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 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 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); }
private SecurityPortfolioManager GetPortfolio(IOrderProcessor orderProcessor, int quantity) { var securities = new SecurityManager(new TimeKeeper(DateTime.Now, new[] { TimeZones.NewYork })); var transactions = new SecurityTransactionManager(securities); transactions.SetOrderProcessor(orderProcessor); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(quantity); return portfolio; }