Futures margin by broker: intraday, overnight and backtest size

Contents

1. How do futures margin requirements differ between brokers?
2. What is the difference between initial, maintenance and intraday margin?
3. Why does your broker's margin change?
4. Where do you check the current margin for NinjaTrader, Tradovate or TradeStation accounts?
5. Why does a backtest not show margin calls?
6. How many contracts can your account carry?
7. Should you test micro or full-size contracts?
8. Frequently asked questions

How do futures margin requirements differ between brokers?

Overnight margin starts from the exchange's minimum, and a broker may ask for more. Intraday margin is each broker's own lower figure for positions closed before a cutoff time, so it is the number that differs most between brokers. For a backtest, size the account from overnight margin plus a stressed drawdown. Never size it from the cheapest intraday rate.

Margin is a deposit, not a fee. In futures it is called a performance bond. You leave money in the account so that the clearing house and your broker know you can cover a day's losses. When you search for "NinjaTrader margin requirements", "Tradovate margin requirements" or "TradeStation futures margin requirements", you find each firm's own table. Those tables follow the same structure, but the intraday numbers are business decisions made by each firm.

For Taiwan index futures, the TAIEX futures margin calculator shows the margin per contract for TAIEX, Mini-TAIEX and Micro-TAIEX futures.

Two different questions hide behind the word "margin":

• How many contracts may I open? The broker's margin answers this.
• How many contracts can my account survive? Your strategy's drawdown answers this. The backtest is where you find it.

Most sizing mistakes come from answering the second question with the number for the first one.

What is the difference between initial, maintenance and intraday margin?

There are three different requirements, and each one applies at a different time of the trading day.

Initial margin is the amount you need in the account to open a position that you will hold past the session close. Maintenance margin is the lower level your account equity must stay above while you hold that position. Intraday margin is a lower amount that a broker accepts for positions opened and closed within the same session. Day traders often call it "day trading margin". A margin call is the broker's demand for more money when your equity falls below the required level.

Type	Who sets it	When it applies	What happens if you fall short
Initial (overnight)	The exchange sets a minimum. The broker may require more.	Opening a position you will hold past the close.	The order is rejected.
Maintenance (overnight)	The exchange sets a minimum. The broker may require more.	While you hold a position overnight.	A margin call. You usually deposit enough to bring the account back to the initial level, or the broker reduces the position.
Intraday	The broker, within the exchange's rules. Some exchanges, such as TAIFEX, set the day-trade reduction themselves.	During the session, until the broker's cutoff before the close.	Many brokers close positions automatically and do not wait for a deposit.

The cutoff is the key detail. Near the end of the session, an intraday position must either be closed or be covered by the full overnight margin. If neither happens, the broker may close it for you. The cutoff time is set by the broker and is often some minutes before the close.

Why does your broker's margin change?

Margins move because they follow market risk, and brokers add their own judgment on top of the exchange's figure.

The clearing house recalculates overnight margin from recent price movement. When volatility rises, the exchange raises the minimum, sometimes with only a short notice. When markets calm down, it may lower the minimum again. Brokers pass these changes on and may add a buffer of their own.

Intraday margin changes for further reasons:

• Account type and size. Some brokers offer lower intraday rates to certain account types or larger accounts.
• Scheduled events. Some brokers raise intraday margin to the overnight level around major economic releases, elections or holidays.
• Time of day. A rate may apply only during regular trading hours, with a different rate in the night session.
• The broker's own risk policy. Two firms can look at the same contract on the same day and choose different numbers.

This is why a margin figure copied from a forum post or an old screenshot is not useful. Exchanges and brokers can change these values at any time. Read the exchange's contract page for the official minimum, and read your broker's margin page or account window for the figure that applies to you.

Where do you check the current margin for NinjaTrader, Tradovate or TradeStation accounts?

Check your own broker's current figure for your account type on the day you size the position. The steps are the same for every futures broker.

1. Open your broker's published margin page. This might be the brokerage arm of NinjaTrader, Tradovate, TradeStation or any other futures broker.
2. Find the exact contract. Full-size and micro contracts are listed separately.
3. Note both numbers: the intraday margin and the overnight (initial and maintenance) margin.
4. Note the intraday cutoff time and the time zone it is stated in.
5. Read any notice of temporary increases around holidays or scheduled events.
6. Compare the overnight figure with the exchange's published minimum. Your broker's figure will be equal to it or higher.
7. Write down the date. Margin is a value at a point in time, like a price.

Why does a backtest not show margin calls?

A standard backtest trades a fixed number of contracts and adds up profits and losses. It does not check the account balance against a margin rule, so it cannot show a margin call.

