Announcement

    The problem of assets secured by currency standard perpetual contracts

    In the virtual contract market, users only need to pay a small amount of capital in a certain proportion according to the contract price as financial guarantee for the performance of the contract, then they can participate in the sale of the contract. Such capital is the virtual contract guarantee asset.

    The currency standard perpetual contract adopts the full position guaranteed asset model

    After the user opens a position, the risks and benefits of all positions in the account will be combined and the secured assets required for the position will change with the change of the latest transaction price.

    Calculation of secured assets

    Position secured assets = (face value of the contract

    Number of open contracts)/latest transaction price/multiple

    Example 1: Buy and open more than 10 BTC contracts (the face value of the contract is

    100

    USD), the latest transaction price is

    5000

    USD, the multiple is 10, then

    Secured assets held = (

    100

    10) /

    5000

    /10 = 0.02 BTC

    Example 2: Buy and open more than 10 EOS contracts (face value of the contract is $10d). The latest transaction price is $5d and the multiple is 10

    Holding secured assets = (10

    10) / 5/10 = 2 EoS

    Rules for tiered secured assets

    In order to maintain the stability of the contract market and reduce the risk of large positions, Huobi contract adopts ladder secured assets. The secured assets for opening positions will be adjusted accordingly according to the account equity and multiple. When the user uses a multiple of 20 times or more and the account equity exceeds a certain range, the available secured assets for opening positions will change. Multiples of 10 times and less are not subject to the ladder of secured assets, as follows:

    Unit: currency of the subject matter of the contract

    [The above data and indicators may be adjusted in real time according to market conditions without prior notice]

    For example, if the user's account equity is 50BTC and the available secured asset is 30BTC when 20 times is selected, the user can open the position with up to 30BTC.

    Note: the availability coefficient of the last gear = 1 / the corresponding multiple

    Locked up secured assets optimization scheme

    In order to improve the user's asset utilization rate and reduce the user's position occupation of guaranteed assets, when the user holds a two-way contract under the same variety, Huobi coin-based perpetual contract implements the optimization scheme of guaranteed assets locked in position.

    Currency standard perpetual contract secured assets of locked position means that when the user holds a two-way contract of the same variety, part of the secured assets of held position will be reduced or reduced after using the optimized scheme. The formula is as follows:

    Secured assets in new positions = secured assets in long positions + secured assets in short positions - secured assets in locked positions

    The preferential proportion of the secured assets in the lockup;

    - Long open secured assets = Long open number

    - Covered assets = number of open positions

    - The preferential proportion of secured assets in lockup is

    100

    %.

    Example:

    Xiao Ming holds

    100

    0 long positions and 800 short positions in BTC coin-based perpetuity contracts using a 20 times multiple. The face value of the BTC contract is USD

    100

    . When the latest transaction price of the BTC currency standard perpetuity contract is USD8000, Xiao Ming's new holding secured assets are calculated as follows:

    - First, calculate the secured assets of small long positions and short positions respectively. According to the formula, secured assets of open positions = (number of contracts held at face value)/latest transaction price/multiple, and secured assets of long positions are

    100

    100

    0/8000/20 = 0.6250 BTC; Short positions hold secured assets of

    100

    - Thus it can be seen that the guaranteed assets of Xiaoming's long and short positions originally need 0.6250 + 0.

    5000

    = 1.125BTC, but after using the optimization scheme of secured assets of locked positions, the new secured assets of Xiaoming's holding of two-way contracts only need 0.6250BTC.

    Calculation of transferable amount:

    Convertible amount = Max [0, initial equity in current period + roll-in in current period +min (realized profit and loss, 0) +min (unrealized profit and loss, 0) -max [0, f(occupied) -max (0, realized profit and loss)]] + Max (0, [realized profit and loss - f(occupied)]))

    Convertibility coefficient of realized profits and losses)

    Note: The convertible coefficient of regular settlement is 0, while the convertible coefficient of real-time settlement is 1.

    Unrealized profit and loss = (1/

    100

    00-1/12000)

    100

    F (Occupancy) = Occupancy secured assets = (

    100

    Convertible amount = Max [0, 1+0-0+0+0-0.1667] +0 = 0.8333 BTC

    Unrealized profit and loss = (1/

    100

    00-1/9000)

    5000

    Realized profit and loss = (1/

    100

    00-1/12000)

    5000

    Occupied secured assets = (

    5000

    Convertible amount = Max [0, 5+0-0+0-5.5556-0] + [8.3333-1.3780] = 6.3997 BTC

    As can be seen from this, when the account equity exceeds a certain range and uses a large multiple, it will be limited by the ladder of secured assets, so the actual required occupation of secured assets is more, and the convertible balance is relatively less.

    Description of guaranteed asset rate

    Guaranteed asset ratio is a measure of the user's asset risk index;

    Guaranteed assets ratio = (account equity/occupied guaranteed assets)

    100

    % - adjustment factor;

    The smaller the guaranteed asset ratio, the higher the risk of the account. Forced liquidation will be triggered when the guaranteed asset ratio is less than or equal to 0%.

