IB margin system change

[d08]

Around the start of this year, I saw a change in IB margining system, order margin seems to be processing cumulatively and not on an individual order basis, limit orders are treated no different than market orders - fills are considered certain.

Previously when executing any system with pre-market limit orders, the margin algo checked individually whether I had enough for the particular order being processed, if it was a limit order, it wasn't subtracted from the excess liquidity when processing the following order.

New behavior is that all orders are assumed to execute, no matter how far out the limit is. This means any type of "dip buyer" system that enters a large number of orders (low fill rate) is impossible to trade.

I spoke with IB about this and according to them, there's no change in behavior. But I know for a fact I often entered orders 10x-20x above the excess liq. previously without rejections. Since most didn't execute, it wasn't a problem. The times I did violate margin, I handled the positions myself or the auto-liquidator did its job.

I'm looking for information on who else experienced this, whether my account has some flags modified unbeknownst to me or was this a general change in their system. Right now it feels like boxing with my hands tied, it's a very hostile move against active traders.

 

[ktm]

I don't trade the way you do, so it's impossible for me to say anything has changed with regard to what you're seeing.

I will say that their algorithm definitely changes from time to time in terms of how margin is applied to a wide variety of scenarios. Some of it seems to be based on a specific direction based on some market condition that can flip during the day or overnight. In cases where I've seen similar behavior over the years, even the institutional folks at IB would never admit that anything was different. To be fair, it's possible they weren't told as they have a series of statements they provide to customers that generically describes the "magic box" that is dynamic/SPAN/rolling/interactive margin against a diverse basket of positions.

 

[trend2009]

Around the start of this year, I saw a change in IB margining system, order margin seems to be processing cumulatively and not on an individual order basis, limit orders are treated no different than market orders - fills are considered certain.

Previously when executing any system with pre-market limit orders, the margin algo checked individually whether I had enough for the particular order being processed, if it was a limit order, it wasn't subtracted from the excess liquidity when processing the following order.

New behavior is that all orders are assumed to execute, no matter how far out the limit is. This means any type of "dip buyer" system that enters a large number of orders (low fill rate) is impossible to trade.

I spoke with IB about this and according to them, there's no change in behavior. But I know for a fact I often entered orders 10x-20x above the excess liq. previously without rejections. Since most didn't execute, it wasn't a problem. The times I did violate margin, I handled the positions myself or the auto-liquidator did its job.

I'm looking for information on who else experienced this, whether my account has some flags modified unbeknownst to me or was this a general change in their system. Right now it feels like boxing with my hands tied, it's a very hostile move against active traders.

had same experience which makes some strategies not working any more

 

[d08]

I don't trade the way you do, so it's impossible for me to say anything has changed with regard to what you're seeing.

I will say that their algorithm definitely changes from time to time in terms of how margin is applied to a wide variety of scenarios. Some of it seems to be based on a specific direction based on some market condition that can flip during the day or overnight. In cases where I've seen similar behavior over the years, even the institutional folks at IB would never admit that anything was different. To be fair, it's possible they weren't told as they have a series of statements they provide to customers that generically describes the "magic box" that is dynamic/SPAN/rolling/interactive margin against a diverse basket of positions.

That's brutal for traders. I've come to realise that 80% of my code writing is to manage their margin system, not about actual market timing. That's not how it should be.
I'd like to see some sort of compromise, a multiple of excess liquidity greater than 1 at least.
I'm also trading various strats with little to no correlation, how margin is handled now causes havoc.
At present, I'd definitely advise anyone who's locking themselves into the IB ecosystem like I did, to think twice.

had same experience which makes some strategies not working any more

That's bad. Are you looking for alternatives or just sucking it up?

 

[ChadZ1]

I place my trades in batches that are calculated such that the individual margin effects of the trades in any batch should sum up to use no more than 80% of what's available. So, if there were some cumulative effect that made the margin usage worse, I'd probably be getting margin called left and right. I'm regular and not portfolio margin tho (I take concentrated positions and I'm afraid such individual margin calculations won't work on portfolio margin).

I've been pretty unhappy with IBKR's margin rates lately tho. Have you found a good substitute?