wehub-resource-sync
51 lines
2.1 KiB
C#
51 lines
2.1 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.Linq;
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using NUnit.Framework;
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using QuantConnect.Securities.Option.StrategyMatcher;
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using static QuantConnect.Tests.Common.Securities.Options.StrategyMatcher.Option;
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namespace QuantConnect.Tests.Common.Securities.Options.StrategyMatcher
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{
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[TestFixture]
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public class OptionStrategyDefinitionMatchTests
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{
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[Test]
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public void CreatesOptionStrategy_WithMinimumMultiplier_FromLegMatches()
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{
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// OptionStrategyDefinitions.BearCallSpread
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// 0: -1 Call
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// 1: +1 Call w/ Strike <= leg[0].Strike
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// these positions support matching index0 3 times and index1 2 times and the multiplier
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// for the definition match should be 2, despite leg0 having multiplier=3
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var positions = OptionPositionCollection.Empty.AddRange(
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new OptionPosition(Call[100], -3),
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new OptionPosition(Call[110], +2)
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);
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var match = OptionStrategyDefinitions.BearCallSpread.Match(positions).Single();
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Assert.AreEqual(3, match.Legs[0].Multiplier);
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Assert.AreEqual(2, match.Legs[1].Multiplier);
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Assert.AreEqual(2, match.Multiplier);
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var strategy = match.CreateStrategy();
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Assert.AreEqual(-2, strategy.OptionLegs[0].Quantity);
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Assert.AreEqual(+2, strategy.OptionLegs[1].Quantity);
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}
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}
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}
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