wehub-resource-sync
90 lines
4.1 KiB
C#
90 lines
4.1 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;
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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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using static QuantConnect.Securities.Option.StrategyMatcher.OptionStrategyDefinitions;
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using QuantConnect.Logging;
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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 OptionStrategyMatcherTests
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{
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[Test]
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[TestCaseSource(typeof(OptionStrategyDefinitionTests), nameof(OptionStrategyDefinitionTests.TestCases))]
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public void RunSingleDefinition(OptionStrategyDefinitionTests.TestCase test)
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{
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var matcher = test.CreateMatcher();
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var match = matcher.MatchOnce(test.Positions);
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Assert.AreEqual(1, match.Strategies.Count);
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}
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[Test]
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public void DoesNotDoubleCountPositions()
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{
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// this test aims to verify that match solutions do not reference the same position in multiple matches
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// this behavior is different than the OptionStrategyDefinition.Match, which by design produces all possible
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// matches which permits the same position to appear in different matches, allowing the matcher to pick matches
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// this test aims to verify that we can match the same definition multiple times if positions allows
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// 0: -C110 +C105
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// 1: -C115 +C100
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var positions = OptionPositionCollection.Empty.AddRange(
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Position(Call[100], -1),
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Position(Call[105], -1),
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Position(Call[110]),
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Position(Call[115])
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);
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var matcher = new OptionStrategyMatcher(OptionStrategyMatcherOptions.ForDefinitions(BearCallSpread));
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var matches = matcher.MatchOnce(positions);
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Assert.AreEqual(2, matches.Strategies.Count);
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}
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[Test]
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public void MatchesAgainstFullPositionCollection()
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{
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// sort definitions by leg count so that we match more complex definitions first
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var options = OptionStrategyMatcherOptions.ForDefinitions(OptionStrategyDefinitions.AllDefinitions
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.OrderByDescending(definition => definition.LegCount)
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);
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var matcher = new OptionStrategyMatcher(options);
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var positions = OptionPositionCollection.Empty.AddRange(Option.Position(Option.Underlying, +20),
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Option.Position(Option.Call[100, -4]), Option.Position(Option.Put[105, -4]),
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Option.Position(Option.Call[105, +4]), Option.Position(Option.Put[110, +4]),
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Option.Position(Option.Call[110, -3]), Option.Position(Option.Put[115, -3]),
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Option.Position(Option.Call[115, +3]), Option.Position(Option.Put[120, +3]),
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Option.Position(Option.Call[120, -5]), Option.Position(Option.Put[125, -5]),
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Option.Position(Option.Call[124, +5]), Option.Position(Option.Put[130, +5])
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);
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var match = matcher.MatchOnce(positions);
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foreach (var strategy in match.Strategies)
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{
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Log.Trace($"{strategy.Name}");
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foreach (var leg in strategy.OptionLegs)
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{
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// steal OptionPosition's ToString() implementation
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Console.Write($"\t{new OptionPosition(leg.Symbol, leg.Quantity)}");
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}
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}
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}
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}
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}
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