public void VerifyClosedMarketLeverageAltVersion()
{
var leverage = 3m;
var expected = 100 * 100m / leverage + 1;
var model = new TestPatternDayTradingMarginModel(leverage, 4m);
// Market is Closed on Tuesday, Feb, 16th 2016 at Midnight
var security = CreateSecurity(Midnight);
var order = new MarketOrder(security.Symbol, 100, security.LocalTime);
Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)), 1e-3);
// Market is Closed on Monday, Feb, 15th 2016 at Noon (US President Day)
security = CreateSecurity(NoonHoliday);
order = new MarketOrder(security.Symbol, 100, security.LocalTime);
Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)), 1e-3);
// Market is Closed on Sunday, Feb, 14th 2016 at Noon
security = CreateSecurity(NoonWeekend);
order = new MarketOrder(security.Symbol, 100, security.LocalTime);
Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)), 1e-3);
}
public void VerifyOpenMarketLeverage()
{
// Market is Open on Tuesday, Feb, 16th 2016 at Noon
var leverage = 4m;
var expected = 100 * 100m / leverage + 1;
var model = new TestPatternDayTradingMarginModel();
var security = CreateSecurity(Noon);
var order = new MarketOrder(security.Symbol, 100, security.LocalTime);
Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(security, order), 1e-3);
}
public void VerifyOpenMarketLeverageAltVersion()
{
// Market is Open on Tuesday, Feb, 16th 2016 at Noon
var leverage = 5m;
var expected = 100 * 100m / leverage + 1;
var model = new TestPatternDayTradingMarginModel(2m, leverage);
var security = CreateSecurity(Noon);
var order = new MarketOrder(security.Symbol, 100, security.LocalTime);
Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)), 1e-3);
}
public void VerifyMaintenaceMargin()
{
var model = new TestPatternDayTradingMarginModel();
// Open Market
var security = CreateSecurity(Noon);
security.Holdings.SetHoldings(100m, 100);
Assert.AreEqual((double)100 * 100 / 4, (double)model.GetMaintenanceMargin(security), 1e-3);
// Closed Market
security = CreateSecurity(Midnight);
security.Holdings.SetHoldings(100m, 100);
Assert.AreEqual((double)100 * 100 / 2, (double)model.GetMaintenanceMargin(security), 1e-3);
}
public void VerifyClosingSoonMarketLeverage()
{
var closedLeverage = 2m;
var openLeverage = 5m;
var model = new TestPatternDayTradingMarginModel(closedLeverage, openLeverage);
// Market is Closed on Tuesday, Feb, 16th 2016 at 16
var security = CreateSecurity(new DateTime(2016, 2, 16, 15, 49, 0));
Assert.AreEqual(openLeverage, model.GetLeverage(security));
Assert.IsFalse(security.Exchange.ClosingSoon);
security.Exchange.SetLocalDateTimeFrontier(new DateTime(2016, 2, 16, 15, 50, 0));
Assert.AreEqual(closedLeverage, model.GetLeverage(security));
Assert.IsTrue(security.Exchange.ClosingSoon);
Assert.IsTrue(security.Exchange.ExchangeOpen);
security.Exchange.SetLocalDateTimeFrontier(new DateTime(2016, 2, 16, 16, 0, 0));
Assert.IsFalse(security.Exchange.ExchangeOpen);
}
