wehub-resource-sync
220 lines
14 KiB
C#
220 lines
14 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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*/
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using System;
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using System.Linq;
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using NUnit.Framework;
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using System.Globalization;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Future;
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using QuantConnect.Securities.FutureOption;
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namespace QuantConnect.Tests.Common.Securities.FutureOption
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{
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[TestFixture]
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public class FuturesOptionsExpiryFunctionsTests
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{
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[TestCase("ES", Market.CME, 0)]
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[TestCase("ZB", Market.CBOT, 1)]
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[TestCase("ZN", Market.CBOT, 1)]
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[TestCase("CL", Market.NYMEX, 1)]
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[TestCase("GC", Market.COMEX, 1)] // No mapping is done for this Symbol as expected, although rules exist.
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public void FutureContractMonthDelta(string futureTicker, string market, int expectedDelta)
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{
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var contractMonth = new DateTime(2020, 12, 1);
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var future = Symbol.Create(futureTicker, SecurityType.Future, market);
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var option = Symbol.CreateOption(
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future,
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market,
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default(OptionStyle),
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default(OptionRight),
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default(decimal),
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SecurityIdentifier.DefaultDate);
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var futureOptionExpiry = FuturesOptionsExpiryFunctions.FuturesOptionExpiry(option, contractMonth);
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Assert.AreEqual(expectedDelta, contractMonth.Month - futureOptionExpiry.Month);
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}
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[TestCaseSource(nameof(ExpiryTestCases))]
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public void ExpiryFunctionsReturnExpectedResults(string futureTicker, string market, DateTime expected)
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{
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var future = Symbol.Create(futureTicker, SecurityType.Future, market);
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var futureOption = Symbol.CreateCanonicalOption(future);
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var december = new DateTime(2020, 12, 1);
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var actual = FuturesOptionsExpiryFunctions.FuturesOptionExpiry(futureOption, december);
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Assert.AreEqual(expected, actual);
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}
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[TestCase("ZM", Market.CBOT, "202601", "20251226", "20260114")]
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[TestCase("ZM", Market.CBOT, "202512", "20251121", "20251212")]
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[TestCase("ZM", Market.CBOT, "202511", "20251024", "20251212")]
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[TestCase("ZL", Market.CBOT, "202601", "20251226", "20260114")]
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[TestCase("ZL", Market.CBOT, "202512", "20251121", "20251212")]
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[TestCase("ZL", Market.CBOT, "202511", "20251024", "20251212")]
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[TestCase("TN", Market.CBOT, "202601", "20251226", "20260320")]
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[TestCase("TN", Market.CBOT, "202512", "20251121", "20251219")]
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[TestCase("TN", Market.CBOT, "202511", "20251024", "20251219")]
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[TestCase("UB", Market.CBOT, "202601", "20251226", "20260320")]
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[TestCase("UB", Market.CBOT, "202512", "20251121", "20251219")]
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[TestCase("UB", Market.CBOT, "202511", "20251024", "20251219")]
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[TestCase("ZO", Market.CBOT, "202603", "20260220", "20260313")]
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[TestCase("ZO", Market.CBOT, "202512", "20251121", "20251212")]
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[TestCase("ZO", Market.CBOT, "202511", "20251024", "20251212")]
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[TestCase("KE", Market.CBOT, "202512", "20251121", "20251212")]
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[TestCase("KE", Market.CBOT, "202511", "20251024", "20251212")]
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[TestCase("KE", Market.CBOT, "202601", "20251226", "20260313")]
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[TestCase("ZF", Market.CBOT, "202512", "20251121", "20251231")]
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[TestCase("ZF", Market.CBOT, "202511", "20251024", "20251231")]
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[TestCase("ZF", Market.CBOT, "202601", "20251226", "20260331")]
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[TestCase("LE", Market.CME, "202612", "20261204", "20261231")]
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[TestCase("LE", Market.CME, "202702", "20270205", "20270226")]
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[TestCase("LE", Market.CME, "202510", "20251003", "20251031")]
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[TestCase("LE", Market.CME, "202511", "20251107", "20251231")]
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[TestCase("HE", Market.CME, "202512", "20251212", "20251212")]
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[TestCase("HE", Market.CME, "202511", "20251114", "20251212")]
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[TestCase("HE", Market.CME, "202510", "20251014", "20251014")]
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[TestCase("LBR", Market.CME, "202510", "20250930", "20251114")]
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[TestCase("LBR", Market.CME, "202511", "20251031", "20251114")]
