wehub-resource-sync
83 lines
3.2 KiB
C#
83 lines
3.2 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 NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Brokerages;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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using QuantConnect.Securities.CryptoFuture;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Common.Securities.CryptoFuture
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{
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[TestFixture]
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public class BybitCryptoFutureMarginModelTests
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{
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[TestCase("BTCUSDT", 0.5, 10, 1600)] // Bybit value: 1580
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[TestCase("BTCUSDT", -0.5, 10, 1600)]
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[TestCase("BTCUSDT", 0.5, 25, 650)] // Bybit value: 640
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[TestCase("BTCUSDT", -0.5, 25, 650)]
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[TestCase("BTCUSD", 15000, 10, 0.05)] // Bybit value: 0.0477
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[TestCase("BTCUSD", -15000, 10, 0.05)]
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[TestCase("BTCUSD", 15000, 25, 0.02)] // Bybit value: 0.0192
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[TestCase("BTCUSD", -15000, 25, 0.02)]
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public void BybitInitialMarginRequirement(string ticker, decimal quantity, decimal leverage, decimal expectedMargin)
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{
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var algo = GetAlgorithm();
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var cryptoFuture = algo.AddCryptoFuture(ticker);
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cryptoFuture.SetLeverage(leverage);
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SetPrice(cryptoFuture, 31300);
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var parameters = new InitialMarginParameters(cryptoFuture, quantity);
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var result = cryptoFuture.BuyingPowerModel.GetInitialMarginRequirement(parameters);
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if (cryptoFuture.IsCryptoCoinFuture())
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{
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// Convert to USD
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expectedMargin *= cryptoFuture.Price;
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}
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Assert.AreEqual((double)expectedMargin, (double)result.Value, (double)(0.05m * expectedMargin));
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}
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private static QCAlgorithm GetAlgorithm()
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{
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var algo = new AlgorithmStub();
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algo.SetBrokerageModel(BrokerageName.Bybit, AccountType.Margin);
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algo.SetFinishedWarmingUp();
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return algo;
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}
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private static void SetPrice(Security security, decimal price)
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{
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var cryptoFuture = (QuantConnect.Securities.CryptoFuture.CryptoFuture) security;
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cryptoFuture.BaseCurrency.ConversionRate = price;
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cryptoFuture.QuoteCurrency.ConversionRate = 1;
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security.SetMarketPrice(new TradeBar
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{
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Time = new DateTime(2022, 12, 22),
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Symbol = security.Symbol,
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Open = price,
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High = price,
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Low = price,
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Close = price
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});
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}
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}
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}
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