1. What is delivery future?
Unlike perpetual contracts, delivery futures have expiration dates (or delivery dates) and settlement on the delivery date is the obligation of seller and buyer.
2. About Price
2.1 Mark price
When calculating the mark price, delivery futures calculate the fair basis rate using the difference between the depth weighted mid price and index price of the underlying asset. And then use the fair basis rate to calculate the mark price.
Fair basis rate=(depth weighted mid price/ index price- 1)/( remaining time to delivery/365)
Fair basis= index price * fair basis rate* ( remaining time to delivery/365)
Fair price= index price + fair basis
Assumes a BTC_USDT quarterly contract, its index price is currently 10000USDT, depth weight bid 10049 USDT, depth weighted ask 10051 USDT, expiration is 30 days away.
The fair basis rate = (10050/10000-1)/(30/365)= 0.060833 = 6.0833%
Fair base = 10000 * 0.060833 * (30 /365) = 50
Fair price = 10000 + 50 = 10050
1)The fair basis rate updates at a fixed interval, 1 minute in general, which may vary from future contract to future contract.
2) Fair basis rate only updates when the difference of depth weighted ask/bid is less than the maintenance margin of index price.
If index price is 10000 USDT, the maintenance margin percentage is 0.5 %. The basis rate only updates when the spread of depth weighted ask/bid is less than 50 (10000 * 0.005) .
3)When index price or fair basis rate updates, mark price will update.
2.2 Settlement Price
Gate.io uses the weighted average of index price over a certain period prior to settlement as the final settlement price.
To avoid instantaneous market manipulation, the time periods for calculation vary from future to future. In general, it is half an hour. You can view more at Contract Details.
3. About Settlement
3.1 Settlement Commission & Trading Fee
When settling a future at expiration, Gate.io willl take a percentage of the position value (calculated based on the settlement price) as settlement commission. No other liquidation fee is charged.
Settlement commission percentage: 0.015%
Future trading fee:
Maker：-0.025% (a debate)
Taker：0.075% (among which, 0.025% is to be given to the maker)
3.2 Settlement Time
Gate.io delivery futures are settled at delivery date only, not daily. The trading of other futures are not affected when one future is settled/delivered.
A Weekly future is settled on every Friday, at 08:00 UTC
A Quarterly future is settled on the last Friday of a quarter, at 08:00 UTC.
4. Liquidation/ Auto-deleveraging
Gate.io employs mark price as the basis of liquidation. Like perpetual contract, it has insurance fund and auto-deleveraging mechanism to avoid socializing losses.
5. Risk Warning
Futures are high leveraged and of high risk. Please do not trade beyond your financial abilities.