IS THERE A FUTURE IN PERPETUAL FUTURES?

MayJen声明：仅矫正和优化ChatGPT翻译 , 个人兴趣梳理学习，无原创，不评论

Overview - 概述:

n this paper, we examine the history of perpetual futures and the current use of perpetual futures in cryptocurrency. Perpetual futures were initially proposed as a derivative for illiquid assets like human capital and real estate. However, as computer processing power and technology improved, perpetual futures in cryptocurrency were developed. Cryptocurrency perpetual futures seem to offer a novel instrument with relatively low fees and no expiration date. Current volume for perpetual futures exceeds the volume of the spot market for Bitcoin. Perpetual futures offer large amounts of leverage to entice investors, but given the high volatility of cryptocurrency markets, many of these trades are often liquidated. We analyze the impact of leverage on liquidity in cryptocurrency perpetual futures, and analyze the fees collected by the exchanges for these trades. Exchanges have continued to implement new rules lowering the maximum leverage allowed on their specific exchange, but it is still unclear whether exchanges have implemented sufficient protections to prevent mass liquidations of traders’ positions as investors could misunderstand the risk of high leveraged positions. Some exchanges have reduced investors’ maximum permitted leverage after facing scrutiny from the media, with Binance recently preventing new customers from trading above 20x leverage for the first 60 days after opening their account. Furthermore, some exchanges, like Binance, have limited the amount of capital available at certain leverage positions. We propose three changes for exchanges to implement to further protect investors in cryptocurrency perpetual futures. 

在本文中，我们回顾永续合约（perpetual futures）的历史，并审视永续合约在加密货币领域的当前使用情况。永续合约最初被提出作为一种用于非流动性资产（如人力资本和房地产）的衍生品。然而，随着计算处理能力和技术的提升，加密货币中的永续合约被发展出来。加密货币永续合约似乎提供了一种新型金融工具，其具有相对低费用且无到期日。目前，永续合约的成交量已超过比特币现货市场的成交量。永续合约提供大量杠杆以吸引投资者，但鉴于加密货币市场的高波动性，许多此类交易常常被强制平仓。本文分析杠杆对加密货币永续合约流动性的影响，并分析交易所从这些交易中收取的费用。交易所已持续推出新规，降低其平台所允许的最大杠杆，但目前仍不清楚这些交易所是否已实施足够的保护措施以防止交易者仓位的大规模清算，因为投资者可能会误解高杠杆仓位的风险。一些交易所在受到媒体审视后，已经降低了投资者所允许的最大杠杆，其中币安（Binance）最近限制新客户在开户后前60日内不得使用超过20倍杠杆进行交易。此外，一些交易所（如币安）已限制在某些杠杆档位可用的资本量。本文提出三项建议，供交易所进一步实施，以加强对加密货币永续合约投资者的保护。

I. History and Description of Perpetual Futures - 永续合约的历史与描述

The Origins of Perpetual Futures - 永续合约的起源

Although considered a new asset by some, perpetual futures were initially proposed by Robert Shiller in 1992. Shiller proposed perpetual futures to create derivative markets for illiquid assets, such as human capital and real estate. Shiller observed that traditional futures tend to have concentrated volume in contracts with short-term expiration dates, while further dated contracts lacked sufficient liquidity. Shiller’s perpetual futures would pay dividends or rents to long/short holders depending on the underlying price indices for that future. These perpetual derivatives would allow for the hedging of assets with fair market values that are difficult to determine, and a single contract for a specific rent “can be adopted as a standard through time,” as the contract would not expire.1

尽管有人认为永续合约是一种新资产，但永续合约最早是在1992年由罗伯特·希勒（Robert Shiller）提出。希勒提出永续合约，是为了为非流动性资产（如人力资本和房地产）创建衍生品市场。希勒观察到传统期货通常在短期期限合约上集中成交量，而期限较长的远期合约缺乏足够的流动性。希勒设计的永续合约会根据该永续合约对应的基础价格指数，向多/空持仓方支付股息或租金。此类永续衍生品使得那些公允价值难以确定的资产可以被对冲，并且对同一租金的单一合约“由于合约不失效，可以成为跨时间的标准合约”。

However, Shiller’s proposal was different from the actual usage of perpetual futures in cryptocurrency. While Shiller did foresee the usage of margin in perpetual futures, he did not predict 125x leverage, as is currently seen in major crypto derivative exchanges. Furthermore, Shiller’s perpetual futures were designed for assets that are difficult to measure. As Shiller wrote “[i]n deciding...whether to establish a market in perpetual futures rather than conventional futures, one must assess which is easier to measure: the true asset price or the dividend on the asset. If the former, then conventional futures contracts should suffice; if the latter, perpetual futures.”2

然而，希勒的提案与永续合约在加密货币领域的实际使用方式有所不同。尽管希勒确实预见到了永续合约中使用保证金，但他并未预想到目前在大型加密衍生品交易所中存在的 125 倍杠杆。此外，希勒所设想的永续合约是用于那些难以衡量的资产。正如希勒所写：“在决定……是否建立永续合约市场而不是传统期货市场时，必须评估哪一个更容易计量：真实的资产价格，还是资产的股息。如果是前者，则传统期货即可满足；如果是后者，则应使用永续合约。”

Shiller envisioned perpetual futures usage for commercial real estate, human capital, and farms. For example, commercial real estate transactions are “relatively infrequent,” and thus, Shiller proposed a “perpetual futures contract based on some measure of rents on commercial property.”3 Since rents are often negotiated for a contract over a period of years, Shiller proposed a present value of the average of the cashflow in rents collected. This index would then be traded as a perpetual future, with daily dividends from the rent index paid from the shorts to the longs at daily resettlements.

希勒设想永续合约用于商业地产、人力资本和农场。例如，商业房地产交易“相对不频繁”，因此希勒提出一种“基于商业地产租金度量制定的永续期货合约”。鉴于租金往往以多年合同形式谈判，希勒提出以租金现金流平均值的现值作为指数。该指数随后作为永续合约进行交易，租金指数的每日分红将在每日重结算时由空头支付给多头。

What is a Perpetual Future?- 什么是永续合约？

Perpetual futures in cryptocurrency have recently made headlines due to their large-scale adoption and the widely reported BitMEX scandal. 4 In their current use, cryptocurrency perpetual futures provide a unique structure to derivative contracts. Cryptocurrency perpetual futures allow for significant leverage, low trading commission fees, and have no expiration date.

