Represents a simple option margin model. More...

Inheritance diagram for QuantConnect.Securities.Option.OptionMarginModel:

Public Member Functions
	OptionMarginModel (decimal requiredFreeBuyingPowerPercent=0)
	Initializes a new instance of the OptionMarginModel More...

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

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

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

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...

Protected Member Functions inherited from QuantConnect.Securities.BuyingPowerModel
virtual decimal	GetMarginRemaining (SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
	Gets the margin cash available for a trade 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

Represents a simple option margin model.

Options are not traded on margin. Margin requirements exist though for those portfolios with short positions. Current implementation covers only single long/naked short option positions.

Definition at line 28 of file OptionMarginModel.cs.

Constructor & Destructor Documentation

◆ OptionMarginModel()

QuantConnect.Securities.Option.OptionMarginModel.OptionMarginModel ( decimal requiredFreeBuyingPowerPercent = 0 )

Initializes a new instance of the OptionMarginModel

Parameters

requiredFreeBuyingPowerPercent The percentage used to determine the required unused buying power for the account.

Definition at line 40 of file OptionMarginModel.cs.

Member Function Documentation

◆ GetLeverage()

override decimal QuantConnect.Securities.Option.OptionMarginModel.GetLeverage ( Security security )

virtual

Gets the current leverage of the security

Parameters

security The security to get leverage for

Returns: The current leverage in the security

Reimplemented from QuantConnect.Securities.BuyingPowerModel.

Definition at line 50 of file OptionMarginModel.cs.

◆ SetLeverage()

override void QuantConnect.Securities.Option.OptionMarginModel.SetLeverage	(	Security	security,
		decimal	leverage
	)

virtual

Sets the leverage for the applicable securities, i.e, options.

Parameters

security
leverage	The new leverage

Reimplemented from QuantConnect.Securities.BuyingPowerModel.

Definition at line 61 of file OptionMarginModel.cs.

◆ GetInitialMarginRequiredForOrder()

override InitialMargin QuantConnect.Securities.Option.OptionMarginModel.GetInitialMarginRequiredForOrder ( InitialMarginRequiredForOrderParameters parameters )

virtual

Gets the total margin required to execute the specified order in units of the account currency including fees

Parameters

parameters An object containing the portfolio, the security and the order

Returns: The total margin in terms of the currency quoted in the order

Reimplemented from QuantConnect.Securities.BuyingPowerModel.

Definition at line 72 of file OptionMarginModel.cs.

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◆ GetMaintenanceMargin()

override MaintenanceMargin QuantConnect.Securities.Option.OptionMarginModel.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 provided holdings quantity/cost/value

Reimplemented from QuantConnect.Securities.BuyingPowerModel.

Definition at line 96 of file OptionMarginModel.cs.

◆ GetInitialMarginRequirement()

override InitialMargin QuantConnect.Securities.Option.OptionMarginModel.GetInitialMarginRequirement ( InitialMarginParameters parameters )

virtual

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

Returns: The initial margin required for the provided security and quantity

Reimplemented from QuantConnect.Securities.BuyingPowerModel.

Definition at line 106 of file OptionMarginModel.cs.

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

Common/Securities/Option/OptionMarginModel.cs

Public Member Functions

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ OptionMarginModel()

Member Function Documentation

◆ GetLeverage()

◆ SetLeverage()

◆ GetInitialMarginRequiredForOrder()

◆ GetMaintenanceMargin()

◆ GetInitialMarginRequirement()