3.4 保证金和风险管理

简介

保证金的计算原则用的是风险值衡量方法,也称为方差-协方差方法。风险值衡量方法的优点在于可以为资产组合计算风险,并由此计算所需的初始保证金,其中资产之间的相关性/抵消被计入保证金计算中。这样的计算原则尤其与基差交易有关。特别是通过这种方法,交易所可以完全控制每项资产的允许杠杆数量,同时保留通过投资组合抵消(例如多头VS空头)降低初始保证金要求的能力。

 

目标

风险引擎有以下目的:

  • 对新的订单进行交易前的校验。一个订单提交到交易引擎之前需要满足满足以下3个主要方面,如果没有通过检查,则会拒绝这个订单请求。
    1. 若是限价订单,其价格是否超过了合理价格界限?(根据订单是买还是卖,所有新的市场订单都会设置上限价格和下限价格)
    2. 新的订单是否超过了交易所设置的仓位限制?
    3. 新的订单是否允许客户的组合资产来维持保证金的要求或者高于维持保证金的水平?
  • 对每个客户账户进行实时保证金风险计算。如果客户帐户不再满足保证金合规性,则这将触发该帐户的清算事件。
  • 当用户将资产从交易所提取到钱包或将资产转移到他的其它子帐户时,将执行源帐户的风险检查(即用户触发了内部转移)。
  • 当用户试图指定头寸和现货余额以进行交付时会执行帐户的风险检查,以确保剩余头寸仍符合保证金要求。

 

合理价格界限(价格区间)

价格界限是一种机制,它使所有传入订单接受价格验证,并拒绝给定价格范围以外的订单以维持有序市场。 根据交易所定义的外部价格指数公式,为每个订单簿动态计算波段。 因此,如果市场朝一个方向快速移动,则价格区间会动态调整以适应新的交易范围。

 

主账户和子账户

Each user’s master account and sub-accounts are margined separately and independently.  Balances, collateral and limits are currently not aggregated across accounts, which means that within a single sub-account all positions and working orders are margined as a portfolio using all the balances contained in that sub-account as collateral.  This also means that users can only lose collateral from a trade(s) limited to the sub-account itself from which the trade(s) originated from.  Therefore if users want isolated margin then its as simple as creating a new sub-account for this self contained trade(s)/position(s) and supporting collateral. 

 

保证金计算

The level of risk in a portfolio is usually measured using standard deviation, which is calculated as the square root of the portfolio variance.  The portfolio variance is determined by a weighted combination of the individual variances of each of the positions adjusted by their co-variances.  For our purposes the individual variances are replaced by the inverse of the leverage offered by the exchange (e.g. 10x = 0.1). Also, for the purposes of calculating a USD based initial margin figure the weights of the portfolio are the USD valuation of each position in the portfolio.  

完整公式如下:

Portfolio 3.4 Margin and Risk Management

For details regarding the leverage and correlation values set by the exchange please see the support pages 3.8 永续合约杠杆倍数”、“3.9 季度合约杠杆倍数”、“3.10 其它相关 

 

Margin Calculation Example

For a simple portfolio with only two positions:-

Market仓位Current Mark Price最大杠杆
BTC-USD-211231-LIN+165,000100x
BTC-USD-SWAP-LIN-160,000100x

* correlation is 0.7 between these two markets for the 100x leverage tier

This is an example of a long spread position for the BTC-Dec21 – BTC-Perp spread.  Portfolio margin is calculated by the following, derived from the general formula described in the documentation above:-

2 factor var 3.4 Margin and Risk Management

目录