自动减仓

全部减仓

当且仅当以下两个条件同时满足时触发全部减仓：

当且仅当以下两个条件同时满足时触发部分减仓：

自动减仓触发价 (ADLTrigPrice) 用于仓位风险计算，按此价格接管会导致被接管人仓位穿仓。给定代理平滑指数价格 $\tilde{S}^T_t$ ，期货平滑标记价格 $\tilde{F}^T_t$ ，行权价 $K$ ，隐含波动率 $\sigma$ ，到期日 $T$ ，当前时间 $t$ ：

FutureADLTrigPrice = \begin{cases} \tilde{F}^T_t \cdot (1 - ADLLongFutureShock), &Qty > 0 \\[5pt] \tilde{F}^T_t \cdot (1 + ADLShortFutureShock), &Qty < 0 \end{cases}

CallADLTrigPrice = \begin{cases} \frac{\tilde{S}^T_t}{\tilde{F}^T_t}\cdot\mathcal{B}(\tilde{F}^T_t \cdot (1 - ADLLongFutureShock), \sigma \cdot (1 - ADLLongIVShock), T, t, K, call), &Qty > 0 \\[5pt] \frac{\tilde{S}^T_t}{\tilde{F}^T_t}\cdot\mathcal{B}(\tilde{F}^T_t \cdot (1 - ADLLongFutureShock), \sigma \cdot (1 + ADLShortIVShock), T, t, K, call), &Qty < 0 \end{cases}

PutADLTrigPrice = \begin{cases} \frac{\tilde{S}^T_t}{\tilde{F}^T_t}\cdot\mathcal{B}(\tilde{F}^T_t \cdot (1 + ADLLongFutureShock), \sigma \cdot (1 - ADLLongIVShock), T, t, K, put), &Qty > 0 \\[5pt] \frac{\tilde{S}^T_t}{\tilde{F}^T_t}\cdot\mathcal{B}(\tilde{F}^T_t \cdot (1 - ADLShortFutureShock), \sigma \cdot (1 + ADLShortIVShock), T, t, K, put), &Qty < 0 \end{cases}

自动减仓价 (ADL price) 为自动减仓的实际成交价。

以触发时刻合约的爆仓接管价 (liquidating price) 作为基准，计算合约自动减仓平仓价：

FutureADLPrice = FutureLiquidatingPrice - \frac{FutureLoadWeight \cdot\min(ResidualEquity, 0)}{FutureQty}

OptionADLPrice = OptionLiquidatingPrice - \frac{OptionLoadWeight \cdot\min(ResidualEquity, 0)}{OptionQty}

其中：

FutureLoadWeight = \frac{\left| (FutureLiquidatingPrice - FutureOpenPrice) \cdot FutureQty \right|}{TotalAbsValue}

OptionLoadWeight = \frac{\left| OptionLiquidatingPrice \cdot OptionQty \right|}{TotalAbsValue}

TotalAbsValue = \sum\limits_{Leg:i} \left| (FutureLiquidatingPrice_i - FutureOpenPrice_i) \cdot FutureQty_i \right| + \sum\limits_{Leg:i} \left| OptionLiquidatingPrice_i \cdot \text{OptionQty}_i \right|

当因非 USDC 抵押品导致用户策略账户被全部减仓时，其所有抵押品和债务将由平台接管并承担最终兜底责任。

计算对手方各自的杠杆收益率 (LeveragePnL) 并按照降序排序，从杠杆收益率最大的对手方仓位开始相互平仓，直到发起方风险仓位被全部平仓：

LeveragePnL = \begin{cases} \frac{UnrealizedPnL}{\max(1, Equity - UnrealizedPnL)} \cdot MMRatio^{\operatorname{sign}(UnrealizedPnL)}, & MMRatio \neq 0 \\[8pt] \frac{UnrealizedPnL}{\max(1, Equity - UnrealizedPnL)}, & MMRatio = 0 \end{cases}