Discover margin for each trade?

• 08/24/2018 at 10:17 AM #78918
  david.brewer3

  How can I know what margin is needed before I confirm a trade on ProRealTime?

  

  david.brewer3

  Participant

  Topics: 1

  Replies: 0

  Been thanked: 0 times
  08/24/2018 at 10:32 AM #78921
  Vonasi

  It is not possible to know this directly in PRT.

  IG provide a good description of how to calculate your margin:

  https://www.ig.com/uk/learn-to-trade/margin-explained

  Although they do not mention there how margin is effected by having stops with your trade.

  It should be quite easy to create a simple indicator that calculates your required initial margin and even one that shows your initial margin and maintenance margin as a graph in a back test – I may have a go at doing this later if I find time.

  1 user thanked author for this post.

  david.brewer3

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  08/24/2018 at 12:06 PM #78927
  Vonasi

  I wrote this indicator that will display current initial margin requirements to open positions with no stop, a non guaranteed stop and a guaranteed stop:

  DEFPARAM calculateonlastbars = 1 Size = 1 //Your Trade Size MarginFactor = 5 //Margin Factor in % SlippageFactor = 50 //Slippage Factor in % StopDistance = 100 //Stop Distance in pips LimitedRiskPremium = 1 //Limited Risk Premium NoStopMargin =(Size * close) * (MarginFactor / 100) NoStopMargin = Round(NoStopMargin * 100) / 100 StopMargin = (Min((NoStopMargin * (Slippagefactor / 100)) + (Size * StopDistance),NoStopMargin)) StopMargin = Round(StopMargin * 100) / 100 GStopMargin = (Size * StopDistance) + (Size * LimitedRiskPremium) GStopMargin = Round(GStopMargin * 100) / 100 DRAWTEXT("No Stop Margin #nostopmargin#",barindex,0,SansSerif,Bold,16)coloured(0,0,255) DRAWTEXT("Stop Margin #stopmargin#",barindex,-0.5,SansSerif,Bold,16)coloured(0,0,255) DRAWTEXT("Guaranteed Stop Margin #gstopmargin#",barindex,-1,SansSerif,Bold,16)coloured(0,0,255) return 0.5,-1.5

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22

  DEFPARAM calculateonlastbars = 1   Size = 1 //Your Trade Size MarginFactor = 5 //Margin Factor in % SlippageFactor = 50 //Slippage Factor in % StopDistance = 100 //Stop Distance in pips LimitedRiskPremium = 1 //Limited Risk Premium   NoStopMargin =(Size * close) * (MarginFactor / 100) NoStopMargin = Round(NoStopMargin * 100) / 100   StopMargin = (Min((NoStopMargin * (Slippagefactor / 100)) + (Size * StopDistance),NoStopMargin)) StopMargin = Round(StopMargin * 100) / 100   GStopMargin = (Size * StopDistance) + (Size * LimitedRiskPremium) GStopMargin = Round(GStopMargin * 100) / 100   DRAWTEXT("No Stop Margin #nostopmargin#",barindex,0,SansSerif,Bold,16)coloured(0,0,255) DRAWTEXT("Stop Margin #stopmargin#",barindex,-0.5,SansSerif,Bold,16)coloured(0,0,255) DRAWTEXT("Guaranteed Stop Margin #gstopmargin#",barindex,-1,SansSerif,Bold,16)coloured(0,0,255)   return 0.5,-1.5

  The calculations are taken from IG’s information on the charts on their platform.

  You will need to put in the correct values for each of the factors involved in the calculation for whichever instrument you apply it to.

  I have not found any information yet saying what the values for the Limited Risk Premium used in the guaranteed stops calculation are and IG do not list it in the chart information.

  ITF file also attached.

  

  3 users thanked author for this post.

  Andyswede, Nicolas, david.brewer3

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  08/24/2018 at 1:50 PM #78942
  Vonasi

  Here is another version. You can enter your buy or sell price of a trade that you have open and your stop price and it will calculate a running margin taking into account any gains or losses (the maintenance margin).

