Defines a margin model for future options (an option with a future as its underlying). We re-use the FutureMarginModel implementation and multiply its results by 1.5x to simulate the increased margins seen for future options. More...

Inheritance diagram for QuantConnect.Securities.Option.FuturesOptionsMarginModel:

[legend]

Public Member Functions
	FuturesOptionsMarginModel (decimal requiredFreeBuyingPowerPercent=0, Option futureOption=null)
	Creates an instance of FutureOptionMarginModel More...

override MaintenanceMargin	GetMaintenanceMargin (MaintenanceMarginParameters parameters)
	Gets the margin currently alloted to the specified holding. More...

override InitialMargin	GetInitialMarginRequirement (InitialMarginParameters parameters)
	The margin that must be held in order to increase the position by the provided quantity More...

Public Member Functions inherited from QuantConnect.Securities.Future.FutureMarginModel
	FutureMarginModel (decimal requiredFreeBuyingPowerPercent=0, Security security=null)
	Initializes a new instance of the FutureMarginModel More...

override decimal	GetLeverage (Security security)
	Gets the current leverage of the security More...

override void	SetLeverage (Security security, decimal leverage)
	Sets the leverage for the applicable securities, i.e, futures More...

override GetMaximumOrderQuantityResult	GetMaximumOrderQuantityForTargetBuyingPower (GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
	Get the maximum market order quantity to obtain a position with a given buying power percentage. Will not take into account free buying power. More...

override InitialMargin	GetInitialMarginRequiredForOrder (InitialMarginRequiredForOrderParameters parameters)
	Gets the total margin required to execute the specified order in units of the account currency including fees More...

Public Member Functions inherited from QuantConnect.Securities.SecurityMarginModel
	SecurityMarginModel ()
	Initializes a new instance of the SecurityMarginModel with no leverage (1x) More...

	SecurityMarginModel (decimal initialMarginRequirement, decimal maintenanceMarginRequirement, decimal requiredFreeBuyingPowerPercent)
	Initializes a new instance of the SecurityMarginModel More...

	SecurityMarginModel (decimal leverage, decimal requiredFreeBuyingPowerPercent=0)
	Initializes a new instance of the SecurityMarginModel More...

Public Member Functions inherited from QuantConnect.Securities.BuyingPowerModel
	BuyingPowerModel ()
	Initializes a new instance of the BuyingPowerModel with no leverage (1x) More...

	BuyingPowerModel (decimal initialMarginRequirement, decimal maintenanceMarginRequirement, decimal requiredFreeBuyingPowerPercent)
	Initializes a new instance of the BuyingPowerModel More...

	BuyingPowerModel (decimal leverage, decimal requiredFreeBuyingPowerPercent=0)
	Initializes a new instance of the BuyingPowerModel More...

virtual HasSufficientBuyingPowerForOrderResult	HasSufficientBuyingPowerForOrder (HasSufficientBuyingPowerForOrderParameters parameters)
	Check if there is sufficient buying power to execute this order. More...

virtual GetMaximumOrderQuantityResult	GetMaximumOrderQuantityForDeltaBuyingPower (GetMaximumOrderQuantityForDeltaBuyingPowerParameters parameters)
	Get the maximum market order quantity to obtain a delta in the buying power used by a security. The deltas sign defines the position side to apply it to, positive long, negative short. More...

decimal	GetAmountToOrder ([NotNull]Security security, decimal targetMargin, decimal marginForOneUnit, out decimal finalMargin)
	Helper function that determines the amount to order to get to a given target safely. Meaning it will either be at or just below target always. More...

virtual ReservedBuyingPowerForPosition	GetReservedBuyingPowerForPosition (ReservedBuyingPowerForPositionParameters parameters)
	Gets the amount of buying power reserved to maintain the specified position More...

virtual BuyingPower	GetBuyingPower (BuyingPowerParameters parameters)
	Gets the buying power available for a trade More...

Static Public Member Functions
static int	GetMarginRequirement (Option option, decimal underlyingRequirement, PositionSide positionSide=PositionSide.Long)
	Get's the margin requirement for a future option based on the underlying future margin requirement and the position side to trade. FOPs margin requirement is an 'S' curve based on the underlying requirement around it's current price, see https://en.wikipedia.org/wiki/Logistic_function More...

