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Custom Margin Model - Python

Hi

I'm wondering if anyone can help me set up a custom margin model for leveraged ETFs. I've looked through the docs, but can't see clearly how to set up a custom model in Python.

Thanks

Jonathan

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Hi Jonathan,

You could check this example as a reference

https://github.com/QuantConnect/Lean/blob/master/Algorithm.Python/CustomModelsAlgorithm.py
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Thanks Jing - I somhow overlooked this

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Did you make any progress with this?  I am also looking to do a custom margin model in python, but the above models adjusting fees, slippage, etc but not the margin model.  Looking for the python equivalent of what's described here: 

https://www.quantconnect.com/forum/discussion/1986/set-custom-margin-model-for-short-options
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Hi Gilbert, to create the custom margin model for options contract is not available now and we've created this Github issue to add this feature. Please subscribe to the issue to get a notification when it has been fixed.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


Thanks so much for the quick response, and doing the repro and creating the issue!  Really appreciated.  What might be the rough timeframe that something like this might get implemented?

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We are already working on it. It may be available soon.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


I see that the issue was closed with some commits made.  Anyone able to provide a simple example of using the custom margin model in python now?

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Hi Gilbert! Check out the test case here in strings of making a custom one, then applied example here. We'll update the docs shortly.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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0

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.


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