I did. It was during the crazy period when Enron was imploding. Regardless, unacceptable. I had $0 variation margin.
To quote some movie "shit, fuck, Jesus". While I've never heard any good things about them, I must confess to having an IB account. It's the broker that has reporting relationships with most firms on the street so it's easy from the compliance perspective - I hold a few dollars worth of SPYs and TLTs there in some semblance of risk parity. Every year or so I keep thinking of switching to some futures broker so I can run them leveraged, but I am too lazy.
I've been there and had this happen to me. Here's the way I "fixed it" with IB. First off, the "sell the day before" advice does NOT work for me. If I have a 15 point SP fly, even at the midpoint the day before I'm not making beans. In fact I'm sometimes putting it on the day before expiry. If you have a leg ITM or even close, that algo may start chipping away at all that you own without warning. The crap it sells makes no sense at all and the prices can be awful. It's a nightmare. If I'm ITM on a leg around 2pm on expiry day (sometimes earlier depending on the circumstances), I buy a ATM straddle or a deep OTM put/call for the next expiration - typically a few days away. If I'm looking to squeeze the last few hours out of a position, the next expiry generally won't move near as much if it's set up properly. Whether it's a put or call depends on the exposure eg., if you only have a long call ITM buy a put. If I have flies going both ways bouncing around the midpoint I'll do the straddle. Right after I liquidate the expiring spread I liquidate the next expiry position. I test my post expiry margin by looking at what's ITM (or may be) and then setting up an order for that many futures and doing "check margin" to see where things are. It's something like 12K - 14K typically per naked future on ES at IB. Once you have the next expiry position in place, check it again with the futures position and it should be much lower. This lets me ride everything out til a few minutes before close without worrying about the liquidation algo visiting me. Should we have to do this? Of course not. But hopefully this helps some of you guys that have been bitten.
I'm surprised at this too...in fact I must be missing something fundamental: wouldn't closing the long side increase your required margin (i.e. decrease your excess liquidity)? Isn't that the opposite of what should be happening? I've only been auto-liquidated twice, and each time involved closing one of my short positions. Weren't your long positions hedging your short ones? If so, why would they auto-close one of your longs?
I'm guessing that since he legged in The Algorithm, may it's name be praised, was too stupid to see it as a spread. As to which position It liquidates first, that appears to be run via a random number generator.
Right, but wouldn't the Algorithm -- peace and blessings be upon it -- at the very least verify that the position it's auto-liquidating would result in an INCREASE rather than a decrease to the account's excess liquidity? It wouldn't ever take an action that would increase the margin deficit which...closing an hedging long position would do, would it not?
Yep, that is exactly my problem. In my view the opposite should have happened. I opened a complaint with IB. I do have the feeling they are looking into it seriously. Fingers crossed for a good outcome.