Excessive margin requirements for option spreads

Hi David! Here’s some important information regarding margin on spread orders in QuantConnect:

1. Entering Spread Legs Individually Shows Naked Margin Requirements

If you're submitting the buy order first for one leg of a spread (for example, the long put), and then the sell order for the other leg (the short put), QuantConnect (and most broker logic) considers the first order independently. For a moment, you hold a naked option, so the margin required is as if you’re short a naked option, not a spread. This is expected with leg-by-leg orders and is not a bug—it's the default margin logic.

2. Margin Advantage Only When Submitting as a Spread

To get spread margin treatment (smaller margin requirement), you must submit the orders as a single spread using the OptionStrategies helper tools and the buy method, e.g.:

spread = OptionStrategies.bear_put_spread(option_symbol, long_strike, short_strike, expiry)
self.buy(spread, 1)

This ensures the engine (and brokerage model) recognizes your intention to establish a defined-risk spread and reserves margin accordingly.

3. Documentation and Example

From QuantConnect documentation:

... To check if you have enough margin for an option strategy, create an OptionStrategy object (such as with OptionStrategies.bull_put_spread), and pass it to the buy method. Only then will the margin reflect the spread, not the naked sale.

4. If You Leg In, Margin Will Temporarily Be for Naked Positions

If you "leg in" by buying or selling legs separately, QuantConnect will not give you spread margin; you'll be charged margin as if holding the riskiest part alone, until the spread is completed. This is standard, not a QC-specific bug.

To get proper spread margin:

• Always use the spread helpers so QC recognizes the combination as a defined spread upfront.

Summary:
If you want reduced margin for a spread, use the spread order API (pass the whole OptionStrategy to buy, do not leg in). Otherwise, each leg is margined independently.

If you're doing this and still seeing naked option margin, let support know with details—otherwise, this behavior is the expected result. Let me know if you want a code example!

Sources: Bull Put Spread - QuantConnect.com, Bear Put Spread - QuantConnect.com, Bull Call Spread - QuantConnect.com, Buying Power - QuantConnect.com, docs writing algorithms securities asset classes equity options requesting data individual contracts

I am putting them in as a spread 

        if side == "BEAR_CALL":
            elig = [c for c in contracts if c.Greeks is not None and self.TARGET_DELTA_LOW <= c.Greeks.Delta <= self.TARGET_DELTA_HIGH]
            if not elig: return
            short = sorted(elig, key=lambda x: (-x.Greeks.Delta, x.Strike))[0]
            long_strike = short.Strike + self.SPREAD_WIDTH
            longs = [c for c in contracts if c.Right == OptionRight.Call and c.Strike == long_strike]
            if not longs: return
            long = longs[0]
            spread = OptionStrategies.bear_call_spread(self.ndxp, short.Strike, long.Strike, short.Expiry)
        else:
            elig = [p for p in contracts if p.Greeks is not None and self.TARGET_DELTA_LOW <= abs(p.Greeks.Delta) <= self.TARGET_DELTA_HIGH]
            if not elig: return
            short = sorted(elig, key=lambda x: (-abs(x.Greeks.Delta), -x.Strike))[0]
            long_strike = short.Strike - self.SPREAD_WIDTH
            longs = [p for p in contracts if p.Right == OptionRight.Put and p.Strike == long_strike]
            if not longs: return
            long = longs[0]
            spread = OptionStrategies.bull_put_spread(self.ndxp, short.Strike, long.Strike, short.Expiry)