Back

Margin model for Option spreads?

I'm trying to test a strategy in which a put/call credit spread is sold at a certain delta above or below the market close. Currently, LEAN is treating each option contract separately and deducting the margin accordingly as if the strategy is selling naked puts/calls. How can I turn margin off? or preferably update it to use the real risk of the spread?

 

I've already tried both: 

self.Portfolio.MarginCallModel = MarginCallModel.Null

self.Securities.MarginModel = MarginCallModel.Null

Neither of these stopped the margin calls in the simulation, I've also tried setting the initial cash to a ridiculously high amount but that's not really feasibly for obvious reasons. 

 

Thanks everyone!

Update Backtest







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.


 Hi Jacob,


 Please attach the backtest so we can help more efficiently.


 Best,
 Yuxin Guan

0

Update Backtest





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.


Loading...

This discussion is closed