加密货币中的永续合约由于其大规模采用以及广为报道的 BitMEX 丑闻，近年来频繁登上新闻头条。在当前使用情境下，加密货币永续合约为衍生品合约提供了一种独特结构。加密货币永续合约允许高杠杆、低交易手续费，并且没有到期日。

Leverage allows an investor to borrow from the exchange to invest in a specific asset. For example, an initial investment of $100 with 20x leverage allows an investor to open a position with a market value of $2,000. Leverage amplifies the gains or losses, and as a result, an amplified loss can cause a liquidation of the position.

杠杆允许投资者从交易所借入资金以投资某一特定资产。例如，一个 100 美元的初始投资配合 20 倍杠杆，允许投资者开立一个市值为 2,000 美元的仓位。杠杆会放大收益或损失，因此放大的损失可能导致仓位被强制平仓。

As seen in Figure 1, most traders use leverage when trading cryptocurrency perpetual futures. 5 This 2020 Binance study shows 79% of Binance’s customers traded with more than 20x leverage, with 19.6% using over 100x leverage. Of those customers, high leverage was most popular among retail traders.

如图1所示，大多数交易者在交易加密货币永续合约时使用杠杆。2020 年币安的一项研究显示，79% 的币安客户使用超过 20 倍杠杆进行交易，而 19.6% 使用超过 100 倍杠杆。在这些客户中，高杠杆最受散户交易者欢迎。

Perpetual futures, which were first traded on BitMEX, attempt to merge the advantages of spot markets and traditional futures markets. These unique futures attempt to provide lower commissions and higher leverage without the need to roll over the perpetual futures contract. Unlike perpetual futures, traditional futures have an expiration date. The expiration date in traditional futures allows for arbitrage opportunities should the price not converge by the expiration date.

永续合约最先在 BitMEX 上开始交易，尝试融合现货市场与传统期货市场的优势。这类独特的期货试图提供低手续费与高杠杆，而无需对永续合约进行展期。与永续合约不同，传统期货具有到期日。传统期货中的到期日允许在价格未于到期日前趋同时产生套利机会。

Other products similar to perpetual futures, like contracts for difference, already exist, but do not have the safety of the existing exchanges. For example, contracts for difference (CFD) are contracts in which the seller is paid by the buyer the difference between the current value of an underlying asset and the value at contract time. Like perpetual futures, contracts for difference allow for leveraged tracking of an underlying asset for an undetermined amount of time. CFD’s do not have an expiration date, so they are often compared to perpetual futures. These contracts cannot be traded in the US since CFD’s are mostly over-the-counter products, which carry additional counterparty risk coupled with different quantities of leverage. Perpetual futures, however, are traded on offshore exchanges and the contracts are uniform as they have no expiration date and allow varying amounts of leverage traded within that specific exchange. Perpetual futures use two mechanisms to ensure that these futures are priced accurately in the markets. These mechanisms, which serve different purposes, are called “funding rates” and “mark price.”

其他类似永续合约的产品，如差价合约（CFD）已经存在，但缺乏现有交易所的安全性。例如，差价合约是一种合约，其中卖方向买方支付标的资产当前价值与签约时价值之间的差额。与永续合约类似，差价合约允许对标的资产进行无限期的杠杆跟踪。CFD 没有到期日，因此常被与永续合约进行比较。这些合约在美国无法交易，因为 CFD 主要为场外交易产品，带来额外的对手方风险，并且杠杆倍数也不同。然而，永续合约在离岸交易所交易，合约是标准化的：没有到期日，并允许在特定交易所规则范围内使用不同倍数的杠杆。永续合约使用两种机制来确保这些期货在市场中被正确定价。这两种机制具有不同目的，分别称为“资金费率（funding rates）”与“标记价格（mark price）”。

Funding Rates - 资金费率

Perpetual futures track the spot price through the funding rate mechanism. This mechanism is necessary in perpetual futures as there is no expiration date.7 Funding rates are the amount of money which traders receive or are charged at every interval. Although most exchanges correct the divergence between perpetual futures every eight hours, some do so at other intervals. 8 If at this predetermined time the price of the perpetual future is below the spot market, the holders of the short position in the perpetual future pay “rents” or the funding rate to the holders of the long position, or vice versa. 9 Through this mechanism, traders are encouraged to purchase the long position (or short the position) in the perpetual future, by financially motivating traders through “rents” to move the price of a perpetual future to the spot price. Furthermore, the calculation of the funding rate is affected by the mark price.

永续合约通过资金费率机制跟踪现货价格。由于永续合约没有到期日，该机制是必要的。资金费率是交易者在每个结算周期所支付或收到的金额。虽然大多数交易所每八小时修正一次永续合约价格的偏离，但有些交易所采用其他周期。如果在这个预设时间点，永续合约价格低于现货市场，则永续合约空头持仓人向多头持仓人支付“租金”或资金费率，反之亦然。通过这一机制，交易者被激励去买入（或者卖空）永续合约中的头寸，通过“租金”在经济上驱动交易者推动永续合约价格回到现货价格。此外，资金费率的计算受标记价格影响。

Mark Price: - 标记价格

Unlike traditional futures where the price of the future is the basis to determine margin requirements, in perpetual futures, the mark price functions as the mechanism to determine the margin requirements for traders. 12 The goal of this mechanism is to avoid liquidation at times when there is low liquidity in specific contracts, high volatility, or when there are connectivity or outage issues in the spot markets.13 The main driver of the Mark Price is the “Price Index, ” which is a calculated price from major spot market exchanges, including Huobi, Bittrex, BitMEX, FTX, among others, weighed by their relative volume.14

与传统期货中使用期货价格来确定保证金要求不同，在永续合约中，标记价格充当确定交易者保证金要求的机制。该机制的目标是在某些合约流动性低、波动率高，或现货市场存在连线故障或宕机时避免不必要的强平。标记价格的主要驱动因素是“价格指数（Price Index）”，该指数是由主要现货交易所（包括 Huobi、Bittrex、BitMEX、FTX 等）按相对成交量加权计算得出的价格。

The Mark Price ensures traders are not unnecessarily liquidated.15 For example, during small price divergences between the spot market and the perpetual markets, margin requirements are based on the price of the perpetual future. When there are large divergences between the spot and perpetual markets, the spot market is used to determine margin requirements.16 This mechanism protects traders from flash crashes in perpetual contracts, and traders are therefore only liquidated if the spot market moves in an adverse direction to that of the traders’ position.17 Furthermore, the Mark Price mechanism also discourages bad actors from manipulating the market of perpetual futures in contracts with low liquidity as the Mark Price will be used to determine margin requirements for the traders of the contract with limited liquidity.

