Plots like these from this week's FED financial stability report (https://www.federalreserve.gov/publications/files/financial-stability-report-20220509.pdf) are nice. They quote the margin requirement from the exchanges. Does anyone know how to get similar data from brokers, like IBKR? other than recording them by oneself. I called IBKR customer support but they don't offer any help. Thanks.
How to get historical margin requirement from brokers?
- Thread starter Phoenix_colossal
- Start date
Sorry I should have been more clear. What I want is the margin charged by broker, not the one from CME/ICE, since brokers tend to charge extra margin on top.
CannonTrading_Ilan
Sponsor
Good question and to be honest not sure.
We charge exchange minimum over 90% of the time.
IB offers historical data, but not of the type that you want. At least not that I am aware of.
The only viable option that I see with IB is to create your own repository by recording real-time the current margin requirements for the desired instruments (this you can get easily).
After a while, you would have a good repository.
Then, to go back in time, you might work by interpolation and data "reconstruction". That is, to apply the discrepancy you see in real time between broker and exchange and make a plausible projection on the past data.
Better than nothing I guess.
yeah that's what I am doing. Just log the margin requirement of all instrument one by one via whatIfOrder() on an empty account, so I get the "raw" margin requirement. Better late than never.
Just assume that if volatility picks up, you will not be able to execute your system anymore with IB if it depends on margin.
Margin of equity index futures seem to approximately double during bigger stock market crashes (2008, 2020).
The margins for CME equity index futures are still almost double of what they were before the 2020 Covid crisis. When do you expect market to come down to previous levels?