I’m trying to calculate the required margin for positions on my own so that my strategies can determine correct position quantities before placing orders.
I do not want to rely on any broker margin API. I’m assuming margin must be based on some mathematical formula (SPAN, exposure, VAR, etc.) or some dataset that can be downloaded periodically (maybe daily or at intervals) and used locally.
My goal:
Input: instrument details (price, lot size, strike, expiry, etc.)
Output: estimated margin required for the position
Use this to dynamically size positions in strategy logic
Questions:
1. Is there a standard formula for calculating margin (especially for futures/options)? 2. Can SPAN files or similar risk parameter files be downloaded daily and used offline? 3. How accurate can a local margin calculator be compared to broker API? 4. What components should I consider (SPAN margin, exposure margin, premium, offsets, etc.)?
If anyone has experience building their own margin engine, I’d appreciate guidance on:
