public void SetDataNormalizationForEquities()
{
var equity = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.SPY,
Resolution.Minute,
DateTimeZone.Utc,
DateTimeZone.Utc,
true,
false,
false
),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance
);
Assert.DoesNotThrow(() => { equity.SetDataNormalizationMode(DataNormalizationMode.Raw); });
Assert.DoesNotThrow(() => { equity.SetDataNormalizationMode(DataNormalizationMode.Adjusted); });
Assert.DoesNotThrow(() => { equity.SetDataNormalizationMode(DataNormalizationMode.SplitAdjusted); });
Assert.DoesNotThrow(() => { equity.SetDataNormalizationMode(DataNormalizationMode.Adjusted); });
Assert.DoesNotThrow(() => { equity.SetDataNormalizationMode(DataNormalizationMode.TotalReturn); });
}
private Security GetSecurity(Symbol symbol, DataNormalizationMode mode)
{
var symbolProperties = SymbolPropertiesDatabase.FromDataFolder()
.GetSymbolProperties(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType, CashBook.AccountCurrency);
Security security;
if (symbol.ID.SecurityType == SecurityType.Equity)
{
security = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
new Cash(CashBook.AccountCurrency, 0, 1m),
symbolProperties);
}
else
{
security = new QuantConnect.Securities.Forex.Forex(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
symbolProperties);
}
var TimeKeeper = new TimeKeeper(DateTime.Now.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetDataNormalizationMode(mode);
return(security);
}
private Security GetSecurity(Symbol symbol, DataNormalizationMode mode)
{
var symbolProperties = SymbolPropertiesDatabase.FromDataFolder()
.GetSymbolProperties(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType, CashBook.AccountCurrency);
Security security;
if (symbol.ID.SecurityType == SecurityType.Equity)
{
security = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
new Cash(CashBook.AccountCurrency, 0, 1m),
symbolProperties);
}
else
{
security = new QuantConnect.Securities.Forex.Forex(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
symbolProperties);
}
var TimeKeeper = new TimeKeeper(DateTime.Now.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetDataNormalizationMode(mode);
return security;
}
public void TestShortCallsITM()
{
const decimal price = 14m;
const decimal underlyingPrice = 196m;
var tz = TimeZones.NewYork;
var equity = new QuantConnect.Securities.Equity.Equity(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
equity.SetMarketPrice(new Tick {
Value = underlyingPrice
});
var optionCall = new Option(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY_C_192_Feb19_2016, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties("", CashBook.AccountCurrency.ToUpper(), 100, 0.01m, 1));
optionCall.SetMarketPrice(new Tick {
Value = price
});
optionCall.Underlying = equity;
optionCall.Holdings.SetHoldings(price, -2);
var buyingPowerModel = new TestOptionMarginModel();
// short option positions are very expensive in terms of margin.
// Margin = 2 * 100 * (14 + 0.2 * 196) = 10640
Assert.AreEqual(10640m, buyingPowerModel.GetMaintenanceMargin(optionCall));
}
public void TestLongCallsPuts()
{
const decimal price = 1.2345m;
const decimal underlyingPrice = 200m;
var tz = TimeZones.NewYork;
var equity = new QuantConnect.Securities.Equity.Equity(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
equity.SetMarketPrice(new Tick {
Value = underlyingPrice
});
var optionPut = new Option(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY_P_192_Feb19_2016, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties("", CashBook.AccountCurrency.ToUpper(), 100, 0.01m, 1));
optionPut.SetMarketPrice(new Tick {
Value = price
});
optionPut.Underlying = equity;
optionPut.Holdings.SetHoldings(1m, 2);
var optionCall = new Option(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY_C_192_Feb19_2016, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties("", CashBook.AccountCurrency.ToUpper(), 100, 0.01m, 1));
optionCall.SetMarketPrice(new Tick {
Value = price
});
optionCall.Underlying = equity;
optionCall.Holdings.SetHoldings(1.5m, 2);
var buyingPowerModel = new TestOptionMarginModel();
// we expect long positions to be 100% charged.
Assert.AreEqual(optionPut.Holdings.AbsoluteHoldingsCost, buyingPowerModel.GetMaintenanceMargin(optionPut));
Assert.AreEqual(optionCall.Holdings.AbsoluteHoldingsCost, buyingPowerModel.GetMaintenanceMargin(optionCall));
}
public void TestShortPutFarITM()
{
const decimal price = 0.18m;
const decimal underlyingPrice = 200m;
var tz = TimeZones.NewYork;
var equity = new QuantConnect.Securities.Equity.Equity(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
equity.SetMarketPrice(new Tick {
Value = underlyingPrice
});
var optionPutSymbol = Symbol.CreateOption(Symbols.SPY, Market.USA, OptionStyle.American, OptionRight.Put, 207m, new DateTime(2015, 02, 27));
var optionPut = new Option(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), optionPutSymbol, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties("", CashBook.AccountCurrency.ToUpper(), 100, 0.01m, 1));
optionPut.SetMarketPrice(new Tick {
Value = price
});
optionPut.Underlying = equity;
optionPut.Holdings.SetHoldings(price, -2);
var buyingPowerModel = new TestOptionMarginModel();
// short option positions are very expensive in terms of margin.
