QuantConnect / QuantConnect/Lean
Review margin 'source' base abstraction for buying power models
Open
Nobody has claimed this yet.
feature
refactor
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
- Crypto/CryptoFuture/CashBuyingPowerModel use their collateral as source of margin/buying power, versus base
BuyingPowerModelwhos margin is the whole portfolio value. Believe there's room for a potential shared abstraction, 'pool' of margin. This would add support for the SetHoldings concept against the 'pool' and reduce some duplication
Actual Behavior
- There's some duplication happening see
CryptoFutureMarginModel& I believeCashBuyingPowerModeltoo - SetHoldings is calculated always against the total portfolio value/buying power
Potential Solution
- At https://github.com/QuantConnect/Lean/pull/6836 see https://github.com/QuantConnect/Lean/pull/6836/commits/ee479c127dbad39636900ad9b71f547bb139f4f1
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
masterbranch - I have confirmed that this is not a duplicate issue by searching issues
- I have provided detailed steps to reproduce the issue
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start by comparing CryptoFutureMarginModel and CashBuyingPowerModel with the base BuyingPowerModel, focusing on collateral, margin pools, and SetHoldings calculations. Review PR #6836 and commit ee479c127dbad39636900ad9b71f547bb139f4f1. Done should mean the abstraction direction is agreed and the duplicated behavior is addressed.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- backend
- Issue type
- Refactor
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 20/100