标记价格确保交易者不会被不必要地强制平仓。例如，当现货市场与永续市场之间价格偏离较小时，保证金要求基于永续合约价格决定。当现货与永续之间存在大幅偏离时，则使用现货市场来决定保证金要求。该机制保护交易者免于因永续合约闪崩而被平仓，交易者仅当现货市场朝与其仓位相反方向大幅移动时才会被平仓。此外，该标记价格机制还抑制恶意操控低流动性永续合约市场的行为，因为此类合约的交易者保证金要求将依据标记价格而非瞬时成交价决定。

Perpetual Futures in Crypto: - 加密领域的永续合约

Perpetual futures in cryptocurrency function by exchanging “rents”, or the funding rate, at specified intervals between the long and short holders of the contract. The BTC/USD perpetual futures are the most popular product by volume, and these contracts have continued to increase in volume in recent years, as shown in Figure 3 and Figure 4. Binance dominates the market of perpetual futures in Bitcoin and handles approximately 20% of the total volume as shown in Figure 2. Although there is no data displaying only perpetual futures, roughly 90% volume in cryptocurrency futures contracts occur in perpetual futures for the offshore exchanges.

加密货币中的永续合约通过在多头与空头之间按照指定周期交换“租金”或资金费率来运作。BTC/USD 永续合约是成交量最大的产品，并且如图3与图4所示，这些合约近年来成交量持续增长。币安在比特币永续合约市场中占据主导地位，约处理总成交量的 20%，如图2所示。尽管没有仅限永续合约的独立数据，但离岸交易所中约 90% 的加密货币期货成交量来自永续合约。

II. Investor’s Risks and Benefits in Cryptocurrency Perpetual Futures 

投资者在加密货币永续合约中的风险与收益

Exchange Specific Risk: - 交易所特有风险

Cryptocurrency trades and transactions are novel, and with any new product, risk is involved. There are hundreds of cryptocurrency exchanges that operate offshore, which can increase the risk for traders because they are not provided the same protections as exchanges that are regulated in the United States. For example, some exchanges have ceased operations; others have been shut down by regulators.23 Some active exchanges, however, have been known to go offline during periods of high volatility. On May 19, 2021, Binance experienced an outage that prevented traders from exiting their positions or from decreasing their leverage for about an hour.24 Binance is currently facing a lawsuit for this incident. Coupled with large amounts of leverage, exchange outages can quickly wipe out investments in a matter of seconds. It can be expected that smaller exchanges also face these difficulties at a greater scale. Cryptocurrency perpetual futures are not available to trade in the United States, and thus, many investors rely on offshore exchanges to trade these products.

加密货币交易和处理是新兴事物，任何新产品都伴随着风险。有数百家加密货币交易所在境外运营，这可能增加交易者的风险，因为它们无法提供与受美国监管的交易所相同的保护。例如，一些交易所已经停止运营；其他一些已被监管机构关闭。然而，一些活跃的交易所已知在高波动时期会发生停机。2021年5月19日，**币安（Binance）经历了宕机，导致交易者在大约一小时内无法平仓或降低杠杆。币安目前正因这一事件面临诉讼。交易所宕机，再加上高额的杠杆，可能在几秒钟内迅速清零投资。可以预见，规模较小的交易所也会更大程度地面临这些困难。加密货币永续合约在美国尚未开放交易，因此，许多投资者依赖境外交易所来交易这些产品。

Current Protections for Traders in Cryptocurrency Perpetual Futures

当前针对加密货币永续合约交易者的保护措施

Exchanges have produced other protections for traders such as insurance funds, and auto- deleveraging. Insurance funds function as a mechanism to protect traders during flash crashes when positions are not exited before their liquidation price. With insurance funds, traders are not personally responsible if their position is not liquidated. In a situation where a position is not liquidated, the insurance fund would cover the losses beyond the balance in the trader’s account.

交易所已经为交易者提供了其他保护措施，例如保险基金（insurance funds）和自动去杠杆（auto-deleveraging）。保险基金的作用是在闪电崩盘（flash crashes）期间，当头寸未能在其清算价格之前平仓时，保护交易者的一种机制。有了保险基金，如果交易者的头寸未能被清算，交易者个人不承担责任。在头寸未被清算的情况下，保险基金将承担超出交易者账户余额部分的损失。

Similarly, auto-deleveraging functions when the insurance fund is empty or insufficient to cover the losses. Auto-deleveraging tries to maintain the orderbook balanced and sells off trades by winning traders to cover liquidations not covered by the insurance fund in the event of a flash crash.

类似地，自动去杠杆在保险基金用尽或不足以覆盖损失时发挥作用。在闪电崩盘事件中，自动去杠杆试图维持订单簿平衡，并通过出售获利交易者的交易来覆盖保险基金未覆盖的清算损失。

Exchange Revenue from Fees - 交易所的费用收入

Maker vs. Taker fees - 挂单与吃单费用

Perpetual futures are actively traded on Binance, and Binance’s volume represents approximately 20% of the cryptocurrency futures, the single largest share. To profit on these trades, Binance charges trading fees for every transaction on its platform. Binance’s main fees are maker fees and taker fees.

