Posted: Sep 19, 2013 @ 09:19 PM             Msg. 1 of 8

1) Is SPAN being used in OEC Trader Demo (3.5.10.0) for Positions?
- To my understanding, demo account CWeber327 is turned on for SPAN.
- I have a variety of Buy/Sell positions and options orders
- They are all older than a single session
- I am examining the margins displayed in OEC Trader Demo
- The margins for each of 10 positions are the same as the published margins on http://www.openecry.com/trading/margin-req.cfm
- Wouldn't these margins be different than the standard spec for margins if SPAN were on?
- If not, can you explain a portfolio where SPAN would generate different margins than the published standard margins?

2) How do I calculate Day margin for a position whose maintenance/initial margin was impacted by SPAN?
- Is SPAN day margin just the standard day margin as published in the link above?
- If not, is it possible that Day Margin might need to be included as a Position data member or api method call?

3) There is a new COM api that includes the new functions:
- Contract.GetInitialMargin(account)
- Contract.GetMaintenanceMargin(account)
- IOECClient::RequestMarginCalculation(..)
Is it necessary to call these to get SPAN margins? If I were to access initial and maintenance margins via the existing object/data members:
- Account->Total Balance->MaintenanceMargin
- Account->Total Balance->InitialMargin
- Position->MaintenanceMargin
- Position->InitialMargin
will these give me the SPAN-filtered margins I am trying to use? If so, how would SPAN day margin be found if I were accessing margin by position or by total balance?

As integrating new oec com api dlls is something that needs to be extensively tested, I am hoping I can use our current oec com api dlls in supporting SPAN. Your answers will be extremely valuable to us!

Thanks for your help,

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CHW

Posted: Sep 19, 2013 @ 09:51 PM             Msg. 2 of 8

1. SPAN margin is not displayed in OEC Trader: it shows old-fashion calculated values since it is not officially released there. Changes that was done for your account was just turning on risk calculations on accepting your orders.

2. This http://www.openecry.com/api/api/html/P_OEC_API_Balance_PortfolioMargin.htm property can be used to find out portfolio (SPAN) margining. This property is updating on this http://www.openecry.com/api/api/html/E_OEC_API_OECClient_OnPortfolioMarginChanged.htm event.

3. First two methods are informational ones and shows individual SPAN contract margin that can depends on account. They don't show margin of your positions.

RequestMarginCalculator is intended to calculate margins of hypothetical portfolios (what-if scenarios). Here is a starting point http://www.openecry.com/api/api/html/M_OEC_API_OECClient_RequestMarginCalculation.htm

OECAPI doesn't provide "per position" calculation details like Reporting tool of PC-SPAN can do it. All what it shows is complete margining via PortfolioMaring in #2 above

Old properties like Account->Total Balance->MaintenanceMargin will continue show just a sum of individual margins (at least for awhile).

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Victor Vins
Lead Software Developer

Posted: Sep 20, 2013 @ 08:24 PM             Msg. 3 of 8

Great information, thank you.

Followup:
1) When will OEC Trader show SPAN margin?
2) Could the following data members be implemented:
position->SpanMaintenanceMargin?
position->SpanDailyMargin?
position->SpanInitialMargin?
3) Wouldn't some equivalent of position->SpanDailyMargin be used to find Balance->PortfolioMargin?
- Or is position->MaintenanceMargin being used to calculate Balance->PortfolioMargin (behind the scenes)?

The reasons why I ask:
1) We report to our users the daily margin for each of their open positions.
2) We report to our users their usable margin based on the sum of the daily margins for each of their open positions.
3) Knowing actual daily margin for each open position greatly assists the trader to know which of their positions is reserving the most cash in their account. This becomes useful when they need to free up cash in order to place another trade.
4) Given the lack of SPAN maintenance or daily margin, the trader using a span-enabled account has no idea which positions are reserving what amount of their account cash.

Thanks,

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CHW
Edited by CWeber984 on Sep 20, 2013 at 20:28:40

Posted: Sep 24, 2013 @ 11:48 AM             Msg. 4 of 8

Hello,

1. When SPAN will be officially released. Please contact OEC business for details.
2. No. SPAN calculates requirements per commodity, we do not have such entity in OECAPI
3. No. Balance.PortfolioMargin calculated on server-side.

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Victor Vins
Lead Software Developer

Posted: Sep 24, 2013 @ 02:45 PM             Msg. 5 of 8

With the info you've given, I have a clear path for implementing SPAN in our platform.

Much appreciated,

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CHW

Posted: Sep 25, 2013 @ 10:05 PM             Msg. 6 of 8

We contacted business side. They state that SPAN is fully implemented and available in OEC Trader Demo, but not in OEC Trader yet.

I must note that I was always concerned only about the OEC Trader Demo at this time, recognizing that OEC Trader (real accounts) will not show any SPAN margin content until its official release.

But business seems to think that:
- in OEC Trader Demo, all position maintenance margins are based on Contract.GetMaintenanceMargin(account)
- portfolio margin is available
- whereas VVins has clearly stated above that only risk calculations are enabled currently in OEC Trader Demo.

Please provide any information you have about whether, in OECTraderDemo:
1) Contract.GetMaintenanceMargin(account) is used and seen anywhere
2) Account->PortfolioMargin is used and seen anywhere.
3) If not now, when they will be available in the Demo?

Thanks,

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CHW
Edited by CWeber984 on Sep 25, 2013 at 23:01:07

Posted: Sep 25, 2013 @ 11:07 PM             Msg. 7 of 8

I'm afraid there was misunderstanding in your discussion with business: OEC Trader Demo doesn't show portfolio margining.

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Victor Vins
Lead Software Developer

Posted: Sep 26, 2013 @ 09:28 PM             Msg. 8 of 8

So, because Business doesn't know the answer, could you give an estimate of when portfolio margin will be displayed in OEC Trader Demo?

Thanks,

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CHW
Edited by CWeber984 on Sep 27, 2013 at 21:54:14