fix: support BNFCR alternative collateral in CryptoFutureMarginModel for Binance#9373
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Romazes merged 12 commits intoQuantConnect:masterfrom Apr 13, 2026
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Replace IsStableCoinWithoutPair foreach loop with a single TryGetValue check for BNFCR. BNFCR is EU/EEA-only (MiCA Credits Trading Mode) so the lookup is a no-op for all other users. Amount reflects availableBalance from the Binance API — the total cross-margin pool already aggregated by Binance — making the > 0 guard correct and avoiding CashBook iteration.
…e USDⓈ-M futures Asserts end-to-end that EU/MiCA accounts with zero USDT and BNFCR as the only collateral can open ADAUSDT positions. Verifies buying power, holdings AbsoluteHoldingsCost, TotalSaleVolume, TotalMarginUsed, maintenance margin consistency and TotalUnrealizedProfit accuracy.
…ry collateral Replace IsStableCoinWithoutPair and hardcoded asset list with CashBook iteration gated by BNFCR presence. Binance controls which assets are in the account — all with non-zero walletBalance are valid collateral. Add tests for BNFCR zero balance and BTC collateral conversion.
…BNFCR mode - Extract virtual SharesCollateral in CryptoFutureMarginModel - Override in BinanceCryptoFutureMarginModel: BNFCR present → all USDⓈ-M share pool - Add BNFCRCurrency const - Add SharedCollateralDeductsMaintenanceMarginAcrossQuoteCurrencies unit test - Refactor regression algorithm to assert shared collateral across ADAUSDT/ETHUSDC
…reMarginModel - Remove IsCryptoCoinFuture() check (coin futures use BinanceCoinFuturesBrokerageModel, not this model) - Call base.GetTotalCollateralAmount() instead of duplicating primaryCollateral.Amount - Remove CoinFutureDoesNotIncludeBnfcrAsCollateral test (tested wrong margin model)
- No longer accessed by subclasses after removing direct collateral checks from BinanceCryptoFutureMarginModel
Martin-Molinero
approved these changes
Apr 13, 2026
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Description
Add
BinanceCryptoFutureMarginModelthat aggregates all supplementary collateral assets for USDⓈ-M futures when BNFCR is present (EU/EEA MiCA Credits Trading Mode). BNFCR presence in CashBook gates the collateral loop - non-EU accounts skip entirely. All non-zerowalletBalanceassets are summed as collateral (Binance specifiesmarginAvailable: truefor each eligible asset in the API response).Related PR(s)
Related Issue
Fixes #9339
Motivation and Context
EU/EEA Binance Futures users under MiCA Credits Trading Mode use BNFCR as the cross-margin
accounting currency.
GetMarginRemaining()only checked the quote currency (e.g. USDT),returning zero buying power for EU users. Binance aggregates all collateral into BNFCR
(from the MiCA FAQ:
1,000 USDC + 0.3 BTC×$60k + 12 BNB×$600 = 26,200 BNFCR).All 12 asset types in the EU account API response have
marginAvailable: true-including stablecoins (USDC, FDUSD, USD1), crypto (BTC, ETH, BNB, U), and internal
products (BNFCR, LDUSDT, BFUSD, RWUSD). Binance adds new collateral types regularly,
so a hardcoded list would be outdated quickly. Instead we iterate CashBook and sum all
non-zero, non-primary collateral when BNFCR is present.
Requires Documentation Change
No
How Has This Been Tested?
Unit tests (
CryptoFutureMarginModelTests):MarginRemainingWithBnfcrOnlyCollateral- BNFCR as sole collateralMarginRemainingWithMixedCollateral- USDT + BNFCRMarginRemainingWithUsdtOnlyCollateral- non-EU backward compatibilityCoinFutureDoesNotIncludeBnfcrAsCollateral- coin futures skip BNFCRBnfcrZeroBalanceIncludesSupplementaryCollateral- BNFCR=0, USDC=100BtcCollateralConvertedToQuoteCurrency- BTC collateral converted via market priceDefaultMarginModelDoesNotIncludeSupplementaryCollateral- non-Binance brokerageRegression algorithm:
BinanceCryptoFutureBnfcrCollateralRegressionAlgorithmLive tested with Binance EU account (Credits Trading Mode,
multiAssetsMargin: true).Types of changes
Checklist:
bug-<issue#>-<description>orfeature-<issue#>-<description>