternDayTradingMarginModel(leverage, 4m);
// Market is Closed on Tuesday, Feb, 16th 2016 at Midnight
var security = CreateSecurity(Midnight);
var order = new MarketOrder(security.Symbol, 100, security.LocalTime);
Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(security, order), 1e-3);
// Market is Closed on Monday, Feb, 15th 2016 at Noon (US President Day)
security = CreateSecurity(NoonHoliday);
order = new MarketOrder(security.Symbol, 100, security.LocalTime);
Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(security, order), 1e-3);
// Market is Closed on Sunday, Feb, 14th 2016 at Noon
security = CreateSecurity(NoonWeekend);
order = new MarketOrder(security.Symbol, 100, security.LocalTime);
Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(security, order), 1e-3);
}
public void VerifyMarginCallOrderShortClosedMarket()
{
var securityPrice = 100m;
var quantity = -300;
var orderProcessor = new FakeOrderProcessor();
var portfolio = GetPortfolio(orderProcessor, quantity, Midnight);
var model = new PatternDayTradingMarginModel();
// Open Market
var security = CreateSecurity(Midnight);
security.BuyingPowerModel = model;
security.Holdings.SetHoldings(securityPrice, quantity);
portfolio.Securities.Add(security);
portfolio.CashBook["USD"].AddAmount(35000);
portfolio.InvalidateTotalPortfolioValue();
var netLiquidationValue = portfolio.TotalPortfolioValue;
var totalMargin = portfolio.TotalMarginUsed;
var expected = (int)(Math.Round((totalMargin - netLiquidationValue) / securityPrice, MidpointRounding.AwayFromZero) * 2m);
var actual = (portfolio.MarginCallModel as TestDefaultMarginCallModel).GenerateMarginCallOrder(security, netLiquidationValue, totalMargin).Quantity;
Assert.AreEqual(expected, actual);
}
public void VerifyOpenMarketLeverageAltVersion()
{
// Market is Open on Tuesday, Feb, 16th 2016 at Noon
var leverage = 5m;
var expected = 100 * 100m / leverage + 1;
var model = new PatternDayTradingMarginModel(2m, leverage);
var security = CreateSecurity(Noon);
var order = new MarketOrder(security.Symbol, 100, security.LocalTime);
Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(security, order), 1e-3);
}
public void VerifyMaintenaceMargin()
{
var model = new PatternDayTradingMarginModel();
// Open Market
var security = CreateSecurity(Noon);
security.Holdings.SetHoldings(100m, 100);
Assert.AreEqual((double)100 * 100 / 4, (double)model.GetMaintenanceMargin(security), 1e-3);
// Closed Market
security = CreateSecurity(Midnight);
security.Holdings.SetHoldings(100m, 100);
Assert.AreEqual((double)100 * 100 / 2, (double)model.GetMaintenanceMargin(security), 1e-3);
}
