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Spot and futures mode: cross margin trading

Publicado a 21/03/2023Atualizado a 7/10/2024Leitura de 22 minutos

Introduction

Spot and futures mode: In this mode, users can trade across all business lines simultaneously, including spot, margin, futures, perpetual swap, and options. Users only need to transfer assets into the cross margin account. In spot and futures cross margin, all trading products settled with the same crypto can share the same total margin, and the generated profits and losses can be offset.

In spot and futures cross margin, the risks of the positions settled with the same crypto will be measured in whole. When the equity of a certain crypto is insufficient, it may result in partial liquidation, full liquidation, or equity loss of all the positions settled with this crypto. If users want to segregate the risk of each position, isolated margin mode will be a good choice.

Asset fields

Term

Explanation

Parameter in Get balance

Equity

Your individual asset balance plus floating PnL from all positions in spot and futures mode.

Equity = Balance in the spot and futures cross margin account + PnL in cross margin positions + Margin balance in isolated positions + PnL in isolated positions + Options market value

eq in the details array

Free margin

The margin amount of a certain crypto that can be used for trading margins, expiry futures, perpetual futures, and options (short positions) trading.

Free margin = Max (0, Crypto balance in cross margin + Floating PnL in cross-margin positions – In use)

availEq in the details array

Available balance

The amount of crypto that can be used for isolated positions, spot, and options (long positions) trading under spot and futures account mode.

Note: This description is for order calculation only and will not be displayed as a field on the platform.

availBal in the details array

In use

The amount of crypto in the spot and futures account that is in use, which includes cross open orders, positions, accrued interest, isolated open orders, and assets used in trading bots.

frozenBal in the details array

Floating PnL

The sum of the floating PnL of all margin, futures, and options positions that are settled with a certain crypto, including positions under cross and isolated margin mode.

Floating PnL = Floating PnL of cross-margin positions + Floating PnL of isolated margin positions

Floating PnL of cross-margin positions = Floating PnL of cross-margin positions + Floating PnL of cross-margin expiry futures positions + Floating PnL of cross-margin perpetual futures positions + Floating PnL of cross-margin options positions

Floating PnL of isolated margin positions = Floating PnL of isolated margin positions + Floating PnL of isolated expiry futures positions + Floating PnL of isolated perpetual futures positions + Floating PnL of isolated options positions.

upl in the details array

Leverage

The leverage of a single crypto, leverage = position value/ (balance in cross positions + floating PnL in cross margin positions).

Position value: the sum of position value of all positions that are settled in this crypto

Calculation of position value

Expiry and perpetual futures
Crypto-margined

Position value = face value * |number of contracts| * multiplier / mark price
USDT-margined

Position value = face value * |number of contracts| * multiplier * mark price

Margin
Long positions using base crypto as margin, and having quote crypto as liability.

Position value = |liability + interest| / mark price

Short positions with base crypto as margin and having base crypto as liability.

Position value = |liability + interest|

Short positions using quote crypto as margin and having base crypto as liability.

Position value = |liability + interest| * mark price

Long positions using quote crypto as margin and having quote crypto as liability.

Position value = |liability + interest|

Options
Position value = face value * |number of contracts| * multiplier

notionalLever in the details array

Margin level

The index for measuring the risk of a certain asset in the account.

Margin level = (balance of a certain asset in spot and futures cross margin account + P&L in cross margin positions - the amount of sold asset in open orders - the amount required for options buy orders - the amount required for open orders in isolated margin mode – order fees)/(Maintenance margin + liquidation fees)

The maintenance margin is the sum of the maintenance margin of margin, futures, and options positions. Open orders are also included.

The liquidation fees are also the sum of the fees charged for margin, futures and options transactions. Open orders are also included.

These calculations are to avoid liquidations caused by a sudden change in the account risk level after the open order is filled.

mgnRatio in the details array

Total equity

The fiat value of all cryptocurrencies in the your account.

