/// <summary>
/// Gets the margin currently allocated to the specified holding
/// </summary>
/// <param name="parameters">An object containing the security</param>
/// <returns>The maintenance margin required for the </returns>
public override MaintenanceMargin GetMaintenanceMargin(PositionGroupMaintenanceMarginParameters parameters)
{
// SecurityPositionGroupBuyingPowerModel models buying power the same as non-grouped, so we can simply sum up
// the reserved buying power via the security's model. We should really only ever get a single position here,
// but it's not incorrect to ask the model for what the reserved buying power would be using default modeling
var buyingPower = 0m;
foreach (var position in parameters.PositionGroup)
{
var security = parameters.Portfolio.Securities[position.Symbol];
var result = security.BuyingPowerModel.GetMaintenanceMargin(
MaintenanceMarginParameters.ForQuantityAtCurrentPrice(security, position.Quantity)
);
buyingPower += result;
}
return(buyingPower);
}
/// <summary>
/// Gets the margin currently allocated to the specified holding
/// </summary>
/// <param name="parameters">An object containing the security</param>
/// <returns>The maintenance margin required for the </returns>
public override MaintenanceMargin GetMaintenanceMargin(PositionGroupMaintenanceMarginParameters parameters)
{
if (_optionStrategy.Name == OptionStrategyDefinitions.CoveredCall.Name)
{
// MAX[In-the-money amount + Margin(long stock evaluated at min(mark price, strike(short call))), min(stock value, max(call value, long stock margin))]
var optionPosition = parameters.PositionGroup.Positions.FirstOrDefault(position => position.Symbol.SecurityType.IsOption());
var underlyingPosition = parameters.PositionGroup.Positions.FirstOrDefault(position => !position.Symbol.SecurityType.IsOption());
var optionSecurity = (Option)parameters.Portfolio.Securities[optionPosition.Symbol];
var underlyingSecurity = parameters.Portfolio.Securities[underlyingPosition.Symbol];
var intrinsicValue = optionSecurity.GetIntrinsicValue(underlyingSecurity.Price);
var inTheMoneyAmount = intrinsicValue * optionSecurity.ContractUnitOfTrade * Math.Abs(optionPosition.Quantity);
var underlyingValue = underlyingSecurity.Holdings.GetQuantityValue(underlyingPosition.Quantity);
var optionValue = optionSecurity.Holdings.GetQuantityValue(optionPosition.Quantity);
// mark price, strike price
var underlyingPriceToEvaluate = Math.Min(optionSecurity.Price, optionSecurity.StrikePrice);
var underlyingHypotheticalValue = underlyingSecurity.Holdings.GetQuantityValue(underlyingPosition.Quantity, underlyingPriceToEvaluate);
var hypotheticalMarginRequired = underlyingSecurity.BuyingPowerModel.GetMaintenanceMargin(
new MaintenanceMarginParameters(underlyingSecurity, underlyingPosition.Quantity, 0, underlyingHypotheticalValue));
var marginRequired = underlyingSecurity.BuyingPowerModel.GetMaintenanceMargin(
new MaintenanceMarginParameters(underlyingSecurity, underlyingPosition.Quantity, 0, underlyingValue));
var secondOperand = Math.Min(underlyingValue, Math.Max(optionValue, marginRequired));
var result = Math.Max(inTheMoneyAmount + hypotheticalMarginRequired, secondOperand);
var inAccountCurrency = parameters.Portfolio.CashBook.ConvertToAccountCurrency(result, optionSecurity.QuoteCurrency.Symbol);
return(new MaintenanceMargin(inAccountCurrency));
}
else if (_optionStrategy.Name == OptionStrategyDefinitions.CoveredPut.Name)
{
// Initial Stock Margin Requirement + In the Money Amount
