So, I've tried to post this on the IB forums but keep getting an HTTP 400 bad request message, so trying the good people of EliteTrader... ************** I'm looking for a way, ideally within TWS, to get an accurate estimate of how IB reduces my excess liquidity for specific open short positions, or increases as I close short positions. Depending on the stock (and presumably whether it's hard to borrow list or special margin list), my account gets debited somewhere between 100% and 15% of the amount of the position. This is dynamic, in that an equity might have been a 15% requirement and becomes a 100% requirement automagically. sometimes putting me at risk of a liquidation, and sending me on a hunt to guess which position turned bad. I'd like to be able to do two things: (1) determine which potential positions on my screens are going to offer the highest return on capital (technically, return on margin capacity) before making a trade, and (2) spot any positions that have become margin hogs in my current portfolio. An ideal would be a column in TWS that would show margin required (along the lines of what's in the daily margin report) next to the position size. If no way to do this within TWS, I'm open to API solutions. As background, I run a close to dollar neutral book with portfolio margin. Would like to run in the 3-4-5x leverage range (with net leverage ~0) but often times I can't get above 2 or 2.5x because the short side of the book has 100%ers in it that are sucking up all the capacity. Anyone have experience getting IB to modify their PM rules based on hedged market risk (though not multi-leg options or things that are that directly hedged) Thanks in advance! BTW, I've found this list worthless. Errors, omissions, etc... http://www.interactivebrokers.com/e...cntry=usa&tag=United+States&ib_entity=llc&ln=
The problem is portfolio margin account is, well, PORTFOLIO margin account. There is no notion of a margin for a separate position. You request could be fulfilled only for simple cases. Generally, it is impossible.
Well then that raises another question. The margin seems to be not very portfolio aware. I could leverage 5.5x plain long, but if I went equally long and short a basket of diversified ETFs, I could only get about 2x long and 2x short. The +2x - 2x portfolio should be much lower risk than a +5.5x, but the portfolio margin doesn't seem to care. When I look at my daily margin report, it seems to just line item each position and sum up all of the margin requirements without any consideration of concentration, net exposure etc... (though I've never been highly concentrated, so maybe there's something else you'd do in that case) Are there any requests I can make for the way my portfolio risk is determined? I assume IB doesn't honor special requests in this area but if it's something I can petition for based on my situation, I absolutely will.
You can try putting your position into the OCC calculator. IB will use this (The TIMS calcuation) as the minimum requirement for haircut on a position in a portfolio margin account. (They can ask for more). It will be a good guideline for looking at change in haircut if you change your position. If your an equity/ETF trader, it does not always pick up offsets. https://cpm.theocc.com/tims_online.htm Later in the summer my firm will have a portfolio manager tool available which will calculate haircut in real time and view portfolio risk in many aspects for a large portfolio of equities and options. It will give you the availability to do "what ifs" by adding a position by hand, and you can see your change in requirements. It will also be available to run on an Ipad. Very cool for a risk manager.
Nobody will give you offsets between short and long positions of different ETF. The only benefit you can get having diversified portfolio is avoiding of concentration in a few positions, which will imply additional margin charge. You can use paper account to check "what if" cases. There is also "check margin" function on your order.
rmorse, thanks for the link. Unfortunately I don't think it really addresses equities very well, more options focused naturally. I will continue to look for an accessible list of symbols and their margin requirements. IDS, if there's some source that IB points to (I assume you access info from SEC or some other agency) I'd be grateful to know what it is. The below list is not up to date, and clearly you maintain a more accurate database which powers the check margin feature (and the real-time margin management). Would it be somehow impossible to have a field available in TWS that allowed the margin requirement for the position to refresh based on the same calculations used for the "Check Margin" feature? If impossible, I won't bother to submit a feature request, but I think that'd be very helpful for many. http://www.interactivebrokers.com/e...cntry=usa&tag=United+States&ib_entity=llc&ln=
You can put in equity position with NO options. If you'd like, e-mail me a sample portfolio and I'll e-mail you the haircut/margin requirement. Bob rmorse@victorsecurities.com
sf631, Could you please provide an example or a few examples of inaccuracy of http://www.interactivebrokers.com/e...cntry=usa&tag=United+States&ib_entity=llc&ln= ?