FuturesOptionsMarginModel

QuantConnect.Securities.Option.FuturesOptionsMarginModel

FuturesOptionsMarginModel(
    required_free_buying_power_percent: float = 0,
    future_option: Option = None,
)

Bases: FutureMarginModel

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.

Creates an instance of FutureOptionMarginModel

Parameters:

Name	Type	Description	Default
required_free_buying_power_percent	float	The percentage used to determine the required unused buying power for the account.	0
future_option	Option	Option Security containing a Future security as the underlying	None

initial_overnight_margin_requirement

initial_overnight_margin_requirement: float

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

maintenance_overnight_margin_requirement

maintenance_overnight_margin_requirement: float

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

initial_intraday_margin_requirement

initial_intraday_margin_requirement: float

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

maintenance_intraday_margin_requirement

maintenance_intraday_margin_requirement: float

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

NULL

NULL: IBuyingPowerModel = ...

Gets an implementation of IBuyingPowerModel that does not check for sufficient buying power

required_free_buying_power_percent

required_free_buying_power_percent: float

The percentage used to determine the required unused buying power for the account.

This codeEntityType is protected.

enable_intraday_margins

enable_intraday_margins: bool

True will enable usage of intraday margins.

get_initial_margin_requirement

get_initial_margin_requirement(
    parameters: InitialMarginParameters,
) -> InitialMargin

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

Parameters:

Name	Type	Description	Default
parameters	InitialMarginParameters	An object containing the security and quantity of shares	required

Returns:

Type	Description
InitialMargin	The initial margin required for the option (i.e. the equity required to enter a position for this option).

get_maintenance_margin

get_maintenance_margin(
    parameters: MaintenanceMarginParameters,
) -> MaintenanceMargin

Gets the margin currently alloted to the specified holding.

Parameters:

Name	Type	Description	Default
parameters	MaintenanceMarginParameters	An object containing the security	required

Returns:

Type	Description
MaintenanceMargin	The maintenance margin required for the option.

get_margin_requirement

get_margin_requirement(
    option: Option,
    underlying_requirement: float,
    position_side: PositionSide = ...,
) -> int

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:

Name	Type	Description	Default
option	Option	The future option contract to trade	required
underlying_requirement	float	The underlying future associated margin requirement	required
position_side	PositionSide	The position side to trade, long by default. This is because short positions require higher margin requirements	...

get_buying_power

get_buying_power(
    parameters: BuyingPowerParameters,
) -> BuyingPower

Gets the buying power available for a trade

Parameters:

Name	Type	Description	Default
parameters	BuyingPowerParameters	A parameters object containing the algorithm's portfolio, security, and order direction	required

Returns:

Type	Description
BuyingPower	The buying power available for the trade.

get_initial_margin_required_for_order

get_initial_margin_required_for_order(
    parameters: InitialMarginRequiredForOrderParameters,
) -> InitialMargin

Gets the total margin required to execute the specified order in units of the account currency including fees

Parameters:

Name	Type	Description	Default
parameters	InitialMarginRequiredForOrderParameters	An object containing the portfolio, the security and the order	required

Returns:

Type	Description
InitialMargin	The total margin in terms of the currency quoted in the order.

get_leverage

get_leverage(security: Security) -> float

Gets the current leverage of the security

Parameters:

Name	Type	Description	Default
security	Security	The security to get leverage for	required

Returns:

Type	Description
float	The current leverage in the security.

get_maximum_order_quantity_for_delta_buying_power

get_maximum_order_quantity_for_delta_buying_power(
    parameters: GetMaximumOrderQuantityForDeltaBuyingPowerParameters,
) -> GetMaximumOrderQuantityResult

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.

Parameters:

Name	Type	Description	Default
parameters	GetMaximumOrderQuantityForDeltaBuyingPowerParameters	An object containing the portfolio, the security and the delta buying power	required

Returns:

Type	Description
GetMaximumOrderQuantityResult	Returns the maximum allowed market order quantity and if zero, also the reason.

get_maximum_order_quantity_for_target_buying_power

get_maximum_order_quantity_for_target_buying_power(
    parameters: GetMaximumOrderQuantityForTargetBuyingPowerParameters,
) -> GetMaximumOrderQuantityResult

Get the maximum market order quantity to obtain a position with a given buying power percentage. Will not take into account free buying power.

Parameters:

Name	Type	Description	Default
parameters	GetMaximumOrderQuantityForTargetBuyingPowerParameters	An object containing the portfolio, the security and the target signed buying power percentage	required

Returns:

Type	Description
GetMaximumOrderQuantityResult	Returns the maximum allowed market order quantity and if zero, also the reason.

get_reserved_buying_power_for_position

get_reserved_buying_power_for_position(
    parameters: ReservedBuyingPowerForPositionParameters,
) -> ReservedBuyingPowerForPosition

Gets the amount of buying power reserved to maintain the specified position

Parameters:

Name	Type	Description	Default
parameters	ReservedBuyingPowerForPositionParameters	A parameters object containing the security	required

Returns:

Type	Description
ReservedBuyingPowerForPosition	The reserved buying power in account currency.

has_sufficient_buying_power_for_order

has_sufficient_buying_power_for_order(
    parameters: HasSufficientBuyingPowerForOrderParameters,
) -> HasSufficientBuyingPowerForOrderResult

Check if there is sufficient buying power to execute this order.

Parameters:

Name	Type	Description	Default
parameters	HasSufficientBuyingPowerForOrderParameters	An object containing the portfolio, the security and the order	required

Returns:

Type	Description
HasSufficientBuyingPowerForOrderResult	Returns buying power information for an order.

set_leverage

set_leverage(security: Security, leverage: float) -> None

Sets the leverage for the applicable securities, i.e, futures

Parameters:

Name	Type	Description	Default
security	Security		required
leverage	float	The new leverage	required

get_amount_to_order

get_amount_to_order(
    security: Security,
    target_margin: float,
    margin_for_one_unit: float,
    final_margin: Optional[float],
) -> Tuple[float, float]

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.

Parameters:

Name	Type	Description	Default
security	Security	Security we are to determine order size for	required
target_margin	float	Target margin allocated	required
margin_for_one_unit	float	Margin requirement for one unit; used in our initial order guess	required
final_margin	Optional[float]	Output the final margin allocated to this security	required

Returns:

Type	Description
Tuple[float, float]	The size of the order to get safely to our target.

get_margin_remaining

get_margin_remaining(
    portfolio: SecurityPortfolioManager,
    security: Security,
    direction: OrderDirection,
) -> float

Gets the margin cash available for a trade

This codeEntityType is protected.

Parameters:

Name	Type	Description	Default
portfolio	SecurityPortfolioManager	The algorithm's portfolio	required
security	Security	The security to be traded	required
direction	OrderDirection	The direction of the trade	required

Returns:

Type	Description
float	The margin available for the trade.