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Cross Margin Requirement
A portfolio using Cross Margin mode with positions in
derivative assets
For each synthetic asset
:
- Open position of size(positive if long, negative if short position)
- A set of open buy orders with total size of
- A set of open sell orders with total size of
- : absolute size of Long position.
- : absolute size of Short position.
- Buy open size :: potential absolute long position size if all buy orders are filled immediately
- Sell open size :: potential absolute short position size if all sell orders are filled immediately
The margin fractions are increasing functions of the notional (i.e. the maximum allowed leverage decreases with higher notional).
For perpetual and dated futures positions (not valid for options), the initial margin fractions
and
are calculated as :
i.e. the Initial Margin Fraction (which is the inverse if the Maximum Allowed Initial Leverage) increases as a square root of USD Notional for large notionals.
Position IMF is similar to the IMF but excludes open orders :
The Maintenance Margin Fraction
is proportional to position initial margin fraction:
The plots below show the example of margin fractions for ETH-USD-PERP :

ETH-USD-PERP Margin Fractions (%) as functions of USD Notional

ETH-USD-PERP Maximum Leverage as a function of USD Notional
The margin fractions can be translated into the margin requirements below. Since the margin fractions increase for large notionals, the margin requirements increase non-linearly for those notionals :

ETH-USD-PERP Margin Requirements (USD) as a function of USD Notional
Given the conservative fee rate :
For a given synthetic asset
:
For MMR and Position IMR, open orders are not included in fee provision calculation :
The Open Loss is an additional margin requirement for orders which are more aggressive than the Mark Price. It offsets the difference between the order limit price and the Mark Price.
For all derivatives positions, the initial margin requirements
and
are calculated as :
The account requirements are then calculated as the simple sum of individual synthetic asset balance requirements:
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Last modified 1mo ago