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(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency)));
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var buyingPowerModel = new TestFutureMarginBuyingPowerModel();
Assert.AreEqual(0m, buyingPowerModel.GetMaintenanceMargin(futureSecurity));
}
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.USA, expDate);
var futureSecurity = new Future(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency)));
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var buyingPowerModel = new TestFutureMarginBuyingPowerModel();
Assert.AreEqual(625m, 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(725m, 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(585m, buyingPowerModel.GetMaintenanceMargin(futureSecurity));
}
