3 (i.e., funding is settled once every 8 hours)
Funding Rate Calculation:
Price Premium / Index Price
Funding Rate Methodology:
1. Funding Rate updates every 60 seconds (“Predicted Funding Rate”) and finalizes on each Funding Interval (i.e., once every 8 hours).
2. Funding Rate is clamped at (-0.5%, 0.5%). (i.e., Max Funding Rate is 0.5%; Min Funding Rate is -0.5%)
3. Longs pay shorts if Funding Rate is positive, Shorts pay longs if Funding Rate is negative. Funding payment facilitated on each Funding Interval (i.e., every 8 hours)
4. Funding payment is facilitated in USDT
5. Funding Payment: Funding Rate * Index Price * Position Size
Position PnL Calculation per Contract:
Position Size * (Mark Price – Position Price)
Position PnL Calculation per Account:
Unrealized PnL + Realized PnL
1. Position PnL is the profit or loss from open positions, since last flat
2. Unrealized PnL is rolled into Realized PnL once every 15 minutes. Unrealized PnL is rolled into Realized PnL when:
A. Position is closed or flipped (i.e., a net long becomes a net short, or a net short becomes a net long)
B. Every 15 minutes, assuming the absolute value of Unrealized PnL > 1% * Effective Collateral AND the absolute value of Unrealized PnL ≥ 10 USDT
3. Positive Unrealized PnL does not contribute to an account’s collateral until it becomes Realized PnL
4. PnL is always marked-to-market in USDT
How is the Mark Price calculated?
The Mark Price is calculated as: (Index Price) + (Price Premium)
What is the significance of Mark Price?
Mark Price is a more robust and resilient mechanism used as a stand in for Market Price when calculating aspects of the liquidation process on AscendEX Futures. Without this mechanism, unnecessary liquidations may occur if AscendEX Futures’ order book was illiquid or if there was significant market impact (“slippage”) induced by any trade that occurred on the platform.
How is the Funding Payment calculated?
The Funding Payment is calculated as: (Funding Rate) x (Index Price) x (Position Size)
What does the Funding Rate determine?
In lieu of cash or physical settlement, perpetual contracts employ “funding” to facilitate payouts between long and short positions every 8 hours. When the funding rate is positive, long positions pay short positions. When the funding rate is negative, short positions pay long positions.
Note: Funding Payment is in USDT.
How is the Index Price calculated?
The Index Price is computed by taking an average last trade price from the USDT spot trading pairs order books from the following five spot market trading platforms - AscendEX, Binance, Huobi, OKEx and Poloniex, and removing the highest and the lowest price.
How is Market Price calculated?
Median of best bid, best ask, last price from AscendEX Futures.
How is the Price Premium calculated?
The Price Premium is calculated as: (TWAP(Market Price) - TWAP(Index Price)) / (Funding Interval)
Note: TWAP (time weighted average price) is the 1 second rolling price average of the previous 8 hours.
How is Zero Price calculated?
What is the significance of Zero Price?
When an Account Margin Rate dips below the Takeover Margin Rate, an account’s distressed positions are transferred to AscendEX Futures at the Zero Price. The Zero Price is the price of a BTC contract that would bring an Account Value to $0.
It may be helpful to conceptualize this transfer of distressed positions as a trade – i.e., Alice sells her distressed positions to AscendEX Futures, the buyer, at the Zero Price and a trade is consummated.
Recall that trading is a zero-sum game, meaning the accounting gains made by one side of a trade are offset by the accounting losses incurred by the other side of a trade. There is always a “winner” and a “loser” involved in a trade. The below examples illustrate instances wherein AscendEX Futures is on each the winning and losing side of this “trade.”
Example 1: Alice Loses, AscendEX Futures Wins: When Alice’s Account Value > $0, transferring positions to AscendEX Futures at the Zero Price is the equivalent of being on the “losing side” of a trade. Accordingly, AscendEX Futures would be on the “winning side” of the trade. This is because Alice was forced to transfer her positions to AscendEX Futures prior to her account going bankrupt.
Example 2: Alice Wins, AscendEX Futures Loses: When Alice’s Account Value < $0, transferring positions to AscendEX Futures at the Zero Price is the equivalent of being on the “winning side” of a trade. Accordingly, AscendEX Futures would be on the “losing side” of the trade. This is because Alice was “bailed out” by AscendEX Futures after her account had already gone beyond bankruptcy.
How is Takeover Price calculated?
What is the significance of Takeover Price？
After an account’s distressed positions are transferred to AscendEX Futures, AscendEX Futures will subsequently sell these positions to Backstop Liquidity Providers (“BLPs”) at the Takeover Price.
Purchasing distressed positions at the Takeover Price may be profitable or unprofitable for BLPs based on whether the account taken over had an Account Value greater than or less than $0.
For instances when an Account Value > $0 at the Takeover, the result of the Takeover Price calculation will always be:
2/3 Zero Price + 1/3 Mark Price
This Takeover Price grants the BLPs access to 2/3’s of an accounts remaining Account Value in the form of distressed positions taken over at a favorable price.
For instances when an Account Value < $0 at the Takeover, the result of the Takeover Price calculation will always be:
Mark Price * (1 + 10% * Takeover Margin Rate)) for longs; and,
Mark Price * (1 - 10% * Takeover Margin Rate)) for shorts.
This Takeover Price serves to mitigate the risk associated with a BLP taking over positions from an account that is beyond bankruptcy by placing a collar on the takeover price equal to 1/10 of the takeover margin rate.
1. Post only order will be added to the order book and not execute with a pre-existing order immediately.
2. GTC (Good Till Cancel): the order will continue to work until the order fills or is canceled.
3. IOC (Immediate Or Cancel): the order will execute all or part immediately and cancel any unfilled portion of the order.
4. FOK (Fill Or Kill): the order must be filled immediately in its entirety or not executed at all.
5. Reduce-Only Orders:
Reduce-only orders allow you to set buy and sell orders intended only to reduce your current position, not increase it.
For example, if a user has a short position of 2 BTC and places a reduce-only order to buy 3 BTC, then the system will automatically reduce the new buy order to 2 BTC to prevent opening an unintended opposite position.
Reduce-only orders only apply when there is an open position in the account. If the newly-placed reduce-only order is larger than the current position, then the system will automatically reduce the new order size. When the reduce-only order is filled, the current position will not take an unintended opposite direction (i.e. long position flipped to short position, or short position flipped to long position).
6. IOO (Immediate or OTC) Order:
IOO (Immediate or OTC) Order: An Immediate or OTC (IOO) order only applies to market orders when they are closed at market price. When that happens, the system will automatically place an IOO order, which means the user's order will be executed immediately or be transferred to BLPs.
User's order will execute against existing open orders with a certain depth on the book first; if the order size is too large to be executed immediately, then the unfilled portion will be transferred to BLPs.