wehub-resource-sync
85 lines
4.7 KiB
C#
85 lines
4.7 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.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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public class FuturesOptionsUnderlyingMapperTests
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{
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[TestCase("ES", Market.CME, 2021, 3, 19, 2021, 3, 19, false)]
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[TestCase("NQ", Market.CME, 2021, 3, 19, 2021, 3, 19, false)]
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[TestCase("CL", Market.NYMEX, 2021, 1, 14, 2021, 1, 20, false)]
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[TestCase("RB", Market.NYMEX, 2021, 1, 29, 2021, 1, 29, false)]
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[TestCase("HO", Market.NYMEX, 2021, 1, 29, 2021, 1, 29, false)]
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[TestCase("NG", Market.NYMEX, 2021, 1, 26, 2021, 1, 27, false)]
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[TestCase("HG", Market.COMEX, 2021, 2, 23, 2021, 3, 29, false)]
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[TestCase("SI", Market.COMEX, 2021, 2, 23, 2021, 3, 29, false)]
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[TestCase("GC", Market.COMEX, 2021, 1, 26, 2021, 2, 24, false)]
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[TestCase("ZC", Market.CBOT, 2021, 2, 19, 2021, 3, 12, false)]
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[TestCase("ZN", Market.CBOT, 2021, 2, 19, 2021, 3, 22, false)]
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[TestCase("ZS", Market.CBOT, 2021, 2, 19, 2021, 3, 12, false)]
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[TestCase("ZW", Market.CBOT, 2021, 2, 19, 2021, 3, 12, false)]
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[TestCase("6A", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
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[TestCase("6A", Market.CME, 2021, 10, 05, 2021, 12, 13, false)]
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[TestCase("6A", Market.CME, 2021, 11, 05, 2021, 12, 13, false)]
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[TestCase("6A", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
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[TestCase("6N", Market.CME, 2021, 01, 09, 2021, 03, 15, false)]
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[TestCase("6B", Market.CME, 2021, 02, 06, 2021, 03, 15, false)]
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[TestCase("6B", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
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[TestCase("6B", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
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[TestCase("6C", Market.CME, 2021, 01, 09, 2021, 03, 16, false)]
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[TestCase("6C", Market.CME, 2021, 09, 05, 2021, 09, 14, false)]
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[TestCase("6C", Market.CME, 2021, 12, 05, 2021, 12, 14, false)]
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[TestCase("6E", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
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[TestCase("6E", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
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[TestCase("6E", Market.CME, 2021, 01, 09, 2021, 03, 15, false)]
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[TestCase("6M", Market.CME, 2021, 04, 03, 2021, 06, 14, false)]
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[TestCase("6J", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
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[TestCase("6J", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
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[TestCase("6J", Market.CME, 2021, 02, 06, 2021, 03, 15, false)]
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[TestCase("6S", Market.CME, 2021, 09, 05, 2021, 09, 13, false)]
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[TestCase("6S", Market.CME, 2021, 12, 05, 2021, 12, 13, false)]
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[TestCase("6S", Market.CME, 2021, 02, 06, 2021, 03, 15, false)]
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[TestCase("ZC", Market.CBOT, 2031, 12, 26, 2031, 12, 26, true)]
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[TestCase("ZS", Market.CBOT, 2034, 12, 22, 2034, 12, 22, true)]
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[TestCase("ZW", Market.CBOT, 2036, 12, 26, 2036, 12, 26, true)]
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public void GetUnderlyingSymbolFromFutureOption(string futureTicker, string market,
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int fopContractYear, int fopContractMonth, int fopContractDay,
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int expectedFutureYear, int expectedFutureMonth, int expectedFutureDay,
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bool nullExpected)
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{
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var optionTicker = FuturesOptionsSymbolMappings.Map(futureTicker);
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var expectedFuture = Symbol.CreateFuture(futureTicker, market, new DateTime(expectedFutureYear, expectedFutureMonth, expectedFutureDay));
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var futuresOptionsExpiration = new DateTime(fopContractYear, fopContractMonth, fopContractDay);
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var actualFuture = FuturesOptionsUnderlyingMapper.GetUnderlyingFutureFromFutureOption(optionTicker, market, futuresOptionsExpiration, new DateTime(2021, 1, 1));
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if (nullExpected)
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{
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// There were no futures that appeared on the or subsequent contract months from the future option.
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Assert.IsNull(actualFuture);
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}
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else
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{
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Assert.AreEqual(expectedFuture, actualFuture, $"Expected {expectedFuture.ID.Date} but got {actualFuture.ID.Date}");
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}
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}
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}
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}
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