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 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 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);
}
