Margin Methodology
GRVT uses Cross Margin methodology for evaluation of client account risks. It is designed to enhance capital efficiency across all types of trading strategies while maintaining our exchange’s risk profile. Cross Margin calculates margins independently for each position based on its risks.
Cross Margin on Perpetuals
Users can choose leverage up to 50x. Different underlyings or symbols can have different leverages, which means different Initial Margins (IMs) and Maintenance Margins (MMs).
For any given leverage and product, there is a maximum position size that users can open. Higher leverage results in a lower maximum position size, and consequently, lower maintenance margin and initial margin ratios.
Taking BTC-USDT Perpetual as an example (note: subject to change)
How are the Initial Margin Ratio (IMR) and Maintenance Margin Ratio (MMR) calculated?
The IM and MM will be calculated on symbol level. This means for each symbol, taking into account both the position and open orders, there is an IM and a MM.
IM | = Order-Adjusted Position Size / Leverage |
MM | = Order-Adjusted Position Size * MMR where: (1) User “Order-Adjusted Position Size” to check the Tier (2) Check the MMR from the corresponding Tier |
If a user initially chooses a leverage, GRVT will:
Get the Max Position Size
Fix the IMR (1/leverage)
Apply a tiered model to MMR
| Specification | Example 1 (Leverage = 40) | Example 2 (Leverage = 30) |
Max Position Size |
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IMR (including Open Order Initial Margin) | IMR is always 1/ Leverage | IMR = 1/ 40 = 2.5% | IMR = 1/ 30 = 3.333% |
MMR | MMR does not depend on leverage. It depends on the total size and applies a tier model based on the size range. | Depending on the total size, the MMR can be either Tier 1 or 2. So at most 1.25% | Depending on the total size, the MMR can be either Tier 1, 2, or 3. So at most 1.75% |
Note:
Since we have already imposed a Max Position Size, the tiered model of MMR will guarantee that MMR will always be less than the IMR.
In the above table, the Margin Balance’s calculation is important.
If there are multiple products in the portfolio, the Margin Balance for determining the Max Position Size of a specific perpetual or future will exclude the IMs occupied by other products.
Limiting the Max Position Size
GRVT introduces a variable called “Order-Adjusted Position Size”, which incorporates both existing positions and open orders.
Existing Position Size + Size of all Open Orders with the Same Direction of Position
Existing Position Size - Size of all Open Orders with the Opposite Direction of Position
Take Max ( abs(1), abs(2) )
The following are some examples:
| Example 1 | Example 2 | Example 3 |
Positon | Long 50 BTC | Long 50 BTC | Long 50 BTC |
Opening Orders | Long 10 BTC Short 20 BTC | Long 10 BTC Short 200 BTC | Short 20 BTC |
Order-Adjusted Position Size | Max(50+10, 50-20) = 60 | Max(50+10, Abs(50-200)) = 150 | Max(50+0, 50-20) = 50 |
Users are only allowed to place new orders subject to: “Order-Adjusted Position Size” is less than or equal to Max Position Size.
Changing Leverage
Given an initial leverage and existing position & open orders,
To free up some margin occupied, users are allowed to increase the leverage but it is up to the Max Leverage according to the existing “Order-Adjusted Position Size”.
To be more risk conservative, users are also allowed to decrease the leverage (which will need more margin for the current position and open orders), but it is up to margin balance.
The following are some examples:
| Example 1 | Example 2 | Example 3 |
Max Leverage
| (1) Initial leverage = 30
(2) Current Size = 70 BTC In Tier 3, Max Leverage = 33.33
Only allow to increase up to 33.33 | (1) Initial leverage = 30
(2) Current Size = 25 BTC In Tier 2, Max Leverage = 40
Only allow to increase up to 40 | (1) Initial leverage = 30
(2) Current Size = 5 BTC In Tier 1, Max Leverage = 50
Only allow to increase up to 50 |
Min Leverage | Need to guarantee: Mark Price * Size / New Leverage <= Margin Balance Therefore Min Leverage = ( Mark Price * Size ) / Margin Balance |
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Note:
The size in the above refers to the “Oder-Adjusted Position Size”.
If there are multiple products in the portfolio, the Margin Balance for determining the minimum leverage of a specific perpetual or future should exclude the IMs occupied by other products.