public void FutureOptionSecurityUsesFutureOptionMarginModel()
{
var underlyingFuture = Symbol.CreateFuture(
QuantConnect.Securities.Futures.Indices.SP500EMini,
Market.CME,
new DateTime(2021, 3, 19));
var futureOption = Symbol.CreateOption(underlyingFuture,
Market.CME,
OptionStyle.American,
OptionRight.Call,
2550m,
new DateTime(2021, 3, 19));
var futureOptionSecurity = new QuantConnect.Securities.FutureOption.FutureOption(
futureOption,
MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.CME, futureOption, futureOption.SecurityType),
new Cash("USD", 100000m, 1m),
new OptionSymbolProperties(string.Empty, "USD", 1m, 0.01m, 1m),
new CashBook(),
new RegisteredSecurityDataTypesProvider(),
new SecurityCache(),
null);
Assert.IsTrue(futureOptionSecurity.BuyingPowerModel is FuturesOptionsMarginModel);
}
public void MarginRequirementEs(decimal strike, double expected, OptionRight optionRight, PositionSide positionSide, decimal underlyingRequirement)
{
var tz = TimeZones.NewYork;
var expDate = new DateTime(2021, 3, 19);
// For this symbol we dont have any history, but only one date and margins line
var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
var future = Symbol.CreateFuture(ticker, Market.Globex, expDate);
var symbol = Symbol.CreateOption(future, Market.Globex, OptionStyle.American, optionRight, strike,
new DateTime(2021, 3, 19));
var futureSecurity = new Future(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
var optionSecurity = new QuantConnect.Securities.FutureOption.FutureOption(symbol,
SecurityExchangeHours.AlwaysOpen(tz),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache(),
futureSecurity
);
optionSecurity.Underlying.SetMarketPrice(new Tick { Value = 4172, Time = new DateTime(2001, 01, 07) });
var marginRequirement = FuturesOptionsMarginModel.GetMarginRequirement(optionSecurity, underlyingRequirement, positionSide);
Log.Debug($"Side {positionSide}. Right {optionRight}. Strike {strike}. Margin: {marginRequirement}");
Assert.AreEqual(expected, marginRequirement, (double)underlyingRequirement * 0.30d);
}
public void MarginRequirementsAreSetCorrectly()
{
var expDate = new DateTime(2021, 3, 19);
var tz = TimeZones.NewYork;
// For this symbol we dont have any history, but only one date and margins line
var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
var future = Symbol.CreateFuture(ticker, Market.CME, expDate);
var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m,
new DateTime(2021, 3, 19));
var futureSecurity = new Future(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
var optionSecurity = new QuantConnect.Securities.FutureOption.FutureOption(symbol,
SecurityExchangeHours.AlwaysOpen(tz),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache(),
futureSecurity
);
var futureMarginModel = new FuturesOptionsMarginModel(futureOption: optionSecurity);
optionSecurity.Underlying.SetMarketPrice(new Tick {
Value = 1500, Time = new DateTime(2001, 01, 07)
});
var initialIntradayMarginRequirement = futureMarginModel.InitialIntradayMarginRequirement;
var maintenanceIntradayMarginRequirement = futureMarginModel.MaintenanceIntradayMarginRequirement;
var initialOvernightMarginRequirement = futureMarginModel.MaintenanceOvernightMarginRequirement;
var maintenanceOvernightMarginRequirement = futureMarginModel.InitialOvernightMarginRequirement;
Assert.AreNotEqual(0, initialIntradayMarginRequirement);
Assert.AreNotEqual(0, maintenanceIntradayMarginRequirement);
Assert.AreNotEqual(0, initialOvernightMarginRequirement);
Assert.AreNotEqual(0, maintenanceOvernightMarginRequirement);
}
