public void ComputeMarginProperlyShortCoverZeroLong()
{
const decimal leverage = 2m;
const int amount = 1000;
const int quantity = (int)(amount * leverage);
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(amount);
var config = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
var security = securities[Symbols.AAPL];
security.SetLeverage(leverage);
var time = DateTime.Now;
const decimal sellPrice = 1m;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, sellPrice, sellPrice, sellPrice, sellPrice, 1));
var order = new MarketOrder(Symbols.AAPL, -quantity, time) { Price = sellPrice };
var fill = new OrderEvent(order, DateTime.UtcNow, 0) { FillPrice = sellPrice, FillQuantity = -quantity };
orderProcessor.AddOrder(order);
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, order.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
portfolio.ProcessFill(fill);
// we shouldn't be able to place a new short order
var newOrder = new MarketOrder(Symbols.AAPL, -1, time.AddSeconds(1)) { Price = sellPrice };
var sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
// we should be able to place cover to zero
newOrder = new MarketOrder(Symbols.AAPL, quantity, time.AddSeconds(1)) { Price = sellPrice };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsTrue(sufficientCapital);
// now the stock doubles, so we should have negative margin remaining
time = time.AddDays(1);
const decimal highPrice = sellPrice * 2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, highPrice, highPrice, highPrice, highPrice, 1));
// we still shouldn be able to place cover to zero
newOrder = new MarketOrder(Symbols.AAPL, quantity, time.AddSeconds(1)) { Price = highPrice };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsTrue(sufficientCapital);
// we shouldn't be able to place cover to long
newOrder = new MarketOrder(Symbols.AAPL, quantity + 1, time.AddSeconds(1)) { Price = highPrice };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
}
public void MarginComputesProperlyWithMultipleSecurities()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(1000);
portfolio.CashBook.Add("EUR", 1000, 1.1m);
portfolio.CashBook.Add("GBP", -1000, 2.0m);
var eurCash = portfolio.CashBook["EUR"];
var gbpCash = portfolio.CashBook["GBP"];
var usdCash = portfolio.CashBook["USD"];
var time = DateTime.Now;
var config1 = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config1, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities[Symbols.AAPL].SetLeverage(2m);
securities[Symbols.AAPL].Holdings.SetHoldings(100, 100);
securities[Symbols.AAPL].SetMarketPrice(new TradeBar{Time = time, Value = 100});
//Console.WriteLine("AAPL TMU: " + securities[Symbols.AAPL].MarginModel.GetMaintenanceMargin(securities[Symbols.AAPL]));
//Console.WriteLine("AAPL Value: " + securities[Symbols.AAPL].Holdings.HoldingsValue);
//Console.WriteLine();
var config2 = CreateTradeBarDataConfig(SecurityType.Forex, Symbols.EURUSD);
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, usdCash, config2, SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities[Symbols.EURUSD].SetLeverage(100m);
securities[Symbols.EURUSD].Holdings.SetHoldings(1.1m, 1000);
securities[Symbols.EURUSD].SetMarketPrice(new TradeBar { Time = time, Value = 1.1m });
//Console.WriteLine("EURUSD TMU: " + securities[Symbols.EURUSD].MarginModel.GetMaintenanceMargin(securities[Symbols.EURUSD]));
//Console.WriteLine("EURUSD Value: " + securities[Symbols.EURUSD].Holdings.HoldingsValue);
//Console.WriteLine();
var config3 = CreateTradeBarDataConfig(SecurityType.Forex, Symbols.EURGBP);
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, gbpCash, config3, SymbolProperties.GetDefault(gbpCash.Symbol)));
securities[Symbols.EURGBP].SetLeverage(100m);
securities[Symbols.EURGBP].Holdings.SetHoldings(1m, 1000);
securities[Symbols.EURGBP].SetMarketPrice(new TradeBar { Time = time, Value = 1m });
//Console.WriteLine("EURGBP TMU: " + securities[Symbols.EURGBP].MarginModel.GetMaintenanceMargin(securities[Symbols.EURGBP]));
//Console.WriteLine("EURGBP Value: " + securities[Symbols.EURGBP].Holdings.HoldingsValue);
//Console.WriteLine();
//Console.WriteLine(portfolio.CashBook["USD"]);
//Console.WriteLine(portfolio.CashBook["EUR"]);
//Console.WriteLine(portfolio.CashBook["GBP"]);
//Console.WriteLine("CashBook: " + portfolio.CashBook.TotalValueInAccountCurrency);
//Console.WriteLine();
//Console.WriteLine("Total Margin Used: " + portfolio.TotalMarginUsed);
