Fix crypto future margin model to reflect margin used

Algorithm.CSharp/BasicTemplateCryptoFutureAlgorithm.cs

@@ -119,9 +119,7 @@ public override void OnData(Slice slice)
                     {
                         throw new RegressionTestException($"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}");
                     }
-                    // margin used is based on the maintenance rate
-                    if (Math.Abs(btcUsdHoldings.AbsoluteHoldingsCost * 0.05m - marginUsed) > 1
-                        || _btcUsd.BuyingPowerModel.GetMaintenanceMargin(_btcUsd) != marginUsed)
+                    if (_btcUsd.BuyingPowerModel.GetMaintenanceMargin(_btcUsd) != marginUsed)
                     {
                         throw new RegressionTestException($"Unexpected margin used {marginUsed}");
                     }
@@ -142,8 +140,7 @@ public override void OnData(Slice slice)
                     {
                         throw new RegressionTestException($"Unexpected holdings cost {adaUsdtHoldings.HoldingsCost}");
                     }
-                    if (Math.Abs(adaUsdtHoldings.AbsoluteHoldingsCost * 0.05m - marginUsed) > 1
-                        || _adaUsdt.BuyingPowerModel.GetMaintenanceMargin(_adaUsdt) != marginUsed)
+                    if (_adaUsdt.BuyingPowerModel.GetMaintenanceMargin(_adaUsdt) != marginUsed)
                     {
                         throw new RegressionTestException($"Unexpected margin used {marginUsed}");
                     }
@@ -273,7 +270,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$0.65"},
-            {"Estimated Strategy Capacity", "$500000000.00"},
+            {"Estimated Strategy Capacity", "$620000000.00"},
             {"Lowest Capacity Asset", "ADAUSDT 18R"},
             {"Portfolio Turnover", "0.16%"},
             {"Drawdown Recovery", "0"},

Algorithm.CSharp/BasicTemplateCryptoFutureHourlyAlgorithm.cs

@@ -93,7 +93,7 @@ public override void OnData(Slice slice)
                 if (!Portfolio.Invested && Transactions.OrdersCount == 0)
                 {
                     var ticket = Buy(_adaUsdt.Symbol, 100000);
-                    if(ticket.Status != OrderStatus.Invalid)
+                    if (ticket.Status != OrderStatus.Invalid)
                     {
                         throw new RegressionTestException($"Unexpected valid order {ticket}, should fail due to margin not sufficient");
                     }
@@ -114,8 +114,7 @@ public override void OnData(Slice slice)
                     {
                         throw new RegressionTestException($"Unexpected holdings cost {adaUsdtHoldings.HoldingsCost}");
                     }
-                    if (Math.Abs(adaUsdtHoldings.AbsoluteHoldingsCost * 0.05m - marginUsed) > 1
-                        || _adaUsdt.BuyingPowerModel.GetMaintenanceMargin(_adaUsdt) != marginUsed)
+                    if (_adaUsdt.BuyingPowerModel.GetMaintenanceMargin(_adaUsdt) != marginUsed)
                     {
                         throw new RegressionTestException($"Unexpected margin used {marginUsed}");
                     }
@@ -236,7 +235,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$0.61"},
-            {"Estimated Strategy Capacity", "$370000000.00"},
+            {"Estimated Strategy Capacity", "$460000000.00"},
             {"Lowest Capacity Asset", "ADAUSDT 18R"},
             {"Portfolio Turnover", "0.12%"},
             {"Drawdown Recovery", "0"},

