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Futures with margin accounts

It is possible to setup FA to track futures and their margin accounts. The idea is to trade futures against a margin account (a bank account of the portfolio with the future position) and record daily mark to market transactions that debit/credit the margin account, realize profits and adjust the purchase value of the futures position.

Getting started

  1. Enable the link between block size and multipliers.

    • In Preference > Securities > Block size enable both "Block size affects multiplier" and "Block size affects multiplier 2"

      • These are not enabled by default in a fresh install of FA

    • Enabling these helps configuring e.g. index futures more easily when only the block size needs to be set; multipliers will then automatically adjust accordingly

  2. Create a future security

    • Create a new security for your future position

      • The default security type for futures in FA is Futures (F)

    • Set the block size according to the tick size; the multipliers will be adjusted accordingly if the settings in step 1 are enabled

    • Link the underlying security to your future security for price information (via Price from security).

  3. Create the margin account in the portfolio

    • Create the margin account as a bank account in the portfolio with the futures position

Managing futures with margin accounts

  1. Open the futures position with a normal Buy or Sell transaction

    • Set the margin account as the bank account of the transaction

  2. When it is time to mark the position to market, create a Mark to market transaction, link it to the future security and the margin account, and set the amount as position amount and unit price as how much the unit price is adjusted

    • E.g. if a long position was created with unit price 100 and now the fixing is 101, then the unit price of the mark to market transaction is 1. If the unit price went down to 99, then the unit price of the mark to market transaction is -1.

    • Mark to market transaction will adjust the purchase value of the future, debit/credit the margin account and show the value as profit/loss. After the fixing, the difference between the new purchase value and futures market value is the unrealized P/L and is included in the market value of the portfolio.

    • There is a generic helper tool available to help create the fixings. It can be launched by right-clicking a portfolio in the Overview (or selecting appropriate portfolios in Portfolios view) and selecting Futures → Mark to market…

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      • With the help of the process, you only need to set the fixing price either in the tool or in a preconfigured market price field on the security (see instructions below) . In case the configuration is not done, the default is Close 3.

      • The tool will then generate the mark to market transactions.

Defining which price source to use in mark to market transactions

In case you wish to use prices from another price field than Close 3, follow the steps below to adjust the setting.

  • Select ToolsAdministerFutures… In the window that opens, you can select which price field to use under the Mark to market heading. Once you click Done, the setting comes into effect for any mark to market transactions created after the setting was changed.