永续合约在币安上被积极交易，币安的交易量约占加密货币期货交易量的 20%，是最大的单一份额。为了从这些交易中获利，币安对其平台上的每一笔交易收取交易费。币安的主要费用是挂单费（maker fees）和吃单费（taker fees）

Maker fees are fees that are paid when placing a limit order below or above the market price of the specific contract. Maker fees are generally lower than taker fees as exchanges tend to prefer limit orders due to their nature of adding liquidity to the order book. Both fees depend on the 30-day volume of the individual trader, or “VIP Level”, as seen in Figure 5. 26 Maker fees on Binance start at 0.02% and can be as low as 0%. To trade at the lowest fee, users must have a 30-day trade volume exceeding 750,000BTC.

挂单费是当投资者以特定合约的市场价格之下或之上设置限价订单（limit order）时支付的费用。挂单费通常低于吃单费，因为交易所倾向于限价订单，因其本质上能为订单簿增加流动性。两类费用都取决于个体交易者的 30 天交易量，即“VIP等级”（VIP Level），如图5所示。币安的挂单费**从 0.02% 起步，最低可达 0%。要在最低费率下交易，用户必须拥有超过 750,000 BTC 的 30 天交易量

Taker fees are fees that are paid when a market order is placed. Since these market orders remove liquidity from the market, these fees are higher than the maker fees.30 Taker fees start at 0.04% and can be as low as 0.017%. To trade at the lowest fees, users must meet the 30-day volume requirements.

吃单费是当投资者下达市价订单（market order）时支付的费用。由于这些市价订单移除了市场的流动性，因此这些费用高于挂单费。吃单费从 0.04% 起步，最低可达 0.017%。要以最低费率交易，用户必须满足 30 天的交易量要求。

For a user that does not meet the 30-day volume minimum purchasing a long position for 1 BTC/USD contract at $45,000 and closing the position at $45,500, the maker/taker fees would be 0.02%/0.04%. Total fees for an open-close transaction could range from $18.10 - $36.20 as shown below.

对于一个未达到 30 天最低交易量的用户，以 $45,000 的价格买入 1 BTC/USD 合约的多头头寸，并以 $45,500 的价格平仓，其挂单/吃单费率将分别为 0.02%/0.04%。一笔开仓和平仓交易的总费用可能在 $18.10 到 $36.20 之间，计算如下：

The equation to calculate the fees is as follows - 计算费用的公式如下:

 • Fee to Open = (Contract Quantity x Entry Price) x Trading Fee Rate  

开仓费用= （合约数量 x 入场价格） x 交易费率

• Fee to Close = (Contract Quantity x Exit Price) x Trading Fee Rate

平仓费用= （合约数量 x 离场价格） x 交易费率

Exchanges Benefit from All Transactions - 交易所从所有交易中获益

Binance receives a significant amount of revenue from trading fees imposed on those that use the Binance platform. As seen in Figure 6, roughly 30% of Binance’s total volume (including all coins, products, and spot) is derived from BTC perpetual future contracts.

币安从向使用其平台的用户收取的交易费中获得了可观的收入。如图6所示，大约 30% 的币安总交易量（包括所有币种、产品和现货）来自 BTC 永续合约。

On March 6, 2022, assuming an average BTC price of $39,037.03, roughly 377,729 BTC contracts were traded during the day. Assuming the average trader falls within the VIP3 category of fees, and assuming 75% of the contracts were makers and 25% of the contracts were takers, Binance collected revenue of approximately $3.9 million in 24-hours. Holding this volume and price constant over 30 days, Binance would collect revenues of approximately $119.4 million.

假设在 2022 年 3 月 6 日，比特币平均价格为 $39,037.03，当天交易了约 377,729 份 BTC 合约。假设平均交易者属于 VIP3 费率等级，并假设 75% 的合约是挂单（maker），25% 的合约是吃单（taker），币安在 24 小时内收取的收入约为 390 万美元。如果保持该交易量和价格不变，30 天内币安将收取约 1.194 亿美元的收入。

However, Binance would benefit from more volume by VIP 0 users, as those users pay higher maker/taker fees. VIP 0 users are those trading less than 250 BTC per 30 days and are thus more likely to be beginner investors. For example, if instead all of the traders within the 24- hour window on March 6, 2022, were VIP 0 traders, Binance would collect revenues of approximately $5.1 million in a 24-hour period, and approximately $154.8 million over thirty days assuming constant volume and price. The impact in VIP status directly affects Binance’s bottom line – representing a change of approximately $35.4 million per month. For a trader to change their status from VIP 0 to VIP 1, the trader must trade more than 250 BTC in 30 days. If BTC is trading at $40,000, and the trader opens 250 positions in BTC, the trader paying the lower maker fee would at a minimum generate $2,000 in fees for Binance in those 30 days. As an exchange, Binance collects revenue and stands to profit regardless of whether the trader profits, or whether the trader is quickly liquidated as seen in the 125x leverage simulation. Binance fees must be paid upfront and are taken from the trader should the trader be liquidated.

然而，币安将从 VIP 0 用户带来的更多交易量中获益，因为这些用户支付更高的挂单/吃单费。VIP 0 用户是那些 30 天内交易量低于 250 BTC 的用户，因此更有可能是新手投资者。例如，如果 2022 年 3 月 6 日 24 小时内的所有交易者都是 VIP 0 交易者，币安在 24 小时内收取的收入约为 510 万美元，假设交易量和价格不变，30 天内约为 1.548 亿美元。VIP 等级的影响直接关系到币安的利润底线——代表着每月约 3540 万美元的变动。要将交易者等级从 VIP 0 更改为 VIP 1，交易者必须在 30 天内交易超过 250 BTC。如果 BTC 交易价格为 $40,000，并且该交易者开仓 250 个 BTC 头寸，支付较低挂单费的交易者将至少在 30 天内为币安创造 $2,000 的费用。作为一家交易所，币安收取收入并获利，无论交易者是否获利，也无论交易者是否像 125 倍杠杆模拟中所示那样迅速被清算。币安的费用必须预先支付，如果交易者被清算，费用将从交易者账户中扣除。

Liquidations - 清算:

Positions in perpetual futures are liquidated often due to the amount of high leverage used for these trades. Although there is no perpetual futures specific liquidation data available, roughly 90% of daily liquidations in cryptocurrency futures contracts occur in perpetual futures.34 Figure 7 shows the total daily number of liquidations per exchange. Figures 8 and 9 show the daily long and short liquidations by exchange.