• Margin is not in the price data. Bar data contains prices and volume. It does not contain the margin table of the day.
• Historical margins are hard to rebuild. Margins changed many times over a ten-year history, and your broker's intraday rates from years ago are rarely published.
• The equity curve has no floor. If a strategy lost more than an account could hold, a fixed-size backtest simply keeps trading. In real trading, a margin call or a forced liquidation would have stopped it at the worst moment.

So you add margin yourself, after the test. The backtest gives you the strategy's drawdown per contract. You then compare that drawdown with your account and your broker's margin. Two settings make this comparison honest. First, include fees and slippage, so the drawdown is the real one. Second, set the trading session to the hours you will actually trade. For day trading, check in the trade list that every exit happens before your broker's intraday cutoff. A backtest exit five minutes after the cutoff is a trade your broker might have closed for you at a different price. The performance report in AlphaPrime (Valynox) puts the drawdown and the trade list in one place, so you can check each exit time against your broker's intraday cutoff.

How many contracts can your account carry?

Choose the number of contracts so that the overnight margin and a stressed drawdown both fit inside the account at the same time.

Think of renting a moving truck. The rental desk checks your licence. That is the margin. Whether the furniture fits is a separate question. That is the drawdown. Passing the first check does not answer the second.

One simple formula:

Contracts = Account ÷ (Margin + Stressed drawdown), rounded down.

• Account is the money you will put into this strategy.
• Margin is your broker's overnight initial margin for one contract. Use it even for day trading, because the intraday rate can be raised to the overnight level on event days.
• Stressed drawdown is the largest backtest drawdown for one contract, after costs, multiplied by a safety factor you choose, for example 1.5 or 2. The future drawdown can be deeper than the past one.

The position size calculator answers the per-trade version of this question: how many contracts fit a given account risk and stop distance. Use both checks and trade the smaller number. If you combine several strategies in one account, measure the drawdown of the combined equity curve, because strategies often lose together.

Should you test micro or full-size contracts?

Micro contracts let a small account trade the same market in smaller steps. Test them with their own costs, because fees per contract do not shrink by the same factor as the contract.

Full-size	Value per index point	Smaller contract	Value per index point	Size ratio
E-mini S&P 500 (ES)	$50	Micro E-mini S&P 500 (MES)	$5	1/10
E-mini Nasdaq-100 (NQ)	$20	Micro E-mini Nasdaq-100 (MNQ)	$2	1/10
TAIEX Futures (TX)	NT$200	Mini-TAIEX Futures (MTX)	NT$50	1/4

What this changes in practice:

1. Finer sizing. In the example above, 3 micros were the answer. With full-size contracts, the only choices would have been 0 or 1, and 1 would have been too large.
2. Same signals, different costs. A micro follows the same index, but commission and exchange fees per contract are usually more than one tenth of the full-size cost. A strategy with a small average trade can work on ES and fail on MES. Run the backtest again with micro costs.
3. Margin roughly follows size. Micro margins are often close to the size ratio of the full-size margin, but each one is set separately. Look up both.
4. Drawdown scales with contract value. One ES carries about the drawdown of ten MES, so convert the backtest drawdown to the contract you will trade.

Contract sizes and tick values are set by the exchange. Check them on the exchange's contract page. Our guide to futures basics for systematic traders explains contracts, leverage and tick values in more detail.

What this means if you use AlphaPrime: AlphaPrime's backtesting includes fees, slippage, next-bar execution and trading sessions, so the drawdown you size from already contains these costs. The strategy code you export through platform export to MultiCharts, TradingView, TradeStation, NinjaTrader, MetaTrader 4 or MetaTrader 5 still trades under your broker's margin rules, so you add the margin check yourself.

Frequently asked questions

What is day trading margin for futures?

Day trading margin, or intraday margin, is a lower deposit that a broker accepts for futures positions opened and closed in the same session. Each broker sets it, and it applies only until the broker's cutoff before the close. After the cutoff, the position needs the full overnight margin or it may be closed automatically.

Why does my broker ask for more margin than the exchange?

The exchange publishes a minimum overnight margin. Brokers carry the risk if your account goes negative, so they may require more than that minimum. Some brokers raise their requirements further around holidays and major economic releases.

Do NinjaTrader, Tradovate or TradeStation margin requirements change backtest results?

No. A standard backtest trades a fixed number of contracts and does not check the account against margin. Margin matters when you choose the account size and the number of contracts after the test. Use your broker's current overnight margin plus a stressed drawdown from the backtest.

Is micro futures margin exactly one tenth of the full-size contract?

Not always. Micro margins are often close to the size ratio, but the exchange and the broker set each contract's margin separately. Look up both figures on the same day before you compare them.