All formulas used are shown below:
- Where pMM = position Margin Multiplier and mAp = maximum Absolute position
- The position Margin Multiplier is 0.0000001% for BTC-PERP.
- The Minimal Initial Margin Percentage is 1% for BTC-PERP.
- The Minimal maintenance Margin Percentage is 0.5% for BTC-PERP.
- Mark Price = Index Price
The index for the bitcoin perpetual is calculated as follows:
The best five ask and bid levels are taken from constituent exchanges that have had data available for the last 30 seconds.
Micro-price is calculated for all bid and ask pairs across exchanges (shown below). For example if there are five exchanges, that will gives us 25 bids and 25 asks that form 625 pairs.
- The median of micro-prices is then used in the calculation.
- The exchanges used to calculate the index for the BTC-USD pair are:
- Any exchange’s API which has not been online for more than 30 seconds is excluded from the calculations.
- The order book values are combined together into an index price using a modified Hodges–Lehmann estimator.
- Passive orders (liquidity providers) are always paid 0.025% of the value of the transaction.
- Aggressive orders (liquidity takers) are charged 0.075% of the value of the transaction.