How to Calculate Liquidation Price of USDⓈ-M Futures Contracts

 Trading FAQs    |      2020-08-14
Below is the liquidation price formula for USDⓈ-M futures contracts under the cross margin mode:
where
WB
Wallet Balance
TMM1
Maintenance Margin of all other contracts, excluding Contract 1
If it is an isolated margin mode, then TMM=0，UPNL=0
UPNL1
Unrealized PNL of all other contracts, excluding Contract 1
If it is an isolated margin mode, then UPNL=0
cumB
Maintenance Amount of BOTH position (one-way mode)
cumL
Maintenance amount of LONG position (hedge mode)
cumS
Maintenance amount of SHORT position (hedge mode)
Side1BOTH
Direction of BOTH position, 1 as long position, -1 as short position
Position1BOTH
Absolute value of BOTH position size (one-way mode)
EP1BOTH
Entry Price of BOTH position (one-way mode)
Position1LONG
Absolute value of LONG position size (hedge mode)
EP1LONG
Entry Price of LONG position (hedge mode)
Position1SHORT
Absolute value of SHORT position size (hedge mode)
EP1SHORT
Entry Price of SHORT position (hedge mode)
MMR B
Maintenance margin rate of BOTH position (one-way mode)
MMR L
Maintenance margin rate of LONG position (hedge mode)
MMR S
Maintenance margin rate of SHORT position (hedge mode)
Notes:
  • In Cross margin mode, WB is crossWalletBalance
  • In Isolated margin mode, WB is isolatedWalletBalance of the isolated position, TMM=0, UPNL=0, substitute the position quantity, MMR, cum into the formula to calculate.
  • Under the cross margin mode, the same ticker/symbol, both long and short position share the same liquidation price except in the isolated mode. Under the isolated mode, each isolated position will have different liquidation prices depending on the margin allocated to the positions.
  • If the liquidation price is less than 0, the UI display would be “--”

Maintenance Margin Rate

You can find the “Maintenance Margin Rate” from the table below with the position value in USDT.
For example, if the position size of a USDT-margined BTCUSDT contract is 264,000 USDT, then the maintenance margin rate would be 1% (or 0.01).
Note:
If your position (calculated at the liquidation price) and the current position (calculated at the opening price) are of different levels, then you must substitute (i.e. to calculate at the liquidation price) the maintenance margin rate and the maintenance margin amount of the position level, to recalculate the liquidation price.

Maintenance Amount

You can find the “Maintenance Amount” from the table below with the position value in USDT. For example, if the position size of a USDT-margined BTC/USDT Contract is 500,000 USDT, then the maintenance amount would be 1,300 USDT.

Maintenance Amount formula

= [ Floor of Position Bracket on Level n * difference between Maintenance Margin Rate on Level n and Maintenance Margin Rate on Level n-1) ] + Maintenance Amount on Level n-1
For example, the Maintenance Amount on Level 3
= 250,000 * (1% - 0.5%) + 50 USDT
= 1,300 USDT

125x USDT-Margined Perpetual Contract (BTCUSDT)

Level
Position Bracket
(Notional Value in USDT)
Maintenance
Margin Rate
Maintenance
Amount (USDT)
1
First 50,000
0.4%
0
2
50,000 - 250,000
0.5%
50
3
250,000 - 1,000,000
1.0%
1,300
4
1,000,000 - 5,000,000
2.5%
16,300
5
5,000,000 - 20,000,000
5.0%
141,300
6
20,000,000 - 50,000,000
10.0%
1,141,300
7
50,000,000 - 100,000,000
12.5%
2,391,300
8
100,000,000 - 200,000,000
15.0%
4,891,300
9
Greater than 200,000,000
25.0%
24,891,300

100x USDT-Margined Perpetual Contract (ETHUSDT)

Level
Position Bracket
(Notional Value in USDT)
Maintenance
Margin Rate
Maintenance
Amount (USDT)
1
First 10,000
0.5%
0
2
10,000 - 100,000
0.65%
15
3
100,000 - 500,000
1.0%
365
4
500,000 - 1,000,000
2.0%
5,365
5
1,000,000 - 2,000,000
5.0%
35,365
6
2,000,000 - 5,000,000
10.0%
135,365
7
5,000,000 - 10,000,000
12.5%
260,365
8
10,000,000 - 20,000,000
15.0%
510,365
9
Greater than 20,000,000
25.0%
2,510,365