var optionPosition = parameters.PositionGroup.Positions.FirstOrDefault(position => position.Symbol.SecurityType.IsOption());
var underlyingPosition = parameters.PositionGroup.Positions.FirstOrDefault(position => !position.Symbol.SecurityType.IsOption());
var optionSecurity = (Option)parameters.Portfolio.Securities[optionPosition.Symbol];
var underlyingSecurity = parameters.Portfolio.Securities[underlyingPosition.Symbol];
var intrinsicValue = optionSecurity.GetIntrinsicValue(underlyingSecurity.Price);
var inTheMoneyAmount = intrinsicValue * optionSecurity.ContractUnitOfTrade * Math.Abs(optionPosition.Quantity);
var initialMarginRequirement = underlyingSecurity.BuyingPowerModel.GetInitialMarginRequirement(underlyingSecurity, underlyingPosition.Quantity);
var result = Math.Abs(initialMarginRequirement) + inTheMoneyAmount;
var inAccountCurrency = parameters.Portfolio.CashBook.ConvertToAccountCurrency(result, optionSecurity.QuoteCurrency.Symbol);
return(new MaintenanceMargin(inAccountCurrency));
}
else if (_optionStrategy.Name == OptionStrategyDefinitions.BearCallSpread.Name ||
_optionStrategy.Name == OptionStrategyDefinitions.BullCallSpread.Name ||
_optionStrategy.Name == OptionStrategyDefinitions.CallCalendarSpread.Name)
{
var result = GetLongCallShortCallStrikeDifferenceMargin(parameters.PositionGroup, parameters.Portfolio);
return(new MaintenanceMargin(result));
}
else if (_optionStrategy.Name == OptionStrategyDefinitions.BearPutSpread.Name ||
_optionStrategy.Name == OptionStrategyDefinitions.BullPutSpread.Name ||
_optionStrategy.Name == OptionStrategyDefinitions.PutCalendarSpread.Name)
{
var result = GetShortPutLongPutStrikeDifferenceMargin(parameters.PositionGroup, parameters.Portfolio);
return(new MaintenanceMargin(result));
}
else if (_optionStrategy.Name == OptionStrategyDefinitions.Straddle.Name || _optionStrategy.Name == OptionStrategyDefinitions.Strangle.Name)
{
// Margined as two long options.
var callOption = parameters.PositionGroup.Positions.Single(position => position.Symbol.ID.OptionRight == OptionRight.Call);
var callSecurity = (Option)parameters.Portfolio.Securities[callOption.Symbol];
var callMargin = callSecurity.BuyingPowerModel.GetMaintenanceMargin(MaintenanceMarginParameters.ForQuantityAtCurrentPrice(
callSecurity, callOption.Quantity));
var putOption = parameters.PositionGroup.Positions.Single(position => position.Symbol.ID.OptionRight == OptionRight.Put);
var putSecurity = (Option)parameters.Portfolio.Securities[putOption.Symbol];
var putMargin = putSecurity.BuyingPowerModel.GetMaintenanceMargin(MaintenanceMarginParameters.ForQuantityAtCurrentPrice(
putSecurity, putOption.Quantity));
var result = callMargin.Value + putMargin.Value;
return(new MaintenanceMargin(result));
}
else if (_optionStrategy.Name == OptionStrategyDefinitions.ButterflyCall.Name || _optionStrategy.Name == OptionStrategyDefinitions.ButterflyPut.Name)
{
return(new MaintenanceMargin(0));
}
else if (_optionStrategy.Name == OptionStrategyDefinitions.ShortButterflyPut.Name || _optionStrategy.Name == OptionStrategyDefinitions.ShortButterflyCall.Name)
{
var result = GetMiddleAndLowStrikeDifference(parameters.PositionGroup, parameters.Portfolio);
return(new MaintenanceMargin(result));
}
else if (_optionStrategy.Name == OptionStrategyDefinitions.IronCondor.Name)
{
var result = GetShortPutLongPutStrikeDifferenceMargin(parameters.PositionGroup, parameters.Portfolio);
return(new MaintenanceMargin(result));
}
throw new NotImplementedException($"Option strategy {_optionStrategy.Name} margin modeling has yet to be implemented");
}