Unusual data request, anyone know where I could get a historical list of margin requirements (initial margin + maintenance margin for going long/short) for all US listed stocks going back say 5-10years? Or at least know how it is calculated for a reg-T account so I can approximate it myself?
It does not change over time. If a security is marginable, initial margin is 50% and maintenance margin is 25%. If your symbol is a multiple of another security like an 2X or 3X, then the cash requirement is a multiple too. For a short position the requirement is the same but you can't use the credit from the sale toward your cash requirement, so it reads more like 150% of the value of the short. BTW, your clearing broker can have a higher requirement if they choose.
Don't certain stocks - I.e. small caps / illiquid stocks etc have different margin requirements? It isn't standardised across all surely. See this https://www.interactivebrokers.com.au/en/index.php?f=5167&cntry=usa&tag=United States&ib_entity=llc&ln= Further in times of market stress, e.g. Brexit, I would think brokers such as IB and even Lightspeed too would increase the margins? I noticed your from Lightspeed, don't you adjust margins there.
I can't speak for IB, as they have their own rules. During times of stress, most reg-t margin rules don't change at most clearing firms as there is enough protection as is. I can see a cleaning firm look at a certain stock and not offer leverage at certain time, like a biotech. I don't expect there is a list like that. It would be easier to restrict shorting it then change margin.
Backtest strategies for a range of stocks overtime. Holding certain stocks at any one time will influence your leverage capacity. Does lightspeed trader have this data historically? It may not be beneficial to many people but I happy to pay a fair price for such data if avaliable.
No, we don't offer data for back-testing. Our clients use third parties for that. We focus on the execution side of the business.