Margin
Margin Modes
Currently, all Cube margin subaccounts are cross margined. As such, all positions share the same margin balance. Positive PnL in one contract can be used to offset negative PnL in another, but margin calculations and limits are done and applied independently for each contract.
Margin Table
Each contract is associated with a Margin Table, which defines the supported margin tiers. Each margin tie is defined as follows
Position Notional
The maximum position notional that can be opened for this leverage tier. Note that a position (long or short) can increase in size beyond this limit due to mark price changes, but new contracts cannot be opened.
Max Leverage
The maximum leverage allowed for this tier.
Maintenance Margin Ratio
The maintenance margin ratio required for position notional within this tier.
Maintenance Deduction
A derived value useful for maintenance magrin calculations
Where
For example,
1
50000.0
100
0.005
0.0
2
200000.0
50
0.01
250.0
3
500000.0
25
0.02
2250.0
4
1000000.0
10
0.05
17250.0
5
5000000.0
5
0.075
42250.0
6
10000000.0
3
0.166
497250.0
7
20000000.0
2
0.25
1337250.0
8
50000000.0
1
0.5
6337250.0
These tiers follow strict monotonic rules: as tiers progress, position notionals increase, maximum leverage decrease, and maintenance rates increase. Additionally, each tier's maintenance rate is always lower than its initial margin rate (determined by maximum leverage).
Leverage and Initial Margin
Each subaccount has a configurable leverage ratio per perpetual contract. The maximum leverage for a contract is effectively defined defined by the maximum leverage of the highest leverage tier (100x in the above example). The initial margin rate required to open the position is calculated as the reciprocal of leverage.
When placing an order, the effective notional of the position is calculated inclusive of the new order at the current mark price as
For example, if the open position is short 1 BTC perpetual contract (-1 * 10^-decimals units) at a mark price of 100k, with an additional 0.5@90k bid and 0.2@110k ask, the effective notional is MAX(ABS(-100k + 45k), ABS(-100k - 22k)) = 122k.
The initial margin is used by the position and cannot be used for other operations (e.g opening more perpetual positions or placing spot orders or withdrawals). Unrealized PnL is automatically available as initial margin for new perpetual positions, but only realized PnL is available for spot operations.
A subaccount's leverage ratio can be changed with open positions and orders, but the new leverage ratio must satisfy all current position constraints.
Order Entry
New orders are immediately marked to the contract's mark price, regardless of the execution price. As such, unrealized PnL is considered part of the initial margin requirements for new orders. As with spot orders, market orders are cancelled when reaching the position limit (initial margin limit) instead of being rejected, while limit orders are preflight-checked as having executed at their specified limit price, and rejected if there is insufficient margin.
Maintenance Margin
Cube's maintenance margin system operates independently of the leverage used to open positions. Instead of considering how a position was opened, it focuses solely on the position's notional value. This system employs tiers where larger positions naturally require higher maintenance margins, with each tier defining its specific maintenance margin rate.
Higher notional amounts required more conservative trading parameters through lower maximum leverage and higher maintenance requirements. This tiered approach helps manage risk concentration and potential market impact of large positions. Positions are liquidated when the subaccount value (including unrealized PnL) is less than the maintenance margin required.
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