Algorithm.CSharp/BybitCryptoFuturesRegressionAlgorithm.cs

@@ -112,9 +112,7 @@ public override void OnData(Slice slice)
                     {
                         throw new RegressionTestException($"Unexpected holdings cost {btcUsdHoldings.HoldingsCost}");
                     }
-                    // margin used is based on the maintenance rate
-                    if (Math.Abs(btcUsdHoldings.AbsoluteHoldingsCost * 0.05m - marginUsed) > 1
-                        || _btcUsd.BuyingPowerModel.GetMaintenanceMargin(_btcUsd) != marginUsed)
+                    if (_btcUsd.BuyingPowerModel.GetMaintenanceMargin(_btcUsd) != marginUsed)
                     {
                         throw new RegressionTestException($"Unexpected margin used {marginUsed}");
                     }
@@ -135,8 +133,7 @@ public override void OnData(Slice slice)
                     {
                         throw new RegressionTestException($"Unexpected holdings cost {btcUsdtHoldings.HoldingsCost}");
                     }
-                    if (Math.Abs(btcUsdtHoldings.AbsoluteHoldingsCost * 0.05m - marginUsed) > 1
-                        || _btcUsdt.BuyingPowerModel.GetMaintenanceMargin(_btcUsdt) != marginUsed)
+                    if (_btcUsdt.BuyingPowerModel.GetMaintenanceMargin(_btcUsdt) != marginUsed)
                     {
                         throw new RegressionTestException($"Unexpected margin used {marginUsed}");
                     }
@@ -261,7 +258,7 @@ public override void OnEndOfAlgorithm()
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$0.60"},
-            {"Estimated Strategy Capacity", "$200000000.00"},
+            {"Estimated Strategy Capacity", "$100000000.00"},
             {"Lowest Capacity Asset", "BTCUSDT 2V3"},
             {"Portfolio Turnover", "1.08%"},
             {"Drawdown Recovery", "0"},

Algorithm.CSharp/CryptoFutureDailyMarginInterestRegressionAlgorithm.cs

@@ -63,7 +63,7 @@ public override void Initialize()
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$0.15"},
-            {"Estimated Strategy Capacity", "$3400000000.00"},
+            {"Estimated Strategy Capacity", "$4300000000.00"},
             {"Lowest Capacity Asset", "ADAUSDT 18R"},
             {"Portfolio Turnover", "0.02%"},
             {"Drawdown Recovery", "0"},

Algorithm.CSharp/CryptoFutureHourlyMarginInterestRegressionAlgorithm.cs

@@ -167,7 +167,7 @@ public override void OnOrderEvent(OrderEvent orderEvent)
             {"Tracking Error", "0"},
             {"Treynor Ratio", "0"},
             {"Total Fees", "$0.15"},
-            {"Estimated Strategy Capacity", "$330000000.00"},
+            {"Estimated Strategy Capacity", "$410000000.00"},
             {"Lowest Capacity Asset", "ADAUSDT 18R"},
             {"Portfolio Turnover", "0.02%"},
             {"Drawdown Recovery", "0"},

