public void InitializationTests()
{
// No parameters initialization, used default PDT 4x leverage open market and 2x leverage otherwise
var model = new PatternDayTradingMarginModel();
var leverage = model.GetLeverage(CreateSecurity(Noon));
Assert.AreEqual(4.0m, leverage);
model = new PatternDayTradingMarginModel(2.0m, 5.0m);
leverage = model.GetLeverage(CreateSecurity(Noon));
Assert.AreEqual(5.0m, leverage);
}
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 PatternDayTradingMarginModel();
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 SetLeverageTest()
{
var model = new PatternDayTradingMarginModel();
// Open market
var security = CreateSecurity(Noon);
security.MarginModel = new PatternDayTradingMarginModel();
model.SetLeverage(security, 10m);
Assert.AreNotEqual(10m, model.GetLeverage(security));
// Closed market
security = CreateSecurity(Midnight);
model.SetLeverage(security, 10m);
Assert.AreNotEqual(10m, model.GetLeverage(security));
security.Holdings.SetHoldings(100m, 100);
}
public void VerifyMarginCallOrderShort()
{
var netLiquidationValue = 5000m;
var totalMargin = 10000m;
var securityPrice = 100m;
var quantity = -300;
var model = new PatternDayTradingMarginModel();
// Open Market
var security = CreateSecurity(Noon);
security.Holdings.SetHoldings(securityPrice, quantity);
var expected = (int)(Math.Round((totalMargin - netLiquidationValue) / securityPrice, MidpointRounding.AwayFromZero) * 4m);
var actual = model.GenerateMarginCallOrder(security, netLiquidationValue, totalMargin).Quantity;
Assert.AreEqual(expected, actual);
// Closed Market
security = CreateSecurity(Midnight);
security.Holdings.SetHoldings(securityPrice, quantity);
expected = (int)(Math.Round((totalMargin - netLiquidationValue) / securityPrice, MidpointRounding.AwayFromZero) * 2m);
actual = model.GenerateMarginCallOrder(security, netLiquidationValue, totalMargin).Quantity;
Assert.AreEqual(expected, actual);
}
public void VerifyMaintenaceMargin()
{
var model = new PatternDayTradingMarginModel();
// 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 VerifyClosedMarketLeverageAltVersion()
{
var leverage = 3m;
var expected = 100 * 100m / leverage + 1;
var model = new PatternDayTradingMarginModel(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(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(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(security, order), 1e-3);
}