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Fix crypto future margin model to reflect margin used (#9235)
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* Fix crypto future margin model to reflect margin used

* Minor tests fixes

* Cleanup

* Cleanup
This commit is contained in:
Jhonathan Abreu
2026-01-27 13:40:36 -04:00
committed by GitHub
parent 5a1ebcbaad
commit 7f17838ad0
12 changed files with 198 additions and 96 deletions
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Algorithm.Python/BasicTemplateCryptoFutureAlgorithm.py
+2 -2
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@@ -82,7 +82,7 @@ class BasicTemplateCryptoFutureAlgorithm(QCAlgorithm):
raise AssertionError(f"Unexpected holdings cost {self.btc_usd_holdings.holdings_cost}")
# margin used is based on the maintenance rate
if (abs(self.btc_usd_holdings.absolute_holdings_cost * 0.05 - self.margin_used) > 1) or (BuyingPowerModelExtensions.get_maintenance_margin(self.btc_usd.buying_power_model, self.btc_usd) != self.margin_used):
if BuyingPowerModelExtensions.get_maintenance_margin(self.btc_usd.buying_power_model, self.btc_usd) != self.margin_used:
raise AssertionError(f"Unexpected margin used {self.margin_used}")
self.buy(self.ada_usdt.symbol, 1000)
@@ -99,7 +99,7 @@ class BasicTemplateCryptoFutureAlgorithm(QCAlgorithm):
if abs(self.ada_usdt_holdings.absolute_holdings_cost - self.holdings_value_usdt) > 1:
raise AssertionError(f"Unexpected holdings cost {self.ada_usdt_holdings.holdings_cost}")
if (abs(self.ada_usdt_holdings.absolute_holdings_cost * 0.05 - self.margin_used) > 1) or (BuyingPowerModelExtensions.get_maintenance_margin(self.ada_usdt.buying_power_model, self.ada_usdt) != self.margin_used):
if BuyingPowerModelExtensions.get_maintenance_margin(self.ada_usdt.buying_power_model, self.ada_usdt) != self.margin_used:
raise AssertionError(f"Unexpected margin used {self.margin_used}")
# position just opened should be just spread here