wehub-resource-sync
74 lines
3.1 KiB
C#
74 lines
3.1 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using NUnit.Framework;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Securities;
|
|
using QuantConnect.Securities.Option;
|
|
|
|
namespace QuantConnect.Tests.Common.Data.Market
|
|
{
|
|
[TestFixture]
|
|
public class OptionContractTests
|
|
{
|
|
private static Option CreateOption(Symbol symbol)
|
|
{
|
|
return new Option(
|
|
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
|
|
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true),
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null
|
|
);
|
|
}
|
|
|
|
[SetUp]
|
|
public void ResetSharedOptionData()
|
|
{
|
|
// Other tests can leave the shared OptionPriceModelResultData.Null singleton holding a
|
|
// trade bar, which then leaks into any contract that hasn't set its own price model.
|
|
// Reset it by updating a throwaway (singleton-backed) contract with a zero-priced trade bar.
|
|
var symbol = Symbols.SPY_C_192_Feb19_2016;
|
|
new OptionContract(CreateOption(symbol))
|
|
.Update(new TradeBar(new DateTime(2016, 02, 16), symbol, 0, 0, 0, 0, 0));
|
|
}
|
|
|
|
[Test]
|
|
public void PriceValueAndCloseAliasLastPrice()
|
|
{
|
|
var symbol = Symbols.SPY_C_192_Feb19_2016;
|
|
var contract = new OptionContract(CreateOption(symbol)) { Time = new DateTime(2016, 02, 16) };
|
|
contract.SetOptionPriceModel(() => OptionPriceModelResult.None);
|
|
|
|
// No data yet, all aliases default to zero
|
|
Assert.AreEqual(0, contract.LastPrice);
|
|
Assert.AreEqual(contract.LastPrice, contract.Price);
|
|
Assert.AreEqual(contract.LastPrice, contract.Value);
|
|
Assert.AreEqual(contract.LastPrice, contract.Close);
|
|
|
|
var tradeBar = new TradeBar(new DateTime(2016, 02, 16), symbol, 1, 2, 3, 4, 5);
|
|
contract.Update(tradeBar);
|
|
|
|
Assert.AreEqual(4, contract.LastPrice);
|
|
Assert.AreEqual(contract.LastPrice, contract.Price);
|
|
Assert.AreEqual(contract.LastPrice, contract.Value);
|
|
Assert.AreEqual(contract.LastPrice, contract.Close);
|
|
}
|
|
}
|
|
}
|