Market Data & Web Scraping
Intermediate
Execute Multi-Leg Hedge Basket Orders (Buy Hedge First) with Margin Check in Python
Avoid peak margin rejection errors when deploying Iron Condors or Short Straddles in Python by executing long OTM hedge legs before short ATM legs.
#pandas
Problem Statement
If an algo bot places the Short Option leg before the Long OTM Hedge leg, the broker requires ~₹1.40 Lakh naked short margin instead of the ~₹45,000 hedged span margin, causing order rejection. Sorting legs to execute BUY legs first guarantees instant margin benefit.
Formula / Core Logic
Sorts basket order list by side ('BUY' before 'SELL' on entry; 'SELL' before 'BUY' on exit so hedges are removed last).
Installation
pip install pandas
finvasia-shoonya-api-multi-leg-basket-order-python.py
def sequence_hedged_basket_orders(legs, is_entry=True):
# legs: [{'symbol': 'NIFTY24500CE', 'side': 'SELL', 'qty': 75}, {'symbol': 'NIFTY24800CE', 'side': 'BUY', 'qty': 75}]
if is_entry:
# Entry: Execute BUY (protective hedges) first to unlock SPAN margin reduction
ordered = sorted(legs, key=lambda x: 0 if x['side'].upper() == 'BUY' else 1)
else:
# Exit: Square off short positions (BUY to cover) before selling long hedges
ordered = sorted(legs, key=lambda x: 0 if x['side'].upper() == 'BUY' else 1)
return ordered
Get the Complete 100+ Python Quant & Automation Bundle
Instant lifetime access to all production-ready scripts, valuation models, and trading bots ($19).
Buy Full Bundle on Gumroad ($19) →Frequently Asked Questions
Q: What happens if you square off the Long OTM hedge before the Short ATM leg on exit?
For the 1 second that your short leg remains unhedged, your broker will trigger a Peak Margin shortfall penalty or reject the exit.