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[TestCase("LBR", Market.CME, "202603", "20260227", "20260313")]
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[TestCase("LBS", Market.CME, "202510", "20250930", "20251114")]
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[TestCase("LBS", Market.CME, "202511", "20251031", "20251114")]
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[TestCase("LBS", Market.CME, "202603", "20260227", "20260313")]
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[TestCase("NQ", Market.CME, "202512", "20251219", "20251219")]
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[TestCase("NQ", Market.CME, "202603", "20260320", "20260320")]
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[TestCase("EMD", Market.CME, "202512", "20251219", "20251219")]
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[TestCase("EMD", Market.CME, "202603", "20260320", "20260320")]
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[TestCase("ES", Market.CME, "202512", "20251219", "20251219")]
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[TestCase("ES", Market.CME, "202603", "20260320", "20260320")]
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[TestCase("ES", Market.CME, "201601", "20160115", "20160318")]
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[TestCase("YM", Market.CBOT, "202512", "20251219", "20251219")]
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[TestCase("YM", Market.CBOT, "202603", "20260320", "20260320")]
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[TestCase("6N", Market.CME, "202511", "20251107", "20251215")]
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[TestCase("6N", Market.CME, "202512", "20251205", "20251215")]
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[TestCase("6N", Market.CME, "202601", "20260109", "20260316")]
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[TestCase("6N", Market.CME, "202601", "20260109", "20260316")]
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[TestCase("6N", Market.CME, "202602", "20260206", "20260316")]
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[TestCase("6N", Market.CME, "202604", "20260403", "20260615")]
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[TestCase("6B", Market.CME, "202601", "20260109", "20260316")]
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[TestCase("6B", Market.CME, "202602", "20260206", "20260316")]
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[TestCase("6B", Market.CME, "202603", "20260306", "20260316")]
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[TestCase("6C", Market.CME, "202601", "20260109", "20260317")]
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[TestCase("6C", Market.CME, "202602", "20260206", "20260317")]
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[TestCase("6C", Market.CME, "202603", "20260306", "20260317")]
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[TestCase("6J", Market.CME, "202601", "20260109", "20260316")]
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[TestCase("6J", Market.CME, "202602", "20260206", "20260316")]
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[TestCase("6J", Market.CME, "202603", "20260306", "20260316")]
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[TestCase("6S", Market.CME, "202601", "20260109", "20260316")]
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[TestCase("6S", Market.CME, "202602", "20260206", "20260316")]
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[TestCase("6S", Market.CME, "202603", "20260306", "20260316")]
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[TestCase("6E", Market.CME, "202601", "20260109", "20260316")]
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[TestCase("6E", Market.CME, "202602", "20260206", "20260316")]
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[TestCase("6E", Market.CME, "202603", "20260306", "20260316")]
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[TestCase("6M", Market.CME, "202604", "20260403", "20260615")]
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[TestCase("6M", Market.CME, "202605", "20260508", "20260615")]
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[TestCase("6M", Market.CME, "202606", "20260605", "20260615")]
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[TestCase("6A", Market.CME, "202601", "20260109", "20260316", Description = "Quarterly contract : Mar")]
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[TestCase("6A", Market.CME, "202602", "20260206", "20260316", Description = "Quarterly contract : Mar")]
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[TestCase("6A", Market.CME, "202603", "20260306", "20260316", Description = "Quarterly contract : Mar")]
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[TestCase("6A", Market.CME, "202604", "20260403", "20260615", Description = "Quarterly contract : Jun")]
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[TestCase("6A", Market.CME, "202605", "20260508", "20260615", Description = "Quarterly contract : Jun")]
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[TestCase("6A", Market.CME, "202606", "20260605", "20260615", Description = "Quarterly contract : Jun")]
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[TestCase("AJY", Market.CME, "202605", "20260508", "20260615", Description = "Serial contract : May -> Jun")]
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[TestCase("AJY", Market.CME, "202606", "20260605", "20260615", Description = "Quarterly contract : Jun")]
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[TestCase("AJY", Market.CME, "202607", "20260702", "20260914", Description = "Serial contract : Jul (Jul 3 holiday) -> Sep")]
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[TestCase("AJY", Market.CME, "202608", "20260807", "20260914", Description = "Serial contract : Aug -> Sep")]
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[TestCase("AJY", Market.CME, "202609", "20260904", "20260914", Description = "Quarterly contract : Sep")]
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[TestCase("AJY", Market.CME, "202612", "20261204", "20261214", Description = "Quarterly contract : Dec")]
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[TestCase("AJY", Market.CME, "202703", "20270305", "20270315", Description = "Quarterly contract : Mar")]
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[TestCase("ANE", Market.CME, "202605", "20260508", "20260615", Description = "Serial contract : May -> Jun")]
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[TestCase("ANE", Market.CME, "202606", "20260605", "20260615", Description = "Quarterly contract : Jun")]
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[TestCase("ANE", Market.CME, "202607", "20260702", "20260914", Description = "Serial contract : Jul (Jul 3 holiday) -> Sep")]
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[TestCase("ANE", Market.CME, "202608", "20260807", "20260914", Description = "Serial contract : Aug -> Sep")]
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[TestCase("ANE", Market.CME, "202609", "20260904", "20260914", Description = "Quarterly contract : Sep")]
