Disable margin calls by default in live mode

Algorithm.CSharp/CustomSecurityInitializerAlgorithm.cs

@@ -31,7 +31,7 @@ namespace QuantConnect.Algorithm.CSharp
         {
             // set our initializer to our custom type
             SetBrokerageModel(BrokerageName.TradierBrokerage);
-            SetSecurityInitializer(new CustomSecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrice), DataNormalizationMode.Raw));
+            SetSecurityInitializer(new CustomSecurityInitializer(BrokerageModel, new FuncSecuritySeeder(GetLastKnownPrice), new SecurityMarginModel(1m), DataNormalizationMode.Raw));
 
             SetStartDate(2012, 01, 01);
             SetEndDate(2013, 01, 01);
@@ -62,9 +62,11 @@ namespace QuantConnect.Algorithm.CSharp
             /// with the specified normalization mode
             /// </summary>
             /// <param name="brokerageModel">The brokerage model used to get fill/fee/slippage/settlement models</param>
+            /// <param name="securitySeeder">An <see cref="ISecuritySeeder"/> used to seed the initial price of the security</param>
+            /// <param name="securityMarginModel">The margin model to be used for the security</param>
             /// <param name="dataNormalizationMode">The desired data normalization mode</param>
-            public CustomSecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder, DataNormalizationMode dataNormalizationMode)
-                : base(brokerageModel, securitySeeder)
+            public CustomSecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder, ISecurityMarginModel securityMarginModel, DataNormalizationMode dataNormalizationMode)
+                : base(brokerageModel, securitySeeder, securityMarginModel)
             {
                 _dataNormalizationMode = dataNormalizationMode;
             }

Algorithm/QCAlgorithm.cs

@@ -141,7 +141,8 @@ namespace QuantConnect.Algorithm
             TradeBuilder = new TradeBuilder(FillGroupingMethod.FillToFill, FillMatchingMethod.FIFO);
 
             SecurityInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(AccountType.Margin),
-                                                                        new FuncSecuritySeeder(GetLastKnownPrice));
+                                                                        new FuncSecuritySeeder(GetLastKnownPrice),
+                                                                        new SecurityMarginModel(1m));
 
             CandlestickPatterns = new CandlestickPatterns(this);
         }
@@ -820,23 +821,28 @@ namespace QuantConnect.Algorithm
         /// </summary>
         /// <param name="brokerage">The brokerage to emulate</param>
         /// <param name="accountType">The account type (Cash or Margin)</param>
-        public void SetBrokerageModel(BrokerageName brokerage, AccountType accountType = AccountType.Margin)
+        /// <param name="marginModel">The margin model to use</param>
+        public void SetBrokerageModel(BrokerageName brokerage, AccountType accountType = AccountType.Margin, ISecurityMarginModel marginModel = null)
         {
-            SetBrokerageModel(Brokerages.BrokerageModel.Create(brokerage, accountType));
+            SetBrokerageModel(Brokerages.BrokerageModel.Create(brokerage, accountType), marginModel);
         }
 
         /// <summary>
         /// Sets the brokerage to emulate in backtesting or paper trading.
         /// This can be used to set a custom brokerage model.
         /// </summary>
-        /// <param name="model">The brokerage model to use</param>
-        public void SetBrokerageModel(IBrokerageModel model)
+        /// <param name="brokerageModel">The brokerage model to use</param>
+        /// <param name="marginModel">The margin model to use</param>
+        public void SetBrokerageModel(IBrokerageModel brokerageModel, ISecurityMarginModel marginModel = null)
         {
-            BrokerageModel = model;
+            BrokerageModel = brokerageModel;
             if (!_userSetSecurityInitializer)
             {
                 // purposefully use the direct setter vs Set method so we don't flip the switch :/
-                SecurityInitializer = new BrokerageModelSecurityInitializer(model, new FuncSecuritySeeder(GetLastKnownPrice));
+                SecurityInitializer = new BrokerageModelSecurityInitializer(
+                    brokerageModel, 
+                    new FuncSecuritySeeder(GetLastKnownPrice), 
+                    marginModel ?? new SecurityMarginModel(1m));
             }
         }
 

Common/Interfaces/IAlgorithm.cs

@@ -309,9 +309,9 @@ namespace QuantConnect.Interfaces
         /// Sets the brokerage model used to resolve transaction models, settlement models,
         /// and brokerage specified ordering behaviors.
         /// </summary>
-        /// <param name="brokerageModel">The brokerage model used to emulate the real
-        /// brokerage</param>
-        void SetBrokerageModel(IBrokerageModel brokerageModel);
+        /// <param name="brokerageModel">The brokerage model used to emulate the real brokerage</param>
+        /// <param name="marginModel">The margin model to use</param>
+        void SetBrokerageModel(IBrokerageModel brokerageModel, ISecurityMarginModel marginModel = null);
 
         // <summary>
         // v1.0 Handler for Tick Events [DEPRECATED June-2014]

