[R-SIG-Finance] Using Margin in Blotter package
noahsilverman at ucla.edu
Thu Nov 1 23:02:04 CET 2012
I've run into an issue with the blotter package that may be significant.
When buying and selling futures, the full contract value is NEVER paid. It is normal practice to simply pay the margin. For example, a single contract of corn is for 5,000 bushels. At $5.00 per bushel, that is a $25,000 contract. However, the amount actually paid to a broker is around $2,000.
This is an issue when designing and testing trading systems. If I have a fictional fund of $1,000,000 and want to buy 20 contracts of corn, real life cash outflow would be around $40,000. However, with blotter it would be $500,000, which is 1/2 of my portfolio. That quickly kills a lot of trading strategies and testing.
Is there a way to account for margin size in blotter?
If not, can you think of a way to "cheat" that into the current system?
Noah Silverman, M.S.
UCLA Department of Statistics
8117 Math Sciences Building
Los Angeles, CA 90095
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