/// <summary>
/// The margin that must be held in order to increase the position by the provided quantity
/// </summary>
/// <param name="parameters">An object containing the security and quantity of shares</param>
/// <returns>The initial margin required for the option (i.e. the equity required to enter a position for this option)</returns>
/// <remarks>
/// 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.
/// </remarks>
public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
{
var underlyingRequirement = base.GetInitialMarginRequirement(parameters.ForUnderlying()).Value;
var positionSide = parameters.Quantity > 0 ? PositionSide.Long : PositionSide.Short;
return(new InitialMargin(GetMarginRequirement(_futureOption, underlyingRequirement, positionSide)));
}
/// <summary>
/// The margin that must be held in order to increase the position by the provided quantity
/// </summary>
/// <param name="parameters">An object containing the security and quantity</param>
/// <returns>The initial margin required for the provided security and quantity</returns>
public InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
{
using (Py.GIL())
{
return((_model.GetInitialMarginRequirement(parameters) as PyObject)
.GetAndDispose <InitialMargin>());
}
}
/// <summary>
/// The margin that must be held in order to increase the position by the provided quantity
/// </summary>
/// <returns>The initial margin required for the provided security and quantity</returns>
public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
{
var security = parameters.Security;
var quantity = parameters.Quantity;
var value = security.QuoteCurrency.ConversionRate
* security.SymbolProperties.ContractMultiplier
* security.Price
* quantity;
return(new InitialMargin(value * GetMarginRequirement(security, value)));
}
/// <summary>
/// The margin that must be held in order to increase the position by the provided quantity
/// </summary>
public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
{
var security = parameters.Security;
var quantity = parameters.Quantity;
if (security?.GetLastData() == null || quantity == 0m)
{
return(InitialMargin.Zero);
}
var marginReq = GetCurrentMarginRequirements(security);
if (EnableIntradayMargins &&
security.Exchange.ExchangeOpen &&
!security.Exchange.ClosingSoon)
{
return(new InitialMargin(marginReq.InitialIntraday * quantity));
}
// margin is per contract
return(new InitialMargin(marginReq.InitialOvernight * quantity));
}
public InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
{
EnsureSecurityExists(parameters.Security);
var expected = SecurityModel.GetInitialMarginRequirement(parameters);
if (reentry)
{
return(expected);
}
reentry = true;
var actual = PositionGroupModel.GetInitialMarginRequirement(new PositionGroupInitialMarginParameters(
Portfolio, new PositionGroup(PositionGroupModel, new Position(parameters.Security, parameters.Quantity))
));
Assert.AreEqual(expected.Value, actual.Value,
$"{PositionGroupModel.GetType().Name}:{nameof(GetInitialMarginRequirement)}"
);
reentry = false;
return(expected);
}
/// <summary>
/// The margin that must be held in order to increase the position by the provided quantity
/// </summary>
/// <param name="parameters">An object containing the security and quantity of shares</param>
/// <returns>The initial margin required for the provided security and quantity</returns>
public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
{
return(parameters.Quantity * _marginRequiredPerUnitInAccountCurrency);
}
/// <summary>
/// The margin that must be held in order to increase the position by the provided quantity
/// </summary>
/// <param name="parameters">An object containing the security and quantity of shares</param>
/// <returns>The initial margin required for the option (i.e. the equity required to enter a position for this option)</returns>
/// <remarks>
/// 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.
/// </remarks>
public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
{
return(new InitialMargin(FixedMarginMultiplier
* base.GetInitialMarginRequirement(parameters.ForUnderlying()).Value
));
}
/// <summary>
/// The percentage of an order's absolute cost that must be held in free cash in order to place the order
/// </summary>
public override InitialMargin GetInitialMarginRequirement(InitialMarginParameters parameters)
{
return(new InitialMargin(base.GetInitialMarginRequirement(parameters).Value
*GetMarginCorrectionFactor(parameters.Security)
));
}
