Glossary and Formulae

Glossary

• Index Price: aggregated spot reference price derived from external oracle sources; baseline for mark price, funding, and risk calculations
• Mark Price: manipulation-resistant fair-value estimate computed from index price, funding rate, and order-book data; used for margin evaluation, PnL, and liquidation triggers
• IM (Initial Margin): collateral required to open or increase a position
• MM (Maintenance Margin): minimum collateral required to maintain a position before liquidation is triggered
• Collateral Ratio (Haircut): discount factor applied to a non-USDC asset's market value when computing its contribution to usable collateral (USDC ratio = 1.0)
• OI Cap: per-market open-interest ceiling; risk-increasing orders are rejected when aggregate open interest reaches this limit
• Bankruptcy Price: the price at which account equity reaches zero for the relevant position set; defines the boundary between insured loss and socialized loss
• ADL (Auto-Deleveraging): forced counterparty reduction triggered when liquidation losses exceed insurance fund and backstop capacity

Formula Index

Mark Price

$$\text{Mark Price} = \text{Median}(P_1, P_2, \text{Last Traded Price})$$

Funding Payment

$$\text{Funding Payment} = \text{Position Size} \times \text{Mark Price} \times \text{Funding Rate}$$

Unrealized PnL (Long)

$$\text{Unrealized PnL} = (\text{Mark Price} - \text{Entry Price}) \times \text{Size}$$

Unrealized PnL (Short)

$$\text{Unrealized PnL} = (\text{Entry Price} - \text{Mark Price}) \times \text{Size}$$

Weighted Entry Price Update

$$\text{New Entry} = \frac{(Q_{\text{existing}} \times P_{\text{existing}}) + (Q_{\text{new}} \times P_{\text{new}})}{Q_{\text{existing}} + Q_{\text{new}}}$$

Initial Margin Requirement

$$\text{IM Requirement} = \sum_i \left(\text{Notional}_i \times \text{IM Rate}_i\right)$$

Maintenance Margin Requirement

$$\text{MM Requirement} = \sum_i \left(\text{Notional}_i \times \text{MM Rate}_i\right)$$

Haircut-Adjusted Collateral Value

$$\text{Collateral Value}_i = \text{Market Value}_i \times \text{Collateral Ratio}_i$$

Related

• Mark Price
• Funding
• PnL and Entry Price
• Margin System
• Liquidations