Profit/Loss & Position Marking

Profit/Loss

Funding Payments

The funding rate is accrued continuously on the position size, and paid to/from the margin account in collateral currency at spot. Funding payments are realized when a trader modifies her position size, i.e. by performing an opening or closing trade.

Opening Trades

Opening a position or increasing the size of an existing position:

Locked-in-Value += Index Price * Trade Amount

Cash in margin account += ((Execution Price - Index Price) * Trade Amount
                          - Fee rate * |Trade Amount| * Index Price) / Collateral spot price
                          - Accumulated funding since last trade

Closing Trades

Closing or reducing the size of an existing position:

Locked-in-Value += Average Entry Price * Trade Amount
where 
Average Entry Price = |Locked-in-Value| / |Position size|

Cash in margin account += ((Execution Price - Index Price) * Trade Amount
                          - Fee rate * |Trade Amount| * Index Price) / Collateral spot price
                          - Accumulated funding since last trade

Position Marking

The mark price determines Margin Account calculations and Liquidations.

Unrealized PnL

Current profit and loss of a given open position, in collateral currency:

Unrealized PnL = (Mark Price * Position Size  - Locked-in-Value) / Collateral spot price
                - Unpaid accumulated funding

Margin Balance

Current value of margin account including unrealized PnL, in collateral currency:

Margin Balance = Cash in margin account + Unrealized PnL

Leverage

Ratio between the position value at mark price in collateral currency and margin balance:

Leverage =  (|Position size| * Mark Price / Collateral spot price) / Margin Balance

Margin Rate

Inverse of position leverage:

Margin Rate = 1 / Leverage