wehub-resource-sync
131 lines
5.6 KiB
C#
131 lines
5.6 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using NodaTime;
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using NUnit.Framework;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class BuyingPowerModelTests
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{
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private BuyingPowerModel _model;
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[OneTimeSetUp]
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public void Setup()
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{
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_model = new BuyingPowerModel();
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}
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// Current Order Margin
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[TestCase(-40, 25, -900, 1, 4)] // -1000
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[TestCase(-36, 25, -880, 1, 1)] // -900
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[TestCase(-35, 25, -900, 1, -1)] // -875
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[TestCase(-34, 25, -880, 1, -1)] // -850
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[TestCase(48, 25, 1050, 1, -6)] // 1200
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[TestCase(49, 25, 1212, 1, -1)] // 1225
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[TestCase(44, 25, 1200, 1, 4)] // 1100
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[TestCase(45, 25, 1250, 1, 5)] // 1125
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[TestCase(80, 25, -1250, 1, -130)] // 2000
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[TestCase(45.5, 25, 1240, 0.5, 4)] // 1125
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[TestCase(45.75, 25, 1285, 0.25, 5.5)] // 1125
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[TestCase(-40, 25, 1500, 1, 100)] // -1000
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[TestCase(-40.5, 12.5, 1505, .5, 160.5)]// -506.25
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[TestCase(-40.5, 12.5, 1508, .5, 161)] // -506.25
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public void OrderCalculation(decimal currentHoldings, decimal perUnitMargin, decimal targetMargin, decimal lotSize, decimal expectedOrderSize)
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{
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var spy = SetupSecurity(currentHoldings, lotSize, perUnitMargin);
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var currentHoldingsMargin = _model.GetInitialMarginRequirement(spy, spy.Holdings.Quantity);
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// Determine the order size to get us to our target margin
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var orderSize = _model.GetAmountToOrder(spy, targetMargin, perUnitMargin, out _);
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Assert.AreEqual(expectedOrderSize, orderSize);
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// Determine the final margin and assert we have met our target condition
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var resultMargin = currentHoldingsMargin + (orderSize * perUnitMargin);
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Assert.IsTrue(Math.Abs(resultMargin) <= Math.Abs(targetMargin));
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}
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// Current Order Margin
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[TestCase(-40, 25, -900, 1, -36)] // -1000
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[TestCase(-36, 25, -880, 1, -35)] // -900
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[TestCase(-35, 25, -900, 1, -36)] // -875
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[TestCase(-34, 25, -880, 1, -35)] // -850
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[TestCase(48, 25, 1050, 1, 42)] // 1200
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[TestCase(49, 25, 1212, 1, 48)] // 1225
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[TestCase(44, 25, 1200, 1, 48)] // 1100
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[TestCase(45, 25, 1250, 1, 50)] // 1125
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[TestCase(80, 25, -1250, 1, -50)] // 2000
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[TestCase(45.5, 25, 1240, 0.5, 49.5)] // 1125
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[TestCase(45.75, 25, 1285, 0.25, 51.25)]// 1125
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[TestCase(-40, 25, 1500, 1, 60)] // -1000
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[TestCase(-40.5, 12.5, 1505, .5, 120)] // -506.25
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[TestCase(-40.5, 12.5, 1508, .5, 120.5)]// -506.25
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public void OrderAdjustmentCalculation(decimal currentOrderSize, decimal perUnitMargin, decimal targetMargin, decimal lotSize, decimal expectedOrderSize)
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{
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var spy = SetupSecurity(currentOrderSize, lotSize, perUnitMargin);
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var currentHoldingsMargin = _model.GetInitialMarginRequirement(spy, spy.Holdings.Quantity);
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// Determine the adjustment to get us to our target margin and apply it
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// Use our GetAmountToOrder for determining adjustment to reach the end goal
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var orderAdjustment =
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_model.GetAmountToOrder(spy, targetMargin, perUnitMargin, out _);
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// Apply the change in margin
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var resultMargin = currentHoldingsMargin + (orderAdjustment * perUnitMargin);
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// Assert after our adjustment we have met our target condition
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Assert.IsTrue(Math.Abs(resultMargin) <= Math.Abs(targetMargin));
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// Verify our adjustment meets our expected order size
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var adjustOrderSize = currentOrderSize + orderAdjustment;
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Assert.AreEqual(expectedOrderSize, adjustOrderSize);
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}
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/// <summary>
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/// Helper method for tests, sets up an equity security with our properties
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/// </summary>
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/// <returns>Equity with the given setup values</returns>
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private static Security SetupSecurity(decimal currentHoldings, decimal lotSize, decimal perUnitMargin)
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{
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var spy = new QuantConnect.Securities.Equity.Equity(Symbols.SPY, SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc), new Cash("$", 0, 1),
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new SymbolProperties(null, "$", 1, 0.01m, lotSize, null, 0), null, null, new SecurityCache());
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spy.Holdings.SetHoldings(perUnitMargin, currentHoldings);
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spy.SetLeverage(1);
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spy.SetMarketPrice(new TradeBar
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{
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Time = DateTime.Now,
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Symbol = spy.Symbol,
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Open = perUnitMargin,
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High = perUnitMargin,
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Low = perUnitMargin,
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Close = perUnitMargin
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});
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return spy;
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}
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}
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}
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