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Published 20 hours ago • verified publisher icon QuantConnect

Implement NullMarginModel for Live Trading

Open jaredbroad opened this issue 6 years ago • 5 comments

Expected Behavior

Live trading should lean on the brokerage margin limitations and not impose them in LEAN.

Actual Behavior

LEAN models restrict brokerage margin.

Potential Solution

  1. Improve option margin models
  2. and Implement null margin model to disable restrictions for live trading.

Reproducing the Problem

Live trading straddles.

Checklist

  • [x] I have completely filled out this template
  • [x] I have confirmed that this issue exists on the current master branch
  • [x] I have confirmed that this is not a duplicate issue by searching issues

jaredbroad avatar May 01 '19 21:05 jaredbroad

Are there any updates on this request? Implementing a NullMarginModel will open up a much wider array of options strategies that can be deployed via QuantConnect. Thank you!

bradhallett avatar Oct 27 '19 14:10 bradhallett

This would be very valuable to me as well.

briancmcguire avatar Feb 29 '20 14:02 briancmcguire

+1

kbsaravana avatar Mar 14 '20 02:03 kbsaravana

Has this issue been resolved? Is there a way to turn off margin limitations for options?

itsjacobhere avatar Jan 22 '21 01:01 itsjacobhere

Very interested in this!

mattmcwaters avatar May 19 '22 07:05 mattmcwaters

  • Confirm if same or different to ConstantBuyingPowerModel
  • If same; then add a shim NullMarginModel with default 0.001 (tiny incase account currency BTC)
  • Add an example algorithm using it.
  • https://github.com/QuantConnect/Lean/blob/master/Common/Securities/ConstantBuyingPowerModel.cs

jaredbroad avatar Feb 17 '23 18:02 jaredbroad