Total equity = Sum (Crypto equity × Crypto price)

The crypto price is based on the USD price of the crypto on OKX. If a crypto does not have a USD price, we will calculate using the spot price of the USDT pair of the crypto multiplied by the price of USDT/USD on OKX. If there is no USDT price, we’ll use the spot price of the USDC pair of the crypto multiplied by the price of USDC/USD on OKX. If there is no USDC price, we’ll calculate according to the spot price of the BTC pair of the crypto multiplied by the price of BTC/USD on OKX.

eqUsd in the details array

Trading rules

In spot and futures mode, users can choose to trade in cross margin mode or isolated margin mode. In cross margin mode, all trading products settled with the same crypto can share the same total margin, and the generated profits and losses can be offset. In isolated margin mode, the risk of each position, as well as the profit and loss, are separated.

Trading rules for spot and futures cross margin mode

  • When users conduct futures, perpetual, options(short positions), and margin transactions in spot and futures cross margin mode, the available equity of the crypto in the account should be greater than or equal to the amount required for the order.

  • When users conduct spot or options(long positions) transactions in spot and futures cross margin mode, the available balance of the crypto in the account should be greater than or equal to the amount required for the order.

Note: Available balance refers to the amount of assets that can be used to open isolated positions and carry out spot and options (long positions) trading with the spot and futures account.

If a user's BTC holdings in spot and futures cross margin positions and open orders are as below:

Underlying

Position type

Direction

Leverage

Position margin (BTC)

Open order margin (BTC)

UPL (BTC)

MMR

BTCUSDT Margin

Margin (Isolated)

Long

5

100

200

10

1%

BTCUSDT Margin

Margin (Cross)

Long

5

100

200

10

1%

BTCUSD Quarterly

Futures (Cross)

Long

1

10

20

5

1%

And if the user conducts margin trading in spot and futures cross margin mode with the holdings as above, the margin verification for placing an order will be as follows:

Then when the user opens a long position with 200 BTC and 5x leverage, the amount of required margin for this order will be 200 / 5 = 40 BTC;

In use = Margin required for futures open orders and positions in cross margin mode + Margin required for margin open orders and positions in cross margin mode + Margin required for open orders in isolated margin mode = 10 + 20 + 100 + 200 + 200 = 530 BTC;

Assuming the user's balance in the cross margin account is 700 BTC.

Free margin = Max (0, balance in cross margin account + floating PnL in cross margin positions - In use) = max(0, 700 + 10 + 5 - 530) = 185 BTC;

If the BTC free margin > the amount of BTC required for the order, it means the order is placed successfully.

If the user conducts the futures trading in spot and futures cross margin mode with the holdings as above, the order validation for placing an order will be as follows:

If the user longs 100,000 weekly futures contracts with 5x leverage at a price of 10,000 USDT/BTC, the required margin amount = face value * number of contracts * contract multiplier / order price / leverage multiplier = 100000 * 100 * 1 / 10000 / 5 = 200 BTC;

In use = Margin required for futures open orders and positions in cross margin mode + Margin required for margin open orders and positions in cross margin mode + Margin required for open orders in isolated margin mode = 10 + 20 +100 +200 + 200 = 530 BTC;

Free margin = Max (0, balance in cross margin account + floating PnL in cross margin positions - In use) = max(0, 700 + 10 + 5 - 530 ) = 185 BTC;

That is, the BTC free margin is less than the amount required for the order, so the order fails.

Margin positions in cross margin mode

Position fields

Term

Explanation

Parameter in Get position

Assets

The amount of positive assets in the position (does not include margin).

pos

Available asset

The amount of positive assets to available to close a position.

availPos

Liability

Initial liabilities + deducted interest
- Long position: Liability is calculated in quote crypto.
- Short position: Liability is calculated in base crypto.

liab

Interest

Interest that has been accrued but has not been deducted yet.

interest

Avg. open price

(Existing positions * Entry Price of Existing Positions + New positions * Entry Price of New Positions) / (Quantity of Existing + New positions)

Note: When calculating the avg. open price, the amount that was previously closed will not be deducted from the existing position size. This is the difference between futures and margin when calculating the avg. open price.

