Definitions and Formulas

Available Margin

Available margin is the cash/cryptocurrency in a trading wallet that can be used to open new positions

  • Available Margin<sup>1</sup> = Trading Wallet Balance<sup>2</sup> - Position Margin<sup>2</sup> - Order Margin<sup>2</sup> - Unrealized Losses <sub>Cross Positions</sub><sup>2</sup>
  • <sup>1</sup> To fund positions using a given collateral cryptocurrency
  • <sup>2</sup> In the same collateral cryptocurrency

Bankruptcy Price

Bankruptcy price is the price at which a position has consumed all its margin and has zero equity

Basis

Basis is the difference between the spot price and the derivatives price of the same or a related asset

Cash Wallet Balance

Cash wallet balance is the total value of cash/cryptocurrency held in a cash wallet

  • Cash Wallet Balance = Cash Wallet Deposits - Cash Wallet Withdrawals

Exit Fees

Exit fees are the trading fees required to close positions during liquidations. For the purpose of earmarking on BLADE, exit fees are assumed to be 2X taker fees at entry prices

  • Exit Fees <sub>Vanilla Contracts</sub> = # of Contracts * Contract Size * Entry Price * Taker Fee % * 2
  • Exit Fees <sub>Inverse Contracts</sub> = # of Contracts * Contract Size / Entry Price * Taker Fee % * 2

Fills

Fills are the action of satisfying orders

Index/Indices

Indices are computed indicators designed to represent and track an asset, market or market segment

Initial Margin

Initial Margin is the upfront cash/cryptocurrency deposit made prior to opening a new position or adding to an existing one

  • Initial Margin <sub>Vanilla Contracts</sub> = # of Contracts * Contract Size * Entry Price * IM%
  • Initial Margin <sub>Inverse Contracts</sub> = # of Contracts * Contract Size / Entry Price * IM%

Inverse

Inverse is a more complex payoff structure (versus vanilla) in which a contract’s P&L is non-linear and denominated in the underlying currency (as opposed to the quote currency)

Leverage

Leverage is the use of futures/derivatives contracts or borrowed funds to increase exposure and potential returns

  • Leverage = 1 / Margin %

Liquidation Price

Liquidation price is the price at which a position is liquidated due to insufficient margin

Isolated Positions
  • Liquidation Price <sub>Vanilla Contracts: Longs</sub> = (Position Notional + Maintenance Margin - Initial Margin) / (# of Contracts * Contract Size)
  • Liquidation Price <sub>Vanilla Contracts: Shorts</sub> = (Position Notional + Initial Margin - Maintenance Margin) / (# of Contracts * Contract Size)
  • Liquidation Price <sub>Inverse Contracts: Longs</sub> = (# of Contracts * Contract Size) / (Position Notional + Initial Margin - Maintenance Margin)
  • Liquidation Price <sub>Inverse Contracts: Shorts</sub> = (# of Contracts * Contract Size) / (Position Notional + Maintenance Margin - Initial Margin)
Cross Positions
  • Liquidation Price <sub>Vanilla Contracts: Longs</sub> = (Position Notional + (Maintenance Margin - Initial Margin - Trading Wallet Balance <sub>Same Collateral</sub> + Unrealized Losses <sub>Other Cross Positions with Same Collateral</sub> + Position Margin <sub>Same Collateral</sub> + Order Margin <sub>Same Collateral</sub>)) / (# of Contracts * Contract Size)
  • Liquidation Price <sub>Vanilla Contracts: Shorts</sub> = (Position Notional - (Maintenance Margin - Initial Margin - Trading Wallet Balance <sub>Same Collateral</sub> + Unrealized Losses <sub>Other Cross Positions with Same Collateral</sub> + Position Margin <sub>Same Collateral</sub> + Order Margin <sub>Same Collateral</sub>)) / (# of Contracts * Contract Size)
  • Liquidation Price <sub>Inverse Contracts: Longs</sub> = (# of Contracts * Contract Size) / (Position Notional - (Maintenance Margin - Initial Margin - Trading Wallet Balance <sub>Same Collateral</sub> + Unrealized Losses <sub>Other Cross Positions with Same Collateral</sub> + Position Margin <sub>Same Collateral</sub> + Order Margin <sub>Same Collateral</sub>))
  • Liquidation Price <sub>Inverse Contracts: Shorts</sub> = (# of Contracts * Contract Size) / (Position Notional + (Maintenance Margin - Initial Margin - Trading Wallet Balance <sub>Same Collateral</sub> + Unrealized Losses <sub>Other Cross Positions with Same Collateral</sub> + Position Margin <sub>Same Collateral</sub> + Order Margin <sub>Same Collateral</sub>))

