Do you know the difference between settlement and delivery? Next, let me tell you about the relationship.
[This article is organized by mkz888z, if there is a need for project incubation, please feel free to communicate! 】
1. Contract settlement/delivery issues
1. The difference between settlement and delivery
The settlement price and delivery price are calculated differently
Settlement rules and delivery rules are different
The biggest difference for users is that the position is still there after settlement, and the position is automatically closed after delivery.
2. Settlement
Settlement time: Beijing time every Friday at 16:00
Settlement price: The system takes the volume-weighted average transaction price of the last hour before settlement of the contract as the settlement price for settlement
Settlement rules:
No debt settlement system for the week
The system adopts the current week's no-debt settlement system, and the current week's delivery contract does not participate in the current week's no-debt settlement.
The significance of the weekly debt-free settlement system is to turn the user's profit into a balance, so that profitable users can withdraw the profit. Settlement will not change the user's actual profit and loss, and the user's rights and interests will not change before and after settlement. .
The following changes will occur during settlement:
The system will calculate the unrealized profit and loss that the user needs to settle based on the settlement price, and then merge the unrealized profit and loss into the realized profit and loss, and the realized profit and loss will be transferred to the account balance after participating in the apportionment
After settlement, the average position price of the contract will become the settlement price this time. The subsequent unrealized profit and loss will be calculated based on the new settlement price.
3. Delivery
Settlement time: 16:00 on Friday of the last week of the contract (UTC+8)
Settlement price: The system uses the arithmetic average of the dollar index of BTC and other currencies in the last hour before delivery as the delivery price.
Delivery rules:
When the contract expires, it will be delivered. The system adopts spread delivery (cash delivery) method.
The system will close the expired open position at the delivery price.
The profit and loss resulting from liquidation is included in the realized profit and loss.
The delivery will incur a handling fee, which is also included in the realized profit and loss.
In the last 10 minutes before delivery, the contract can only be closed, not open.
2. Risk reserve
The risk reserve is used to deal with the loss of liquidation caused by the failure to liquidate the forced liquidation order. Each contract type has a risk reserve. Contracts of the same type and different periods share the same risk reserve. For example, BTC weekly contracts, next-week contracts, and quarterly contracts share the same BTC risk reserve.
The system will take over the user's position and close the position in the market when the user is forced to close the position. The profit generated by the closing transaction will be injected into the risk reserve of the corresponding product. The system will manually transfer to the risk account in the initial transaction or under special circumstances, and part of the assets will be used for the capital increase risk reserve.
Use of risk reserve: During weekly settlement and delivery, if there is a systematic forced liquidation order that fails to be liquidated, resulting in a loss of liquidation, the risk reserve will be compensated first. The risk reserve is not enough to compensate, Will enter the apportionment step for apportionment.
3. Apportionment mechanism
When the market fluctuates greatly, and the user is forced to close the position and cannot be traded at the forced liquidation price, the loss range is greater than the risk reserve. The platform adopts a "sharing" system. From the profitable accounts this week, each account allocates the loss of the share of the position in proportion to the profit.
Full account apportionment system:
Consolidate statistics on the loss of liquidation caused by all forced liquidation orders, and allocate them according to all the profits of the profit accounts of the three contract types (ie, weekly, next-week, and quarterly contracts) as the allocation base.
Allocation coefficient = the loss of stocks / the sum of the profits of all profitable users
Example: When settlement/delivery is performed on Friday, the BTC contract for the current week, the next week and the quarterly contract has a total loss of -120 BTC.
First, use the risk reserve to fill it up, if it is filled, there will be a -20BTC loss. It needs to be shared by the BTC contract profit account.
Assuming that all the profits of the profitable account are 400,000 BTC, the distribution coefficient is 20/400000=1/20000
In the current week and the next week of this week, an account has a total profit of 2 BTC with the quarterly contract, so the amount that the account needs to share is 2*(1/20000)=0.0001 BTC
4. Contract price limit mechanism
In order to prevent malicious manipulation of the market, the opening and closing prices of different types of contracts are restricted.
For example, BTC quarterly contract price limit
Within 10 minutes of contract creation (when there is no basis difference limit price):
Highest price = spot index (1 + 0.5%);
Lowest price = spot index (1-0.7%);
10 minutes after the contract is generated (when there is a basis difference limit):
If (the average value of the basis in the last 10 minutes + the spot index)> the spot index * (1 + 3%), then the basis of the basis = the spot index * (1 + 3%);
If (average basis of the last 10 minutes + spot index)
If [spot index*(1 + 3%)]> (average basis of recent 10 minutes + spot index)> spot index* (1 – 4%), then basis basis = average basis of recent 10 minutes + spot index
Highest price = min (basis basis * (1+2.5%), spot index * (1 + 3%))
Lowest price = max (basis basis * (1-3.5%), spot index * (1-4%))
With the above rules, opening and closing positions are restricted. If opening a long or short-term position, when the order price is higher than the highest buying price, the hard limit price will be triggered; if opening a short or closing a long position, when the order price is lower than the lowest selling price, it will Trigger hard price limit.
After the above detailed explanation, I believe everyone basically understands it.
[This article is organized by mkz888z, if there is a need for project incubation, please feel free to communicate! 】