public void OnEndOfTimeStepDoesNotThrowWhenSeedsSameUnderlyingForTwoSecurities()
{
var qcAlgorithm = new QCAlgorithm();
qcAlgorithm.SubscriptionManager.SetDataManager(new DataManagerStub(qcAlgorithm));
qcAlgorithm.SetLiveMode(true);
var testHistoryProvider = new TestHistoryProvider();
qcAlgorithm.HistoryProvider = testHistoryProvider;
var option = qcAlgorithm.AddOption(testHistoryProvider.underlyingSymbol);
var symbol = Symbol.CreateOption(testHistoryProvider.underlyingSymbol, Market.USA, OptionStyle.American,
OptionRight.Call, 1, new DateTime(2015, 12, 24));
var symbol2 = Symbol.CreateOption(testHistoryProvider.underlyingSymbol, Market.USA, OptionStyle.American,
OptionRight.Put, 1, new DateTime(2015, 12, 24));
var optionContract = qcAlgorithm.AddOptionContract(symbol, Resolution.Daily);
var optionContract2 = qcAlgorithm.AddOptionContract(symbol2, Resolution.Minute);
qcAlgorithm.OnEndOfTimeStep();
var data = qcAlgorithm.Securities[testHistoryProvider.underlyingSymbol].GetLastData();
Assert.AreEqual(testHistoryProvider.LastResolutionRequest, Resolution.Minute);
Assert.IsNotNull(data);
Assert.AreEqual(data.Price, 2);
}
public void GetLastKnownPriceOfIlliquidAsset_RealData()
{
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.HistoryProvider = new SubscriptionDataReaderHistoryProvider();
var cacheProvider = new ZipDataCacheProvider(new DefaultDataProvider());
algorithm.HistoryProvider.Initialize(new HistoryProviderInitializeParameters(
null,
null,
new DefaultDataProvider(),
cacheProvider,
new LocalDiskMapFileProvider(),
new LocalDiskFactorFileProvider(),
null,
false,
new DataPermissionManager()));
algorithm.SetDateTime(new DateTime(2014, 6, 6, 15, 0, 0));
//20140606_twx_minute_quote_american_call_230000_20150117.csv
var optionSymbol = Symbol.CreateOption("TWX", Market.USA, OptionStyle.American, OptionRight.Call, 23, new DateTime(2015, 1, 17));
var option = algorithm.AddOptionContract(optionSymbol);
var lastKnownPrice = algorithm.GetLastKnownPrice(option);
Assert.IsNotNull(lastKnownPrice);
// Data gap of more than 15 minutes
Assert.Greater((algorithm.Time - lastKnownPrice.EndTime).TotalMinutes, 15);
cacheProvider.DisposeSafely();
}
[TestCase(31, -31, 0.0004)] // Long To Longer (31 + -31 = 0)
public void CallOTM_MarginRequirement(int startingHoldings, int expectedOrderSize, decimal targetPercentage)
{
// Initialize algorithm
var algorithm = new QCAlgorithm();
algorithm.SetFinishedWarmingUp();
algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
algorithm.SetCash(1000000);
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
var optionSymbol = Symbols.CreateOptionSymbol("SPY", OptionRight.Call, 411m, DateTime.UtcNow);
var option = algorithm.AddOptionContract(optionSymbol);
option.Holdings.SetHoldings(4.74m, startingHoldings);
option.FeeModel = new ConstantFeeModel(0);
option.SetLeverage(1);
// Update option data
UpdatePrice(option, 4.78m);
// Update the underlying data
UpdatePrice(option.Underlying, 395.51m);
var model = new OptionMarginModel();
var result = model.GetMaximumOrderQuantityForTargetBuyingPower(algorithm.Portfolio, option, targetPercentage, 0);
Assert.AreEqual(expectedOrderSize, result.Quantity);
}
public void GetLastKnownPriceOfIlliquidAsset_TestData()
{
// Set the start date on Tuesday
_algorithm.SetStartDate(2014, 6, 10);
var optionSymbol = Symbol.CreateOption("TWX", Market.USA, OptionStyle.American, OptionRight.Call, 23, new DateTime(2015, 1, 17));
var option = _algorithm.AddOptionContract(optionSymbol);
// The last known price is on Friday, so we missed data from Monday and no data during Weekend
var barTime = new DateTime(2014, 6, 6, 15, 0, 0, 0);
_testHistoryProvider.Slices = new[]
{
new Slice(barTime, new[] { new TradeBar(barTime, optionSymbol, 100, 100, 100, 100, 1) }, barTime)
}.ToList();
var lastKnownPrice = _algorithm.GetLastKnownPrice(option);
Assert.IsNotNull(lastKnownPrice);
Assert.AreEqual(barTime.AddMinutes(1), lastKnownPrice.EndTime);
}
/// <summary>
/// Creates and adds a new single <see cref="Option"/> contract to the algorithm
/// </summary>
/// <param name="symbol">The option contract symbol</param>
/// <param name="resolution">The <see cref="Resolution"/> of market data, Tick, Second, Minute, Hour, or Daily. Default is <see cref="Resolution.Minute"/></param>
/// <param name="fillDataForward">If true, returns the last available data even if none in that timeslice. Default is <value>true</value></param>
/// <param name="leverage">The requested leverage for this equity. Default is set by <see cref="SecurityInitializer"/></param>
/// <returns>The new <see cref="Option"/> security</returns>
public Option AddOptionContract(Symbol symbol, Resolution resolution = Resolution.Minute, bool fillDataForward = true, decimal leverage = 0m)
{
return(_baseAlgorithm.AddOptionContract(symbol, resolution, fillDataForward, leverage));
}