//Console.WriteLine("Total Free Margin: " + portfolio.MarginRemaining);
//Console.WriteLine("Total Portfolio Value: " + portfolio.TotalPortfolioValue);
var acceptedOrder = new MarketOrder(Symbols.AAPL, 101, DateTime.Now) { Price = 100 };
orderProcessor.AddOrder(acceptedOrder);
var request = new SubmitOrderRequest(OrderType.Market, acceptedOrder.SecurityType, acceptedOrder.Symbol, acceptedOrder.Quantity, 0, 0, acceptedOrder.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
var sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, acceptedOrder);
Assert.IsTrue(sufficientCapital);
var rejectedOrder = new MarketOrder(Symbols.AAPL, 102, DateTime.Now) { Price = 100 };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, rejectedOrder);
Assert.IsFalse(sufficientCapital);
}
public void MarginComputesProperlyWithMultipleSecurities()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].Quantity = 1000;
portfolio.CashBook.Add("EUR", 1000, 1.1m);
portfolio.CashBook.Add("GBP", -1000, 2.0m);
var eurCash = portfolio.CashBook["EUR"];
var gbpCash = portfolio.CashBook["GBP"];
var usdCash = portfolio.CashBook["USD"];
var time = DateTime.Now;
var config1 = CreateTradeBarDataConfig(SecurityType.Equity, "AAPL");
securities.Add(new Security(SecurityExchangeHours, config1, 2));
securities["AAPL"].Holdings.SetHoldings(100, 100);
securities["AAPL"].SetMarketPrice(new TradeBar{Time = time, Value = 100});
//Console.WriteLine("AAPL TMU: " + securities["AAPL"].MarginModel.GetMaintenanceMargin(securities["AAPL"]));
//Console.WriteLine("AAPL Value: " + securities["AAPL"].Holdings.HoldingsValue);
//Console.WriteLine();
var config2 = CreateTradeBarDataConfig(SecurityType.Forex, "EURUSD");
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, usdCash, config2, 100));
securities["EURUSD"].Holdings.SetHoldings(1.1m, 1000);
securities["EURUSD"].SetMarketPrice(new TradeBar { Time = time, Value = 1.1m });
//Console.WriteLine("EURUSD TMU: " + securities["EURUSD"].MarginModel.GetMaintenanceMargin(securities["EURUSD"]));
//Console.WriteLine("EURUSD Value: " + securities["EURUSD"].Holdings.HoldingsValue);
//Console.WriteLine();
var config3 = CreateTradeBarDataConfig(SecurityType.Forex, "EURGBP");
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, gbpCash, config3, 100));
securities["EURGBP"].Holdings.SetHoldings(1m, 1000);
securities["EURGBP"].SetMarketPrice(new TradeBar { Time = time, Value = 1m });
//Console.WriteLine("EURGBP TMU: " + securities["EURGBP"].MarginModel.GetMaintenanceMargin(securities["EURGBP"]));
//Console.WriteLine("EURGBP Value: " + securities["EURGBP"].Holdings.HoldingsValue);
//Console.WriteLine();
//Console.WriteLine(portfolio.CashBook["USD"]);
//Console.WriteLine(portfolio.CashBook["EUR"]);
//Console.WriteLine(portfolio.CashBook["GBP"]);
//Console.WriteLine("CashBook: " + portfolio.CashBook.TotalValueInAccountCurrency);
//Console.WriteLine();
//Console.WriteLine("Total Margin Used: " + portfolio.TotalMarginUsed);
//Console.WriteLine("Total Free Margin: " + portfolio.MarginRemaining);
//Console.WriteLine("Total Portfolio Value: " + portfolio.TotalPortfolioValue);
var acceptedOrder = new MarketOrder("AAPL", 101, DateTime.Now) {Price = 100};
var sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, acceptedOrder);
Assert.IsTrue(sufficientCapital);
var rejectedOrder = new MarketOrder("AAPL", 102, DateTime.Now) { Price = 100 };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, rejectedOrder);
Assert.IsFalse(sufficientCapital);
}
public void ComputeMarginProperlyAsSecurityPriceFluctuates()
{
const decimal leverage = 1m;
const int quantity = (int) (1000*leverage);
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(quantity);
var config = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
var security = securities[Symbols.AAPL];
security.SetLeverage(leverage);
var time = DateTime.Now;
const decimal buyPrice = 1m;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, buyPrice, buyPrice, buyPrice, buyPrice, 1));
var order = new MarketOrder(Symbols.AAPL, quantity, time) {Price = buyPrice};
var fill = new OrderEvent(order, DateTime.UtcNow, 0) { FillPrice = buyPrice, FillQuantity = quantity };
orderProcessor.AddOrder(order);
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, order.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
Assert.AreEqual(portfolio.CashBook["USD"].Amount, fill.FillPrice*fill.FillQuantity);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var newOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1)) {Price = buyPrice};
