Can't retrieve Deribit initial and maintenance margins

[marco-rigoni]

Hi everyone,

While running a live node with Deribit I am able to see my initial and maintenance margins being correctly logged in the 'Updated AccountState' function, but when I try to retrieve them from within my strategy I get 'None' for both.

I tried with two different approaches that work with other venues, but with Deribit they both give the same result mentioned above. Tested with release build 1.224.0 Beta.

I'll post them down here just for reference, thanks!

account = self.portfolio.account(self.instrument.venue)
        if isinstance(account, MarginAccount):
            self.margin_account = account
            self.account_id = account.id

        if self.margin_account is not None:
            margins_init_dict = self.portfolio.margins_init(account_id=self.account_id)
            margins_maint_dict = self.portfolio.margins_maint(account_id=self.account_id)
            margins_init = margins_init_dict.get(f"{self.currency}")
            margins_maint = margins_maint_dict.get(f"{self.currency}")

        if self.margin_account is not None:
            margins_init = self.margin_account.margin_init(self.config.instrument_id)
            margins_maint = self.margin_account.margin_maint(self.config.instrument_id)

[cjdsellers]

Hi @marco-rigoni

Thanks again for the report, this made it straightforward to track down.

There were actually two separate issues here. The real bug was that reported AccountState.margins were not being persisted on MarginAccount updates after construction, so the incoming Deribit account state could log the right values while later queries still returned None. I've now fixed that in both the Rust and Python paths.

The other part is a Deribit semantics mismatch. Deribit reports account / portfolio margins per currency, not per traded instrument. In Nautilus those currently come through as account-level synthetic IDs such as ACCOUNT-BTC.DERIBIT, so margin_account.margin_init(self.config.instrument_id) is not the right lookup for Deribit. I also corrected the portfolio docs here, since portfolio.margins_init() / margins_maint() are keyed by InstrumentId, not currency.

Let me know if you still see anything off on your side.

[marco-rigoni]

Hi @cjdsellers,

Thanks a lot for taking the time to fix this 🙏

Unrelated to Deribit, I'm facing the same issue with Bybit too. But in that case the logs of the 'Updated AccountState' function just show 'margins=[ ]', so maybe it's just not implemented yet. Just bringing it to your attention in case you weren't already aware.

Thanks again

[cjdsellers]

Thanks @marco-rigoni

We'll do a sweep of margin balance handling.

[marco-rigoni]

Hi @cjdsellers,

I tried to test this again on build 1.225.0 where the changelog reported the issue was fixed (thanks for the mentions), but I still can't successfully log my margins.

It works on backtest using Binance, but no signs of working live with Bybit, Deribit or Hyperliquid (this last one could be some other kind of issue since I can't even log my balances, while I can on the other two).

Thanks as always for your help!

[cjdsellers]

@marco-rigoni there was a large overhaul of account balance parsing recently that may have fixed your issues.