Example:

The user opened a 1 BTC long position when the price was 50000 USDT/BTC and partially closed 0.5 BTC. At this point, there is still 0.5 BTC in the position and the avg. open price remains 50000 USDT/BTC. Thereafter, the user increased the position size by 1 BTC when the price was 30000 USDT/BTC. Even though the position is now 1.5 BTC, the avg. open price = (1 * 50000 + 1 * 30000) / (1 + 1) = 40000 USDT/BTC, using 1 BTC as the existing position size instead of 0.5 BTC.

avgPx

Est. liquidation price

The underlying price when the cross position of a spot and futures account meets the liquidation conditions.

This price only serves as a reference.


Note: When there is an options position or a margin position of non-USDT pair in spot and futures cross margin mode, the est. liquidation price can't be calculated.
In the USDT spot and futures cross margin mode, if there are contracts or margin positions with different underlyings, the est. liquidation price cannot be calculated either.

liqPx

Floating PnL

Unrealized profit or loss of the current position.

Calculation formula:
Long position using base crypto as margin, it will be calculated in base crypto.

Floating PnL = Total assets - (liability + interest) / mark price


Long position using quote crypto as margin, it will be calculated in quote crypto.

Floating PnL = Total assets * mark price - (liability + interest)


Short position using quote crypto as margin, it will be calculated in quote crypto.

Floating PnL = total assets - (liability + interest) * mark price


Short position using base crypto as margin, it will be calculated in base crypto.

Floating PnL = Total assets / marked price - (liability + interest)

upl

Floating PnL %

Floating PnL / Initial margin

uplRatio

Initial margin

Long positions using base crypto as margin and having quote crypto as liability.

Initial margin = (liability + interest) / (mark price * leverage)


Short positions with base crypto as margin and having base crypto as liability.

Initial margin = (liability + interest) / leverage


Short positions using quote crypto as margin and having base crypto as liability.

Initial margin = (liability + interest) * mark price / leverage

Long positions using quote crypto as margin and having quote crypto as liability.

Initial margin = (liability + interest) / leverage

imr

Maintenance margin

Long positions using base crypto as margin.

Maintenance margin = (liability + interest) * maintenance margin ratio / mark price

Long positions using quote crypto as margin.

Maintenance margin = (liability + interest) * maintenance margin ratio

Short positions using quote crypto as margin.

Maintenance margin = (liability + interest) * maintenance margin ratio * mark price

Short positions using base crypto as margin.

Maintenance margin = (liability + interest) * maintenance margin ratio

mmr

Initial margin

Both tokens of a pair can be used as margin for long/short positions.

Example:

When trading the BTC/USDT pair, you can choose either BTC or USDT as the margin crypto to open long/short margin positions in spot and futures cross mode.

Assuming you open a long position of 1 BTC using 10x leverage and use BTC as the margin crypto, a margin of 0.1 BTC is required (the free margin in spot and futures account should be greater than or equal to 0.1 BTC), the filled price is 10,000 USDT/BTC, and 10,000 USDT needs to be borrowed; no borrowings or interest will be incurred if the order has not been filled but the margin will be in use.

After the order is filled, a long position will be opened: the total asset of this position will be 1BTC, while its liability is 10,000 USDT. The margin of 0.1BTC will remain in the account balance, and will not be transferred to the position asset (It is different from isolated position, where margin for isolated position will be transferred to the position asset).

Closing positions

Position assets and margin are using the same crypto

  • Long positions using base crypto as margin, and having quote crypto as liability.

  • Short positions using quote crypto as margin and having base crypto as liability.

Principle of closing positions: Only the available asset can be used for closing a position. Users can close the position when they pay off the liability; Users can also choose whether to use "reduce only" when closing a position.

The available asset formula for closing positions:

The main difference from the isolated margin: the available asset can be used for closing the position is the total asset of the isolated margin positions, while in spot and futures cross margin mode (where position assets and margin crypto are the same), the available asset that can be used for closing the position may be the sum of total position asset and part of the equity in account balance.