Common/QuantConnect.csproj

@@ -318,6 +318,7 @@
     <Compile Include="Securities\FuncSecuritySeeder.cs" />
     <Compile Include="Securities\ISecuritySeeder.cs" />
     <Compile Include="Securities\NoMarginCallMarginModel.cs" />
+    <Compile Include="Securities\NullMarginCallModel.cs" />
     <Compile Include="Securities\SecurityPriceVariationModel.cs" />
     <Compile Include="Securities\FuncSecurityDerivativeFilter.cs" />
     <Compile Include="Securities\FuncSecurityInitializer.cs" />

Common/Securities/BrokerageModelSecurityInitializer.cs

@@ -28,6 +28,7 @@ namespace QuantConnect.Securities
     {
         private readonly IBrokerageModel _brokerageModel;
         private readonly ISecuritySeeder _securitySeeder;
+        private readonly ISecurityMarginModel _securityMarginModel;
 
         /// <summary>
         /// Initializes a new instance of the <see cref="BrokerageModelSecurityInitializer"/> class
@@ -35,10 +36,12 @@ namespace QuantConnect.Securities
         /// </summary>
         /// <param name="brokerageModel">The brokerage model used to initialize the security models</param>
         /// <param name="securitySeeder">An <see cref="ISecuritySeeder"/> used to seed the initial price of the security</param>
-        public BrokerageModelSecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder)
+        /// <param name="securityMarginModel">The margin model to be used for the security</param>
+        public BrokerageModelSecurityInitializer(IBrokerageModel brokerageModel, ISecuritySeeder securitySeeder, ISecurityMarginModel securityMarginModel)
         {
             _brokerageModel = brokerageModel;
             _securitySeeder = securitySeeder;
+            _securityMarginModel = securityMarginModel;
         }
 
         /// <summary>
@@ -48,6 +51,7 @@ namespace QuantConnect.Securities
         public virtual void Initialize(Security security)
         {
             // set leverage and models
+            security.MarginModel = _securityMarginModel;
             security.SetLeverage(_brokerageModel.GetLeverage(security));
             security.FillModel = _brokerageModel.GetFillModel(security);
             security.FeeModel = _brokerageModel.GetFeeModel(security);

Common/Securities/NullMarginCallModel.cs

@@ -0,0 +1,43 @@
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System.Collections.Generic;
+using QuantConnect.Orders;
+
+namespace QuantConnect.Securities
+{
+    /// <summary>
+    /// Represents a margin call model which will always return no margin call orders
+    /// </summary>
+    public class NullMarginCallModel : MarginCallModel
+    {
+        /// <summary>
+        /// Initializes a new instance of the <see cref="NullMarginCallModel"/> class
+        /// </summary>
+        /// <param name="portfolio">The portfolio object to receive margin calls</param>
+        public NullMarginCallModel(SecurityPortfolioManager portfolio) : base(portfolio)
+        {
+        }
+
+        /// <summary>
+        /// Returns an empty list of executed orders
+        /// </summary>
+        public override List<OrderTicket> ExecuteMarginCall(IEnumerable<SubmitOrderRequest> generatedMarginCallOrders)
+        {
+            return new List<OrderTicket>();
+        }
+    }
+}

Engine/Setup/BrokerageSetupHandler.cs

@@ -26,6 +26,7 @@ using QuantConnect.Lean.Engine.Results;
 using QuantConnect.Lean.Engine.TransactionHandlers;
 using QuantConnect.Logging;
 using QuantConnect.Packets;
+using QuantConnect.Securities;
 using QuantConnect.Util;
 
 namespace QuantConnect.Lean.Engine.Setup
@@ -183,7 +184,9 @@ namespace QuantConnect.Lean.Engine.Setup
                     try
                     {
                         //Set the default brokerage model before initialize
-                        algorithm.SetBrokerageModel(_factory.BrokerageModel);
+                        algorithm.SetBrokerageModel(_factory.BrokerageModel, new NoMarginCallMarginModel(1m));
+                        //Margin calls are disabled by default in live mode
+                        algorithm.Portfolio.MarginCallModel = new NullMarginCallModel(algorithm.Portfolio);
                         //Set our parameters
                         algorithm.SetParameters(job.Parameters);
                         //Algorithm is live, not backtesting:

Tests/Common/Securities/BrokerageModelSecurityInitializerTests.cs

@@ -1,4 +1,20 @@
-using System;
+/*
+ * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+ * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+ * 
+ * Licensed under the Apache License, Version 2.0 (the "License"); 
+ * you may not use this file except in compliance with the License.
+ * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+ * 
+ * Unless required by applicable law or agreed to in writing, software
+ * distributed under the License is distributed on an "AS IS" BASIS,
+ * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+ * See the License for the specific language governing permissions and
+ * limitations under the License.
+ *
+*/
+
+using System;
 using NodaTime;
 using NUnit.Framework;
 using QuantConnect.Algorithm;
@@ -49,7 +65,8 @@ namespace QuantConnect.Tests.Common.Securities
                                         SymbolProperties.GetDefault(CashBook.AccountCurrency));
 
             _brokerageInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(),
-                                                                             new FuncSecuritySeeder(_algo.GetLastKnownPrice));
+                                                                          new FuncSecuritySeeder(_algo.GetLastKnownPrice),
+                                                                          new SecurityMarginModel(1m));
         }
 
         [Test]