永续合约头寸由于这些交易所使用的高杠杆量而经常被清算。尽管没有特定于永续合约的清算数据，但加密货币期货合约中约 90% 的日常清算发生在永续合约中。图 7 显示了每个交易所的每日清算总量。图 8 和图 9 显示了按交易所划分的每日多头和空头清算情况。

Liquidation Simulations -  清算模拟

To further explore the liquidation risk for perpetual futures in exchanges with high leverage availability a simulation was conducted for leverage amounts of 125x, 75x, and 25x. In this simulation, the price of the BTC/USD perpetual future was gathered for every second for every date between 1/1/20 and 12/31/20. Then randomized entry and exit points were generated. The program would then either exit at the exit point or at the liquidation point, depending on whether the account balance reached the liquidation point below the maintenance margin of 50%. All trades used the minimum amount required to purchase 1 BTC/USD coupled with its respective leverage. For all trades, the entry point was entered into at the maker fee, and the closing point was entered into at the taker fee. The fee percentage used for these trades is the equivalent to the VIP0 rate as shown in Figure 5. These trades were then simulated for 10,000 iterations for each 125x, 75x, and 25x leverage. Figure 10 displays the results of the simulation in a histogram.

为了进一步探讨在提供高杠杆的交易所中永续合约的清算风险，进行了一项针对 125 倍、75 倍和 25 倍杠杆量的模拟。在此模拟中，收集了 2020 年 1 月 1 日至 2020 年 12 月 31 日期间，每秒的 BTC/USD 永续合约价格。随后随机生成了入场点和离场点。程序随后将在离场点或在清算点平仓，具体取决于账户余额是否触及低于 50% 维持保证金的清算点。所有交易都使用了购买 1 BTC/USD 所需的最低金额及其各自的杠杆。对于所有交易，入场点以挂单费进入，平仓点以吃单费进入。这些交易使用的费率百分比相当于图 5 中所示的 VIP0 费率。然后，对 125 倍、75 倍和 25 倍杠杆的每一种情况，分别模拟了 10,000 次迭代。图 10 以直方图形式显示了模拟结果。

For the simulation with 125x leverage, 98.32% of all trades were liquidated. The average liquidation time for each trade was 1,350.56 seconds, or roughly 22 minutes and 30 seconds. The median liquidation time was 46 seconds. Furthermore, 83.5% of all liquidated trades were liquidated within the first 500 seconds. The average loss if the trade was liquidated was $224.56. The average profit for non-liquidated trades was $9,232.96. For comparison, there is a 2.63% chance in choosing the correct number in a casino roulette table. In roulette, casinos pay out 35 to 1 for choosing the correct number. If instead the investor had placed a $224.56 bet on a number in roulette, the bettor has a 2.63% chance of winning $7,859.60. With these odds, an investor would have an expected profit (loss) of ($65.67) in a perpetual cryptocurrency investment at 125x leverage and would have an expected profit (loss) of ($11.82) on a roulette table. Now this is not to suggest that gambling is more profitable than investing in cryptocurrency perpetual futures. This simulation was made with 10,000 randomized entry/exit points. However, the low median time until liquidation coupled with the high probability of loss and minimal probability of a large gain does seem to suggest that trading cryptocurrency perpetual futures with high amounts of leverage resembles gambling as opposed to a sound investment strategy.

在 125 倍杠杆的模拟中，98.32% 的所有交易被清算。每次交易的平均清算时间为 1,350.56 秒，约 22 分 30 秒。中位清算时间为 46 秒。此外，83.5% 的所有被清算交易在最初的 500 秒内被清算。如果交易被清算，平均损失为 $224.56。未被清算交易的平均利润为 $9,232.96。作为比较，在赌场轮盘赌桌上选择正确数字的几率为 2.63%。在轮盘赌中，选择正确数字的赔率为 35 比 1。如果投资者在轮盘赌上押注 $224.56，赌客有 2.63% 的几率赢得 $7,859.60。以这些赔率计算，在 125 倍杠杆下的加密货币永续合约投资中，投资者的预期利润（损失）为 ($65.67)，而在轮盘赌桌上，预期利润（损失）为 ($11.82)。这并非暗示赌博比投资加密货币永续合约更有利可图。此模拟是在 10,000 个随机入场/离场点下进行的。然而，较低的中位清算时间，加上高损失概率和极小的获得巨额收益的概率，似乎表明使用高额杠杆交易加密货币永续合约更类似于赌博，而非稳健的投资策略。

The simulation with 75x leverage liquidated 97.30% if all trades, with an average liquidation time of 1,835.75 seconds, or roughly 30 minutes 35 seconds, and a median liquidation time of 117 seconds. This lower level of leverage increased the liquidation time, as 78.98% of all trades were liquidated in less than 500 seconds.

75 倍杠杆的模拟中，97.30% 的所有交易被清算，平均清算时间为 1,835.75 秒，约 30 分 35 秒，中位清算时间为 117 秒。这种较低的杠杆水平增加了清算时间，78.98% 的所有交易在不到 500 秒内被清算

Lastly, in the simulation with 25x leverage, 92.95% of all trades were liquidated. The average liquidation time was 5,543.79 seconds, roughly 92 minutes 24 seconds. The median liquidation time was roughly 13 minutes 10 seconds. In this simulation, only 36.68% of all trades were liquidated in less than 500 seconds.

最后，在 25 倍杠杆的模拟中，92.95% 的所有交易被清算。平均清算时间为 5,543.79 秒，约 92 分 24 秒。中位清算时间约为 13 分 10 秒。在此模拟中，只有 36.68% 的所有交易在不到 500 秒内被清算

While in all simulations more than 90% of all trades were liquidated, one constant throughout all simulations was the revenue generated by the exchange. For the 125x, 75x, and 25x, the revenues generated by the exchange’s maker/taker fees for 10,000 entry/exit points were $295,705.51; $295,222.03; $294,997.79 respectively. While investors are often liquidated in a matter of minutes, exchanges can profit significantly by offering investors the ability to highly leverage their trades.

