wehub-resource-sync
156 lines
8.0 KiB
C#
156 lines
8.0 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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*/
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using System;
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using System.Linq;
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using System.Collections.Generic;
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using NUnit.Framework;
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using QuantConnect.Securities.Positions;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Tests.Common.Securities.Positions
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class PositionGroupTests
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{
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[TestCase(new[] { 10, 55 }, new[] { 1, 5 })]
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[TestCase(new[] { 10, -20, 4 }, new[] { 1, 2, 1 })]
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[TestCase(new[] { 10, -20, 4 }, new[] { 1, 2, 4 })]
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#if !DEBUG
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[Ignore("Not on debug mode")]
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#endif
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public void PositionGroupCreationThrowsOnInvalidRatio(int[] positionsQuantities, int[] positionsUnitQuantities)
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{
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var symbols = GetSymbols(positionsQuantities.Length);
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Assert.Throws<ArgumentException>(
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() => new PositionGroup(
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new OptionStrategyPositionGroupBuyingPowerModel(null),
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positionsQuantities.GreatestCommonDivisor(),
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positionsUnitQuantities
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.Select((positionUnitQuantity, i) => new Position(symbols[i], positionsQuantities[i], positionUnitQuantity))
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.ToArray()));
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}
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[TestCase(10, new[] { 1, 5 }, new[] { 10 * 1, 10 * 5 }, new[] { 1, 5 })]
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[TestCase(-10, new[] { 1, 5 }, new[] { -10 * 1, -10 * 5 }, new[] { 1, 5 })]
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[TestCase(10, new[] { -1, 5 }, new[] { 10 * -1, 10 * 5 }, new[] { 1, 5 })]
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[TestCase(-10, new[] { -1, 5 }, new[] { -10 * -1, -10 * 5 }, new[] { 1, 5 })]
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public void PositionGroupCreation(int groupQuantity, int[] positionsUnitQuantities, int[] expectedPositionsQuantities,
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int[] expectedPositionsUnitQuantities)
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{
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var symbols = GetSymbols(positionsUnitQuantities.Length);
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var group = CreatePositionGroup(groupQuantity, symbols, positionsUnitQuantities);
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var expectedPositions = symbols
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.Select((symbol, i) => new Position(symbol, expectedPositionsQuantities[i], expectedPositionsUnitQuantities[i]))
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.Cast<IPosition>()
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.ToList();
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AssertPositionGroup(group, groupQuantity, expectedPositions);
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}
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[TestCase(10, new[] { 1, 5 }, 5, new[] { 1, 5 }, true)]
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[TestCase(10, new[] { 1, 5 }, 0, new[] { 1, 5 }, true)]
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[TestCase(10, new[] { 1, 5 }, -5, new[] { 1, 5 }, true)]
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[TestCase(10, new[] { 1, 5 }, 15, new[] { 1, 5 }, false)]
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[TestCase(-10, new[] { 1, 5 }, -5, new[] { 1, 5 }, true)]
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[TestCase(-10, new[] { 1, 5 }, 0, new[] { 1, 5 }, true)]
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[TestCase(-10, new[] { 1, 5 }, 5, new[] { 1, 5 }, true)]
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[TestCase(-10, new[] { 1, 5 }, -15, new[] { 1, 5 }, false)]
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[TestCase(10, new[] { 1, 5 }, -5, new[] { -1, -5 }, true)]
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[TestCase(10, new[] { 1, 5 }, 0, new[] { -1, -5 }, true)]
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[TestCase(10, new[] { 1, 5 }, 5, new[] { -1, -5 }, true)]
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[TestCase(10, new[] { 1, 5 }, -15, new[] { -1, -5 }, false)]
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[TestCase(-10, new[] { 1, 5 }, 5, new[] { -1, -5 }, true)]
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[TestCase(-10, new[] { 1, 5 }, 0, new[] { -1, -5 }, true)]
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[TestCase(-10, new[] { 1, 5 }, -5, new[] { -1, -5 }, true)]
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[TestCase(-10, new[] { 1, 5 }, 15, new[] { -1, -5 }, false)]
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[TestCase(10, new[] { 1, 5 }, 5, new[] { -1, 5 }, false)]
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[TestCase(10, new[] { 1, 5 }, -5, new[] { -1, 5 }, false)]
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[TestCase(10, new[] { 1, 5 }, 15, new[] { -1, 5 }, false)]
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[TestCase(-10, new[] { 1, 5 }, 5, new[] { -1, 5 }, false)]
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[TestCase(-10, new[] { 1, 5 }, -5, new[] { -1, 5 }, false)]
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[TestCase(-10, new[] { 1, 5 }, 15, new[] { -1, 5 }, false)]
