Create default IMarginInterestRateModel

[Martin-Molinero]

Expected Behavior

• Lean has a default IMarginInterestRateModel accounting for costs associated with margin trading

  Actual Behavior

• Lean uses a null margin interest rate model by default. Only Binance futures interest rate model is currently available. Related https://github.com/QuantConnect/Lean/issues/32

  Potential Solution

• Implement the DefaultMarginInterestRateModel accounting for costs associated with margin trading
• DefaultBrokerageModel.GetMarginInterestRateModel(Security security) would return it

  Reproducing the Problem

  N/A

  System Information

  N/A

  Checklist

• [x] I have completely filled out this template
• [x] I have confirmed that this issue exists on the current master branch
• [x] I have confirmed that this is not a duplicate issue by searching issues
• [x] I have provided detailed steps to reproduce the issue

[lucasbrynte]

Nice!

I take it this would be some crude generic margin fee model, to replace the null model for the brokerages / security types that do not have a specific model.

• Is it also on the roadmap at the moment to implement realistic margin fee models for other brokerages than Binance, e.g. Bitfinex?
• May I also ask how LEAN manages historical margin interest data in practice? E.g. in the case of Binance futures, can the historical margin interests be downloaded from QuantConnect via lean-CLI, to be stored in a CSV file or similar?

[Martin-Molinero]

Hey @lucasbrynte!

I take it this would be some crude generic margin fee model, to replace the null model for the brokerages / security types that do not have a specific model.

Thank you! Exactly 💯, if AccountType is AccountType.Margin

Is it also on the roadmap at the moment to implement realistic margin fee models for other brokerages than Binance, e.g. Bitfinex?

Not at the moment but we do accept contributions 👍

May I also ask how LEAN manages historical margin interest data in practice? E.g. in the case of Binance futures, can the historical margin interests be downloaded from QuantConnect via lean-CLI, to be stored in a CSV file or similar?

Can see details on the implementation of binance futures at https://github.com/QuantConnect/Lean/pull/6807, it's file driven generated by https://github.com/QuantConnect/Lean.DataSource.BinanceFundingRate. We have now added support for downloading it with the lean-CLI 👍

Regarding the DefaultMarginInterestRateModel I think applying a fix rate cost (which can be an argument) would be enough given it would be generic, defaulting to a low reasonable value

[Martin-Molinero]

Regarding the DefaultMarginInterestRateModel I think applying a fix rate cost (which can be an argument) would be enough given it would be generic, defaulting to a low reasonable value

After chatting with @jaredbroad we agreed on DefaultMarginInterestRateModel reusing InterestRateProvider internally to calculated the interest rate model based on the us treasury rate + 1%