尽管在所有模拟中，超过 90% 的所有交易被清算，但贯穿所有模拟的一个不变因素是交易所产生的收入。对于 125 倍、75 倍和 25 倍杠杆，交易所通过 10,000 个入场/离场点收取的挂单/吃单费用收入分别为 $295,705.51、$295,222.03 和 $294,997.79。尽管投资者常常在几分钟内被清算，但交易所通过提供高杠杆交易的能力，获得了可观的利润。

III. The Need for Potential Regulations to Further Protect Investors - 进一步保护投资者的潜在监管需求

Although often misused and misunderstood, perpetual futures in cryptocurrency do bring a novel product that benefits investors. Although cryptocurrency perpetual futures deviate from the original proposed use by Robert Shiller in 1992, perpetual futures allow for leveraged positions in cryptocurrency that do not expire and provide significant liquidity to the market. These contracts allow for small investors to take large positions with leverage. Furthermore, exchange traded perpetual futures have the security of being traded on an exchange – and investors can choose their preferred exchange. These products should not be banned outright, as this just allows for exchanges to operate offshore in less regulated arenas. These products should be embraced by US regulators, but with certain conditions that protect investors.

尽管加密货币永续合约经常被误用和误解，但它们确实带来了一种有益于投资者的新型产品。虽然加密货币永续合约偏离了罗伯特·席勒（Robert Shiller）在 1992 年提出的最初用途，但永续合约允许加密货币的杠杆头寸且不设到期日，并为市场提供显著的流动性。这些合约允许小投资者使用杠杆进行大额头寸。此外，交易所交易的永续合约具有在交易所交易的安全性——投资者可以选择他们偏好的交易所。不应完全禁止这些产品，因为这只会允许交易所继续在监管较少的境外市场运营。美国监管机构应接纳这些产品，但要附带某些保护投资者的条件。

Investors should be protected for two reasons. First, many retail investors have likely never been exposed to high levels of leverage available at their disposal. With large amounts of leverage, it is easy for investors to misjudge how much time they will have before their investment gets liquidated. Second, with the rising price of BTC in the past few years, it is possible investors misunderstand the risk in highly leveraged positions. While some would argue gambling should be regulated even more to protect gamblers, in gambling there is a presumption of the odds being against the gambler. Gamblers know the house has the upper hand, but with perpetual futures, there is an underlying presumption of the rising prices of cryptocurrency that could cause investors to misunderstand the risk involved in high leveraged positions.

保护投资者有两个原因。首先，许多散户投资者可能从未接触过他们可支配的高水平杠杆。使用大额杠杆，投资者很容易错误地判断在他们的投资被清算之前他们还有多少时间。其次，随着过去几年 BTC 价格的上涨，投资者有可能会误解高杠杆头寸中的风险。尽管有人会争辩说应该对赌博进行更严格的监管以保护赌徒，但在赌博中，有一个前提是赔率对赌徒不利。赌徒知道庄家占上风，但对于永续合约，存在一个对加密货币价格上涨的潜在假设，这可能导致投资者误解高杠杆头寸所涉及的风险。

Proposed Regulations to Further Protect Investors - 拟议的进一步保护投资者的法规

(1) Exchanges should lower their maximum leverage for new traders for a pre-determined amount of time and disclose the probability of liquidation at high levels of leverage.

交易所应在预定时间内降低新交易者的最大杠杆，并披露在高杠杆水平下的清算概率。

Binance has already started to limit their maximum leverage for new traders. On July 26, 2021, Binance updated its trading rules to limit leverage to 20x for all accounts within 60 days of opening the account.38 However, as seen in the simulations conducted, a large share of investors can still be liquidated in a short amount of time even at the lower levels of leverage. Exchanges should disclose the probability of liquidation at certain leverage ranges assuming the volatility these products have experienced in the past continue. Educating investors on the probability of liquidation will permit these investors to make better informed decisions on their investment. Although Binance has taken some steps to protect investors by limiting the amount of leverage for new accounts, other exchanges have not followed and continue to allow new investors to trade at high levels of leverage.

币安已经开始限制新交易者的最大杠杆。2021 年 7 月 26 日，币安更新了其交易规则，将所有开户 60 天内的账户的杠杆限制为 20 倍$^{38}$。然而，如所进行的模拟所示，即使在较低的杠杆水平下，仍有大部分投资者可能在短时间内被清算。交易所应披露在某些杠杆范围内的清算概率，前提是假设这些产品过去所经历的波动性将继续。对投资者进行清算概率的教育，将使他们能够对自己的投资做出更明智的决策。尽管币安已经采取了一些措施来保护投资者，限制新账户的杠杆金额，但其他交易所尚未跟进，并继续允许新投资者以高杠杆进行交易。

(2) Exchanges need transparent trading fees to avoid confusing traders.

交易所需要透明的交易费用以避免混淆交易者。

Exchanges do not make it explicitly clear what the trading fees are on perpetual futures. Binance, Kraken, and Bybit all use a tiered system of maker/taker percentage fees.39 Fees for each exchange decrease as the volume traded by the user increases. This system encourages perpetual futures traders to increase their volume which in turn earns the exchanges more revenue. To avoid confusion and an increased pressure to trade, exchanges should establish, fixed, upfront, and transparent fees for all perpetual futures traders.

交易所并没有明确告知永续合约的交易费用是什么。币安、Kraken 和 Bybit 都使用分级挂单/吃单百分比费用系统。随着用户交易量的增加，每个交易所的费用都会降低。这个系统鼓励永续合约交易者增加他们的交易量，从而为交易所赚取更多收入。为避免混淆和增加交易压力，交易所应为所有永续合约交易者建立固定、预付和透明的费用。

(3) Exchanges need stronger know your customer (KYC) requirements.

交易所需要更严格的了解你的客户（KYC）要求

Binance and other exchanges have implemented stronger KYC rules including facial recognition, valid ID, proof of residence, KYC questionnaires, and other tools. However, illicit users have already found a way to circumvent the rules by using fake IDs and paying for verified accounts. 41 For these exchanges to be permitted in the United States, they must proactively enhance their KYC requirements and have robust anti- money laundering (AML) policies that will appease regulators. KYC requirements for all customers will protect all investors by ensuring the investors have the required capital to trade these risky assets. Kraken, for example, allows margin trading for U.S. clients that have more than $10M in assets invested. However, this is a self-certified questionnaire, and it only applies to U.S. investors.

