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 = 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 marginModel = new FutureMarginModel();
Assert.AreEqual(625m, marginModel.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, marginModel.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, marginModel.GetMaintenanceMargin(futureSecurity));
}
public void MarginWithNoFutureOptionHoldings()
{
const decimal price = 1.2345m;
var time = new DateTime(2020, 10, 14);
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 optionSecurity = new Option(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
optionSecurity.Underlying = 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
);
optionSecurity.Underlying.SetMarketPrice(new Tick {
Value = price, Time = time
});
optionSecurity.Underlying.Holdings.SetHoldings(1.5m, 1);
var futureBuyingPowerModel = new FutureMarginModel(security: optionSecurity.Underlying);
var futureOptionBuyingPowerModel = new FuturesOptionsMarginModel(futureOption: optionSecurity);
// we don't hold FOPs!
Assert.AreEqual(0m, futureOptionBuyingPowerModel.GetMaintenanceMargin(optionSecurity));
Assert.AreNotEqual(0m, futureBuyingPowerModel.GetMaintenanceMargin(optionSecurity.Underlying));
Assert.AreNotEqual(0m, futureOptionBuyingPowerModel.GetInitialMarginRequirement(optionSecurity, 10));
Assert.AreEqual(
futureBuyingPowerModel.GetInitialMarginRequirement(optionSecurity.Underlying, 10) *
FuturesOptionsMarginModel.FixedMarginMultiplier,
futureOptionBuyingPowerModel.GetInitialMarginRequirement(optionSecurity, 10));
}
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 marginModel = new FutureMarginModel();
Assert.AreEqual(0m, marginModel.GetMaintenanceMargin(futureSecurity));
}
