Definitions and Formulae

Documentation Index

Fetch the complete documentation index at: https://docs.qfex.com/llms.txt

Use this file to discover all available pages before exploring further.

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Market Data Price

The price of the underlying asset, derived from the relevant external oracle source.
Denoted as $P_t^{\text{market}}$.

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Index Price

When the current market price stays within the allowed band, the index price is: $$P_t^{\text{index}} = P_t^{\text{market}}$$ when $$P_t^{\text{market}} \in [0.5 P_{t-1}^{\text{market}},\; 1.5 P_{t-1}^{\text{market}}]$$ Otherwise, the index price is held at the prior market price: $$P_t^{\text{index}} = P_{t-1}^{\text{market}}$$ That is, the Index Price equals the current Market Data Price if it lies within ±50% of the previous value, otherwise the prior price is used.

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Oracle Price

Defined in Contract Specifications:

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Mark Price

The Mark Price $P_t^{\text{mark}}$ is computed as: $$P_t^{\text{mark}} = \text{Median} \Big( P_t^{\text{oracle}},\; P_t^{\text{oracle}} + \text{EMA}_{150s}(M_t - P_t^{\text{oracle}}),\; \text{Median}(B_t,\; A_t,\; T_t) \Big)$$ where $M_t$ is the mid price, $B_t$ the best bid, $A_t$ the best ask, and $T_t$ the last traded price.

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Unrealized PnL

$$PnL_{\text{unrealized}} = \sum_i q_i \cdot (P_t^{\text{mark}} - P_{i,\text{entry}})$$ for all open positions $i$ with quantity $q_i$.

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Realized PnL

$$PnL_{\text{realized}}= \sum_j (P_{j,\text{exit}} - P_{j,\text{entry}}) \cdot q_j$$ for all closed positions $j$.

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Cash

$$\text{Cash} = D - W + F_{\text{net}} + RR - \text{Fees}$$ where $D$ = deposits, $W$ = withdrawals, $F_{\text{net}}$ = net funding, $RR$ = referral rewards.

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Margin

$$\text{Margin} = \text{Position Margin} + \text{Order Margin}$$

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Account Equity

$$\text{Equity} = \text{Cash} + PnL_{\text{realized}} + PnL_{\text{unrealized}}$$

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Available Balance

$$\text{Available Balance} = \text{Account Equity} - \text{Margin}$$

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Withdrawable Balance

$$\text{Withdrawable Balance} = \text{Cash} + PnL_{\text{realized}} + \min(PnL_{\text{unrealized}}, 0) - 1.05 \times \text{Margin}$$

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Position Value

$$V = P_t^{\text{mark}} \times Q$$ where $Q$ is the position quantity in the symbol.

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Funding Rate

The rate $r_t^{\text{funding}}$ paid between long and short positions when the futures price deviates from the underlying index.

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Funding Fee

$$\text{Funding Fee} = P_t^{\text{mark}} \times Q \times r_t^{\text{funding}}$$

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Liquidation Spread

The maximum spread $\Delta_{\text{liq}}$ from $P_t^{\text{mark}}$ at which an orderly Immediate-or-Cancel (IOC) liquidation order is executed.

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DLP Fee

A fee $f_{\text{DLP}}$ paid to Designated Liquidity Providers (DLPs) who absorb liquidated positions.

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Mark-to-Market (MTM)

All portfolios are re-evaluated every 200 ms using the Mark Price $P_t^{\text{mark}}$ to:

• Recalculate Unrealized PnL,
• Detect margin requirement breaches,
• Trigger liquidation procedures.