币安和其他交易所已经实施了更严格的 KYC 规则，包括人脸识别、有效身份证件、居住证明、KYC 问卷和其他工具。然而，非法用户已经找到了规避规则的方法，使用伪造身份证件和付费购买已验证账户$^{41}$。为了允许这些交易所进入美国，它们必须积极加强其 KYC 要求，并具备健全的反洗钱（AML）政策，以安抚监管机构。对所有客户的 KYC 要求将通过确保投资者拥有交易这些高风险资产所需的资本来保护所有投资者。例如，Kraken 允许资产超过 1000 万美元的美国客户进行保证金交易。然而，这是一个自我认证的问卷，并且仅适用于美国投资者。

Regulators in onshore markets should develop additional regulations so that offshore exchanges, should they ever seek regulatory approval, can develop under proper regulation status. By exiling the exchanges, it is not the exchanges that are getting hurt, but rather the traders. These exchanges should be regulated to prevent the “house always win” casino model adopted by these offshore exchanges, as evidenced by the profits from the exchanges and the high probability of being liquidated in the leverage simulations conducted. The exchanges have made significant steps to appease regulators and have shown they are willing to work with regulators to establish protections for traders. Instead of banning perpetual futures, the regulators should look for ways to adopt these products, with certain protections for investors. However, investors should be protected as it is likely they misunderstand the risk accompanied by the high levels of leverage offered by most exchanges. It is possible perpetual futures could expand towards other commodities that are cash settled. Investors could benefit from an increase in liquidity, an increase in leverage, and a reduction in rollover fees. The future of perpetual futures depends on whether regulators and exchanges can find the right balance between the protections for traders and the incentives for exchanges to offer these novel products.

境内市场的监管机构应制定额外的法规，以便境外交易所如果寻求监管批准，可以在适当的监管状态下发展。流放（exiling）交易所所受伤害的不是交易所，而是交易者。应该对这些交易所进行监管，以防止境外交易所采用“庄家总赢”的赌场模式，如交易所的利润和所进行的杠杆模拟中高清算概率所证明的那样。交易所已采取重要步骤来安抚监管机构，并表明它们愿意与监管机构合作，为交易者建立保护措施。监管机构不应禁止永续合约，而应寻求采纳这些产品的方法，同时为投资者提供某些保护。然而，投资者应该受到保护，因为他们很可能误解了大多数交易所提供的高水平杠杆所伴随的风险。永续合约有可能扩展到其他现金结算的商品。投资者可以受益于流动性的增加、杠杆的增加和展期费用的减少。永续合约的未来取决于监管机构和交易所能否在保护交易者和激励交易所提供这些新型产品之间找到正确的平衡。

APPENDIX 

Binance calculation of the funding rate:  - 币安资金费率的计算

“Funding rates are calculated using the following formula: - 资金费率使用以下公式计算：

Funding Amount = Nominal Value of Positions × Funding Rate (Nominal Value of Positions = Mark Price x Size of a Contract)

资金费用 = 头寸名义价值 × 资金费率（头寸名义价值 = 标记价格 x 合约大小）

Please note that Binance takes no fees from funding rate transfers as funding fees are transferred directly between traders.

请注意，币安不收取资金费率转移的任何费用，因为资金费用是直接在交易者之间转移的。

Funding payments occur every 8 hours at 00:00 UTC; 08:00 UTC and 16:00 UTC for all Binance Futures perpetual contracts. Traders are only liable for funding payments in either direction if they have open positions at the pre-specified funding times. If traders do not have a position, they are not liable for any funding. Moreover, traders who close their positions prior to the funding time will not pay or receive any funding. There is a 15-second deviation in the actual funding fee transaction time. For example, when a trader opens a position at 08:00:05 UTC, the funding fee could still apply to the trader (either paying or receiving the funding fee).

资金支付每 8 小时发生一次，时间为世界标准时间 00:00、08:00 和 16:00，适用于所有币安期货永续合约。交易者仅在预定的资金时间点持有未平仓头寸时，才需要承担任一方向的资金支付责任。如果交易者没有头寸，则不承担任何资金责任。此外，在资金时间点之前平仓的交易者将不支付或收取任何资金。在实际的资金费用交易时间上有 15 秒的偏差。例如，当交易者在世界标准时间 08:00:05 开仓时，资金费用仍可能适用于该交易者（支付或收取资金费用）。

There are two components to Funding Rates: the Interest Rate and the Premium. The Premium is the reason why the price of the perpetual contract will converge with the price of the underlying asset. Binance uses a flat Interest Rate, with the assumption that holding cash equivalent returns a higher interest than the BTC equivalent. The difference is stipulated to be 0.03% per day by default (0.01% per funding interval since funding occurs every 8 hours) and may change depending on market conditions, such as the Federal Funds Rate.

资金费率由两个部分组成：利率（Interest Rate）和溢价（Premium）。溢价是永续合约价格与基础资产价格趋于一致的原因。币安使用一个固定利率，假设持有现金等价物会产生高于 BTC 等价物的利息。默认的差额规定为每日 0.03%（由于资金每 8 小时发生一次，故每个资金间隔为 0.01%），并且可能根据市场状况（例如联邦基金利率）发生变化。

There may be a significant difference in price between the perpetual contract and the Mark Price. On such occasions, a Premium Index will be used to enforce price convergence between the two markets. The Premium Index history can be viewed here. It is calculated separately for every contract:

永续合约价格与标记价格之间可能存在显著差异。在这种情况下，将使用溢价指数（Premium Index）来强制两个市场之间的价格趋同。溢价指数历史可以在此处查看。它为每个合约单独计算：

Premium Index (P) = [Max(0, Impact Bid Price - Price Index ) - Max(0, Price Index - Impact Ask Price)] / Price Index

溢价指数 (P) = [Max(0, 冲击买价 - 价格指数) - Max(0, 价格指数 - 冲击卖价)] / 价格指数

Impact Bid Price = The average fill price to execute the Impact Margin Notional on the Bid Price

冲击买价（Impact Bid Price）= 用于以冲击保证金名义价值（Impact Margin Notional）执行买价的平均成交价格

Impact Ask Price = The average fill price to execute the Impact Margin Notional on the Ask Price

冲击卖价（Impact Ask Price）= 用于以冲击保证金名义价值执行卖价的平均成交价格

The Impact Margin Notional (IMN) for USDT-Margined Contracts is the notional available to trade with 200 USDT worth of margin (price quote in USDT); for Coin-Margined Contracts, it is the notional available to trade with 200 USD worth of margin (price quote in USD). IMN is used to locate the average Impact Bid or Ask price in the order book.

