The crypto future margin model which supports both Coin and USDT futures More...

Inheritance diagram for QuantConnect.Securities.CryptoFuture.CryptoFutureMarginModel:

Public Member Functions
	CryptoFutureMarginModel (decimal leverage=25, decimal maintenanceMarginRate=0.05m, decimal maintenanceAmount=0)
	Creates a new instance More...

override MaintenanceMargin	GetMaintenanceMargin (MaintenanceMarginParameters parameters)
	Gets the margin currently alloted to the specified holding. More...

override InitialMargin	GetInitialMarginRequirement (InitialMarginParameters parameters)
	The margin that must be held in order to increase the position by the provided quantity More...

Public Member Functions inherited from QuantConnect.Securities.SecurityMarginModel
	SecurityMarginModel ()
	Initializes a new instance of the SecurityMarginModel with no leverage (1x) More...

	SecurityMarginModel (decimal initialMarginRequirement, decimal maintenanceMarginRequirement, decimal requiredFreeBuyingPowerPercent)
	Initializes a new instance of the SecurityMarginModel More...

	SecurityMarginModel (decimal leverage, decimal requiredFreeBuyingPowerPercent=0)
	Initializes a new instance of the SecurityMarginModel More...

Public Member Functions inherited from QuantConnect.Securities.BuyingPowerModel
	BuyingPowerModel ()
	Initializes a new instance of the BuyingPowerModel with no leverage (1x) More...

	BuyingPowerModel (decimal initialMarginRequirement, decimal maintenanceMarginRequirement, decimal requiredFreeBuyingPowerPercent)
	Initializes a new instance of the BuyingPowerModel More...

	BuyingPowerModel (decimal leverage, decimal requiredFreeBuyingPowerPercent=0)
	Initializes a new instance of the BuyingPowerModel More...

virtual decimal	GetLeverage (Security security)
	Gets the current leverage of the security More...

virtual void	SetLeverage (Security security, decimal leverage)
	Sets the leverage for the applicable securities, i.e, equities More...

virtual InitialMargin	GetInitialMarginRequiredForOrder (InitialMarginRequiredForOrderParameters parameters)
	Gets the total margin required to execute the specified order in units of the account currency including fees More...

virtual HasSufficientBuyingPowerForOrderResult	HasSufficientBuyingPowerForOrder (HasSufficientBuyingPowerForOrderParameters parameters)
	Check if there is sufficient buying power to execute this order. More...

virtual GetMaximumOrderQuantityResult	GetMaximumOrderQuantityForDeltaBuyingPower (GetMaximumOrderQuantityForDeltaBuyingPowerParameters parameters)
	Get the maximum market order quantity to obtain a delta in the buying power used by a security. The deltas sign defines the position side to apply it to, positive long, negative short. More...

virtual GetMaximumOrderQuantityResult	GetMaximumOrderQuantityForTargetBuyingPower (GetMaximumOrderQuantityForTargetBuyingPowerParameters parameters)
	Get the maximum market order quantity to obtain a position with a given buying power percentage. Will not take into account free buying power. More...

decimal	GetAmountToOrder ([NotNull]Security security, decimal targetMargin, decimal marginForOneUnit, out decimal finalMargin)
	Helper function that determines the amount to order to get to a given target safely. Meaning it will either be at or just below target always. More...

virtual ReservedBuyingPowerForPosition	GetReservedBuyingPowerForPosition (ReservedBuyingPowerForPositionParameters parameters)
	Gets the amount of buying power reserved to maintain the specified position More...

virtual BuyingPower	GetBuyingPower (BuyingPowerParameters parameters)
	Gets the buying power available for a trade More...

Protected Member Functions
override decimal	GetMarginRemaining (SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
	Gets the margin cash available for a trade More...

Additional Inherited Members
Static Public Attributes inherited from QuantConnect.Securities.BuyingPowerModel
static readonly IBuyingPowerModel	Null = new NullBuyingPowerModel()
	Gets an implementation of IBuyingPowerModel that does not check for sufficient buying power More...

Properties inherited from QuantConnect.Securities.BuyingPowerModel
decimal	RequiredFreeBuyingPowerPercent `[get, set]`
	The percentage used to determine the required unused buying power for the account. More...

Detailed Description

The crypto future margin model which supports both Coin and USDT futures

Definition at line 25 of file CryptoFutureMarginModel.cs.

Constructor & Destructor Documentation

◆ CryptoFutureMarginModel()

QuantConnect.Securities.CryptoFuture.CryptoFutureMarginModel.CryptoFutureMarginModel	(	decimal	leverage = `25`,
		decimal	maintenanceMarginRate = `0.05m`,
		decimal	maintenanceAmount = `0`
	)

Creates a new instance

Parameters

leverage	The leverage to use, used on initial margin requirements, default 25x
maintenanceMarginRate	The maintenance margin rate, default 5%
maintenanceAmount	The maintenance amount which will reduce maintenance margin requirements, default 0

Definition at line 36 of file CryptoFutureMarginModel.cs.

Member Function Documentation

◆ GetMaintenanceMargin()

override MaintenanceMargin QuantConnect.Securities.CryptoFuture.CryptoFutureMarginModel.GetMaintenanceMargin ( MaintenanceMarginParameters parameters )

virtual

Gets the margin currently alloted to the specified holding.

Parameters

parameters An object containing the security

Returns: The maintenance margin required for the option

Reimplemented from QuantConnect.Securities.BuyingPowerModel.

Definition at line 48 of file CryptoFutureMarginModel.cs.

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◆ GetInitialMarginRequirement()

override InitialMargin QuantConnect.Securities.CryptoFuture.CryptoFutureMarginModel.GetInitialMarginRequirement ( InitialMarginParameters parameters )

virtual

The margin that must be held in order to increase the position by the provided quantity

Parameters

parameters An object containing the security and quantity of shares

Returns: The initial margin required for the option (i.e. the equity required to enter a position for this option)

Reimplemented from QuantConnect.Securities.BuyingPowerModel.

Definition at line 68 of file CryptoFutureMarginModel.cs.

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◆ GetMarginRemaining()

override decimal QuantConnect.Securities.CryptoFuture.CryptoFutureMarginModel.GetMarginRemaining	(	SecurityPortfolioManager	portfolio,
		Security	security,
		OrderDirection	direction
	)

protectedvirtual

Gets the margin cash available for a trade

Parameters

portfolio	The algorithm's portfolio
security	The security to be traded
direction	The direction of the trade

Returns: The margin available for the trade

What we do specially here is that instead of using the total portfolio value as potential margin remaining we only consider the collateral currency

Reimplemented from QuantConnect.Securities.BuyingPowerModel.

Definition at line 91 of file CryptoFutureMarginModel.cs.

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The documentation for this class was generated from the following file:

Common/Securities/CryptoFuture/CryptoFutureMarginModel.cs

Public Member Functions

Protected Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ CryptoFutureMarginModel()

Member Function Documentation

◆ GetMaintenanceMargin()

◆ GetInitialMarginRequirement()

◆ GetMarginRemaining()