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[TestCase(10, new[] { -1, 5 }, 5, new[] { -1, 5 }, true)]
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[TestCase(10, new[] { -1, 5 }, 0, new[] { -1, 5 }, true)]
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[TestCase(10, new[] { -1, 5 }, -5, new[] { -1, 5 }, true)]
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[TestCase(10, new[] { -1, 5 }, 15, new[] { -1, 5 }, false)]
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[TestCase(-10, new[] { -1, 5 }, -5, new[] { -1, 5 }, true)]
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[TestCase(-10, new[] { -1, 5 }, 0, new[] { -1, 5 }, true)]
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[TestCase(-10, new[] { -1, 5 }, 5, new[] { -1, 5 }, true)]
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[TestCase(-10, new[] { -1, 5 }, -15, new[] { -1, 5 }, false)]
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[TestCase(10, new[] { -1, 5 }, -5, new[] { 1, -5 }, true)]
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[TestCase(10, new[] { -1, 5 }, 0, new[] { 1, -5 }, true)]
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[TestCase(10, new[] { -1, 5 }, 5, new[] { 1, -5 }, true)]
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[TestCase(10, new[] { -1, 5 }, -15, new[] { 1, -5 }, false)]
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[TestCase(-10, new[] { -1, 5 }, 5, new[] { 1, -5 }, true)]
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[TestCase(-10, new[] { -1, 5 }, 0, new[] { 1, -5 }, true)]
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[TestCase(-10, new[] { -1, 5 }, -5, new[] { 1, -5 }, true)]
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[TestCase(-10, new[] { -1, 5 }, 15, new[] { 1, -5 }, false)]
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public void PositionGroupClosesAnother(int initialGroupQuantity, int[] initialGroupPositionsUnitQuantities,
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int finalGroupQuantity, int[] finalGroupPositionsUnitQuantities, bool expectedResult)
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{
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Assert.AreEqual(initialGroupPositionsUnitQuantities.Length, finalGroupPositionsUnitQuantities.Length);
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var symbols = GetSymbols(initialGroupPositionsUnitQuantities.Length);
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var initialGroup = CreatePositionGroup(initialGroupQuantity, symbols, initialGroupPositionsUnitQuantities);
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var finalGroup = CreatePositionGroup(finalGroupQuantity, symbols, finalGroupPositionsUnitQuantities);
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Assert.AreEqual(expectedResult, finalGroup.Closes(initialGroup));
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}
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private static List<Symbol> GetSymbols(int count)
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{
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var baseExpiry = new DateTime(2023, 05, 19);
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return Enumerable.Range(0, count).Select(i => Symbols.CreateOptionSymbol("SPY", OptionRight.Call, 300, baseExpiry.AddMonths(i))).ToList();
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}
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private static IPositionGroup CreatePositionGroup(int quantity, List<Symbol> symbols, int[] positionsUnitQuantities)
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{
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Assert.IsNotEmpty(positionsUnitQuantities);
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Assert.AreEqual(positionsUnitQuantities.Length, symbols.Count);
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return new PositionGroup(
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new OptionStrategyPositionGroupBuyingPowerModel(null),
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quantity,
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positionsUnitQuantities
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.Select((positionUnitQuantity, i) => new Position(symbols[i], quantity * positionUnitQuantity, Math.Abs(positionUnitQuantity)))
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.ToArray());
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}
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/// <summary>
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/// Asserts that the specified group has the expected quantity and positions
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/// </summary>
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private static void AssertPositionGroup(IPositionGroup group, int expectedQuantity, List<IPosition> expectedPositions)
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{
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var expectedAbsQuantity = Math.Abs(expectedQuantity);
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Assert.AreEqual(expectedAbsQuantity, Math.Abs(group.Quantity));
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Assert.AreEqual(expectedPositions.Count, group.Count);
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foreach (var expectedPosition in expectedPositions)
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{
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var position = group.GetPosition(expectedPosition.Symbol);
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Assert.AreEqual(expectedPosition.Quantity, position.Quantity);
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Assert.AreEqual(expectedPosition.UnitQuantity, position.UnitQuantity);
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// The position group quantity should be a ratio shared by all positions
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Assert.AreEqual(expectedAbsQuantity, Math.Abs(position.Quantity) / position.UnitQuantity);
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}
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}
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}
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}
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