QuantConnect / QuantConnect/Lean

[Futures] DefaultMarginCallModel GetMaximumLotsForDeltaBuyingPower

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bug impact-low
Dominant language
C#
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Description

Expected Behavior
  • DefaultMarginCallModel works correctly
Actual Behavior
  • DefaultMarginCallModel can call GetMaximumLotsForDeltaBuyingPower with a deltaBuyingPower > 1 which causes FutureMarginModel to throw Futures do not allow specifying a leveraged target, since they are traded using margin which already is leveraged
Potential Solution

Review

Reproducing the Problem

N/A

System Information

N/A

Checklist
  • I have completely filled out this template
  • I have confirmed that this issue exists on the current master branch
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue

Contributor guide

Open the contributing guide

First steps

  1. Read the whole issue, then the project's contributing guide.
  2. Comment on the issue to say you are picking it up — it saves two people doing the same work.
  3. Fork the repository and make your change on a branch.
  4. Open a pull request that references the issue number.

Research direction

Start by reading DefaultMarginCallModel and its GetMaximumLotsForDeltaBuyingPower call, then trace how FutureMarginModel handles deltaBuyingPower. Confirm the failure described in the issue and identify the expected behavior when the value exceeds 1; done means the default margin call path no longer triggers the leveraged-target exception.

Written by the indexing model from the issue text.

Assessment

Tech stack
csharp
Domain
fintech-quant
Issue type
Bug
Difficulty
3/5
Estimated time
1-2 days
Activity status
Stale
Clarity
Needs clarification
Newbie friendliness
42/100

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