/// <summary>
/// Gets the margin currently alloted to the specified holding.
/// </summary>
/// <param name="parameters">An object containing the security</param>
/// <returns>The maintenance margin required for the option</returns>
/// <remarks>
/// We fix the option to 1.5x the maintenance 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 MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
{
var underlyingRequirement = base.GetMaintenanceMargin(parameters.ForUnderlying(parameters.Quantity));
var positionSide = parameters.Quantity > 0 ? PositionSide.Long : PositionSide.Short;
return(GetMarginRequirement(_futureOption, underlyingRequirement, positionSide));
}
/// <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 provided holdings quantity/cost/value</returns>
public MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
{
using (Py.GIL())
{
return((_model.GetMaintenanceMargin(parameters) as PyObject)
.GetAndDispose <MaintenanceMargin>());
}
}
/// <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 allotted 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(MaintenanceMarginParameters parameters)
{
var security = parameters.Security;
if (security?.GetLastData() == null || parameters.Quantity == 0m)
{
return(0m);
}
var marginReq = GetCurrentMarginRequirements(security);
if (EnableIntradayMargins &&
security.Exchange.ExchangeOpen &&
!security.Exchange.ClosingSoon)
{
return(marginReq.MaintenanceIntraday * parameters.AbsoluteQuantity);
}
// margin is per contract
return(marginReq.MaintenanceOvernight * parameters.AbsoluteQuantity);
}
public MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
{
EnsureSecurityExists(parameters.Security);
var expected = SecurityModel.GetMaintenanceMargin(parameters);
if (reentry)
{
return(expected);
}
reentry = true;
var actual = PositionGroupModel.GetMaintenanceMargin(new PositionGroupMaintenanceMarginParameters(
Portfolio, new PositionGroup(PositionGroupModel, new Position(parameters.Security, parameters.Quantity))
));
Assert.AreEqual(expected.Value, actual.Value,
$"{PositionGroupModel.GetType().Name}:{nameof(GetMaintenanceMargin)}"
);
reentry = false;
return(expected);
}
/// <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 provided holdings quantity/cost/value</returns>
public override MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
{
return(parameters.AbsoluteQuantity * _marginRequiredPerUnitInAccountCurrency);
}
/// <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");
}
/// <summary>
/// Gets the margin currently alloted to the specified holding.
/// </summary>
/// <param name="parameters">An object containing the security</param>
/// <returns>The maintenance margin required for the option</returns>
/// <remarks>
/// We fix the option to 1.5x the maintenance 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 MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
{
return(base.GetMaintenanceMargin(parameters.ForUnderlying(parameters.Quantity)) * FixedMarginMultiplier);
}
/// <summary>
/// Gets the margin currently alloted to the specified holding
/// </summary>
/// <param name="parameters">An object containing the security</param>
/// <returns>The maintenance margin required for the provided holdings quantity/cost/value</returns>
public override MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
{
var security = parameters.Security;
return(parameters.AbsoluteHoldingsCost * GetMaintenanceMarginRequirement(security, security.Holdings.HoldingsCost));
}
/// <summary>
/// The percentage of the holding's absolute cost that must be held in free cash in order to avoid a margin call
/// </summary>
public override MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
{
return(base.GetMaintenanceMargin(parameters) * GetMarginCorrectionFactor(parameters.Security));
}