Fundamentally, closing a margin position cannot affect the risks of other positions in a spot and futures cross margin mode. When the total equity is greater than or equal to the initial margin required for the coin, the available asset for closing a margin position can include the initial margin of this position; when the equity is less than the initial margin required for the coin, the available asset for closing a margin position can include the maintenance margin of this position.

Closing long positions with liability calculated in quote crypto:

  • Coin equity ≥ coin initial margin, the available asset for closing margin positions = (|liability + interest| of this margin position) * (1 + IMR% of this margin position) / mark price

  • Coin equity < coin initial margin, the available asset for closing margin positions = (|liability + interest| of this margin position) * (1 + MMR% of this margin position) / mark price

Closing short positions with liability calculated in base crypto:

  • Coin equity ≥ coin initial margin, the available asset for closing margin positions = (|liability + interest| of this margin position) * (1 + IMR% of this margin position) * mark price

  • Coin equity < coin initial margin, the available asset for closing margin positions = (|liability + interest| of this position) * (1 + MMR% of this position) * mark price

The rules of closing positions are the same as those of isolated positions, except the available asset formula.

No.

Mode

Closing method

Rule

Example

1

Close in Position

Market close all

1. Only pay off the liabilities, and the remaining assets will be transferred to the spot and futures account balance.
2. Only the available assets can be used to close the positions.
3. The default setting is “reduce only".

User has a long position with available assets 2 BTC, liability 10,000 USDT, and interest 10 USDT.
1. The system will calculate how much USDT needs to be bought to close the position and pay off liabilities (Interest and fees will also be included). If it is 10,020 USDT, the system will sell 2 BTC at the market price, and then stop it when you receive 10,020 USDT. Due to transaction accuracy, it may exceed a little.
2. Assuming the average filled price is 10,000 USDT, then buying 10,020 USDT requires 1.002 BTC, and the remaining 0.998 BTC will not be sold.
3. After closing the position, the remaining 0.998 BTC will be transferred to the BTC spot and futures account balance, and due to accuracy reasons, the remaining USDT will also be transferred to the USDT spot and futures account balance after the liability is paid off.

Using a limit order

1. You can buy assets that exceed the liabilities. Once the liability is paid off, the margin position will be closed. The oversold assets and remaining ones will be transferred to the spot and futures account balance.
2. Only the available asset can be used to close the position.
3. The default setting is "reduce only".

User has a long position with available assets 2 BTC, liability 10,000 USDT, and interest 10 USDT
1. Sell 0.5 BTC at the filled price of 10,000 USDT, then 5,000 USDT is bought. After deducting the fee of 5 USDT and interest of 10 USDT, the remaining 4,985 USDT will be used to pay off the liability. With a remaining liability of 5,015 USDT, the position still exists.
2. After partially closing the position: the position asset is 1.5 BTC, liability 5,015 USDT, and interest 0 USDT.
3. Sell 1 BTC at the filled price of 10,000 USDT, then 10,000 USDT is bought. After deducting the fee of 15 USDT, the remaining 9,985 USDT will be used to pay off the liability of 5,015 USDT. Since liability has been paid off, the position disappeared;
4. The remaining assets of 0.5 BTC and 4,970 USDT will be transferred to the account balance of BTC and USDT spot and futures account separately.

2

Close in order placement area

Reduce only

The same as those of [Close in Position]

-

Reduce + reverse position

1. When the liability is paid off, the margin position will disappear. The oversold asset will be used to open a reverse position;
2. Only the available asset can be used to close the position, and the margin for opening a reverse position is the available equity of the corresponding spot and futures account.

