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Calculation of contract‘s profit and loss

Опубліковано 20 черв. 2022 р.Оновлено 15 трав. 2024 р.6 хв читання

1. Single-currency margin: cross margin

In single-currency margin mode, perpetual/futures support both Hedge mode and One-way mode, as shown in the following figures:

(1)Hedge mode

iii-calculation-of-contract-profit-and-loss-6-20-2022 image 1

(2)One-way mode

iii-calculation-of-contract-profit-and-loss-6-20-2022 image 2
Term Definition
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.
Avail. Only shown in Hedge mode Avail. = total positions – positions of pending close orders
P&L Unrealized profit or loss of current position (1) Coin-margined futures/perpetual swap P&L of long positions = face value * |number of contracts|* multiplier * (1 / avg. open price – 1 / mark price) P&L of short positions = face value * |number of contracts| * multiplier * (1 / mark price – 1 / avg. open price) (2) USDT-margined futures/perpetual swapP&L of long positions = face value * |number of contracts| * multiplier * (mark price – avg. open price) P&L of short positions = face value * |number of contracts| * multiplier * (avg. open price - mark price)
P&L ratio P&L/initial margin
Initial margin 1) Coin-margined futures/perpetual swap Initial margin = face value * |number of contracts| * multiplier / (mark price * leverage)2) USDT-margined futures/perpetual swap Initial margin = face value * |number of contracts| * multiplier * mark price / leverage
Maintenance margin 1) Coin-margined futures/perpetual swap Maintenance margin = face value * |number of contracts| * multiplier * maintenance margin ratio / mark price2) USDT-margined futures/perpetual swapMaintenance margin = face value * |number of contracts| * multiplier * maintenance margin ratio * mark price

2. Multi-currency margin mode: cross margin

Under the multi-currency margin mode, perpetual/futures derivatives support both Hedge and One-way mode, as shown in the following:

(1)Hedge mode

iii-calculation-of-contract-profit-and-loss-6-20-2022 image 3

(2)One-way mode

iii-calculation-of-contract-profit-and-loss-6-20-2022 image 4
Term Definition
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.
Avail. Only shown under Hedge mode Avail. = Total – Positions of pending close orders

PnL
Unrealized profit and loss of current positions
(1) Crypto-margined futures/perpetual swap
PnL of long positions = Face value * |Number of contracts| * Multiplier * (1/Avg. open price – 1/Mark price)
PnL of short positions = Face value * |Number of contracts| * Multiplier * (1/Mark price – 1/Avg. open price)
(2) USDT margined futures/perpetual swap
PnL of long positions = Face value * |Number of contracts| * Multiplier * (Mark price – Avg. open price)
PnL of short positions = Face value * |Number of contracts| * Multiplier * (Avg. open price – Mark price)
PnL ratio PnL/Position-opening margin
Initial margin
(1) Crypto-margined futures/perpetual swap
Initial margin = Face value * |Number of contracts| * Multiplier / (Mark price * leverage)
(2) USDT-margined futures/perpetual swap
Initial margin = Face value * |Number of contracts| * Multiplier * Mark price / Leverage
Maintenance margin (1) Crypto-margined futures/perpetual swap
Maintenance margin = Face value * |Number of contracts| * Multiplier * Maintenance margin ratio / Mark price
(2) USDT margined futures/perpetual swap
Maintenance margin = Face value * |Number of contracts| * Multiplier * Maintenance margin ratio * Mark price

3. The isolated mode of Single/Multi-currency/Portfolio margin

In isolated margin mode, perpetual/futures support both Hedge mode and One-way mode, as shown in the following figures:

(1)Hedge mode

iii-calculation-of-contract-profit-and-loss-6-20-2022 image 5

(2)One-way mode

iii-calculation-of-contract-profit-and-loss-6-20-2022 image 6
Term Definition
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.
Avail. Only shown in Hedge mode Avail. = total – positions of pending close orders
P&L Unrealized profit or loss of current position(1)Coin-margined futures/perpetual swapP&L of long positions = face value * |contracts| * multiplier * (1 / avg. open price – 1 / mark price)P&L of short positions = face value * |contracts| * multiplier * (1 / mark price – 1 / avg. open price)(2)USDT-margined futures/perpetual swapP&L of long positions = face value * |contracts| * multiplier * (mark price – avg. open price)P&L of short positions = face value * |contracts| * multiplier * (avg. open price – mark price)
P&L ratio P&L/initial margin
liquidation price (1)Coin-margined futures/perpetual swapLong positions: Est. liquidation price = face value * |number of contracts| * (maintenance margin ratio + fee rate + 1) / (margin balance + face value * |number of contracts| / avg. open price)Short positions: Est. liquidation price = face value * |number of contracts| * (maintenance margin ratio + fee rate - 1) / (margin balance - face value * |number of contracts| / avg. open price)(2)USDT-margined futures/perpetual swapLong positions: Est. liquidation price = (margin balance - face value * |number of contracts| * avg. open price) / [face value * |number of contracts| * (maintenance margin ratio + fee rate - 1)]Short positions: Est. liquidation price = (margin balance + face value * |number of contracts| * avg. open price) / [face value * |number of contracts| * (maintenance margin ratio + fee rate + 1)]
Margin balance Initial margin + margin added to or reduced from this position
Maintenance margin (1)Coin-margined futures/perpetual swapMaintenance margin = face value * |number of contracts| * multiplier * maintenance margin ratio / mark price(2)USDT-margined futures/perpetual swapMaintenance margin = face value * |number of contracts| * multiplier * maintenance margin ratio * mark price
Margin level (Margin balance + P&L) / [position value * (maintenance margin ratio + fee rate)] (1) Coin-margined futures/perpetual swap Margin level = (margin balance + P&L)/ [face value * |number of contracts| / mark price * (maintenance margin ratio + fee rate)] (2) USDT-margined futures/perpetual swap Margin level = (margin balance + P&L)/ [face value * |number of contracts| * mark price * (maintenance margin ratio + fee rate)]