Public Attributes
override decimal	InitialOvernightMarginRequirement => GetMarginRequirement(_futureOption, base.InitialOvernightMarginRequirement)
	Initial Overnight margin requirement for the contract effective from the date of change More...

override decimal	MaintenanceOvernightMarginRequirement => GetMarginRequirement(_futureOption, base.MaintenanceOvernightMarginRequirement)
	Maintenance Overnight margin requirement for the contract effective from the date of change More...

override decimal	InitialIntradayMarginRequirement => GetMarginRequirement(_futureOption, base.InitialIntradayMarginRequirement)
	Initial Intraday margin for the contract effective from the date of change More...

override decimal	MaintenanceIntradayMarginRequirement => GetMarginRequirement(_futureOption, base.MaintenanceIntradayMarginRequirement)
	Maintenance Intraday margin requirement for the contract effective from the date of change More...

Public Attributes inherited from QuantConnect.Securities.Future.FutureMarginModel
virtual decimal	InitialOvernightMarginRequirement => GetCurrentMarginRequirements(_security)?.InitialOvernight ?? 0m
	Initial Overnight margin requirement for the contract effective from the date of change More...

virtual decimal	MaintenanceOvernightMarginRequirement => GetCurrentMarginRequirements(_security)?.MaintenanceOvernight ?? 0m
	Maintenance Overnight margin requirement for the contract effective from the date of change More...

virtual decimal	InitialIntradayMarginRequirement => GetCurrentMarginRequirements(_security)?.InitialIntraday ?? 0m
	Initial Intraday margin for the contract effective from the date of change More...

virtual decimal	MaintenanceIntradayMarginRequirement => GetCurrentMarginRequirements(_security)?.MaintenanceIntraday ?? 0m
	Maintenance Intraday margin requirement for the contract effective from the date of change More...

Additional Inherited Members
Static Public Attributes inherited from QuantConnect.Securities.BuyingPowerModel
static readonly IBuyingPowerModel	Null = new NullBuyingPowerModel()
	Gets an implementation of IBuyingPowerModel that does not check for sufficient buying power More...

Protected Member Functions inherited from QuantConnect.Securities.BuyingPowerModel
virtual decimal	GetMarginRemaining (SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
	Gets the margin cash available for a trade More...

Protected Attributes inherited from QuantConnect.Securities.BuyingPowerModel
decimal	RequiredFreeBuyingPowerPercent
	The percentage used to determine the required unused buying power for the account. More...

Properties inherited from QuantConnect.Securities.Future.FutureMarginModel
bool	EnableIntradayMargins `[get, set]`
	True will enable usage of intraday margins. More...

Detailed Description

Defines a margin model for future options (an option with a future as its underlying). We re-use the FutureMarginModel implementation and multiply its results by 1.5x to simulate the increased margins seen for future options.

Definition at line 26 of file FuturesOptionsMarginModel.cs.

Constructor & Destructor Documentation

◆ FuturesOptionsMarginModel()

QuantConnect.Securities.Option.FuturesOptionsMarginModel.FuturesOptionsMarginModel	(	decimal	requiredFreeBuyingPowerPercent = `0`,
		Option	futureOption = `null`
	)

Creates an instance of FutureOptionMarginModel

Parameters

requiredFreeBuyingPowerPercent	The percentage used to determine the required unused buying power for the account.
futureOption	Option Security containing a Future security as the underlying

Definition at line 55 of file FuturesOptionsMarginModel.cs.

Member Function Documentation

◆ GetMaintenanceMargin()

override MaintenanceMargin QuantConnect.Securities.Option.FuturesOptionsMarginModel.GetMaintenanceMargin ( MaintenanceMarginParameters parameters )

virtual

Gets the margin currently alloted to the specified holding.

Parameters

parameters An object containing the security

Returns: The maintenance margin required for the option

We fix the option to 1.5x the maintenance because of its close coupling with the underlying. The option's contract multiplier is 1x, but might be more sensitive to volatility shocks in the long run when it comes to calculating the different market scenarios attempting to simulate VaR, resulting in a margin greater than the underlying's margin.

