Expected Changes in Accounts

Equity:

$$a_{2}=a_{1}-\mathrm{abs}\left(S_{\text {open }} * P_{\text {open }} * \text { feerate }\right)+\left(P^{o}-P_{\text {open }}\right) * S_{\text {open }} \\$$

Maintenance:

$$c_{2}=\text { otTMM }+\operatorname{abs}\left(e_{2}\right) * P^{o} * \text { MaintenanceRate } \\$$

Margin Ratio:

$$d_{2}=\frac{c_{2}}{a_{2}}\left(0 \leq d_{2} \leq 1\right)$$

Position:

$$e_{2}=S_{\text {hold }}+S_{\text {open }} \\$$

Fee:

$$\mathrm{b} 1=\operatorname{abs}\left(S_{\text {open }} * \text { feerate } * P_{\text {open }}\right)$$

• Position Size: $S_{\text {hold}}$

• Average Position Price: $P_{\text {hold}}$

• Oracle Price: $P^{o}$

• Open Size: $S_{\text {open}}$

• Open Price: $P_{\text {open}}$

• otTMM: Sum of maintenance margins for other contracts

• Long: + short: -