    Translate
    [Original]

    币本位永续合约担保资产问题

    在虚拟合约市场上,用户只需根据合约价格,按一定比例交纳少量资金作为履行合约的财力担保,便可参与合约的买卖,这种资金就是虚拟合约担保资产。

     

    币本位永续合约采用全仓担保资产模式

    用户开仓后,账户内的所有仓位持仓的风险和收益将合并计算,持仓所需的担保资产,会随着最新成交价的变化而变化。

     

    担保资产的计算

    持仓担保资产 = (合约面值 持仓合约数量)/ 最新成交价 / 倍数

    例1:买入开多10张BTC合约(合约面值为100USD),最新成交价为5000USD,倍数为10,则

    持仓担保资产 =( 100 10 )/ 5000 / 10 = 0.02 BTC

    例2:买入开多10张EOS合约(合约面值为10USD),最新成交价为5USD,倍数为10,则

    持仓担保资产=( 10 10 )/ 5 / 10 = 2 EOS

     

    阶梯担保资产规则

    为维护合约市场稳定降低大仓位风险,火币合约采用阶梯担保资产,开仓担保资产会根据账户权益和倍数进行相应调整,当用户使用20倍及20倍以上的倍数且账户权益超过一定范围时,所开仓位的可用担保资产会有所变化。10倍及10倍以下的倍数不受阶梯担保资产限制,具体规则如下:

    单位:合约标的币种

    【以上数据及指标内容可能会根据市场行情而进行实时调整,调整将不会进行另行通知】

    例如用户账户权益为50BTC,选择20倍时可用担保资产为30BTC,则用户最多可用30个BTC开仓。

    注:最后一档的 可用系数 = 1 / 对应的倍数

     

    锁仓担保资产优化方案

    为提高用户的资产利用率,减少用户的持仓占用担保资产,当在相同品种下用户持有双向合约时,火币币本位永续合约实行

    锁仓担保资产优化方案

    币本位永续合约锁仓担保资产即用户持有同品种双向合约时,使用优化方案后将会减免部分持仓担保资产,公式如下:

    新持仓担保资产 = 多仓持仓担保资产 + 空仓持仓担保资产 - 锁仓担保资产 锁仓担保资产的优惠比例;

    - 多仓持仓担保资产= 多仓持仓数量 合约面值 / 最新成交价 / 倍数 ;

    - 空仓持仓担保资产= 空仓持仓数量 合约面值 / 最新成交价 / 倍数 ;

    - 锁仓担保资产 = min ( 多仓持仓担保资产,空仓持仓担保资产 )

    - 锁仓担保资产的优惠比例100%。

    示例:

    小明使用20倍的倍数在BTC币本位永续合约持有多仓1000张,空仓800张;BTC合约面值为100 USD,当BTC币本位永续合约最新成交价为 8000 USD时,小明的新持仓担保资产计算如下:

    - 首先计算小明多仓和空仓分别的持仓担保资产,根据公式持仓担保资产= ( 合约面值持仓合约数量 ) / 最新成交价 / 倍数,多仓持仓担保资产为100 1000 / 8000 / 20 = 0.6250 BTC ;空仓持仓担保资产为 100 800 / 8000 / 20 = 0.5000 BTC.

    - 接着计算小明单合约锁仓担保资产,根据公式:锁仓担保资产 = min (多仓持仓担保资产,空仓持仓担保资产),即min ( 0.6250, 5000 ) = 0.5000 BTC;

    - 此时根据公式可以计算小明的仓位在优化方案下新的持仓担保资产,即 0.6250 + 0.5000 - 0.5000 100% = 0.6250 BTC.

    - 由此可见,小明多空持仓担保资产原本需要 0.6250 + 0.5000 = 1.125 BTC,使用

    锁仓担保资产优化方案

    后,小明持有双向合约的新持仓担保资产只需0.6250 BTC。  

    可转金额计算:

    可转金额 = max【0,本期初始权益 + 本期转入 - 本期转出 + min( 已实现盈亏 , 0 )+min( 未实现盈亏,0 )- max [ 0,f(占用) - max ( 0 , 已实现盈亏 )] 】+ max ( 0, [ 已实现盈亏 - f (占用) ] ) 已实现盈亏的可转系数)

    注:定期结算的品种可转系数为0,实时结算的品种可转系数为1。

    例1:用户BTC币本位永续合约初始账户权益为1 BTC,使用5X在价格为 10000 USD的时候开了 100 张多仓,当价格上涨到 12000 USD时,用户的可转金额计算如下:(手续费忽略不计)

    未实现盈亏 = ( 1 / 10000 - 1 / 12000 ) 100 100 = 0.1667 BTC

    f(占用) = 占用担保资产= ( 100 100 )/ 12000 / 5 = 0.1667 BTC

    可转金额 = max【0,1+0-0+0+0-0.1667】+ 0 = 0.8333 BTC

    例2:用户BTC币本位永续合约初始账户权益为5 BTC,使用100X在价格为 10000 USD的时候开了 10000 张多仓,当价格上涨到 12000 USD时平仓了5000张,然后价格又下跌至 9000 USD时用户的可转金额计算如下:(手续费忽略不计)

    未实现盈亏 = ( 1 / 10000 - 1 / 9000 ) 5000 100 = -5.5556 BTC

    已实现盈亏 = ( 1 / 10000 - 1 / 12000 ) 5000 100 = 8.3333 BTC

    占用担保资产 = ( 5000 100 )/ 9000 / 100 = 0.5556 BTC

    使用100X时受到阶梯担保资产限制,对应的可用系数为20.00%,所以需要推算出实际f(占用):

    f(占用) = 0.6 + ( 0.5556 - 0.4 ) / 20.00% = 1.3780 BTC

    可转金额 = max【0,5+0-0+0-5.5556-0】+ [ 8.3333 - 1.3780 ] = 6.3997 BTC

    由此可知,当账户权益超出一定范围,且使用较大倍数时,会受到阶梯担保资产的限制,实际所需占用的担保资产更多,可转余额相对更少。

       

    担保资产率说明

    担保资产率是衡量用户资产风险的指标;

    担保资产率 =( 账户权益 / 占用担保资产 ) 100% - 调整系数;

    担保资产率越小,账户的风险越高。当担保资产率小于等于0%时,会触发强制平仓。

       

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