I keep getting margin called in my algorithm because of insufficient buying power. I've printed the TotalMarginUsed, MarginRemaining, Cash, and TotalPortfolioValue of self.Portfolio prior:

2019-09-04 12:00:00 2019-09-04 12:00:00 TMU:163635.91, MR:1394.14, C:492301.87, TPV:165030.05 2019-09-04 12:00:00 Order Error: id: 92, Insufficient buying power to complete order (Value:-15913.48), Reason: Id: 92, Initial Margin: -7969.72, Free Margin: 1394.14 2019-09-05 00:00:00 Order Error: id: 3, Insufficient buying power to complete order (Value:-4050), Reason: Id: 3, Initial Margin: -325, Free Margin: 0. 2019-09-05 00:00:00 Order Error: id: 44, Insufficient buying power to complete order (Value:-943.36), Reason: Id: 44, Initial Margin: -219.24, Free Margin: 0. 2019-09-05 00:00:00 Order Error: id: 58, Insufficient buying power to complete order (Value:-20020), Reason: Id: 58, Initial Margin: -274, Free Margin: 0. 2019-09-05 00:00:00 Order Error: id: 64, Insufficient buying power to complete order (Value:-13833.5), Reason: Id: 64, Initial Margin: -384.25, Free Margin: 0. 2019-09-05 00:00:00 09/05/2019 00:00:00 - Executed MarginCallOrder: <XYZ security> - Quantity: <Q> @ <P>

What I'm pretty sure is happening is, since I am doing Universe selection Resolution.Daily, at midnight my Short Sell orders get converted to Market On Open orders. But if I have a bunch of orders queued, I quickly eat up my margin as these orders get executed. Some fail because of insufficient margin. Regardless, I end up with only a small amount of margin left. Any price movement against me results in a margin call. Also, note that while in the example I had $1394.14 of margin left, I've also been called when I have $80000 in margin because of all the orders quicky eat up my buying power when they go through on open.

I've tried to do a couple things to fix this issue but none of these have worked.

1) I've tried to determine the impact on margin my orders will have. I don't execute the trade if it forces the margin remaining below 20% of TotalPortfolioValue. But this only checks if a single order disrupts the buying power and fails when multiple orders are queued.

cost = abs(q) * price r = (self.Portfolio.MarginRemaining - cost)/self.Portfolio.TotalPortfolioValue if r > 0.2: self.LimitOrder(symbol, -q, price) # -q because shorting

2) I've tried to use the

OnMarginCallWarning()

method to handle low margin, but this method fires too late after I've already recieved my insufficient buying power warnings.

3) I tried handling this in the OnOrderEvent() method but this also doesn't work.

First, I tried to cancel all my outstanding orders with self.Transactions.CancelOpenOrders(), but this doesn't stop my orders from executing on market open. Then, I tried liquidating my entire portfolio:

def OnOrderEvent(self, orderEvent): if orderEvent.Status == OrderStatus.Filled: order = self.Transactions.GetOrderById(orderEvent.OrderId) #self.Debug("{} Filled {} of {} at {}".format(self.Time, order.Quantity, order.Symbol, order.Price)) # invalid due to buying power issues most likely if orderEvent.Status == OrderStatus.Invalid: order = self.Transactions.GetOrderById(orderEvent.OrderId) self.Liquidate() self.Debug("{} Order Error: {} {} {}".format(self.Time, order.Symbol, order.Status, orderEvent.OrderId))

But this results in an unknown error:

[ERROR] FATAL UNHANDLED EXCEPTION: at (wrapper managed-to-native) Python.Runtime.Runtime.PyObject_Call (intptr, intptr, intptr) [0x00002] in :0, at Python.Runtime.PyObject.Invoke (Python.Runtime.PyTuple, Python.Runtime.PyDict) [0x00000] in :0, at Python.Runtime.PyObject.TryInvoke (System.Dynamic.InvokeBinder, object[],object&) [0x0001d] in :0, at (wrapper dynamic-method) object.CallSite.Target (System.Runtime.CompilerServices.Closure, System.Runtime.CompilerServices.CallSite, object, QuantConnect.Orders.OrderEvent) [0x00056] in :0, at QuantConnect.AlgorithmFactory.Python.Wrappers.AlgorithmPythonWrapper.OnOrderEvent (QuantConnect.Orders.OrderEvent) [0x00049] in <5dc47b3335e14c7781b5cd695e57e0f1>:0, at QuantConnect.Lean.Engine.TransactionHandlers.BrokerageTransactionHandler.HandleOrderEvent (QuantConnect.Orders.OrderEvent) [0x003ba] in <5954f57d4b2f4fb2a5

So now I'm completely unsure of how to handle my margin calls.

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