QuantConnect / QuantConnect/Lean
Improve Future Intraday Margin
Open
Nobody has claimed this yet.
depth
feature
- Dominant language
- C#
- Stars
- 21.7k
- Forks
- 5.3k
- Avg merge
- 2d 22h
- Merged PRs (30d)
- 34
Description
Expected Behavior
Models intraday margin correctly.
Actual Behavior
If the database doesn't have the intraday margin, it assumes 40% of overnight. At the moment, MES, for example, is 10%:
https://www.tradestation.com/pricing/futures-margin-requirements/
Potential Solution
Update the database with the correct value and/or make the ratio to overnight configurable.
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
The issue does not name files or tests. Start by locating the futures margin data and the fallback from intraday to overnight margin, then compare the MES value with the linked TradeStation requirements; done means intraday margin is modeled correctly when the database lacks a value.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- csharp
- Domain
- databases
- Issue type
- Bug
- Difficulty
- 3/5
- Estimated time
- 1-2 days
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 35/100