User has a short position with available assets 30,000 USDT, liability 2 BTC, with interest and transaction fees temporarily ignored.
1. Buy 1 BTC at the filled price of 10,000 USDT. This order uses assets of 10,000 USDT to pay off the liability of 1 BTC;
2. After partially closing the position: the remaining asset of it is 20,000 USDT, and the remaining liability is 1 BTC. Since the liability has not been paid off, the position still exists;
3. Buy 1.5 BTC at the filled price of 10,000 USDT. 1.5 BTC > liability of 1 BTC. After the order is filled, the position will be closed first, and then a reverse position will be opened.
4. The asset of 10,000 USDT is used to pay off the liability of 1 BTC, and after the long position is closed, the remaining 10,000 USDT asset on the position will be transferred to the USDT spot and futures account balance;
5. The reverse position of 0.5 BTC will use 1,000 USDT in the spot and futures account balance as its margin, and 5,000 USDT will be borrowed to open a reverse long position;
6. At this time, the position asset of this margin long position is 0.5 BTC, and liability is 5,000 USDT.

Position assets and margin are using different crypto

  • Short positions with base crypto as margin and having base crypto as liability.

  • Long positions using quote crypto as margin and having quote crypto as liability.

Principle of closing positions: Only position assets can be used to close a position. When the position assets are completely sold, the position will be closed. If the liability is not paid off, the equity in the account will be used to directly pay off the remaining liabilities; Users can choose whether to use "reduce only".The available asset that can be used to close the position = position assets.

No.

Mode

Closing method

Rule

Example

1

Close in Position

Market close all

1. The position will be closed when all position assets are sold at market price.
2. The default setting is “reduce only”.

User has a long position with available assets 2 BTC, liability 10,000 USDT, with interest and fees temporarily ignored.Its margin crypto is USDT, and its margin is in USDT spot and futures account balance.
1. The system will sell 2 BTC. If the average filled price is 9,000 USDT, a total of 18,000 USDT will be bought. The liability of 10,000 USDT will be paid off. The remaining 8,000 USDT will be transferred to USDT account balance and the position will be closed.
2. If the average filled price is 2,000 USDT, a total of 4,000 USDT will be bought. The remaining liability will be 6,000 USDT, which will be paid off by USDT account balance. Then the position will be closed.

Using a limit order

1. The position will be closed when all position assets are sold at limit price.
2. The default setting is “reduce only”

User has a long position with available assets 2 BTC, liability 10,000 USDT, with interest and fees temporarily ignored.Its margin crypto is USDT, and its margin is in USDT spot and futures account balance.
1. Sell 1BTC at the average filled price of 15,000 USDT, a total of 15,000 USDT will be bought. The liability of 10,000 USDT will be paid off. The remaining 5,000 USDT will be transferred to the USDT account balance. The position is not closed yet because there is still 1 BTC position asset, which is different from the margin crypto.
2. Sell the remaining 1 BTC position asset at the filled price of 10,000 USDT, then a total of 10,000 USDT will be bought. Since liability has been paid off, 10,000 USDT will be transferred to the USDT account balance. Because the position asset is 0, the position is closed.

2

Close in order placement area

Reduce only

The same as those of [Close in Position]

-

Reduce only + reverse position

1. The position will be closed when all position assets are sold. The remaining assets will be used to open a reverse position;
2. The available asset is position assets, and the margin for opening a reverse position is the available equity of the corresponding crypto of the account.

User has a short position with available assets is 30,000 USDT, liability 2 BTC, with interest and fees temporarily ignored.
1. Buy 2.5 BTC at the filled price of 10,000 USDT. This order uses position asset of 25,000 USDT to pay off the liability of 2 BTC. The remaining 0.5 BTC will be transferred to BTC spot and futures account balance. Although the liability is paid off, the position is not closed yet with a position asset of 5,000 USDT.
2. Buy 1.5 BTC at the filled price of 10,000 USDT. 15,000 USDT> a position asset of 5,000 USDT. After the order is filled, the position will be closed first, and then a reverse position will be opened;
3. 0.5 BTC will be bought by a position asset of 5,000 USDT, and transferred to BTC spot and futures account balance.
4. 10,000 USDT will be borrowed to buy 1 BTC to open a reverse long position, and 0.1 BTC in the spot and futures account balance will be used as margin.
5. At this time, the position asset of this margin long position is 1 BTC, and liability of it is 10,000 USDT.

Expiry and perpetual futures in cross margin mode

In spot and futures cross margin mode, both Hedge mode and One-way modes are supported.

