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PNL and Liquidation

Profit and Loss (PNL)​

Unrealized PNL (Unpnl)​

After a participant opens a position in crypto futures at time i, the PNL for that position at any subsequent time t (t ∈ [0, T)) before closing is referred to as Unrealized PNL (Unpnl). The formula for Unpnl at time t is as follows:

Where:

  • The superscript L/S denotes long/short positions.
  • The subscript t denotes the moment at time t.
  • S_t represents the price of the underlying asset at time t (≥ 0).
  • Q represents the position size.
  • F_i,t represents the funding rate amount to be collected or compensated at time t for the position opened at time i.

Realized PNL (pnl)​

After a participant opens a position in crypto futures at time i and chooses to close it at time T, the corresponding pnl is calculated as follows:

​

Where:

  • The superscript L/S denotes long/short positions.
  • S_T represents the price of the underlying asset at time T (≥ 0).
  • Q represents the position size.
  • F_i,T represents the funding rate amount to be collected or compensated at time T for the position opened at time i.

Liquidation Price (Liq)​

After opening a position in cryptocurrency futures, the participant can choose to close their position at any subsequent time t (t ∈ [0, T)). The net asset value of the position at time t (the amount received after closing the position at time t) is calculated as follows:

​

Where:

  • The superscript L/S denotes long/short positions.
  • M_t represents the margin balance at time t (≥ 0).
  • Unpnl_t denotes the unrealized PNL at time t.

The system's maintenance margin level (liquidation threshold) is defined as:

​

Where:

  • a is the minimum residual balance parameter in the system, currently set to 15.
  • m is the maintenance margin ratio, currently set at 0.5% for crypto, 0.05% for forex.

Therefore, the liquidation price formula at time t is as follows:

​

Where:

  • The superscript L/S denotes long/short positions.
  • S_0 represents the price of the underlying asset at time 0 (opening price).
  • Mm represents the maintenance margin.
  • Q represents the position size.
  • F_i,t represents the funding rate amount to be collected or compensated at time t for the position opened at time i.
  • M_t represents the margin balance at time t (≥ 0).