冲击保证金名义价值 (IMN)对于 USDT 保证金合约而言，是价值 200 USDT 的保证金可供交易的名义价值（以 USDT 报价）；对于 币本位保证金合约而言，是价值 200 USD 的保证金可供交易的名义价值（以 USD 报价）。IMN 用于在订单簿中定位平均冲击买价或卖价。

Impact Margin Notional (IMN) = 200 USDT / Initial margin rate at maximum leverage level. For example, the maximum leverage of the BTCUSDT perpetual contract is 125x, and its corresponding Initial Margin Rate is 0.8%, then the Impact Margin Notional (IMN) is 25,000 USDT (200 USDT / 0.8%), and the system will take an IMN of 25,000 USDT every minute in the order book to measure the average Impact Bid/Ask price.”

冲击保证金名义价值 (IMN) = 200 USDT / 最高杠杆水平下的初始保证金率。例如，BTCUSDT 永续合约的最高杠杆为 125 倍，其对应的初始保证金率为 0.8%，那么冲击保证金名义价值 (IMN) 为 25,000 USDT (200 USDT / 0.8%)，系统将每分钟在订单簿中提取 25,000 USDT 的 IMN来衡量平均冲击买价/卖价。”

Binance Price Index Computation:  - 币安价格指数计算

The underlying contract for the Perpetual Contract is the ‘true’ value of the Contract, and an average of the prices on the major markets constitutes the “Price Index” which is the primary component of Mark Price. The Price Index is a bucket of prices from the major Spot Market Exchanges. The Price Index for USDⓈ-M futures contracts derives prices from Huobi, Okex, Bittrex, HitBTC, Gate.io, Bitmax, Poloniex, FTX, MXC. 

永续合约的基础合约是合约的“真实”价值，主要市场上价格的平均值构成了“价格指数”（Price Index），它是标记价格（Mark Price）的主要组成部分。价格指数是一篮子来自主要现货市场交易所的价格。USDⓈ-M 期货合约的价格指数来源于火币（Huobi）、OKEX、Bittrex、HitBTC、Gate.io、Bitmax、Poloniex、FTX、MXC 的价格。

Single price source deviation - 单一价格来源偏差

When the latest price of a certain exchange deviates more than 5% from the median price of all price sources, the exchange weight will be set to zero for weighting purposes.

当某个交易所的最新价格与所有价格来源的中位价格偏差超过 5% 时，该交易所的权重将被设置为零，不用于加权目的。

Multi price source deviation -多重价格来源偏差

If more than 1 exchange shows greater than 5% deviation, the median price of all price sources will be used as the index value instead of the weighted average.

如果有超过 1 个交易所显示超过 5% 的偏差，所有价格来源的中位价格将用作指数值，而不是加权平均值。

Exchange connectivity problem: - 交易所连接问题

If we can’t access the data feed for an exchange and this exchange has trades updated in the last 10 seconds, we can take price data from the last result and use it for index calculation. If one exchange has no updates for 10 seconds, the weight of this exchange will be zero when calculating the weighted average.

如果无法访问某个交易所的数据源，且该交易所在过去 10 秒内有交易更新，可以从上次结果中获取价格数据并用于指数计算。如果一个交易所在 10 秒内没有更新，则在计算加权平均值时，该交易所的权重将为零。

Last Price Protected:-最新价格保护

When it is unable to obtain a stable and reliable source of reference data for "Price Index" and "Mark Price", for those contracts that have a single source of Price Index, the Price Index will not be updated. We will use a mechanism called “Last Price Protected" to update the Mark Price until it is back to normal. The “Last Price Protected” is a mechanism that the matching system temporarily switches to the latest transaction price of the contract itself within a certain limit as reference for Mark Price, to calculate unrealized profit and loss and liquidation call level, in order to avoid unnecessary liquidation.”

当无法获取稳定可靠的“价格指数”和“标记价格”参考数据来源时，对于具有单一价格指数来源的合约，价格指数将不会更新。将使用一种称为**“最新价格保护”的机制来更新标记价格**，直到恢复正常。“最新价格保护”是一种机制，即匹配系统暂时切换到合约本身的最新交易价格，在一定限制内作为标记价格的参考，以计算未实现盈亏和清算通知水平，从而避免不必要的清算。

Binance calculates their Mark Price using these Price Indexes in the following way: 

币安使用这些价格指数计算标记价格的方式如下

Mark price is defined as the median of 3 prices:  - 标记价格被定义为 3 个价格的中位数（median） 

Mark price = Median (Price 1, Price 2, Contract Price) - 标记价格 = 中位数（价格 1, 价格 2, 合约价格）

By definition, if Price 1 < Price 2 < Contract Price, then take Price 2 as Mark price. 

根据定义，如果 价格 1 < 价格 2 < 合约价格，则取价格 2 作为标记价格。

In addition, - 此外

Price 1 = Price Index × (1 + Last Funding Rate × (Time Until Funding /8)) 

价格 1 = 价格指数 × (1 + 最新资金费率 × (距离下次资金时间 / 8))

Price 2 = Price Index + Moving Average (30-minute Basis) 

价格 2 = 价格指数 + 移动平均 (30 分钟基差)

where the Moving Average (30-minute Basis) is defined as: - 其中移动平均 (30 分钟基差)定义为

Moving Average ((Bid1+Ask1)/2- Price Index) measured every minute in a 30-minute interval.

移动平均 ((买 1 + 卖 1) / 2 - 价格指数)在 30 分钟的间隔内每分钟测量一次。