Option combo margin calculation

Hi, I am having the same issue - wondering if you found a solution?
The only "solution" I have found for backtesting is to set my starting cash to far, far above what I'm actually looking to trade with to avoid the margin rejection. Obviously this is not a sufficient solution for live trading.

Also, related, any chance you or anyone else knows how to set a limit order specifically on the spread of the 2 premiums? I.e. execute both orders simultaneously only if the (bid price of sold - ask price of bought) > X?

Thank you.

At the moment, Lean/QuantConnect only have margin models that treat orders separately. So, yes, LEAN not support option spread margin calculation.
I have create an issue in GitHub: Combo buying power model #2709

Hi Alex,

I have similiar issue when bullish on Vertical spread.  While my portfolio is up 40% (about 200k) and unrealized profits is positive, the backtest complains about margin not available:

Insufficient buying power to complete order (Value:6480), Reason: Id: 76, Initial Margin: 6483.75, Free Margin: 0

Maybe a solution is to create a function for vertical spreads or combinatoin of options.

Thanks

We don't have a null buying power model at the moment. We're aware of this feature request and have made a note of it on Github. https://github.com/QuantConnect/Lean/issues/3157

self.Portfolio.MarginModel = self.Portfolio.MarginModel will throw as "MarginCallModel.Null" is a for the "self.Portfolio.MarginCallModel"

I see this issue in offline backtesting, not in LEAN or Live trading. 

So is the solution to start with a large cash amount like 1 million? in this case it will be hard to find out the returns and sharpe ratio.

Hi Nick,

In fact, our trading engine, for both offline backtesting and live trading, is powered by Lean. And backtest is always a simulation for live trading. This is why we made github issue in Lean for live trading to address your issue. You are welcome to subscribe to that issue and get noticed when it is resolved.

Thank you for your support!

Very important to solve this issue!  Cannot get accurate sharpe, algo valuation, etc as a result

Hi J. K.,

Thanks for your feedback. It is on our agenda. Stay tuned by following this Github issue page! 

Any progress on this please.  This is the 5th strategy i have tried to code in QuantConnect and hit a platform limitation stopping further development.  I love your platform, but the limitation are driving me nuts.  

Hi Jackson, 

For the latest updates, see the GitHub Issues above and this one.

Best,
Derek Melchin

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I Have come across at least 50 different threads where people are complaining about QC not being able to handle the buying power of a simple vertical spread and keeps crashing the backtest with “insufficient buying power” and “margin calls”. 

I have seen many posts from QC team members including Alex and Jared back in 2020 stating that they are working hard on making sure options and spreads can be easily handled. However, in 2024 I have the same issue and thers is nobody to offer any help.

I will stop now because I have posted this comment on two threads and I don't want to duplicate my complaint but hope somebody reads these.

Still no luck with this… no matter how many guardrails I put around margin calculation and how big my account is, I always end up with lack of buying power errors. 

I had to take my account to $100,000 and trade only $1000 of it to avoid these errors. Obviously this is not a solution especially when you are saying live and test both behave the same. 

I am only trading SPY and have this code as well in addition of 100s of margin checks in my code, but nothing works

var option = AddOption(ticker, Resolution.Hour);

option.SetBuyingPowerModel(BuyingPowerModel.Null);

Hi Dee

We do not reproduce this issue. Please share with us a backtest for further debugging. Meanwhile, please refer to the option strategies helper method on absrtaction.

Best
Louis