You work for a Trading Member dealing with incoming Retail orders.

Pre-trade Checker Functional Requirements

System must only accept Limit Orders which will not execute immediately.

Incoming Orders should be subject to Margin sufficiency checks

Overnight positions should be subject to maintenance margin

Spread positions should be subject to Spread margins

Client positions should not exceed allowed positions limits, regardless of margin status

Current Customer Equity must take into account Marked-to-Market P&L

We want to be able to manually change the amount of margin requirements as we deem fit

Provide an Indicative Margin Call amount, if any, based current market prices

Notes to Assignment:

For this test, we will test new orders in isolation against the overnight position

There is no need to store the results from the earlier orders

Overnight Position Prices are deemed to be at DSP

Assume the traded contract is Crude Oil, and Contract Size is 1,000 barrels

Do all your programming below Line 42

Computed outputs, which you will be assessed on, are in the yellow cells.

Students to design their own test cases

Beware boundary conditions

Margin-Calcxlsx