/// <summary>
/// Gets a new buying power model for the security, returning the default model with the security's configured leverage.
/// For cash accounts, leverage = 1 is used.
/// </summary>
/// <param name="security">The security to get a buying power model for</param>
/// <returns>The buying power model for this brokerage/security</returns>
public virtual IBuyingPowerModel GetBuyingPowerModel(Security security)
{
var leverage = GetLeverage(security);
IBuyingPowerModel model;
switch (security.Type)
{
case SecurityType.Crypto:
model = new CashBuyingPowerModel();
break;
case SecurityType.Forex:
case SecurityType.Cfd:
model = new SecurityMarginModel(leverage, RequiredFreeBuyingPowerPercent);
break;
case SecurityType.Option:
model = new OptionMarginModel(RequiredFreeBuyingPowerPercent);
break;
case SecurityType.FutureOption:
model = new FuturesOptionsMarginModel(RequiredFreeBuyingPowerPercent, (Option)security);
break;
case SecurityType.Future:
model = new FutureMarginModel(RequiredFreeBuyingPowerPercent, security);
break;
default:
model = new SecurityMarginModel(leverage, RequiredFreeBuyingPowerPercent);
break;
}
return(model);
}
public void NonAccountCurrency_GetMaintenanceMarginRequirement()
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.Portfolio.SetAccountCurrency("EUR");
algorithm.Portfolio.SetCash(10000);
algorithm.Portfolio.SetCash(Currencies.USD, 0, 0.88m);
// For this symbol we dont have history
var ticker = QuantConnect.Securities.Futures.Financials.EuroDollar;
const decimal price = 1.2345m;
var time = new DateTime(2013, 1, 1);
var futureSecurity = algorithm.AddFuture(ticker);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var buyingPowerModel = new FutureMarginModel();
// 625 overnight / (1.5 price * 1 quantity * 0.88 rate * 2500 multiplier) ~= 0.18939
var res = buyingPowerModel.GetMaintenanceMarginRequirement(futureSecurity);
Assert.AreEqual(0.18939, (double)res, 0.00001);
}
private static IBuyingPowerModel GetModel(
Security security,
out FutureMarginModel futureMarginModel,
SecurityPortfolioManager portfolio = null,
TimeKeeper timeKeeper = null
)
{
futureMarginModel = security.BuyingPowerModel as FutureMarginModel;
return(new BuyingPowerModelComparator(futureMarginModel,
new SecurityPositionGroupBuyingPowerModel(), portfolio, timeKeeper
));
}
public void MarginWithNoFutureOptionHoldings()
{
const decimal price = 1.2345m;
var time = new DateTime(2020, 10, 14);
var expDate = new DateTime(2021, 3, 19);
var tz = TimeZones.NewYork;
// For this symbol we dont have any history, but only one date and margins line
var ticker = QuantConnect.Securities.Futures.Indices.SP500EMini;
var future = Symbol.CreateFuture(ticker, Market.CME, expDate);
var symbol = Symbol.CreateOption(future, Market.CME, OptionStyle.American, OptionRight.Call, 2550m, new DateTime(2021, 3, 19));
var optionSecurity = new Option(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
optionSecurity.Underlying = new Future(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), future, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
optionSecurity.Underlying.SetMarketPrice(new Tick {
Value = price, Time = time
});
optionSecurity.Underlying.Holdings.SetHoldings(1.5m, 1);
var futureBuyingPowerModel = new FutureMarginModel(security: optionSecurity.Underlying);
var futureOptionBuyingPowerModel = new FuturesOptionsMarginModel(futureOption: optionSecurity);
// we don't hold FOPs!
Assert.AreEqual(0m, futureOptionBuyingPowerModel.GetMaintenanceMargin(optionSecurity));
Assert.AreNotEqual(0m, futureBuyingPowerModel.GetMaintenanceMargin(optionSecurity.Underlying));
Assert.AreNotEqual(0m, futureOptionBuyingPowerModel.GetInitialMarginRequirement(optionSecurity, 10));
Assert.AreEqual(
futureBuyingPowerModel.GetInitialMarginRequirement(optionSecurity.Underlying, 10) *
FuturesOptionsMarginModel.FixedMarginMultiplier,
futureOptionBuyingPowerModel.GetInitialMarginRequirement(optionSecurity, 10));
}
public void NonAccountCurrency_GetBuyingPower(decimal nonAccountCurrencyCash)
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.Portfolio.SetAccountCurrency("EUR");
algorithm.Portfolio.SetCash(10000);
algorithm.Portfolio.SetCash(Currencies.USD, nonAccountCurrencyCash, 0.88m);
// For this symbol we dont have history
var ticker = QuantConnect.Securities.Futures.Financials.EuroDollar;
var futureSecurity = algorithm.AddFuture(ticker);
var buyingPowerModel = new FutureMarginModel();
var quantity = buyingPowerModel.GetBuyingPower(new BuyingPowerParameters(
algorithm.Portfolio, futureSecurity, OrderDirection.Buy));
Assert.AreEqual(10000m + algorithm.Portfolio.CashBook[Currencies.USD].ValueInAccountCurrency,
quantity.Value);
}
public void TestMarginForSymbolWithNoHistory()
{
const decimal price = 1.2345m;
var time = new DateTime(2016, 1, 1);
var expDate = new DateTime(2017, 1, 1);
var tz = TimeZones.NewYork;
// For this symbol we dont have any history at all
var ticker = "NOT-A-SYMBOL";
var symbol = Symbol.CreateFuture(ticker, Market.USA, expDate);
var futureSecurity = new Future(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency)));
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var marginModel = new FutureMarginModel();
Assert.AreEqual(0m, marginModel.GetMaintenanceMargin(futureSecurity));
}
public void TestMarginForSymbolWithHistory()
{
const decimal price = 1.2345m;
var time = new DateTime(2013, 1, 1);
var expDate = new DateTime(2017, 1, 1);
var tz = TimeZones.NewYork;
// For this symbol we dont have history
var ticker = Futures.Financials.EuroDollar;
var symbol = Symbol.CreateFuture(ticker, Market.USA, expDate);
var futureSecurity = new Future(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), new OptionSymbolProperties(SymbolProperties.GetDefault(CashBook.AccountCurrency)));
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var marginModel = new FutureMarginModel();
Assert.AreEqual(625m, marginModel.GetMaintenanceMargin(futureSecurity));
// now we move forward to exact date when margin req changed
time = new DateTime(2014, 06, 13);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
Assert.AreEqual(725m, marginModel.GetMaintenanceMargin(futureSecurity));
// now we fly beyond the last line of the history file (currently) to see how margin model resolves future dates
time = new DateTime(2016, 06, 04);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
Assert.AreEqual(585m, marginModel.GetMaintenanceMargin(futureSecurity));
}
