/// <summary>
/// Gets a new buying power model for the security, returning the default model with the security's configured leverage.
/// For cash accounts, leverage = 1 is used.
/// </summary>
/// <param name="security">The security to get a buying power model for</param>
/// <returns>The buying power model for this brokerage/security</returns>
public virtual IBuyingPowerModel GetBuyingPowerModel(Security security)
{
var leverage = GetLeverage(security);
IBuyingPowerModel model;
switch (security.Type)
{
case SecurityType.Crypto:
model = new CashBuyingPowerModel();
break;
case SecurityType.Forex:
case SecurityType.Cfd:
model = new SecurityMarginModel(leverage, RequiredFreeBuyingPowerPercent);
break;
case SecurityType.Option:
model = new OptionMarginModel(RequiredFreeBuyingPowerPercent);
break;
case SecurityType.FutureOption:
model = new FuturesOptionsMarginModel(RequiredFreeBuyingPowerPercent, (Option)security);
break;
case SecurityType.Future:
model = new FutureMarginModel(RequiredFreeBuyingPowerPercent, security);
break;
default:
model = new SecurityMarginModel(leverage, RequiredFreeBuyingPowerPercent);
break;
}
return(model);
}
/// <summary>
/// Constructor for the future option security
/// </summary>
/// <param name="symbol">Symbol of the future option</param>
/// <param name="exchangeHours">Exchange hours of the future option</param>
/// <param name="quoteCurrency">Quoted currency of the future option</param>
/// <param name="symbolProperties">Symbol properties of the future option</param>
/// <param name="currencyConverter">Currency converter</param>
/// <param name="registeredTypes">Provides all data types registered to the algorithm</param>
/// <param name="securityCache">Cache of security objects</param>
/// <param name="underlying">Future underlying security</param>
public FutureOption(Symbol symbol,
SecurityExchangeHours exchangeHours,
Cash quoteCurrency,
OptionSymbolProperties symbolProperties,
ICurrencyConverter currencyConverter,
IRegisteredSecurityDataTypesProvider registeredTypes,
SecurityCache securityCache,
Security underlying)
: base(symbol,
quoteCurrency,
symbolProperties,
new OptionExchange(exchangeHours),
securityCache,
new OptionPortfolioModel(),
new ImmediateFillModel(),
new InteractiveBrokersFeeModel(),
new ConstantSlippageModel(0),
new ImmediateSettlementModel(),
Securities.VolatilityModel.Null,
null,
new OptionDataFilter(),
new SecurityPriceVariationModel(),
currencyConverter,
registeredTypes,
underlying
)
{
BuyingPowerModel = new FuturesOptionsMarginModel(0, this);
}
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 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 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);
}
