Definition of margin param in setcommission unclear

stonks

Hello everyone, I'm wondering what the definition of the margin parameter in the commission schemes is. It is not really defined well on https://www.backtrader.com/docu/commission-schemes/commission-schemes/ . Shouldn't the margin requirement be a relative parameter depending on the size of the order? Here it appears to be a fixed monetary value (2000) :

cerebro.broker.setcommission(commission=2.0, margin=2000.0, mult=10.0)

Thanks,
Cheers

ab_trader

@stonks https://blog.earn2trade.com/futures-margin-explained/

stonks

@ab_trader Thanks! On the link you posted they also explain that the futures margin is a fixed amount of cash that needs to be deposited before futures can be traded. Excuse me if this is a really dumb question, but won't this be a) dependent on the position size I intend to open and b) change with time? I'm interested in the case of Binance perpetual futures where the initial margin clearly is given as a fraction of the position value and the applied leverage (https://www.binance.com/de/support/faq/360033162192-Leverage-and-Margin-of-Perpetual-Futures-Contracts). Thanks for helping out a rookie

ab_trader

@stonks it depends on the future contract specifications. for sure margin for position of two contracts will be twice more than margin for position of single contract.

stonks

@ab_trader Is there a way to specify the margin as a percentage of the asset price, rather than as an absolute value, in backtrader? Otherwise, how does the margin requirement change over time as the price of the future changes?

ab_trader

@stonks said in Definition of margin param in setcommission unclear:

Is there a way to specify the margin as a percentage of the asset price, rather than as an absolute value, in backtrader?

i don't know, but lets do the first evident thing - check out the docs and parameters available for commissions.

https://www.backtrader.com/docu/commission-schemes/commission-schemes/#reference

automargin (def: False): Used by the method get_margin to automatically calculate the margin/guarantees needed with the following policy

Use param margin if param automargin evaluates to False

Use param mult and use mult * price if automargin < 0

Use param automargin and use automargin * price if automargin > 0

So maybe use of automargin parameter > 0 can do what you want.

@stonks said in Definition of margin param in setcommission unclear:

Otherwise, how does the margin requirement change over time as the price of the future changes?

It is not a strict requirement. For example, common old-school futures has roughly constant margin.

stonks

@ab_trader Thanks for your tip! I think I was able to code up a custom commission scheme (CommInfo_BinancePerp) that reproduces Binance perpetual futures where margin = position_value/mult. When I look at a minimal example of buying one contract and selling it a couple of days later, the numbers roughly add up but there is some mismatch between the buy price and the portfoliovalue/cash.

I use this mini-example with (mult = 1), and (commission = 0) and the logs confuse me, If I start with 1000$, then buy one contract @ 396.36$, why do I have pvalue: 973.6$, cash: 590.44$ ? This can't even be explained by the difference between open/close on that day.

My mini-example:

import backtrader as bt
from datetime import datetime

class MiniExample(bt.Strategy):

    def __init__(self):
        # To keep track of pending orders
        self.orders = None

    def next(self):
            if len(self) == 1: #on second candle
                self.orders = self.buy(size = 1)

            if len(self) == 5: #on 6th candle
                self.orders = self.sell(size = 1)

            dt = self.datas[0].datetime.date(0)
            print(f"{dt} - getvalue: {round(self.broker.getvalue(),2)}$, getcash: {round(self.broker.getcash(),2)}$, getposition: {self.broker.getposition(self.datas[0]).size}, open: {self.datas[0].open[0]}$, close: {self.datas[0].close[0]}$")

    def log(self, txt, dt=None):
        ''' Logging function for this strategy'''
        dt = dt or self.datas[0].datetime.date(0)
        print('%s, %s' % (dt.isoformat(), txt))

    def notify_order(self, order):

        if order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')
            print('Order Canceled/Margin/Rejected')

        if order.status in [order.Submitted, order.Accepted]:
            # Buy/Sell order submitted/accepted to/by broker - Nothing to do
            return

        # Check if an order has been completed
        # Attention: broker could reject order if not enough cash
        if order.status in [order.Completed]:
            if order.isbuy():
                self.log(f"BUY EXECUTED, {order.executed.size} units @ {order.executed.price}$")
            elif order.issell():
                self.log(f"SELL EXECUTED, {order.executed.size} units @ {order.executed.price}$")

            self.bar_executed = len(self)

        elif order.status in [order.Canceled, order.Margin, order.Rejected]:
            self.log('Order Canceled/Margin/Rejected')

        # Write down: no pending order
        self.orders = None

    def notify_trade(self, trade):
        if not trade.isclosed:
            return

        self.log('OPERATION PROFIT, GROSS %.2f, NET %.2f' %
                 (trade.pnl, trade.pnlcomm))


# define custom commission scheme that reproduces Binance perpetual future trading
class CommInfo_BinancePerp(bt.CommInfoBase):
    params = (
      ('stocklike', False),  # Futures
      ('commtype', bt.CommInfoBase.COMM_PERC),  # Apply % Commission
    )

    def _getcommission(self, size, price, pseudoexec):
        return size * price * self.p.commission * self.p.mult

    def get_margin(self, price):
        return price / self.p.mult

    def getsize(self, price, cash):
        '''Returns fractional size for cash operation @price'''
        return self.p.mult * (cash / price)


# initialize cerebro object
cerebro = bt.Cerebro()

# add strategy
cerebro.addstrategy(MiniExample)

# add custom commission scheme to cerebro element
binance_leverage = 1

comminfo = CommInfo_BinancePerp(
    commission=0,  # 0.1%
    mult=binance_leverage
)
cerebro.broker.addcommissioninfo(comminfo)

cerebro.broker.set_shortcash(False)

# set initial cash
cerebro.broker.setcash(1000)

# add data
data = bt.feeds.YahooFinanceData(dataname='ETH-USD', fromdate = datetime(2020,11,1), todate = datetime(2020,11,7))
cerebro.adddata(data)

# execute
back = cerebro.run()

My logs:

2020-11-01 - pvalue: 1000.0$, cash: 1000.0$, pos: 0, O: 386.59$, C: 396.36$
2020-11-02, BUY EXECUTED, 1 units @ 396.36$
2020-11-02 - pvalue: 973.6$, cash: 590.44$, pos: 1, O: 396.36$, C: 383.16$
2020-11-03 - pvalue: 982.48$, cash: 594.88$, pos: 1, O: 383.16$, C: 387.6$
2020-11-04 - pvalue: 1011.56$, cash: 609.42$, pos: 1, O: 387.6$, C: 402.14$
2020-11-05 - pvalue: 1035.42$, cash: 621.35$, pos: 1, O: 402.14$, C: 414.07$
2020-11-06, SELL EXECUTED, -1 units @ 414.07$
2020-11-06, OPERATION PROFIT, GROSS 17.71, NET 17.71
2020-11-06 - pvalue: 1017.71$, cash: 1017.71$, pos: 0, O: 414.07$, C: 454.72$

Thanks again for any further help, really struggling with this.

ab_trader

I believe you need to set correct automargin parameter without modifying the class methods.

Check out the links
https://community.backtrader.com/topic/606/percentage-margin-for-futures

https://community.backtrader.com/topic/577/maintenance-margin