75x USDT-Margined Perpetual Contract

Level
Position Bracket
(Notional Value in USDT)
Maintenance Margin Rate
Maintenance
Amount (USDT)
1
First 10,000
0.65%
0
2
10,000 - 50,000
1.00%
35
3
50,000 - 250,000
2.00%
535
4
250,000 - 1,000,000
5.00%
8,035
5
1,000,000 - 2,000,000
10.00%
58,035
6
2,000,000 - 5,000,000
12.50%
108,035
7
5,000,000 - 10,000,000
15.00%
233,035
8
Greater 10,000,000
25.00%
1,233,035
75x USDT-Margined Perpetual Contract:
* ADAUSDT, BNBUSDT, DOTUSDT, EOSUSDT, ETCUSDT, LINKUSDT, LTCUSDT, TRXUSDT, XLMUSDT, XMRUSDT, XRPUSDT, XTZUSDT, BCHUSDT

50x USDT-Margined Perpetual Contract

Level
Position Bracket
(Notional Value in USDT)
Maintenance
Margin Rate
Maintenance
Amount (USDT)
1
First 5,000
1.0%
0
2
5,000 - 25,000
2.5%
75
3
25,000 - 100,000
5.0%
700
4
100,000 - 250,000
10.0%
5,700
5
250,000 - 1,000,000
12.5%
11,950
6
Greater 1,000,000
50.0%
386,950

Example: Calculating Liquidation Price in One-way & Cross Margin mode

(WB) Wallet Balance = 1,535,443.01
Positions
Size
Entry Price
Mark Price
Liquidation Price
PNL
ETHUSDT Perpetual
3,683.979 ETH
1,456.84
1,335.18
1153.26
-448,192.89
BTCUSDT Perpetual
109.488 BTC
32,481.98
31,967.27
26,316.89
-56,354.57
You may find your maintenance margin rates and amounts through the tables above, as highlighted in the following image.
For ETHUSDT:
Taking into account that Maintenance margin = Notional value * Maintenance Margin rate-cum
Notional Value = Price * Size
Maintenance Margin of ETHUSDT = 356,512.508 (4918775.081 * 10.00% - 135365).
(WB) Wallet Balance = 1,535,443.01
(TMM1) Maintenance Margin of all other contracts, excluding Contract 1 = 71200.81144
(UPNL1) Unrealized PNL of all other contracts, excluding Contract 1 = -56,354.57
(cumB) Maintenance Amount of BOTH position (one-way mode) = 135,365.00
(cumL) Maintenance amount of LONG position (hedge mode) = 0
(cumS) Maintenance amount of SHORT position (hedge mode) = 0
(Side1BOTH) Direction of BOTH position, 1 as long position, -1 as short position = 1
(Position1BOTH) Absolute value of BOTH position size (one-way mode) = 3,683.979
(EP1BOTH) Entry Price of BOTH position (one-way mode) =1,456.84
(Position1LONG) Absolute value of LONG position size (hedge mode) = 0
(EP1LONG) Entry Price of LONG position (hedge mode) = 0
(Position1SHORT) Absolute value of SHORT position size (hedge mode) = 0
(EP1SHORT) Entry Price of SHORT position (hedge mode) = 0
(MMRB) Maintenance margin rate of BOTH position (one-way mode) = 10%
(MMRL) Maintenance margin rate of LONG position (hedge mode) = 0
(MMRS) Maintenance margin rate of SHORT position (hedge mode) = 0

For BTCUSDT:

Taking into account that Maintenance margin=Notional value*Maintenance Margin rate-cum
Notional Value = Price * Size
Maintenance Margin of BTCUSDT = 71200.81144 (3500032.458 * 2.50%% - 16300).
(WB) Wallet Balance = 1,535,443.01
(TMM1) Maintenance Margin of all other contracts, excluding Contract 1 = 356,512.508
(UPNL1) Unrealized PNL of all other contracts, excluding Contract 1 = -448,192.89
(cumB) Maintenance Amount of BOTH position (one-way mode) = 16,300.000
(cumL) Maintenance amount of LONG position (hedge mode) = 0.
(cumS) Maintenance amount of SHORT position (hedge mode) = 0
(Side1BOTH) Direction of BOTH position, 1 as long position, -1 as short position = 1
(Position1BOTH) Absolute value of BOTH position size (one-way mode) = 109.488
(EP1BOTH) Entry Price of BOTH position (one-way mode) =32,481.980
(Position1LONG) Absolute value of LONG position size (hedge mode) = 0
(EP1LONG) Entry Price of LONG position (hedge mode) = 0
(Position1SHORT) Absolute value of SHORT position size (hedge mode) = 0
(EP1SHORT) Entry Price of SHORT position (hedge mode) = 0
(MMRB) Maintenance margin rate of BOTH position (one-way mode) = 2.50%
(MMRL) Maintenance margin rate of LONG position (hedge mode) = 0
(MMRS) Maintenance margin rate of SHORT position (hedge mode) = 0

Liquidation Price Formula:

With this information and by inputting the appropriate information in the formula we can see that the Liquidation Price for the ETHUSDT contract = 1153.26 and for BTCUSDT =26,316.89
Please note that there may be a slight variation due to decimals.