Position fields

Term

Explanation

Parameter in Get position

Total

For the one-way mode, the total of long positions is a positive number, and the total of short positions is a negative number.

pos

Avail.

Only shown in Hedge mode
Avail. = total positions – positions of open close orders

availPos

Floating PnL

Unrealized profit or loss of current position
Crypto-margined

Floating PnL of long positions = face value * |number of contracts| * multiplier * (1 / avg. open price – 1 / mark price)

Floating PnL of short positions = face value * |number of contracts| * multiplier * (1 / mark price – 1 / avg. open price)

USDT-margined

Floating PnL of long positions = face value * |number of contracts| * multiplier * (mark price – avg. open price)

Floating PnL of short positions = face value * |number of contracts| * multiplier * (avg. open price - mark price)

upl

Floating PnL %

Floating PnL / initial margin

uplRatio

Initial margin

Crypto-margined

Initial margin = face value * |number of contracts| * multiplier / (mark price * leverage)

USDT-margined

Initial margin = face value * |number of contracts| * multiplier * mark price / leverage

imr

Maintenance margin

Crypto-margined

Maintenance margin = face value * |number of contracts| * multiplier * maintenance margin ratio / mark price

USDT-margined

Maintenance margin = face value * |number of contracts| * multiplier * maintenance margin ratio * mark price

mmr

Options in cross margin mode

In spot and futures mode, you will be able to open long and short positions of options

Position fields

Term

Explanation

Parameter in Get position

Total

The total of long positions is a positive number, and the total of short positions is a negative number.

pos

Options value

If the unit for calculating the price is crypto, then options value = total positions * mark priceIf the unit for calculating the price is the number of contracts, then options value = total positions * mark price * multiplier

optVal

Floating PnL

Unrealized profit or loss of current position

Floating PnL = (mark price - avg. open price) * total positions * multiplier

upl

Floating PnL %

Floating PnL % = (mark price – avg. open price) / avg. open price

Floating PnL % = (avg. open price - mark price) / avg. open price

uplRatio

Initial margin

The initial margin for long positions is 0. Information on how to calculate the initial margin for short positions can be found here.

imr

Maintenance margin

The maintenance margin for long positions is 0. Information on how to calculate the maintenance margin for short positions can be found here.

mmr

Risk assessment

The spot and futures cross margin mode applies a double-layer risk assessment measure. The first layer is "order cancellation by risk control system", and the other is "pre-liquidation verification". This measure ensures a smooth trading experience, prevents the open orders from being completely canceled, and prevents the positions from being partially or even fully liquidated due to insufficient margin.

Order cancellation by risk control system

If a user's account is assessed as risky but not risky enough to trigger "pre-liquidation verification", the" order cancellation by risk control system" will be executed, and some open orders will be canceled to ensure the account stays within a safe risk control level, which can prevent the open orders from being canceled because of a sudden triggering of "pre-liquidation verification".Rules for "order cancellation by risk control system" in spot and futures margin mode

  • When (Available equity of the crypto in spot and futures account - used balance) < the required maintenance margin for all the positions + the initial margin for the open orders of opening positions in cross margin mode + the open orders fees, all the open orders that will increase the used equity amount will be cancelled. (Including the opening orders of futures, perpetual, options, and margin in both cross margin and isolated margin mode, as well as the open orders for selling the crypto).

  • When the available balance <0, all open orders in isolated margin mode, open orders for selling the crypto, and options buy orders will be canceled.


Pre-liquidation verification

The liquidation that happens in spot and futures margin mode is triggered depending on whether or not the margin level reaches 100%. In the spot and futures cross margin mode, the margin level is an indicator calculated from the cross margin account equity and maintenance margin in a certain crypto. Generally, the higher the account equity, and the lower the maintenance margin, the lower the risk.

When the margin level of a certain crypto in spot and futures cross margin mode is < 300%, the system will send a liquidation alert to the account, warning users of the risk of liquidation. 300% is set as the pre-alert parameter, and OKX reserves the right to adjust this parameter according to the actual situation.

