public void VerifyClosedMarketLeverageAltVersion()
{
var leverage = 3m;
var expected = 100 * 100m / leverage + 1;
var model = new TestPatternDayTradingMarginModel(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(
new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), 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(
new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), 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(
new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)), 1e-3);
}
public void VerifyOpenMarketLeverage()
{
// Market is Open on Tuesday, Feb, 16th 2016 at Noon
var leverage = 4m;
var expected = 100 * 100m / leverage + 1;
var model = new TestPatternDayTradingMarginModel();
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 VerifyOpenMarketLeverageAltVersion()
{
// Market is Open on Tuesday, Feb, 16th 2016 at Noon
var leverage = 5m;
var expected = 100 * 100m / leverage + 1;
var model = new TestPatternDayTradingMarginModel(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(
new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)), 1e-3);
}
