Maintenance margin requirements

Posted By: kujo

Maintenance margin requirements - 12/06/17 19:52

Hello,
I'm trying to understand where I can define maintenance margin requirements. I found in the manual that it is controlled by MarginVal that is received from a broker. If your (Equity - MarginVal) <= 0 then margin call.
If broker doesn't provide MarginVal then MarginTotal is used. But how MarginTotal is calculated.

I have an example:
I want to use leverage = 1.5
Initial margin requirement = 50%
Maintenance margin requirement = 30%

How to provide Zorro with above-mentioned values?
Thank you!
Posted By: jcl

Re: Maintenance margin requirements - 12/07/17 16:10

All brokers provide MarginVal for live trading as to my knowledge. For the backtest, enter the greater of the two in the asset list, respectively the smaller leverage. Normally maintenance margin is equal or higher than the initial margin.
Posted By: kujo

Re: Maintenance margin requirements - 12/08/17 16:08

Originally Posted By: jcl
All brokers provide MarginVal for live trading as to my knowledge. For the backtest, enter the greater of the two in the asset list, respectively the smaller leverage. Normally maintenance margin is equal or higher than the initial margin.


Thanks, however, it's not totally clear for me yet.
Consider the situation for the Z9 system:
I have $5,000 in my account and borrow $5,000 from my broker to be able to buy $10,000 worth of securities. The initial and maintenance margin requirement is 30%. So, in this case a margin call will happen when value of the securities drop below $7,142.86.

What values should I enter in AssetsZ9.csv (or other config files) to simulate this situation in the backtest? I'd appreciate your help!
Posted By: jcl

Re: Maintenance margin requirements - 12/08/17 16:12

3.333 under "Leverage".
Posted By: kujo

Re: Maintenance margin requirements - 12/08/17 16:22

But with 3.333 leverage I will borrow 11666 to buy securities worth of 16666. no?
However, I want to borrow only 5000.
Posted By: jcl

Re: Maintenance margin requirements - 12/08/17 16:28

Then you can obviously not buy 16666, but only 6666. What's the problem?
Posted By: kujo

Re: Maintenance margin requirements - 12/08/17 16:31

Originally Posted By: jcl
Then you can obviously not buy 16666, but only 6666. What's the problem?


I wonder how I can configure such a case in Z9 system?
Posted By: jcl

Re: Maintenance margin requirements - 12/08/17 16:34

By setting the Capital slider to the capital you want to invest. In that case, 2000 for a volume of 6666.
Posted By: kujo

Re: Maintenance margin requirements - 12/08/17 16:56

Oh, got it now! Thanks!
I'll try this
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