Dynamic Futures Margin

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moritz.seibert
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Dynamic Futures Margin

Post by moritz.seibert »

Version release 5.4.5 introduced a new function: instrument.SetMargin.

This function allows the user to assign dynamic instrument margin levels over time. Previously, the margin level was a constant in local instrument currency (entered in the Futures Dictionary). Users can use this new function to have the margin respond to volatility or other variables.

The attached block "Margin Calculations.tbx" uses a .TXT file (also attached) in the main installation folder to load individual margin % rates per symbol. In this example, the margin is a function of notional contract valule.
Attachments
Margin Calculations.tbx
(16.01 KiB) Downloaded 22 times
Margin_Calculations.txt
(88 Bytes) Downloaded 29 times
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