// Margin = 2 * 100 * (0.18 + 0.2 * 200) = 8036
Assert.AreEqual(8036, (double)buyingPowerModel.GetMaintenanceMargin(optionPut), 0.01);
}
public void TestShortPutMovingFarITM()
{
const decimal optionPriceStart = 4.68m;
const decimal underlyingPriceStart = 192m;
const decimal optionPriceEnd = 0.18m;
const decimal underlyingPriceEnd = 200m;
var tz = TimeZones.NewYork;
var equity = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
equity.SetMarketPrice(new Tick {
Value = underlyingPriceStart
});
var optionPutSymbol = Symbol.CreateOption(Symbols.SPY, Market.USA, OptionStyle.American, OptionRight.Put, 207m, new DateTime(2015, 02, 27));
var optionPut = new Option(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), optionPutSymbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties("", Currencies.USD, 100, 0.01m, 1),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
optionPut.SetMarketPrice(new Tick {
Value = optionPriceStart
});
optionPut.Underlying = equity;
optionPut.Holdings.SetHoldings(optionPriceStart, -2);
var buyingPowerModel = new TestOptionMarginModel();
// short option positions are very expensive in terms of margin.
// Margin = 2 * 100 * (4.68 + 0.2 * 192) = 8616
Assert.AreEqual(8616, (double)buyingPowerModel.GetMaintenanceMargin(optionPut), 0.01);
equity.SetMarketPrice(new Tick {
Value = underlyingPriceEnd
});
optionPut.SetMarketPrice(new Tick {
Value = optionPriceEnd
});
// short option positions are very expensive in terms of margin.
// Margin = 2 * 100 * (4.68 + 0.2 * 200) = 8936
Assert.AreEqual(8936, (double)buyingPowerModel.GetMaintenanceMargin(optionPut), 0.01);
}
public void TestShortPutsOTM()
{
const decimal price = 14m;
const decimal underlyingPrice = 196m;
var tz = TimeZones.NewYork;
var equity = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
equity.SetMarketPrice(new Tick {
Value = underlyingPrice
});
var optionCall = new Option(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.SPY_P_192_Feb19_2016,
Resolution.Minute,
tz,
tz,
true,
false,
false
),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties("", Currencies.USD, 100, 0.01m, 1),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
optionCall.SetMarketPrice(new Tick {
Value = price
});
optionCall.Underlying = equity;
optionCall.Holdings.SetHoldings(price, -2);
var buyingPowerModel = new TestOptionMarginModel();
// short option positions are very expensive in terms of margin.
// Margin = 2 * 100 * (14 + 0.2 * 196 - (196 - 192)) = 9840
Assert.AreEqual(9840, (double)buyingPowerModel.GetMaintenanceMargin(optionCall), 0.01);
}
public void FreeBuyingPowerPercentDefault_Option()
{
const decimal price = 25m;
const decimal underlyingPrice = 25m;
var tz = TimeZones.NewYork;
var equity = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
equity.SetMarketPrice(new Tick {
Value = underlyingPrice
});
var optionPutSymbol = Symbol.CreateOption(Symbols.SPY, Market.USA, OptionStyle.American, OptionRight.Put, 207m, new DateTime(2015, 02, 27));
var security = new Option(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), optionPutSymbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties("", Currencies.USD, 100, 0.01m, 1),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
security.SetMarketPrice(new Tick {
Value = price
});
security.Underlying = equity;
var algo = GetAlgorithm();
security.SetLocalTimeKeeper(algo.TimeKeeper.GetLocalTimeKeeper(tz));
var actual = security.BuyingPowerModel.GetMaximumOrderQuantityForTargetBuyingPower(
new GetMaximumOrderQuantityForTargetBuyingPowerParameters(algo.Portfolio, security, 1, 0)).Quantity;
// (100000 * 1) / (25 * 100 contract multiplier) - 1 order due to fees
Assert.AreEqual(39m, actual);
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, security, algo));
Assert.AreEqual(algo.Portfolio.Cash, security.BuyingPowerModel.GetBuyingPower(algo.Portfolio, security, OrderDirection.Buy));
}
/// <summary>
/// Helper method for tests, sets up an equity security with our properties
/// </summary>
/// <returns>Equity with the given setup values</returns>
private static Security SetupSecurity(decimal currentHoldings, decimal lotSize, decimal perUnitMargin)
{
var spy = new QuantConnect.Securities.Equity.Equity(Symbols.SPY, SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc), new Cash("$", 0, 1),
new SymbolProperties(null, "$", 1, 0.01m, lotSize, null, 0), null, null, new SecurityCache());
spy.Holdings.SetHoldings(perUnitMargin, currentHoldings);
spy.SetLeverage(1);
spy.SetMarketPrice(new TradeBar
{
Time = DateTime.Now,
Symbol = spy.Symbol,
Open = perUnitMargin,
High = perUnitMargin,
Low = perUnitMargin,
Close = perUnitMargin
});
return(spy);
}
