Proposal for Futures Market Specs

schema change

Introduction New Data Model "Position" to record member's positions for each futures market.

#  member_id  :integer          not null
#  market_id  :string(20)       not null
#  volume     :integer          default(0), not null
#  margin     :decimal(32, 16)  default(0.0), not null
#  credit     :decimal(32, 16)  default(0.0), not null

margin store the margin value subs from quote unit account. credit store the sum of the values of the orders that build up the position in quote unit. Keep the sign of credit value of the opposite of the volume. This makes

volume * avg_price + credit = 0

i.e. A filled long order of 'BTC1903` at price 3000 USD and 10 volume, with margin_rate 10%, gives

position.volume += 3
position.credit -= 3 * 3000
position.margin += about 3 * 3000 * 0.10 (depends on the current position)

And update markets table with new columns

#  base             :string(255)      default("spot")
#  expired_at       :datetime
#  margin_rate      :decimal(32, 16)  default(0.1), not null
#  maintenance_rate :decimal(2, 2)    default(0.75), not null

base specifies whether the market is of 'spot' or 'futures'.

Order Executing

trades are executed by transferring margins between positions and quote unit accounts, instead of funds transfers between accounts.