Topic: SPAN: Lookahead Margin
(1 messages, Page 1 of 1)
Joined: Apr 24, 2012
Congratulations on the advanced margining system that you have developed.
We wonder if you could develop something called "lookahead margin." As we understand this concept, lookahead margin is something that tells the trader what his margin will be in the next session, much like maintenance margin, but responsive to SPANs algorithms.
It's particularly used when the order is going to cross a session boundary, i.e. move from day margin to maintenance margin.
We wonder because we like to report the maintenance margin to our traders. Now that they have dynamically assessed margins based on their portfolio, that maintenance margin is no longer set in stone.