Option Strategy Margin Error

[LouisSzeto]

Expected Behavior

Option Strategy Margin follows CBOE & IB requirements.

Actual Behavior

Buying Power Model of the following OptionStrategies is not:

• NakedCall, NakedPut:
  • short:
    • Stock Options: Call/Put Price + Maximum ((20% * Underlying Price - Out of the Money Amount), (10% * Underlying Price))
    • Index Options: Call/Put Price + Maximum ((15% * Underlying Price - Out of the Money Amount), (10% * Underlying Price))
  • long: 0
• ShortCallCalendarSpread, ShortPutCalendarSpread:
  • 0

Potential Solution

Amend OptionStrategyPositionGroupBuyingPowerModel for corresponding strategies

Reproducing the Problem

Refer to OptionStrategyPositionGroupBuyingPowerModel

System Information

NA

Checklist

• I have completely filled out this template
• I have confirmed that this issue exists on the current master branch
• I have confirmed that this is not a duplicate issue by searching issues

• I have provided detailed steps to reproduce the issue

[Martin-Molinero]

Current strategies margin were defined & tested against IB actual margin requirements, some are an approximation with some expected small degree of error.
Please share a specific case that the error is off significantly for these strategies so we can fix and test against it