  DEFPARAM CalculateOnLastBars = 1 BuySell = 1 // 1 = Buy 0 = Sell Price = 25720 // The Price you bought or sold at Size = 1 //Quantity bought or sold StopType = 1 //1 = No Stop 2 = Non G Stop 3 = G Stop MarginFactor = 5 //Margin Factor in % SlippageFactor = 50 //Slippage Factor in % StopPrice = 25800 //Stop Price LimitedRiskPremium = 1 //Limited Risk Premium NoStopMargin =(Size * close) * (MarginFactor / 100) InitialMargin = Round(NoStopMargin * 100) / 100 If StopType = 2 then StopMargin = (Min((NoStopMargin * (Slippagefactor / 100)) + (Size * (ABS(close - StopPrice))),NoStopMargin)) InitialMargin = Round(StopMargin * 100) / 100 endif If StopType = 3 then GStopMargin = (Size * (ABS(close - StopPrice))) + (Size * LimitedRiskPremium) InitialMargin = Round(GStopMargin * 100) / 100 endif If BuySell <> 1 then MaintenanceMargin = (Size * Price) - (Size * close) else MaintenanceMargin = (Size * close) - (Size * Price) endif TotalMargin = InitialMargin + MaintenanceMargin DRAWTEXT("Total Running Margin #totalmargin#",barindex,0,SansSerif,Bold,16)coloured(0,0,255) return 0.5, -0.5

  1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35

  DEFPARAM CalculateOnLastBars = 1   BuySell = 1 // 1 = Buy 0 = Sell Price = 25720 // The Price you bought or sold at Size = 1 //Quantity bought or sold StopType = 1 //1 = No Stop 2 = Non G Stop 3 = G Stop MarginFactor = 5 //Margin Factor in % SlippageFactor = 50 //Slippage Factor in % StopPrice = 25800 //Stop Price LimitedRiskPremium = 1 //Limited Risk Premium   NoStopMargin =(Size * close) * (MarginFactor / 100) InitialMargin = Round(NoStopMargin * 100) / 100   If StopType = 2 then StopMargin = (Min((NoStopMargin * (Slippagefactor / 100)) + (Size * (ABS(close - StopPrice))),NoStopMargin)) InitialMargin = Round(StopMargin * 100) / 100 endif   If StopType = 3 then GStopMargin = (Size * (ABS(close - StopPrice))) + (Size * LimitedRiskPremium) InitialMargin = Round(GStopMargin * 100) / 100 endif   If BuySell <> 1 then MaintenanceMargin = (Size * Price) - (Size * close) else MaintenanceMargin = (Size * close) - (Size * Price) endif   TotalMargin = InitialMargin + MaintenanceMargin   DRAWTEXT("Total Running Margin #totalmargin#",barindex,0,SansSerif,Bold,16)coloured(0,0,255)   return 0.5, -0.5

  1 user thanked author for this post.

  david.brewer3

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
  08/24/2018 at 3:30 PM #78970
  Vonasi

  I wrote this snippet that can be added to long only strategies with no stops to graph the maximum margin required in a back test. It could be adapted to short and with stops using the calculations in the indicators but I will let someone else do that as I would never use it!

  MarginFactor = 5 //Margin Factor in % NoStopMargin = (CountOfPosition * low) * (MarginFactor / 100) InitialMargin = Round(NoStopMargin * 100) / 100 MaintenanceMargin = (CountOfPosition * PositionPrice) - (CountOfPosition * low) TotalMargin = 0 - (InitialMargin + MaintenanceMargin) if not onmarket or TotalMargin > 0 then TotalMargin = 0 endif Graph TotalMargin

  1 2 3 4 5 6 7 8 9 10 11 12 13 14

  MarginFactor = 5 //Margin Factor in %   NoStopMargin = (CountOfPosition * low) * (MarginFactor / 100) InitialMargin = Round(NoStopMargin * 100) / 100   MaintenanceMargin =   (CountOfPosition * PositionPrice) - (CountOfPosition * low)   TotalMargin = 0 - (InitialMargin + MaintenanceMargin)   if not onmarket or TotalMargin > 0 then TotalMargin = 0 endif   Graph TotalMargin

  

  I think it works correctly but if any one spots a bug or error in it or any of the other codes here then please correct them as none of them have really been tested properly.

  1 user thanked author for this post.

  Nicolas

  

  Vonasi

  Moderator

  Topics: 192

  Replies: 5088

  Been thanked: 1811 times
• Author
  Posts