When the margin level of a certain crypto in spot and futures cross margin mode is <= 100%, the system will cancel the orders according to the following rules, that is, order cancellation by pre-liquidation system:

Business line

Mode

Spot and futures cross margin

Expiry and perpetual futures

Hedge mode

Cancel all unfilled open orders (including algo orders) in cross margin mode, the limit orders and stop-loss orders of opening positions in isolated margin mode; the stop-loss orders of closing positions in isolated margin mode and algo orders except stop orders in isolated margin mode will not be canceled.

One-way mode

Cancel all unfilled open orders (including algo orders) in cross margin mode, and the limit orders of opening positions in isolated margin mode; algo orders in isolated margin mode will not be canceled.

Margin

-

Cancel all unfilled open orders (including algo orders) in cross margin mode, and the limit orders with the same direction of current positions in isolated margin mode; algo orders in isolated margin mode will not be canceled.

Options

-

Cancel all unfilled open orders in cross margin mode and orders of opening positions in isolated margin mode.


If the margin level is still <= 100% after the orders are canceled, the account will trigger a liquidation.The partial liquidation process can be divided into three phases. In each stage, the positions to be partially liquidated will be handed over to the liquidation engine at the mark price, and a certain amount of maintenance margin will be charged (It is determined by your position tier, which will make up for the loss of the liquidation engine, and the remaining will be injected into the insurance fund, which will not get additional liquidation fee). The option long position will not be partially liquidated.

Three phases of partial liquidation:

1)First, partial liquidation will start with the long and short reverse positions of the same contract under the Hedge mode.

2) When there is no position described in phase 1), or all positions described in phase 1) are partially liquidated, and the account is not restored to a safe state, the system will try to keep the total delta value of the account unchanged while attempting to reduce the overall risk of the account. That is, partially liquidate the long and short hedged positions in terms of delta value (Delta refers to a rate of change in the position value of a contract per change in the index price. When the two changes are in the same direction, the delta is positive. Otherwise, it is negative. The greater the change in the position value of a contract per change in the index price, the greater the absolute value of delta). If multiple positions meet the delta long and short offsetting conditions, the system will first partially liquidate the position with a larger maintenance margin.

3) When there is no position described in 2), or all positions described in 2) are partially liquidated (that is, the total delta value of the account cannot be kept almost unchanged at this time, while the account risk cannot be reduced), and the account has not been restored to safety status, the system will try to partially liquidate the remaining unhedged positions, and will give priority to those with the best risk reduction effect. Each time you partially liquidate your position, the position tier will be reduced by one level until the account is safe again.

For example, the current price of futures contract BTC-USD-0925 is 50000 USD/BTC, assuming the account assets are as follows:

Type

Amount

Balance

5 BTC

Positions

Expiry futures: BTCUSD0925 +1000 conts, Position delta > 0

Options: BTCUSD-20200925-65000-C -100 conts, Position delta < 0

BTCUSD-20200925-55000-P -500 conts, Position delta > 0

Open orders

Expiry futures: BTCUSD1225 +100 conts, Order price at 9,000

Perpetual futures: BTCUSD perpetual swap -100 conts, Order price at 8,000

The liquidation condition is triggered when the margin level is 93%. After all the open orders are canceled, the margin level of the position turns 95%. Then the position goes into liquidation status. At this moment, the available equity in the cross margin account is 9.5 BTC, and the maintenance margin is 10 BTC.

The position does not contain the long and short reverse positions of the same contract in the long and short mode, but contains the long and short hedged positions in terms of delta value.

After calculation, the futures BTCUSD0925 will be liquidated by 500 conts of long positions, and the options BTCUSD-20200925-65000-C will be liquidated by 100 conts of short positions. After liquidation, the account equity is 9.4 BTC, and the maintenance margin is 9.6 BTC.

If the account is not restored to a safe state and there is no hedged position in the single currency account (all short positions of BTCUSD-20200925-65000-C are liquidated, and the delta value of all remaining positions is positive), please apply liquidation logic to unhedged positions.

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