Reimplemented from QuantConnect.Securities.Future.FutureMarginModel.

Definition at line 71 of file FuturesOptionsMarginModel.cs.

Here is the call graph for this function:

◆ GetInitialMarginRequirement()

override InitialMargin QuantConnect.Securities.Option.FuturesOptionsMarginModel.GetInitialMarginRequirement ( InitialMarginParameters parameters )

virtual

The margin that must be held in order to increase the position by the provided quantity

Parameters

parameters An object containing the security and quantity of shares

Returns: The initial margin required for the option (i.e. the equity required to enter a position for this option)

We fix the option to 1.5x the initial because of its close coupling with the underlying. The option's contract multiplier is 1x, but might be more sensitive to volatility shocks in the long run when it comes to calculating the different market scenarios attempting to simulate VaR, resulting in a margin greater than the underlying's margin.

Reimplemented from QuantConnect.Securities.Future.FutureMarginModel.

Definition at line 89 of file FuturesOptionsMarginModel.cs.

Here is the call graph for this function:

◆ GetMarginRequirement()

static int QuantConnect.Securities.Option.FuturesOptionsMarginModel.GetMarginRequirement	(	Option	option,
		decimal	underlyingRequirement,
		PositionSide	positionSide = `PositionSide.Long`
	)

static

Get's the margin requirement for a future option based on the underlying future margin requirement and the position side to trade. FOPs margin requirement is an 'S' curve based on the underlying requirement around it's current price, see https://en.wikipedia.org/wiki/Logistic_function

Parameters

option	The future option contract to trade
underlyingRequirement	The underlying future associated margin requirement
positionSide	The position side to trade, long by default. This is because short positions require higher margin requirements

Definition at line 104 of file FuturesOptionsMarginModel.cs.

Here is the caller graph for this function:

Member Data Documentation

◆ InitialOvernightMarginRequirement

override decimal QuantConnect.Securities.Option.FuturesOptionsMarginModel.InitialOvernightMarginRequirement => GetMarginRequirement(_futureOption, base.InitialOvernightMarginRequirement)

Initial Overnight margin requirement for the contract effective from the date of change

Definition at line 33 of file FuturesOptionsMarginModel.cs.

◆ MaintenanceOvernightMarginRequirement

override decimal QuantConnect.Securities.Option.FuturesOptionsMarginModel.MaintenanceOvernightMarginRequirement => GetMarginRequirement(_futureOption, base.MaintenanceOvernightMarginRequirement)

Maintenance Overnight margin requirement for the contract effective from the date of change

Definition at line 38 of file FuturesOptionsMarginModel.cs.

◆ InitialIntradayMarginRequirement

override decimal QuantConnect.Securities.Option.FuturesOptionsMarginModel.InitialIntradayMarginRequirement => GetMarginRequirement(_futureOption, base.InitialIntradayMarginRequirement)

Initial Intraday margin for the contract effective from the date of change

Definition at line 43 of file FuturesOptionsMarginModel.cs.

◆ MaintenanceIntradayMarginRequirement

override decimal QuantConnect.Securities.Option.FuturesOptionsMarginModel.MaintenanceIntradayMarginRequirement => GetMarginRequirement(_futureOption, base.MaintenanceIntradayMarginRequirement)

Maintenance Intraday margin requirement for the contract effective from the date of change

Definition at line 48 of file FuturesOptionsMarginModel.cs.

The documentation for this class was generated from the following file:

Common/Securities/FutureOption/FuturesOptionsMarginModel.cs

Public Member Functions

Static Public Member Functions

Public Attributes

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ FuturesOptionsMarginModel()

Member Function Documentation

◆ GetMaintenanceMargin()

◆ GetInitialMarginRequirement()

◆ GetMarginRequirement()

Member Data Documentation

◆ InitialOvernightMarginRequirement

◆ MaintenanceOvernightMarginRequirement

◆ InitialIntradayMarginRequirement

◆ MaintenanceIntradayMarginRequirement