Can't Maximize Position Size of OptionStrategies

[DerekMelchin]

Expected Behavior

We can place an order with OptionStrategies to maximize the position size (minimize the amount of margin remaining).

Actual Behavior

When we try to maximize the position size of OptionStrategies, we receive the error

Order Error: id: 1, Insufficient buying power to complete order

Related issue: #2709 Related thread: Examples of how to use OptionStrategyPositionGroupBuyingPowerModel?

Potential Solution

Fix the bug in the OptionStrategyPositionGroupBuyingPowerModel. None of the examples in the repo using OptionStrategies maximize the position size. They all use a small order size of <= 10. We need more unit tests to cover the case of attaining the maximum position size.

Reproducing the Problem

Run this backtest.

When placing a single order for the BullPutSpread, with self.Order(strategy, 54) # Works in interval [1, 54] the orders go through without error but we have $7,111 of $10K margin remaining. Increasing the order size to 55 throws the error.

Additionally, when placing the orders incrementally with

for i in range(64): # Works in interval [1, 64]
    self.Order(strategy, 1)

we can achieve a larger position size but we have $6,480 of $10K margin remaining. Increasing the range to range(65) throws the error.

System Information

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

• [x] I have provided detailed steps to reproduce the issue

[Martin-Molinero]

I think this is because the orders are being placed individually internally by Lean, and later if finds strategy matches from the current portfolio, reducing margin requirements. The combo orders are not there yet which is what should probably be used instead. In the provided example backtest splitting the Order(strategy, x) in multiple operations should do the trick

[wheredyoufindthis]

Hey, @AlexCatarino asked me to add my case to the issue

I backtest a futures spread trading strategy

It seems that QuantConnect broker simulation is not correct about margin amount for future spreads QuantConnect just summarise margins of two contracts. In fact QuantConnect requires 4 times bigger margin than Interactive Broker does

I expected QuantConnect to reproduce futures spread margin correctly as broker does

QuantConnect requires 18k$ margin. The strategy short CL Jul 21 and long CL Sep 21 contracts. qc code

Interactive Broker required 4k$ margin for that spread

[ikamanu]

Any ETA or expected timeline for this issue?

[rafael-trevisan]

Is there any workaround for this issue for the time being?

[DerekMelchin]

It would be nice to have something like

self.SetHoldings(option_strategy, 1)

so we can maximize the position size.

[ArthurAsenheimer]

It would be nice to have something like

self.SetHoldings(option_strategy, 1)

so we can maximize the position size.

And please also consider adding Insight(option_strategy, ...) and PortfolioTarget(option_stratetgy, quantity) so that we can use it in the context of the Algorithm Framework as well. See also #6661.

[Martin-Molinero]

The underlying bug here was solved, opening new feature request to add missing sugar syntax for option strategies https://github.com/QuantConnect/Lean/issues/7261.