Daily settlement system. It is to calculate the profit and loss of each open position according to the average price of the day as the settlement price after the close of each day. At the same time, the price is calculated as the daily limit of the next day. In other words, the settlement price is a theoretical price, and its purpose is to allocate funds (deposits) from both parties.
According to the trading results and the relevant regulations of the Exchange, the benchmark price of trading margin, profit and loss, handling fee, delivery money and other related funds and transfer business of members is the futures settlement price, which is divided into the settlement price of the day and the settlement price of the last trading day. ?
Extended data:
Settlement formula
Open futures contracts are based on the settlement price of the day as the basis for calculating the profit and loss of the day.
1, the profit and loss of the day can be calculated item by item.
The itemized settlement formula is: profit and loss of the day = profit and loss of liquidation+profit and loss of position.
(1) Ending profit and loss = average historical profit and loss+average current profit and loss.
Average historical warehouse profit and loss = ∑ [(selling closing price-settlement price on the last trading day) * selling volume]+∑ [(settlement price on the last trading day-buying closing price) * buying volume]
Average profit and loss of the day = ∑ [(selling closing price of the day-buying opening price of the day) * selling closing amount]+∑ [(selling opening price of the day-buying closing price of the day) * buying closing amount]
(2) Position profit and loss = historical position profit and loss+opening profit and loss on the same day
Historical position profit and loss = (settlement price of the day-settlement price of the previous day) * position.
Opening profit and loss of the day = ∑ [(selling opening price-settlement price of the day) * selling opening quantity]+∑ [(settlement price of the day-buying opening price) * buying opening quantity]
(3) The profit and loss of the day can be integrated into a general formula.
Profit and loss of the day = ∑ [(selling price-settlement price of the day) * sold quantity]+∑ [(settlement price of the day-settlement price of the day) *]+(settlement price of the previous trading day-settlement price of the day) * (selling position of the previous trading day-buying position of the previous trading day)
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