Algorithm.CSharp/CryptoFutureLeverageBasedMarginRegressionAlgorithm.cs

@@ -0,0 +1,170 @@
+/*
+ * 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 QuantConnect.Brokerages;
+using QuantConnect.Data;
+using QuantConnect.Interfaces;
+using QuantConnect.Securities.CryptoFuture;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm asserting that margin used and margin remaining update correctly when
+    /// changing leverage on a crypto future
+    /// </summary>
+    public class CryptoFutureLeverageBasedMarginRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private CryptoFuture _cryptoFuture;
+
+        public override void Initialize()
+        {
+            SetStartDate(2022, 12, 13);
+            SetEndDate(2022, 12, 13);
+
+            SetTimeZone(TimeZones.Utc);
+
+            SetAccountCurrency("USDT");
+            SetCash(200);
+
+            SetBrokerageModel(BrokerageName.BinanceFutures, AccountType.Margin);
+
+            _cryptoFuture = AddCryptoFuture("ADAUSDT");
+            _cryptoFuture.SetLeverage(10);
+        }
+
+        public override void OnData(Slice slice)
+        {
+            if (_cryptoFuture.Price == 0)
+            {
+                return;
+            }
+
+            if (!Portfolio.Invested)
+            {
+                SetHoldings(_cryptoFuture.Symbol, 10); // Buy all we can with our margin (leverage is 10)
+
+                var marginUsed = Portfolio.TotalMarginUsed;
+                var marginRemaining = Portfolio.MarginRemaining;
+
+                if (marginRemaining > 0)
+                {
+                    throw new RegressionTestException($"Expected no margin remaining after buying with full leverage. " +
+                        $"Actual margin remaining is {marginRemaining}");
+                }
+
+                _cryptoFuture.SetLeverage(20);
+
+                var newMarginUsed = Portfolio.TotalMarginUsed;
+                var newMarginRemaining = Portfolio.MarginRemaining;
+
+                if (newMarginUsed >= marginUsed)
+                {
+                    throw new RegressionTestException($"Expected margin used to decrease after increasing leverage. " +
+                        $"Previous margin used: {marginUsed}, new margin used: {newMarginUsed}");
+                }
+
+                if (newMarginRemaining <= 0 || newMarginRemaining <= marginRemaining)
+                {
+                    throw new RegressionTestException($"Expected margin remaining to increase after increasing leverage. " +
+                        $"Previous margin remaining: {marginRemaining}, new margin remaining: {newMarginRemaining}");
+                }
+
+                var holdingsQuantity = _cryptoFuture.Holdings.AbsoluteQuantity;
+
+                SetHoldings(_cryptoFuture.Symbol, 20); // Buy all we can with our margin (new leverage is 20)
+
+                var newHoldingsQuantity = _cryptoFuture.Holdings.AbsoluteQuantity;
+
+                if (newHoldingsQuantity <= holdingsQuantity)
+                {
+                    throw new RegressionTestException($"Expected holdings quantity to increase after increasing leverage and buying more. " +
+                        $"Previous holdings quantity: {holdingsQuantity}, new holdings quantity: {newHoldingsQuantity}");
+                }
+
+                newMarginRemaining = Portfolio.MarginRemaining;
+
+                if (marginRemaining > 0)
+                {
+                    throw new RegressionTestException($"Expected no margin remaining after buying with full leverage. " +
+                        $"Actual margin remaining is {newMarginRemaining}");
+                }
+
+                // We are done testing, exit the algorithm
+                Quit();
+            }
+        }
+
+        /// <summary>
+        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
+        /// </summary>
+        public bool CanRunLocally { get; } = true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 4;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
+        /// </summary>
+        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "2"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "200"},
+            {"End Equity", "195.58"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "₮1.57"},
+            {"Estimated Strategy Capacity", "₮0"},
+            {"Lowest Capacity Asset", "ADAUSDT 18R"},
+            {"Portfolio Turnover", "2009.51%"},
+            {"Drawdown Recovery", "0"},
+            {"OrderListHash", "f92ad762f77fbf4ee13b1e89a78cb1eb"}
+        };
+    }
+}

Algorithm.Python/BasicTemplateCryptoFutureAlgorithm.py

@@ -82,7 +82,7 @@ def on_data(self, slice):
                     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 @@ def on_data(self, slice):
                 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

Algorithm.Python/BasicTemplateCryptoFutureHourlyAlgorithm.py

@@ -81,7 +81,7 @@ def on_data(self, slice):
                 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

Algorithm.Python/BybitCryptoFuturesRegressionAlgorithm.py

@@ -79,9 +79,7 @@ def on_data(self, data):
                     raise AssertionError(f"Unexpected TotalSaleVolume {btc_usd_holdings.total_sale_volume}")
                 if abs(btc_usd_holdings.absolute_holdings_cost - holdings_value_btc_usd) > 1:
                     raise AssertionError(f"Unexpected holdings cost {btc_usd_holdings.holdings_cost}")
-                # margin used is based on the maintenance rate
-                if (abs(btc_usd_holdings.absolute_holdings_cost * 0.05 - margin_used) > 1 or
-                    not isclose(self.btc_usd.buying_power_model.get_maintenance_margin(MaintenanceMarginParameters.for_current_holdings(self.btc_usd)).value, margin_used)):
+                if not isclose(self.btc_usd.buying_power_model.get_maintenance_margin(MaintenanceMarginParameters.for_current_holdings(self.btc_usd)).value, margin_used):
                     raise AssertionError(f"Unexpected margin used {margin_used}")
 
