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!
Yuxin Guan
Hi Jacob,
Please attach the backtest so we can help more efficiently.
Best,
Yuxin Guan
Jacob Turner
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