Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Jump to bottom

Improve Future Intraday Margin #8527

Open
4 tasks done
AlexCatarino opened this issue Jan 13, 2025 · 0 comments
Open
4 tasks done

Improve Future Intraday Margin #8527

AlexCatarino opened this issue Jan 13, 2025 · 0 comments
Labels
depth feature

Comments

@AlexCatarino
Copy link
Member

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 master branch
  • I have confirmed that this is not a duplicate issue by searching issues
  • I have provided detailed steps to reproduce the issue
Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Assignees
No one assigned
Labels
depth feature
Projects
None yet
Milestone
No milestone
Development

No branches or pull requests
2 participants
@AlexCatarino @Martin-Molinero