wehub-resource-sync
126 lines
5.2 KiB
C#
126 lines
5.2 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 System.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Algorithm.CSharp;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Option;
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using QuantConnect.Statistics;
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namespace QuantConnect.Tests.Common.Securities.Options
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{
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[TestFixture]
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public class OptionSecurityTests
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{
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[Test]
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public void FutureOptionSecurityUsesFutureOptionMarginModel()
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{
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var underlyingFuture = Symbol.CreateFuture(
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QuantConnect.Securities.Futures.Indices.SP500EMini,
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Market.CME,
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new DateTime(2021, 3, 19));
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var futureOption = Symbol.CreateOption(underlyingFuture,
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Market.CME,
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OptionStyle.American,
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OptionRight.Call,
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2550m,
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new DateTime(2021, 3, 19));
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var futureOptionSecurity = new QuantConnect.Securities.FutureOption.FutureOption(
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futureOption,
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MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.CME, futureOption, futureOption.SecurityType),
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new Cash("USD", 100000m, 1m),
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new OptionSymbolProperties(string.Empty, "USD", 1m, 0.01m, 1m),
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new CashBook(),
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCache(),
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null);
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Assert.IsTrue(futureOptionSecurity.BuyingPowerModel is FuturesOptionsMarginModel);
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}
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[Test]
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public void EquityOptionSecurityUsesOptionMarginModel()
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{
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var underlyingEquity = Symbol.Create("TWX", SecurityType.Equity, Market.USA);
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var equityOption = Symbol.CreateOption(underlyingEquity,
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Market.USA,
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OptionStyle.American,
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OptionRight.Call,
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42.5m,
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new DateTime(2014, 6, 21));
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var equityOptionSecurity = new Option(
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equityOption,
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MarketHoursDatabase.FromDataFolder().GetExchangeHours(Market.USA, equityOption, equityOption.SecurityType),
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new Cash("USD", 100000m, 1m),
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new OptionSymbolProperties(string.Empty, "USD", 100m, 0.0001m, 1m),
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new CashBook(),
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new RegisteredSecurityDataTypesProvider(),
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new SecurityCache(),
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null);
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Assert.IsTrue(equityOptionSecurity.BuyingPowerModel is OptionMarginModel);
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}
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[Test]
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public void AlgorithmSendsOneTimeWarningAboutOptionModelsConsistency(
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[Values(nameof(OptionModelsConsistencyRegressionAlgorithm), nameof(IndexOptionModelsConsistencyRegressionAlgorithm))] string algorithmName,
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[Values(Language.CSharp, Language.Python)] Language language)
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{
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var parameter = new RegressionTests.AlgorithmStatisticsTestParameters(
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algorithmName,
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new Dictionary<string, string> {
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{PerformanceMetrics.TotalOrders, "0"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"OrderListHash", "d41d8cd98f00b204e9800998ecf8427e"}
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},
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language,
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AlgorithmStatus.Completed);
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var result = AlgorithmRunner.RunLocalBacktest(parameter.Algorithm,
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parameter.Statistics,
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parameter.Language,
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parameter.ExpectedFinalStatus,
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returnLogs: true);
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Assert.IsTrue(result.Logs.Any(message => message.Contains("Warning: Security ") &&
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message.EndsWith("To avoid this, consider using a security initializer to set the right models to each security type according to your algorithm's requirements.")));
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}
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}
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}
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