First of all, we must know that futures have a debt-free settlement system on the same day. In the most popular words, the exchange "liquidates" according to the settlement price every day, deducting the corresponding expenses and transferring the corresponding funds! Then our bill is calculated according to this daily standard, and there is the following formula!
Mark the market day by day: calculate the daily profit and loss of the day according to the debt-free settlement system of the day.
① Balance of the previous day: customer's equity after settlement of the previous trading day.
② Total amount of deposits and withdrawals on the current day = deposits and withdrawals on the current day-deposits and withdrawals on the current day
(3) Closing profit and loss = daily average warehouse profit and loss+historical average warehouse profit and loss.
Profit and loss of opening positions on that day = difference between opening price and closing price on that day × number of positions closed × trading unit (contract multiplier)
Average historical warehouse profit and loss = difference between closing price and yesterday's settlement price × number of positions closed × trading unit (contract multiplier)
④ Position gain/loss (floating gain/loss) settled daily = current position gain/loss+historical position gain/loss.
Profit and loss of positions held on that day = difference between settlement price and opening price on that day × number of lots × trading unit.
Historical warehouse profit and loss = the difference between today's settlement price and yesterday's settlement price × lots × trading units.
⑤ Profit and loss of the day = ③+④ = Profit and loss of liquidation+profit and loss of position.
⑥ Handling fee for the same day: See the previous article for specific calculation.
⑦ Balance of the day = balance of the previous day+deposit and withdrawal+liquidation profit and loss+daily settlement position profit and loss-handling fee of the day.
8 Customer's equity = current balance.
Pet-name ruby security deposit occupation: See the column of security deposit algorithm in the official account of WeChat for specific calculation.
Attending available funds = customer's equity-security deposit occupation
Risk = position margin occupation/customer's equity × 100%
The closer the risk degree is to 100%, the greater the risk.
If the customer has no position, the risk is 0;
If the customer is in Man Cang, the risk degree is 100%, which also means that the customer's available funds are 0.
If the risk degree is greater than 100%, the available funds are negative, which is not allowed. At this point, the futures company has the right to forcibly close the customer's position (trading at market price) until the available funds are positive.
Additional margin: refers to the amount that customers need to add when the margin is insufficient until the available funds are greater than or equal to zero.
Note: Different calculation methods of profit and loss will not affect the amount or figures of parameters such as current deposit and withdrawal, current handling fee, customer's rights and interests, pledge, margin occupation, available funds, additional margin and risk degree.
Example:
An investor1165438 2006+10 deposited 30,000 yuan into his account on October 28th, and bought five open RB 1705 contracts at 3,200 o'clock that day, with the settlement price of 328 1 point that day. The investor's handling fee is 65,438+0.2% of the transaction amount, which is charged bilaterally. At this time, 6% of the transaction amount is charged for closing the position, and the trading margin ratio is 13% (marketing unit 10 ton/hand).
165438+1October 28th account status:
Handling fee = 3200×10× 0.00012× 5 =19.2.
Profit and loss of daily settlement position = (3281-3200) ×10× 5 = 4050 (i.e. formula ④).
Customer equity = 30000+4050-19.2 = 34030.8 (i.e. formula ⑦ ⑧).
Margin occupancy = 3281×10×13% × 5 = 21326.5 (i.e. Formula 9).
Available funds = 34030.8-21326.5 =12704.3 (i.e. formula indication).
Risk = 21326.5 ÷ 34030.8×100% = 62.67% (i.e. formula? )
165438+1On October 29th, investors bought a 5-hand open RB 1705 contract at 3250. When the futures price of RB 1705 contract fell to 3 150, two lots were sold and closed (the varieties in the previous period were closed first, so there were three lots left in this position), and the settlement price of RB 1705 contract on that day was 3226 points.
165438+1October 29th account status:
Handling fee = 3250×10× 0.00012× 5+3150×10× 0.0006× 2 = 57.3.
Closing profit and loss = (3150-3250) ×10× 2 =-2000 (i.e. formula ③).
Profit and loss of daily settlement position = (3226-3250) ×10× 3+(3226-3281) ×10× 5 =-3470 (i.e. formula 4).
Customer's rights and interests = 34030.8-2000-3470-57.3 = 28503.5 (namely formula ⑦ ⑧).
Margin occupancy = 3226×10×13 %× (5+3) = 33550.4 (i.e. formula 9).
Available funds = 28503.5-33550.4 =-5046.9 (namely formula attending)
Hazard = 33550.4 ÷ 28503.5×100% =117.71%(i.e. formula? )
Additional margin (available funds ≥ 0) = 5046.9
For varieties with night trading, such as rebar, if the investor fails to remit the insufficient margin (namely RMB 5,046.9) into his futures account before 20: 50 on the same day, the Company will have the right to execute compulsory liquidation after 20:55.
For varieties that have not been traded at night, if the investor fails to remit the insufficient margin into his futures account before 8: 50am of the next trading day, the Company will have the right to execute compulsory liquidation after 8: 55am.
165438+1RMB 30,000.00 was deposited in the investor's account before 20:50 pm on October 29th, and165438+1October 30th was inactive. On that day, the settlement price of RB 1705 contract was 3040.
165438+1October 30th account status:
Profit and loss of daily settlement position = (3040-3226 )×10× 8 =-14880 (i.e. formula ④).
Customer equity = 28503.5+30000-14880 = 43623.5 (i.e. formula ⑦ ⑧).
Margin occupancy = 3040×10×13 %× 8 = 31616 (i.e. Formula 9).
Available funds = 43623.5-31616 =12007.5 (≥ 0) (i.e. formula attendance).
Risk = 33550.4 ÷ 28503.5×100% = 72.47% (i.e. formula? )