Margin Interest Rate

Key Concepts

Introduction

Margin interest is a cost associated with trading on margin. Margin interest rate models model margin interest cash flows by directly adding or removing cash from your portfolio.

Set Models

The brokerage model of your algorithm automatically sets the margin interest rate model for each security, but you can override it. To manually set the margin interest rate model of a security, assign a model to the MarginInterestRateModel property of the Security object.

// In Initialize
var security = AddEquity("SPY");
security.MarginInterestRateModel = MarginInterestRateModel.Null;
# In Initialize
security = self.AddEquity("SPY")
security.MarginInterestRateModel = MarginInterestRateModel.Null

You can also set the margin interest rate model in a security initializer. If your algorithm has a dynamic universe, use the security initializer technique. In order to initialize single security subscriptions with the security initializer, call SetSecurityInitializer before you create the subscriptions.

// In Initialize
SetSecurityInitializer(new MySecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrices)));

// Outside of the algorithm class
class MySecurityInitializer : BrokerageModelSecurityInitializer
{
    {$classMemberC}public MySecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder)
        : base(brokerageModel, securitySeeder) {}    
    public override void Initialize(Security security)
    {
        // First, call the superclass definition
        // This method sets the reality models of each security using the default reality models of the brokerage model
        base.Initialize(security);

        // Next, overwrite some of the reality models        security.MarginInterestRateModel = MarginInterestRateModel.Null;    }
}
# In Initialize
self.SetSecurityInitializer(MySecurityInitializer(self.BrokerageModel, FuncSecuritySeeder(self.GetLastKnownPrices)))

# Outside of the algorithm class
class MySecurityInitializer(BrokerageModelSecurityInitializer):

    def __init__(self, brokerage_model: IBrokerageModel, security_seeder: ISecuritySeeder) -> None:
        super().__init__(brokerage_model, security_seeder)
    def Initialize(self, security: Security) -> None:
        # First, call the superclass definition
        # This method sets the reality models of each security using the default reality models of the brokerage model
        super().Initialize(security)

        # Next, overwrite some of the reality models        security.MarginInterestRateModel = MarginInterestRateModel.Null

To view all the pre-built margin interest rate models, see Supported Models.

Default Behavior

The brokerage model of your algorithm automatically sets the margin interest rate model of each security. The default brokerage model is the DefaultBrokerageModel, which sets the NullMarginInterestRateModel.

Model Structure

Margin interest rate models should implement the IMarginInterestRateModel interface. Extensions of the IMarginInterestRateModel interface must implement the ApplyMarginInterestRate method, which applies margin interest payments to the portfolio.

public class MyMarginInterestRateModel : IMarginInterestRateModel 
{
    public void ApplyMarginInterestRate(MarginInterestRateParameters marginInterestRateParameters) 
    {
        var holdings = marginInterestRateParameters.Security.Holdings;
        var positionValue = holdings.GetQuantityValue(holdings.Quantity);
        positionValue.Cash.AddAmount(-1);
    }
}
# Custom margin interest rate models are not currently available in Python
# See https://github.com/QuantConnect/Lean/issues/6837

The algorithm manager calls the ApplyMarginInterestRate method at the top of each hour.

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