Hidden Traps of Perptual Futures: Unveiling the Algorithmic Game Behind Profit and Loss

Perptual Futures, as the most popular tool in the crypto derivatives market, have a profit and loss calculation that is far more complex than what is displayed on the trading interface. This article will delve into key factors such as funding rates, mark prices, and liquidation mechanisms in Perptual Futures, revealing the true basis for profit and loss judgment and potential pitfalls.

Profit and Loss Calculation Mechanism

Perptual Futures are divided into USDT margin ( long ) and coin margin ( short ) two types, and their profit and loss calculation logic is different.

USDT Margin Contract

USDT margin contracts use stablecoins as margin and settlement currency, making the profit and loss calculation relatively straightforward:

• Unrealized PnL = ( Mark Price - Average Entry Price) × Position Size
• Realized P&L = ( closing price - average opening price ) × closing quantity - fees - funding costs

It is important to note that unrealized gains and losses are calculated based on the mark price, rather than the latest transaction price. This may result in discrepancies between the gains and losses displayed on the trading panel and the actual settlement.

Coin-Margined Contracts

Coin-margin contracts use the traded cryptocurrency as margin and settlement currency, and their profit and loss calculations are relatively complex:

• Long Position Profit and Loss = (1/Open Price - 1/Close Price) × Position Size - Fees
• Short Profit and Loss = (1/Closing Price - 1/Open Price) × Position Size - Fees

This nonlinear structure leads to asymmetric risks for both long and short positions.

Analysis of Hidden Risks

Mark Price vs Last Traded Price

Exchanges use the mark price to calculate unrealized P&L and trigger liquidations, while order execution is based on the latest transaction price. This dual price mechanism may lead to:

1. Unnecessary stop loss: The latest transaction price fluctuates momentarily to trigger the stop loss, while the mark price remains relatively stable.
2. Unexpected Liquidation: Price fluctuations from other exchanges cause the mark price to reach the liquidation line, even though the current exchange price remains stable.

Funding Fees and High Leverage

Funding fees are calculated based on the nominal value of the position, and high leverage will amplify its impact:

• 0.01% funding fee every 8 hours, under 50x leverage, can erode 15% of margin in 10 days.
• In a sideways market, high-leverage long positions face a serious risk of "chronic bleeding".

Liquidation and Slippage

Large leveraged positions being liquidated may trigger a chain reaction:

1. Forced liquidation triggers a large number of market orders
2. The order book depth has been exhausted, causing significant slippage.
3. Price further fluctuates, triggering more liquidations.
4. Forming a negative feedback loop

When there is insufficient liquidity, the stop-loss set may not be executed at all.

Automatic Position Reduction ( ADL )

When the insurance fund is depleted, the system will forcibly liquidate the most profitable reverse position to make up for the losses. This means that even winners can become "victims" of systemic risk in the market.

Practical Cases and Suggestions

Through a complete BTCUSDT trading lifecycle, we can see:

• When opening a position, factors such as nominal value, initial margin, and maintenance margin need to be considered.
• In profitable trades, transaction fees and funding costs can significantly erode profits.
• Loss trades may be "liquidated early" due to the mark price mechanism.

To better manage risk, it is recommended:

1. Fully understand the platform rules and mechanism differences.
2. Avoid excessive leverage and reasonably control positions.
3. Use limit stop-loss instead of market stop-loss
4. Continuously pay attention to the mark price and index composition
5. Optimize position structure, avoid peak funding fees
6. Shorten trading cycles in high volatility markets

Although Perptual Futures are full of opportunities, they also hide numerous risks. Only by fully understanding their operational mechanisms and maintaining a sense of awe can one survive and succeed in this market in the long term.