Liquidity

Liquidity describes the degree to which assets or financial instruments can be bought or sold without affecting the price

Longs

Longs are net-buyer open positions created by predominantly buying contracts

Maintenance Margin

Maintenance margin is the minimum amount of cash/cryptocurrency required to maintain a position

  • Maintenance Margin <sub>Vanilla Contracts</sub> = # of Contracts * Contract Size * Entry Price * MM%
  • Maintenance Margin <sub>Inverse Contracts</sub> = # of Contracts * Contract Size / Entry Price * MM%

Maker Rebates

Maker rebates are payments from exchanges to users/members for supplying (i.e. “making”) liquidity. Maker orders rest on the order book before being matched and filled

Mark Price

Mark price is the price used to reconcile changes in the value of assets or financial instruments (i.e. mark-to-market). On BLADE, mark prices equal the underlying index prices and is used to calculate unrealized P&L

Market Maker

Market makers are trading partners who are obligated to provide continuous two-sided liquidity in exchange for benefits and incentives

Mark-to-Market

Marking-to-Market (also known as marking) is the process of reconciling changes in the value of assets or financial instruments

Position Notional/Position Value

Position Notional/Position Value is the nominal amount of an asset or financial instrument in a derivatives contract that is used to determine payments/margin/etc. on the contract. Position Notional is calculated using the entry price whereas Position Value is calculated using the mark price. Both are expressed in a currency such as USD, KRW or BTC

  • Position Notional <sub>Vanilla Contracts</sub> = # of Contracts * Contract Size * Entry Price
  • Position Notional <sub>Inverse Contracts</sub> = # of Contracts * Contract Size / Entry Price
  • Position Value <sub>Vanilla Contracts</sub> = # of Contracts * Contract Size * Mark Price
  • Position Value <sub>Inverse Contracts</sub> = # of Contracts * Contract Size / Mark Price

Open Interest

Open Interest is the total value or number of outstanding contracts that exist at a given time

Open Margin

Order margin is the cash/cryptocurrency in a trading wallet that is earmarked for initial margin for open orders

Open Position

Open positions are positions that have not been settled or closed with an opposing trade or through contract termination

Open Order

Open orders are orders that remain in effect until execution, cancellation or expiration

Perpetuals

Perpetuals are derivatives contracts which are similar to futures contracts, but without expiration dates. Perpetuals represent the price of a perpetual claim on an index

Position Margin

Position margin is the cash/cryptocurrency in a trading wallet that is assigned to open positions to meet margin requirements

Quote Currency

Quote currency is the currency in which a transaction is quoted. On BLADE, it is always the second currency in a currency pair (i.e. for ETH/USDT, the quote currency is USDT)

Realized P&L

Realized P&L are profits and losses that have been monetized to cash/cryptocurrency

Shorts

Shorts are net-seller open positions created by predominantly selling contracts

Spot

Spot prices are the current prices at which underlying assets can be bought or sold for immediate delivery

Taker Fees

Taker fees are fees charged by exchanges to users/members for removing (i.e. “taking”) liquidity. Taker orders are matched and filled immediately against the order book

Tick

Ticks (also known as tick sizes) are the smallest price increment in which prices are quoted and can change

Trading Wallet Balance

Trading wallet balance is the total value of cash/cryptocurrency held in a trading wallet

  • Trading Wallet Balance = Trading Wallet Deposits - Trading Wallet Withdrawals + Realized P&L

Underlying

The underlying is the asset or financial instrument against which a derivatives contract is valued

Unrealized P&L

Unrealized P&L are profits and losses that have not been monetized to cash/cryptocurrency

  • Unrealized Mark P&L <sub>Vanilla Contracts: Longs</sub> = # of Contracts * Contract Size * (Mark Price - Entry Price)
  • Unrealized Mark P&L <sub>Vanilla Contracts: Shorts</sub> = # of Contracts * Contract Size * (Entry Price - Mark Price)
  • Unrealized Mark P&L <sub>Inverse Contracts: Longs</sub> = # of Contracts * (Contract Size / Entry Price - Contract Size / Mark Price)
  • Unrealized Mark P&L <sub>Inverse Contracts: Shorts</sub> = # of Contracts * (Contract Size / Mark Price - Contract Size / Entry Price)
  • Unrealized Basis Payment P&L = Accumulated Basis Payments Prior to Daily Settlement at 1:00 UTC

Vanilla

Vanilla is the term for common and more simple derivatives contracts. For perpetuals, vanilla is a traditional payoff structure in which a contract’s P&L is linear and denominated in the quote currency

Volume

Volume is the value or number of contracts traded during a given time period