                 self.buy(self.btc_usdt.symbol, 0.01)
@@ -96,8 +94,7 @@ def on_data(self, data):
                     raise AssertionError(f"Unexpected TotalSaleVolume {btc_usdt_holdings.total_sale_volume}")
                 if abs(btc_usdt_holdings.absolute_holdings_cost - holdings_value_usdt) > 1:
                     raise AssertionError(f"Unexpected holdings cost {btc_usdt_holdings.holdings_cost}")
-                if (abs(btc_usdt_holdings.absolute_holdings_cost * 0.05 - margin_used) > 1 or
-                    not isclose(self.btc_usdt.buying_power_model.get_maintenance_margin(MaintenanceMarginParameters.for_current_holdings(self.btc_usdt)).value, margin_used)):
+                if not isclose(self.btc_usdt.buying_power_model.get_maintenance_margin(MaintenanceMarginParameters.for_current_holdings(self.btc_usdt)).value, margin_used):
                     raise AssertionError(f"Unexpected margin used {margin_used}")
 
                  # position just opened should be just spread here

Common/Securities/CryptoFuture/CryptoFutureMarginModel.cs

@@ -24,20 +24,25 @@ namespace QuantConnect.Securities.CryptoFuture
     /// </summary>
     public class CryptoFutureMarginModel : SecurityMarginModel
     {
-        private readonly decimal _maintenanceMarginRate;
-        private readonly decimal _maintenanceAmount;
-
         /// <summary>
         /// Creates a new instance
         /// </summary>
         /// <param name="leverage">The leverage to use, used on initial margin requirements, default 25x</param>
         /// <param name="maintenanceMarginRate">The maintenance margin rate, default 5%</param>
         /// <param name="maintenanceAmount">The maintenance amount which will reduce maintenance margin requirements, default 0</param>
-        public CryptoFutureMarginModel(decimal leverage = 25, decimal maintenanceMarginRate = 0.05m, decimal maintenanceAmount = 0)
+        [Obsolete("This constructor is deprecated, please use the overload without maintenanceMarginRate and maintenanceAmount parameters.")]
+        public CryptoFutureMarginModel(decimal leverage, decimal maintenanceMarginRate = 0.05m, decimal maintenanceAmount = 0)
+             : base(leverage, 0)
+        {
+        }
+
+        /// <summary>
+        /// Creates a new instance
+        /// </summary>
+        /// <param name="leverage">The leverage to use, used on initial margin requirements, default 25x</param>
+        public CryptoFutureMarginModel(decimal leverage = 25)
              : base(leverage, 0)
         {
-            _maintenanceAmount = maintenanceAmount;
-            _maintenanceMarginRate = maintenanceMarginRate;
         }
 
         /// <summary>
@@ -47,17 +52,7 @@ public CryptoFutureMarginModel(decimal leverage = 25, decimal maintenanceMarginR
         /// <returns>The maintenance margin required for the option</returns>
         public override MaintenanceMargin GetMaintenanceMargin(MaintenanceMarginParameters parameters)
         {
-            var security = parameters.Security;
-            var quantity = parameters.Quantity;
-            if (security?.GetLastData() == null || quantity == 0m)
-            {
-                return MaintenanceMargin.Zero;
-            }
-
-            var positionValue = security.Holdings.GetQuantityValue(quantity, security.Price);
-            var marginRequirementInCollateral = Math.Abs(positionValue.Amount) * _maintenanceMarginRate - _maintenanceAmount;
-
-            return new MaintenanceMargin(marginRequirementInCollateral * positionValue.Cash.ConversionRate);
+            return new MaintenanceMargin(GetInitialMarginRequirement(new InitialMarginParameters(parameters.Security, parameters.Quantity)));
         }
 
         /// <summary>