Use option quotes for target margin pricing

Common/Securities/Option/OptionMarginModel.cs

@@ -107,15 +107,31 @@ public override InitialMargin GetInitialMarginRequirement(InitialMarginParameter
         {
             var security = parameters.Security;
             var quantity = parameters.Quantity;
+            var price = GetInitialMarginPrice(security, quantity);
             var value = security.QuoteCurrency.ConversionRate
                         * security.SymbolProperties.ContractMultiplier
-                        * security.Price
+                        * price
                         * quantity;
 
             // Initial margin requirement for long options is only the premium that is paid upfront
             return new OptionInitialMargin(parameters.Quantity >= 0 ? 0 : value * GetMarginRequirement(security, quantity, value), value);
         }
 
+        private static decimal GetInitialMarginPrice(Security security, decimal quantity)
+        {
+            if (quantity > 0 && security.AskPrice != 0m)
+            {
+                return security.AskPrice;
+            }
+
+            if (quantity < 0 && security.BidPrice != 0m)
+            {
+                return security.BidPrice;
+            }
+
+            return security.Price;
+        }
+
         /// <summary>
         /// The percentage of the holding's absolute cost that must be held in free cash in order to avoid a margin call
         /// </summary>

Tests/Common/Securities/OptionMarginBuyingPowerModelTests.cs

@@ -78,6 +78,59 @@ public void TestLongCallsPuts()
             Assert.AreEqual(0m, buyingPowerModel.GetMaintenanceMargin(optionCall));
         }
 
+        [Test]
+        public void LongOptionInitialMarginUsesAskPriceIfAvailable()
+        {
+            const decimal bidPrice = 1.5m;
+            const decimal askPrice = 2.5m;
+            const decimal lastPrice = 2m;
+            const decimal underlyingPrice = 200m;
+            const decimal quantity = 10m;
+
+            var equity = CreateEquity();
+            equity.SetMarketPrice(new Tick { Value = underlyingPrice });
+
+            var optionCall = CreateOption(equity, OptionRight.Call, 192m);
+            optionCall.SetMarketPrice(new Tick
+            {
+                Value = lastPrice,
+                BidPrice = bidPrice,
+                AskPrice = askPrice,
+                TickType = TickType.Quote
+            });
+
+            var buyingPowerModel = new OptionMarginModel();
+            var expectedPremium = askPrice * optionCall.SymbolProperties.ContractMultiplier * quantity;
+
+            Assert.AreEqual(expectedPremium, buyingPowerModel.GetInitialMarginRequirement(optionCall, quantity));
+        }
+
+        [Test]
+        public void ShortOptionInitialMarginUsesBidPriceIfAvailable()
+        {
+            const decimal bidPrice = 1.5m;
+            const decimal askPrice = 2.5m;
+            const decimal lastPrice = 2m;
+            const decimal underlyingPrice = 200m;
+            const decimal quantity = -10m;
+
+            var equity = CreateEquity();
+            equity.SetMarketPrice(new Tick { Value = underlyingPrice });
+
+            var optionCall = CreateOption(equity, OptionRight.Call, 192m);
+            optionCall.SetMarketPrice(new Tick
+            {
+                Value = lastPrice,
+                BidPrice = bidPrice,
+                AskPrice = askPrice,
+                TickType = TickType.Quote
+            });
+
+            var buyingPowerModel = new OptionMarginModel();
+
+            Assert.AreEqual(-41500, (double)buyingPowerModel.GetInitialMarginRequirement(optionCall, quantity), delta: 0.01);
+        }
+
         [Test]
         public void TestShortCallsITM()
         {