Upgraded Liquidation Price Calculation for Futures Positions and Dynamic Pricing Strategies

Dear Valued Users,

To enhance the trading efficiency of liquidated futures positions and minimize clawback rates, we've upgraded our liquidation price calculation method and implemented a dynamic pricing strategy for liquidated futures positions. These changes took effect on February 20, 2019 (CET, UTC+1). Below are the key details:

Key Terminology

1. Forced Liquidation Price: Triggered when market prices hit this threshold, and user margins fall below required levels.
2. Bankruptcy Price: The price at which a user loses all margin funds.
3. Liquidation Position Trustee Price: The price at which liquidated positions enter the market under our forced liquidation mechanism.
4. Liquidation Position Trading Price: The actual execution price of liquidated positions in the market.

Upgraded Liquidation Price Calculation

Objectives

• Replace the bankruptcy price with a more rational trustee price to mitigate market impact.
• Optimize pricing based on market depth, basis, and index prices to maximize returns and bolster the insurance fund.

Methodology

When forced liquidation occurs, positions are not directly listed at bankruptcy prices. Instead, trustee prices are dynamically calculated using:

• Current market depth
• Basis spreads
• Bankruptcy price
• Index price

👉 Learn how this improves trading efficiency

Dynamic Pricing Strategy for Liquidated Futures

Objectives

• Prevent prolonged margin call losses and clawbacks during one-sided market trends.

Methodology

1. After listing a liquidated position, the system monitors its trading status.

2. If unfilled after a set duration, pending orders are canceled and relisted using updated:

   • Market depth
   • Basis
   • Bankruptcy price
   • Index price
3. This loop continues until full execution.

Margin Call Loss Handling

1. Price Discrepancies: Some positions may execute below bankruptcy prices (for long positions) or above (for short positions). Margin call losses from these gaps are displayed in the liquidation ledger.

2. Loss Coverage:

   • Losses from partially filled liquidations are covered by the insurance fund.
   • Remaining losses trigger our clawback mechanism.

3. Tracking Losses:

   Total Margin Call Loss = Losses from completed liquidations + Losses from pending liquidations  

👉 Explore margin management tools

FAQs

1. How does the trustee price differ from the bankruptcy price?

The trustee price incorporates real-time market conditions (depth, basis, index) for fairer execution, while the bankruptcy price is a fixed threshold.

2. What happens if a liquidated position isn’t filled immediately?

The system relists it with adjusted pricing until fully executed.

3. How are margin call losses socialized?

Losses exceeding the insurance fund are distributed via clawback across all users proportionally.

4. Where can I monitor liquidation-related losses?

Check the "Forced Liquidation" page for a breakdown of completed/pending losses.

For further queries, contact [email protected].

Thank you for your trust. We remain committed to delivering top-tier services.

Best regards,
OKX
February 20, 2019