wehub-resource-sync
58 lines
2.3 KiB
C#
58 lines
2.3 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 NUnit.Framework;
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using QuantConnect.Securities.Option;
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using QuantConnect.Securities.Option.StrategyMatcher;
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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 OptionStrategyLegDefinitionMatchTests
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{
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[Test]
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public void CreatesOptionOptionStrategyLegData()
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{
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var match = new OptionStrategyLegDefinitionMatch(3, Option.Position(Option.Call[100], 3));
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var leg = match.CreateOptionStrategyLeg(3);
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Assert.IsInstanceOf<OptionStrategy.OptionLegData>(leg);
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Assert.AreEqual(3, leg.Quantity);
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Assert.IsNull(leg.OrderPrice);
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}
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[Test]
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public void CreatesUnderlyingOptionStrategyLegData()
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{
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var match = new OptionStrategyLegDefinitionMatch(3, Option.Position(Option.Underlying, 3));
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var leg = match.CreateOptionStrategyLeg(3);
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Assert.IsInstanceOf<OptionStrategy.UnderlyingLegData>(leg);
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Assert.AreEqual(3, leg.Quantity);
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Assert.IsNull(leg.OrderPrice);
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}
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[Test]
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public void CreateOptionStrategyLeg_RespectsProvidedMultiplier()
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{
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// multiplier of 2 w/ position quantity of 4 means leg definition quantity is +2
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// so we request a multiplier of 1 and except +2 leg quantity
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var match = new OptionStrategyLegDefinitionMatch(2, Option.Position(Option.Underlying, 4));
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var leg = match.CreateOptionStrategyLeg(1);
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Assert.IsInstanceOf<OptionStrategy.UnderlyingLegData>(leg);
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Assert.AreEqual(2, leg.Quantity);
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Assert.IsNull(leg.OrderPrice);
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}
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}
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}
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