wehub-resource-sync
399 lines
19 KiB
C#
399 lines
19 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.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Positions;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class PatternDayTradingMarginBuyingPowerModelTests
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{
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private static readonly DateTime Noon = new DateTime(2016, 02, 16, 12, 0, 0);
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private static readonly DateTime Midnight = new DateTime(2016, 02, 16, 0, 0, 0);
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private static readonly DateTime NoonWeekend = new DateTime(2016, 02, 14, 12, 0, 0);
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private static readonly DateTime NoonHoliday = new DateTime(2016, 02, 15, 12, 0, 0);
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private static readonly TimeKeeper TimeKeeper = new TimeKeeper(Noon.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
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private BuyingPowerModelComparator GetModel(decimal closed = 2m, decimal open = 4m)
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{
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return new BuyingPowerModelComparator(
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new PatternDayTradingMarginModel(closed, open),
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new SecurityPositionGroupBuyingPowerModel(),
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timeKeeper: TimeKeeper
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);
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}
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[Test]
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public void InitializationTests()
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{
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// No parameters initialization, used default PDT 4x leverage open market and 2x leverage otherwise
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var model = GetModel();
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var leverage = model.GetLeverage(CreateSecurity(model.SecurityModel, Noon));
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Assert.AreEqual(4.0m, leverage);
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model = GetModel(2m, 5m);
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leverage = model.GetLeverage(CreateSecurity(model.SecurityModel, Noon));
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Assert.AreEqual(5.0m, leverage);
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}
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[Test]
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public void SetLeverageTest()
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{
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var model = GetModel();
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// Open market
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var security = CreateSecurity(model.SecurityModel, Noon);
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security.BuyingPowerModel = GetModel();
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model.SetLeverage(security, 10m);
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Assert.AreNotEqual(10m, model.GetLeverage(security));
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// Closed market
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security = CreateSecurity(model.SecurityModel, Midnight);
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model.SetLeverage(security, 10m);
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Assert.AreNotEqual(10m, model.GetLeverage(security));
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security.Holdings.SetHoldings(100m, 100);
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}
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[Test]
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public void VerifyOpenMarketLeverage()
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{
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// Market is Open on Tuesday, Feb, 16th 2016 at Noon
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// SPY @ $100 * 100 Shares / Leverage (4) = 2500
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var leverage = 4m;
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var expected = 100 * 100m / leverage;
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var model = GetModel();
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var security = CreateSecurity(model.SecurityModel, Noon);
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var order = new MarketOrder(security.Symbol, 100, security.LocalTime);
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Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
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Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)).Value, 1e-3);
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}
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[Test]
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public void VerifyOpenMarketLeverageAltVersion()
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{
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// Market is Open on Tuesday, Feb, 16th 2016 at Noon
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// SPY @ $100 * 100 Shares / Leverage (5) = 2000
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var leverage = 5m;
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var expected = 100 * 100m / leverage;
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var model = GetModel(2m, leverage);
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var security = CreateSecurity(model.SecurityModel, Noon);
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var order = new MarketOrder(security.Symbol, 100, security.LocalTime);
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Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
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Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)).Value, 1e-3);
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}
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[Test]
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public void VerifyClosedMarketLeverage()
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{
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// SPY @ $100 * 100 Shares / Leverage (2) = 5000
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var leverage = 2m;
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var expected = 100 * 100m / leverage;
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var model = GetModel();
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// Market is Closed on Tuesday, Feb, 16th 2016 at Midnight
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var security = CreateSecurity(model.SecurityModel, Midnight);
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var order = new MarketOrder(security.Symbol, 100, security.LocalTime);
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Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
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Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)).Value, 1e-3);
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// Market is Closed on Monday, Feb, 15th 2016 at Noon (US President Day)
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security = CreateSecurity(model.SecurityModel, NoonHoliday);
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order = new MarketOrder(security.Symbol, 100, security.LocalTime);
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Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
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Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)).Value, 1e-3);
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// Market is Closed on Sunday, Feb, 14th 2016 at Noon
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security = CreateSecurity(model.SecurityModel, NoonWeekend);
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order = new MarketOrder(security.Symbol, 100, security.LocalTime);
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Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
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Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)).Value, 1e-3);
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}
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[Test]
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public void VerifyClosedMarketLeverageAltVersion()
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{
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// SPY @ $100 * 100 Shares / Leverage (3) = 3333.33
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var leverage = 3m;
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var expected = 100 * 100m / leverage;
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var model = GetModel(leverage, 4m);
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// Market is Closed on Tuesday, Feb, 16th 2016 at Midnight
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var security = CreateSecurity(model.SecurityModel, Midnight);
