[R-SIG-Finance] Using Margin in Blotter package

Peter Carl peter at braverock.com
Thu Nov 1 23:45:12 CET 2012


> Is there a way to account for margin size in blotter?
No, although it isn't outside the realm of possibilities some day. 
Finding an enthusiastic author of such code has been, well, difficult.

> If not, can you think of a way to "cheat" that into the current system?
As a quick but perhaps impractical solution, you could export your
positions to an external span engine.  Barring that possibility, I'd say
that you can do some back of the envelope calculations based on positions
and transactions kept in blotter to estimate margin use if you need.

Contributions would be welcome, of course.

pcc
-- 
Peter Carl
http://www.braverock.com/peter

>  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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