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Margin Modes And How They're Calculated

Updated

Multi-currency margin mode overview

The unified account supports 2 multi-currency margin modes, multi-currency cross margin and portfolio margin, each designed for different trading needs:
  • Multi-currency cross margin: The margin logic is intuitive, with margin calculated independently for each position, making it easy to understand and manage risk. It's suitable for users who trade spot, delivery futures, and perpetual futures.
  • Portfolio margin: The platform evaluates account margin and overall risk based on stress testing. Margins for derivatives under the same index can offset each other, helping improve capital efficiency. It's suitable for users who trade spot, delivery futures, perpetual futures, and options.
Risk for multi-currency margin is measured using USDT. If a user's effective margin (USDT) is higher than the total maintenance margin across all positions, their positions remain open. If not, then liquidation will be triggered.
 

Multi-currency cross margin mode

Features

  • In multi-currency cross margin mode, users can use assets in their trading account to trade 3 product types at the same time: spot (including margin), delivery futures, and perpetual futures.
  • Under multi-currency cross margin mode, orders and positions use margin on an order-by-order and position-by-position basis, but PnL across multiple assets and multiple futures is shared. Unrealized profits can be used to open positions, improving capital efficiency.
  • This mode is more suitable for spot and futures traders, as well as traders with one-way positions and higher leverage.

Calculation methods

  • Initial margin (IM): The funds frozen by the system when a position is opened, representing the minimum margin required to establish the position.
  • Maintenance margin (MM): The minimum margin required while holding a position. When a user's effective account equity is lower than the maintenance margin, liquidation will be triggered.
  • Note: Both IM and MM consist of an order margin component and a position margin component, but the formulas for each differ between the two.
     

Initial margin (IM)

Order margin

  • Order margin：Order amount × Order price / Leverage
  • Futures order trading:
    Short order margin = max(Total short order margin - 2 × Long position margin, 0)
    Long order margin = max(Total long order margin - 2 × Short position margin, 0)
    Order margin = max(Short order margin, Long order margin)


Position margin

  • Spot margin position margin:
    Spot margin position margin:Liability margin = Liability amount × Index price / Leverage
  • Futures position margin:
    Position margin = abs(Position size) × Mark price / Leverage


Maintenance margin (MM)

Spot margin trading

Spot margin trading uses a tier schedule to calculate the maintenance margin for liabilities.
  • Maintenance margin = USDT value of positions and orders × Maintenance margin ratio of the applicable tier - Maintenance margin deduction amount
  • Maintenance margin deduction amount = Tier (n-1) risk limit × (Difference between the maintenance margin ratios of tier n and tier (n-1)) + Tier (n-1) maintenance margin deduction amount
For the latest maintenance margin calculation for margin trading, refer to the official website.

Note: The maintenance margin deduction amount is an adjustment value used to simplify calculations under the tier schedule, so users can quickly calculate their maintenance margin.

 

Futures trading

Perpetual futures and delivery futures trading use a tier schedule to calculate futures maintenance margin.
  • Maintenance margin = USDT value of positions and orders × Maintenance margin ratio of the applicable tier - Maintenance margin quick deduction amount

  • Maintenance margin quick deduction amount = Tier (n-1) risk limit × {Difference between the maintenance margin ratios of the tier n and tier (n-1)) + Tier (n-1) maintenance margin deduction amount

For the latest maintenance margin calculation for futures trading, refer to the official website.


Portfolio margin mode

Features

  • In portfolio margin mode, users can use assets in their trading account to trade 4 product types at the same time: spot (including margin), delivery futures, perpetual futures, and options.
  • Portfolio margin uses indicators such as stress testing (based on the mark price and implied volatility of the underlying assets), concentration risk, and calendar spread risk to calculate the overall risk of the derivatives portfolio. Under stress testing, if the derivatives portfolio contains hedged positions, the required margins for such positions can partially offset each other.
  • The calculation method for liability margin is the same as in multi-currency cross margin mode.
  • Unlike multi-currency cross margin mode, which calculates margin based on individual positions, portfolio margin calculates margin based on the risk of the entire portfolio. If the positions have a long-short hedging relationship, portfolio margin will significantly reduce margin compared with multi-currency cross margin.
     

Calculation methods

  • Initial margin = max(Worst case scenario + Roll shock + Delta shock + Decoupling margin, Minimum charge) + Derivatives order margin + Loan initial margin
  • Maintenance margin = 0.8 × max[(Worst case scenario + Roll shock + Delta shock + Decoupling margin), Minimum charge] + Liabilities maintenance margin
  • In portfolio margin mode, spot, perpetual futures, delivery futures, and options under the same index are grouped together for margin calculation.
 

Risk matrix output margin

Calculation item
Calculation rules
Price change and volatility change test
  1. Main table
    Used to calculate the new price for each position under a stress test scenario and the corresponding PnL.
     