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var order = new MarketOrder(security.Symbol, 100, security.LocalTime);
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Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
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Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)).Value, 1e-3);
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// Market is Closed on Monday, Feb, 15th 2016 at Noon (US President Day)
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security = CreateSecurity(model.SecurityModel, NoonHoliday);
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order = new MarketOrder(security.Symbol, 100, security.LocalTime);
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Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
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Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)).Value, 1e-3);
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// Market is Closed on Sunday, Feb, 14th 2016 at Noon
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security = CreateSecurity(model.SecurityModel, NoonWeekend);
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order = new MarketOrder(security.Symbol, 100, security.LocalTime);
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Assert.AreEqual((double)leverage, (double)model.GetLeverage(security), 1e-3);
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Assert.AreEqual((double)expected, (double)model.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(new IdentityCurrencyConverter(Currencies.USD), security, order)).Value, 1e-3);
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}
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[Test]
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public void VerifyClosingSoonMarketLeverage()
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{
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var closedLeverage = 2m;
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var openLeverage = 5m;
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var model = GetModel(closedLeverage, openLeverage);
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// Market is Closed on Tuesday, Feb, 16th 2016 at 16
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var security = CreateSecurity(model.SecurityModel, new DateTime(2016, 2, 16, 15, 49, 0));
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Assert.AreEqual(openLeverage, model.GetLeverage(security));
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Assert.IsFalse(security.Exchange.ClosingSoon);
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var localTimeKeeper = TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
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localTimeKeeper.UpdateTime(new DateTime(2016, 2, 16, 15, 50, 0).ConvertToUtc(TimeZones.NewYork));
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Assert.AreEqual(closedLeverage, model.GetLeverage(security));
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Assert.IsTrue(security.Exchange.ClosingSoon);
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Assert.IsTrue(security.Exchange.ExchangeOpen);
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localTimeKeeper.UpdateTime(new DateTime(2016, 2, 16, 16, 0, 0).ConvertToUtc(TimeZones.NewYork));
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Assert.IsFalse(security.Exchange.ExchangeOpen);
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}
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[Test]
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public void VerifyMaintenaceMargin()
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{
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var model = GetModel();
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// Open Market
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var security = CreateSecurity(model.SecurityModel, Noon);
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security.Holdings.SetHoldings(100m, 100);
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Assert.AreEqual((double)100 * 100 / 4, (double)model.GetMaintenanceMargin(security), 1e-3);
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// Closed Market
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security = CreateSecurity(model.SecurityModel, Midnight);
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security.Holdings.SetHoldings(100m, 100);
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Assert.AreEqual((double)100 * 100 / 2, (double)model.GetMaintenanceMargin(security), 1e-3);
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}
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[Test]
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public void VerifyMarginCallOrderLongOpenMarket()
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{
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var securityPrice = 100m;
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var quantity = 300;
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var orderProcessor = new FakeOrderProcessor();
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var portfolio = GetPortfolio(orderProcessor, quantity, Noon);
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var model = GetModel();
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// Open Market
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var security = CreateSecurity(model.SecurityModel, Noon);
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security.BuyingPowerModel = model;
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security.Holdings.SetHoldings(securityPrice, quantity);
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portfolio.Securities.Add(security);
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portfolio.CashBook["USD"].AddAmount(-25000);
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portfolio.InvalidateTotalPortfolioValue();
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var netLiquidationValue = portfolio.TotalPortfolioValue;
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var totalMargin = portfolio.TotalMarginUsed;
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portfolio.MarginCallModel = new TestDefaultMarginCallModel(portfolio, new OrderProperties());
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var expected = -(int)(Math.Round((totalMargin - netLiquidationValue) / securityPrice, MidpointRounding.AwayFromZero) * 4m);
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var actual = (portfolio.MarginCallModel as TestDefaultMarginCallModel).GenerateMarginCallOrders(
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new MarginCallOrdersParameters(portfolio.Positions.Groups.Single(), netLiquidationValue, totalMargin)).Single().Quantity;
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Assert.AreEqual(expected, actual);
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}
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[Test]
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public void VerifyMarginCallOrderLongClosedMarket()
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{
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var securityPrice = 100m;
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var quantity = 300;
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var orderProcessor = new FakeOrderProcessor();
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var portfolio = GetPortfolio(orderProcessor, quantity, Midnight);
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var model = GetModel();
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// Open Market
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var security = CreateSecurity(model.SecurityModel, Midnight);
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security.BuyingPowerModel = model;
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security.Holdings.SetHoldings(securityPrice, quantity);
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portfolio.Securities.Add(security);
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portfolio.CashBook["USD"].AddAmount(-25000);
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portfolio.InvalidateTotalPortfolioValue();
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var netLiquidationValue = portfolio.TotalPortfolioValue;
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var totalMargin = portfolio.TotalMarginUsed;
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portfolio.MarginCallModel = new TestDefaultMarginCallModel(portfolio, new OrderProperties());
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var expected = -(int)(Math.Round((totalMargin - netLiquidationValue) / securityPrice, MidpointRounding.AwayFromZero) * 2m);
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var actual = (portfolio.MarginCallModel as TestDefaultMarginCallModel).GenerateMarginCallOrders(
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new MarginCallOrdersParameters(portfolio.Positions.Groups.Single(), netLiquidationValue, totalMargin)).Single().Quantity;
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Assert.AreEqual(expected, actual);
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}