bool sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
// now the stock doubles, so we should have margin remaining
time = time.AddDays(1);
const decimal highPrice = buyPrice * 2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, highPrice, highPrice, highPrice, highPrice, 1));
Assert.AreEqual(quantity, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity * 2, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var anotherOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1)) { Price = highPrice };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, anotherOrder);
Assert.IsTrue(sufficientCapital);
// now the stock plummets, so we should have negative margin remaining
time = time.AddDays(1);
const decimal lowPrice = buyPrice/2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, lowPrice, lowPrice, lowPrice, lowPrice, 1));
Assert.AreEqual(-quantity/2m, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity/2m, portfolio.TotalPortfolioValue);
// this would not cause a margin call due to leverage = 1
bool issueMarginCallWarning;
var marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// now change the leverage and buy more and we'll get a margin call
security.SetLeverage(leverage * 2);
order = new MarketOrder(Symbols.AAPL, quantity, time) { Price = buyPrice };
fill = new OrderEvent(order, DateTime.UtcNow, 0) { FillPrice = buyPrice, FillQuantity = quantity };
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.TotalPortfolioValue);
marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.AreNotEqual(0, marginCallOrders.Count);
Assert.AreEqual(-security.Holdings.Quantity, marginCallOrders[0].Quantity); // we bought twice
Assert.GreaterOrEqual(-portfolio.MarginRemaining, security.Price * marginCallOrders[0].Quantity);
}
public void ComputeMarginProperlyAsSecurityPriceFluctuates()
{
const decimal leverage = 1m;
const int quantity = (int) (1000*leverage);
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].Quantity = quantity;
var config = CreateTradeBarDataConfig(SecurityType.Equity, "AAPL");
securities.Add(new Security(SecurityExchangeHours, config, leverage, false));
var time = DateTime.Now;
const decimal buyPrice = 1m;
var security = securities["AAPL"];
security.SetMarketPrice(new TradeBar(time, "AAPL", buyPrice, buyPrice, buyPrice, buyPrice, 1));
var order = new MarketOrder("AAPL", quantity, time) {Price = buyPrice};
var fill = new OrderEvent(order){FillPrice = buyPrice, FillQuantity = quantity};
Assert.AreEqual(portfolio.CashBook["USD"].Quantity, fill.FillPrice*fill.FillQuantity);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var newOrder = new MarketOrder("AAPL", 1, time.AddSeconds(1)) {Price = buyPrice};
bool sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
// now the stock doubles, so we should have margin remaining
time = time.AddDays(1);
const decimal highPrice = buyPrice * 2;
security.SetMarketPrice(new TradeBar(time, "AAPL", highPrice, highPrice, highPrice, highPrice, 1));
Assert.AreEqual(quantity, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity * 2, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var anotherOrder = new MarketOrder("AAPL", 1, time.AddSeconds(1)) { Price = highPrice };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, anotherOrder);
Assert.IsTrue(sufficientCapital);
// now the stock plummets, so we should have negative margin remaining
time = time.AddDays(1);
const decimal lowPrice = buyPrice/2;
security.SetMarketPrice(new TradeBar(time, "AAPL", lowPrice, lowPrice, lowPrice, lowPrice, 1));
Assert.AreEqual(-quantity/2m, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity/2m, portfolio.TotalPortfolioValue);
// this would not cause a margin call due to leverage = 1
bool issueMarginCallWarning;
var marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// now change the leverage and buy more and we'll get a margin call
security.SetLeverage(leverage * 2);
order = new MarketOrder("AAPL", quantity, time) { Price = buyPrice };
fill = new OrderEvent(order) { FillPrice = buyPrice, FillQuantity = quantity };
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.TotalPortfolioValue);
marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.AreNotEqual(0, marginCallOrders.Count);
Assert.AreEqual(-security.Holdings.Quantity, marginCallOrders[0].Quantity); // we bought twice
Assert.GreaterOrEqual(-portfolio.MarginRemaining, security.Price * marginCallOrders[0].Quantity);
}