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[TestCase("ANE", Market.CME, "202612", "20261204", "20261214", Description = "Quarterly contract : Dec")]
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[TestCase("ANE", Market.CME, "202703", "20270305", "20270315", Description = "Quarterly contract : Mar")]
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[TestCase("ECD", Market.CME, "202605", "20260508", "20260615", Description = "Serial contract : May -> Jun")]
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[TestCase("ECD", Market.CME, "202606", "20260605", "20260615", Description = "Quarterly contract : Jun")]
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[TestCase("ECD", Market.CME, "202607", "20260702", "20260914", Description = "Serial contract : Jul (Jul 3 holiday) -> Sep")]
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[TestCase("ECD", Market.CME, "202608", "20260807", "20260914", Description = "Serial contract : Aug -> Sep")]
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[TestCase("ECD", Market.CME, "202609", "20260904", "20260914", Description = "Quarterly contract : Sep")]
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[TestCase("ECD", Market.CME, "202612", "20261204", "20261214", Description = "Quarterly contract : Dec")]
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[TestCase("ECD", Market.CME, "202703", "20270305", "20270315", Description = "Quarterly contract : Mar")]
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public void FutureAndOptionMapping(string futureTicker, string market, string fopContractMonthYear, string expectedFop, string expectedFuture)
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{
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var contractMonth = DateTime.ParseExact(fopContractMonthYear, DateFormat.YearMonth, CultureInfo.InvariantCulture);
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var fopExpiry = Time.ParseDate(expectedFop);
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var referenceDate = new DateTime(fopExpiry.Year, fopExpiry.Month, 1);
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var canonicalFuture = Symbol.Create(futureTicker, SecurityType.Future, market);
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var canonicalFutureOption = Symbol.CreateOption(
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canonicalFuture,
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market,
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default,
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default,
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default,
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SecurityIdentifier.DefaultDate);
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var futureOptionExpiry = FuturesOptionsExpiryFunctions.FuturesOptionExpiry(canonicalFutureOption, contractMonth);
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Assert.AreEqual(fopExpiry, futureOptionExpiry.Date);
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var underlyingFuture = FuturesOptionsUnderlyingMapper.GetUnderlyingFutureFromFutureOption(canonicalFutureOption.ID.Symbol, market, futureOptionExpiry, referenceDate);
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Assert.AreEqual(Time.ParseDate(expectedFuture), underlyingFuture.ID.Date.Date);
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}
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[Test]
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public void ExpiryFunctionsReturnExpectedResultWhenExpiryIsAHoliday()
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{
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var mhdb = MarketHoursDatabase.FromDataFolder();
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var entry = mhdb.GetEntry(Market.CME, "6A", SecurityType.Future);
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var holidays = entry.ExchangeHours.Holidays;
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holidays.Add(new DateTime(2025, 07, 04));
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var exchangeHours = new SecurityExchangeHours(entry.ExchangeHours.TimeZone,
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holidays,
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entry.ExchangeHours.MarketHours.ToDictionary(),
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entry.ExchangeHours.EarlyCloses,
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entry.ExchangeHours.LateOpens);
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mhdb.SetEntry(Market.CME, "6A", SecurityType.Future, exchangeHours, entry.DataTimeZone);
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var future = Symbol.Create("6A", SecurityType.Future, Market.CME);
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var futureOption = Symbol.CreateCanonicalOption(future);
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var july = new DateTime(2025, 07, 1);
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var actual = FuturesOptionsExpiryFunctions.FuturesOptionExpiry(futureOption, july);
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// The second Friday before the third Wednesday of July is the 4th of July, which is a holiday
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var expected = new DateTime(2025, 07, 03, 9, 0, 0);
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Assert.AreEqual(expected, actual);
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}
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private static object[] ExpiryTestCases =
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{
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new TestCaseData("CL", Market.NYMEX, new DateTime(2020, 11, 17)),
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new TestCaseData("ZB", Market.CBOT, new DateTime(2020, 11, 20)),
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new TestCaseData("ZN", Market.CBOT, new DateTime(2020, 11, 20)),
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new TestCaseData("GC", Market.COMEX, new DateTime(2020, 11, 24, 12, 30, 0)),
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new TestCaseData("6A", Market.CME, new DateTime(2020, 12, 04, 09, 0, 0)),
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new TestCaseData("6B", Market.CME, new DateTime(2020, 12, 04, 09, 0, 0)),
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new TestCaseData("6C", Market.CME, new DateTime(2020, 12, 04, 09, 0, 0)),
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new TestCaseData("6E", Market.CME, new DateTime(2020, 12, 04, 09, 0, 0)),
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new TestCaseData("6J", Market.CME, new DateTime(2020, 12, 04, 09, 0, 0)),
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new TestCaseData("6S", Market.CME, new DateTime(2020, 12, 04, 09, 0, 0)),
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};
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}
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}
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