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[Test]
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public void VerifyMarginCallOrderShortOpenMarket()
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{
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var securityPrice = 100m;
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var quantity = -300;
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var orderProcessor = new FakeOrderProcessor();
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var portfolio = GetPortfolio(orderProcessor, quantity, Noon);
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var model = GetModel();
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// Open Market
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var security = CreateSecurity(model.SecurityModel, Noon);
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security.BuyingPowerModel = model;
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security.Holdings.SetHoldings(securityPrice, quantity);
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portfolio.Securities.Add(security);
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portfolio.CashBook["USD"].AddAmount(35000);
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portfolio.InvalidateTotalPortfolioValue();
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var netLiquidationValue = portfolio.TotalPortfolioValue;
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var totalMargin = portfolio.TotalMarginUsed;
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var expected = (int)(Math.Round((totalMargin - netLiquidationValue) / securityPrice, MidpointRounding.AwayFromZero) * 4m);
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var actual = (portfolio.MarginCallModel as TestDefaultMarginCallModel).GenerateMarginCallOrders(
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new MarginCallOrdersParameters(portfolio.Positions.Groups.Single(), netLiquidationValue, totalMargin)).Single().Quantity;
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Assert.AreEqual(expected, actual);
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}
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[Test]
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public void VerifyMarginCallOrderShortClosedMarket()
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{
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var securityPrice = 100m;
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var quantity = -300;
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var orderProcessor = new FakeOrderProcessor();
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var portfolio = GetPortfolio(orderProcessor, quantity, Midnight);
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var model = GetModel();
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// Open Market
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var security = CreateSecurity(model.SecurityModel, Midnight);
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security.BuyingPowerModel = model;
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security.Holdings.SetHoldings(securityPrice, quantity);
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portfolio.Securities.Add(security);
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portfolio.CashBook["USD"].AddAmount(35000);
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portfolio.InvalidateTotalPortfolioValue();
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var netLiquidationValue = portfolio.TotalPortfolioValue;
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var totalMargin = portfolio.TotalMarginUsed;
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var expected = (int)(Math.Round((totalMargin - netLiquidationValue) / securityPrice, MidpointRounding.AwayFromZero) * 2m);
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var actual = (portfolio.MarginCallModel as TestDefaultMarginCallModel).GenerateMarginCallOrders(
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new MarginCallOrdersParameters(portfolio.Positions.Groups.Single(), netLiquidationValue, totalMargin)).Single().Quantity;
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Assert.AreEqual(expected, actual);
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}
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private SecurityPortfolioManager GetPortfolio(IOrderProcessor orderProcessor, int quantity, DateTime time)
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{
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var securities = new SecurityManager(new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork));
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var transactions = new SecurityTransactionManager(null, securities);
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transactions.SetOrderProcessor(orderProcessor);
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var portfolio = new SecurityPortfolioManager(securities, transactions, new AlgorithmSettings());
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portfolio.SetCash(quantity);
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portfolio.MarginCallModel = new TestDefaultMarginCallModel(portfolio, new OrderProperties());
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return portfolio;
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}
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private static Security CreateSecurity(IBuyingPowerModel buyingPowerModel, DateTime newLocalTime)
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{
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var security = new Security(
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CreateUsEquitySecurityExchangeHours(),
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CreateTradeBarConfig(),
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new Cash(Currencies.USD, 0, 1m),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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TimeKeeper.SetUtcDateTime(newLocalTime.ConvertToUtc(security.Exchange.TimeZone));
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security.BuyingPowerModel = buyingPowerModel;
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security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, newLocalTime, 100m));
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security.FeeModel = new ConstantFeeModel(0);
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return security;
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}
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private static SecurityExchangeHours CreateUsEquitySecurityExchangeHours()
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{
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var sunday = LocalMarketHours.ClosedAllDay(DayOfWeek.Sunday);
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var monday = new LocalMarketHours(DayOfWeek.Monday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
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var tuesday = new LocalMarketHours(DayOfWeek.Tuesday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
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var wednesday = new LocalMarketHours(DayOfWeek.Wednesday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
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var thursday = new LocalMarketHours(DayOfWeek.Thursday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
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var friday = new LocalMarketHours(DayOfWeek.Friday, new TimeSpan(9, 30, 0), new TimeSpan(16, 0, 0));
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var saturday = LocalMarketHours.ClosedAllDay(DayOfWeek.Saturday);
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var earlyCloses = new Dictionary<DateTime, TimeSpan>();
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var lateOpens = new Dictionary<DateTime, TimeSpan>();
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var holidays = MarketHoursDatabase.FromDataFolder()
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.GetEntry(Market.USA, (string)null, SecurityType.Equity)
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.ExchangeHours
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.Holidays;
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return new SecurityExchangeHours(TimeZones.NewYork, holidays, new[]
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{
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sunday, monday, tuesday, wednesday, thursday, friday, saturday
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}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
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}
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private static SubscriptionDataConfig CreateTradeBarConfig()
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{
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return new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork,
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TimeZones.NewYork, true, true, false);
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}
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}
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}
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