  2. Price change scenarios
    For each underlying, a price range is defined and used to divide price changes into 9 tiers: -4, -3, -2, -1, 0, +1, +2, +3, +4.
    The underlying price change for a given tier is calculated as: Underlying price change = Tier number × (Price range / 4)
    Example: If the price range for BTC/USDT is set to 12%, the underlying price change for the "-3" tier is: -3 × 12% / 4 = -9%
     
  3. Extended table
    The price movement percentages are fixed values. The current values are: -66%, -33%, +50%, +100%, +200%, +300%, +400%, +500
    Calculation results are adjusted first, then dampened separately by base currency.
    Example: When the BTC/USDT price movement is -33%, the new BTC/USDT price = Current price × (1 - 33%)
     
  4. Volatility change
    The volatility change uses fixed values. There are currently 3 parameters: volatility increase ratio, volatility decrease ratio, and minimum volatility increase ratio, with values of 40%, 25%, and 50%, respectively.
Simulated PnL
  1. After the underlying price change and volatility change are calculated, the new futures price is calculated. Simulated position PnL = (New futures price – Current futures price) × Size × Position side
     
  2. PnL values in the extended matrix are further subject to dampening adjustments.
Extended risk matrix dampening
The PnL values in the extended risk matrix will be dampened to reduce exaggerated PnL test results. The dampening steps are as follows:
  1. Adjusted PnL
    Adjusted PnL = Crypto price range / Price movement interval × PnL × Extended risk matrix factor
     
  2. Amount to be dampened
    Amount to be dampened = min({max[(|Price movement interval| / Price fluctuation range), 1] - 1} × Amount to be dampened for extended risk matrix PnL, |Adjusted PnL|)
     
  3. Final PnL = min(Adjusted PnL + Amount to be dampened, 0)
Spot hedging rules
  1. Spot assets can hedge losses on derivatives and reduce the margin used by derivatives.
     
  2. In the risk matrix, spot longs participate in PnL scenario calculation for price increases. Spot liabilities (margin and borrowing) participate in PnL scenario calculation for price decreases. The amount by which spot hedges derivatives PnL is calculated in real time.
     
  3. When the user's account only holds spot assets, no margin is used.
Risk matrix output margin
Take the worst-case scenario for each currency and then aggregate them to obtain the risk matrix output margin.
 
Risk matrix output margin = ∑ Worst-case PnL values in the risk matrix, summed across all crypto.
Notes: Refer to the official website for the latest parameters.


Worst case scenario

Positions across the different underlying assets are put in the same risk matrix and stress-tested using base and extended matrices as described above to identify the worst case scenario.
Worst case scenario = Loss value from worst-case scenario across all assets in risk matrix


Decoupling margin

Decoupling margin = Risk matrix output margin - Worst case scenario
*All parameters for all currency pairs can be found on the portfolio margin calculation details page.
 

Risk margin

Risk margin components
Calculation rules
Delta shocok

 
Delta shock is calculated separately for each currency pair, targets large Delta positions, and is denominated in USDT.
 
The platform will calculate the net Delta of spot assets and the net Delta of perpetual and delivery futures positions separately.
 
It will only be included in the calculation when the net spot asset Delta helps offset the net Delta of futures.
 
The Delta value used for shock calculation (Delta shock) refers to the net Delta of perpetual and delivery futures that is not offset by the net Delta of spot assets.
 
The Delta values are converted into USDT-denominated Delta by multiplying them by the corresponding index price.
 
The portion exceeding the Delta total liquidity shock threshold is then multiplied by a Delta shock coefficient.
 
Finally, an upper limit to the Delta shock (which is the maximum Delta shock ratio) is applied.
Roll shock
Roll shock measures the basis risk of positions with different expiry dates. It is calculated separately for each currency and denominated in USDT.
 
First, the minimum roll shock is calculated based on the net notional USDT Delta for each expiry date.
 
Next, the annualised roll shock is calculated based on the remaining time to expiry and the annualised basis risk rate.
 
Roll shock is calculated using the higher of the two values.
 
Then, this value is added across all base currencies to obtain each final roll shock.
 
*Note: The Delta of perpetual futures is treated as an expiry date of its own, with a time to expiry of 0.
Note that the parameters used in the calculation process may vary depending on the currency configuration. Taking BTC as an example, the minimum Delta shock coefficient for expiry dates is 1% and the annualized basis risk is 8%.

 

Minimum charge

Minimum charge includes futures trading fees. 
For delivery and perpetual futures, each contract's USDT value is weighted by the portfolio margin tier multiplier to determine the required initial margin, which serves as the future's minimum charge.

Total derivatives minimum charge = ∑ (Weighted minimum charge across perpetual and delivery tiers), summed by currency


 

Borrowing margin

The current liability margin calculation is the same as under multi-currency cross margin mode.


Open order margin

Each derivatives order uses margin independently. The detailed rules are as follows:
Contract type
Open order
Futures
(Delivery futures + Perpetual futures)
  • Futures buy order - Order margin = Order price × Order amount × coefficient %
     
  • Futures sell order - Order margin = Order price × Order amount × coefficient %
Options
  • Options buy order - Order margin = min[max (Mark price - Minimum sell price, Order price - Minimum sell price, Minimum price movement), Order price] × Order amount
     
  • Options sell order - Order margin = max(Maximum buy price - Mark price, Maximum buy price - Order price, Minimum price movement) × Order amount
 

How to switch margin modes

  • A switch button is available in the Unified account panel.

Margin 001.png
  • When you click this, a switch pop-up will appear.

Margin 002.png
You need to meet the following conditions to switch mode:
You must have no derivatives positions or open orders (limit, market, TP/SL, or trigger).
The account you want to switch modes must not be in any account group.


Margin details

  • On the margin risk ratio page, click Details to go to the margin calculation details page. It is divided into the current total margin value section, margin calculation details section, risk matrix section, and trading parameters section. These sections allow users to view the margin calculation process and the current values of various parameters
Margin 003.png
 

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