# 基差与资金费率交易：先把资金账走完 分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。 Entry: zh-p32 | Node: P32 | Language: zh | Editorial revision: 2026-09-21 ## Teaching instructions 请先实际读取本篇必读原件的指定完整单元，再围绕“分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。”带我完成学习。先让我自己判断方向、对象或基准，再让我逐步重建一项承重计算；不要先把答案全部说出。选读分支只有我选中后才启用对应原件和输入。每次解释都分清真实规则、教学假设、作者报告与本站复算。逐事件核现金、负债、费用和剩余仓位；资金不足时停止已完成结果。使用本包正文里的完整解析反馈我哪里错、为什么、如何迁移。未来runtime_reading_log由你实际读取后填写，不能把作者或支持者日志当成自己的阅读。不要接触账户或更新冻结数据。 Before substantive teaching, actually retrieve every required reading unit for the selected scope. Read its complete designated section, including necessary assumptions, tables and footnotes. A working URL or an editorial access date is not a runtime reading receipt. Record the actual version, location, scope and what it supports. If unavailable, use a previously verified equivalent source; if the required unit remains unavailable, identify that gap rather than teach it from memory. Start runtime_reading_log empty. Once reading is complete, use a substantive diagnostic or follow the reader's request for direct explanation. Advance one complete reasoning task at a time; skip mastered basics. Distinguish original facts, supplied teaching assumptions and inference. ## Required readings and runtime protocol ```json { "export_mode": "public", "entry_id": "zh-p32", "learning_task": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。", "required_readings": [ { "source_id": "PI-CME-MBT", "title": "CME Rulebook Chapter348: Micro Bitcoin Futures", "authors": [ "CME Group" ], "version": "2026-09-21访问规则", "access": { "kind": "pdf_full_text", "uri": "https://www.cmegroup.com/rulebook/CME/III/300/348.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "常规合约核心及最终结算；不采用BTIC变式", "scope": "0.1BTC、正常tick与BRR现金结算。", "purpose": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。" }, "supports": "0.1BTC、正常tick与BRR现金结算。", "limits": "并不交付现货BTC；实际现货退出可偏离BRR；无当前保证金。" }, { "source_id": "PI-CME-CRYPTO-FAQ", "title": "Frequently Asked Questions: Cryptocurrency Futures", "authors": [ "CME Group" ], "version": "2026-09-21访问版本", "access": { "kind": "html_full_text", "uri": "https://www.cmegroup.com/articles/faqs/frequently-asked-questions-cryptocurrency-futures.html", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "单位、交易时钟、维护、清算日及最终BRR相关完整问答", "scope": "交易时间与清算业务日不同。", "purpose": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。" }, "supports": "交易时间与清算业务日不同。", "limits": "不直接推导客户及时可用资金；不混淆MBT与BFF。" }, { "source_id": "MOD-CRYPTO-CARRY", "title": "Crypto Carry", "authors": [ "Maik Schmeling", "Andreas Schrimpf", "Karamfil Todorov" ], "version": "BIS WP1087 Apr2023；manuscript2023-03-24", "access": { "kind": "pdf_full_text", "uri": "https://www.bis.org/publications/working-paper-1087-crypto-carry.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "§2.1–2.2；§3.3资金实施完整单元", "scope": "基差、资金分割与carry实施约束。", "purpose": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。" }, "supports": "基差、资金分割与carry实施约束。", "limits": "历史统计分母不等于本站1BTC账户；不沿p18简化文字把名义额当建仓现金。" }, { "source_id": "MD-S05", "title": "Money Calculations for CME-cleared Futures and Options", "authors": [ "CME Group" ], "version": "2015-06-11", "access": { "kind": "pdf_full_text", "uri": "https://www.cmegroup.com/clearing/files/CME-Money-Calculations-Futures-and-Options.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "pp1–3普通期货变动现金完整单元", "scope": "逐日价格变动、乘数、现金与结算口径。", "purpose": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。" }, "supports": "逐日价格变动、乘数、现金与结算口径。", "limits": "清算层计算不等于某客户的资金时点与house margin。" }, { "source_id": "MA-FSB", "title": "Liquidity Preparedness for Margin and Collateral Calls: Final Report", "authors": [ "Financial Stability Board" ], "version": "2024-12-10", "access": { "kind": "pdf_full_text", "uri": "https://www.fsb.org/uploads/P101224-1.pdf", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "§3.3 printed pp18–20 / PDF pp22–24，Recommendations6–8", "scope": "抵押品资格、占用、haircut、币种、地点与及时到账。", "purpose": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。" }, "supports": "抵押品资格、占用、haircut、币种、地点与及时到账。", "limits": "政策建议，不是统一现金比例或券商保证金承诺。" }, { "source_id": "PI-BYBIT-FEE", "title": "Funding Fee Calculation", "authors": [ "Bybit" ], "version": "页面2026-05-12版本", "access": { "kind": "html_full_text", "uri": "https://www.bybit.com/en/help-center/article/Funding-fee-calculation", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "What/When/How Deducted；USDT Perpetual Contracts完整单元", "scope": "持仓×标记价×费率、付款方向、时间资格与可用余额。", "purpose": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。" }, "supports": "持仓×标记价×费率、付款方向、时间资格与可用余额。", "limits": "线性和反向公式不同；未给维护要求就不模拟强平。" }, { "source_id": "MOD-BYBIT-FUNDING", "title": "Introduction to Funding Rate", "authors": [ "Bybit" ], "version": "页面2026-05-22版本", "access": { "kind": "html_full_text", "uri": "https://www.bybit.com/en/help-center/article/Introduction-to-Funding-Rate", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "完整公式、premium averaging、interest及频率/限幅说明", "scope": "交易所funding系数的规则，频率可变。", "purpose": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。" }, "supports": "交易所funding系数的规则，频率可变。", "limits": "不读取或采用即时费率，不把8小时固定给所有交易对。" }, { "source_id": "MOD-BYBIT-PNL", "title": "FAQ — Profit and Loss Calculation", "authors": [ "Bybit" ], "version": "页面2026-08-12版本", "access": { "kind": "html_full_text", "uri": "https://www.bybit.com/en/help-center/article/FAQ-Profit-Loss-Calculation", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "线性P&L、mark/last、费用/funding、ROI分母相应完整问答", "scope": "线性USDT价格盈亏和完整成本口径。", "purpose": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。" }, "supports": "线性USDT价格盈亏和完整成本口径。", "limits": "保证金ROI不等于全部投入资本收益。" }, { "source_id": "MOD-PERP-PAPER", "title": "Perpetual Futures Pricing", "authors": [ "Damien Ackerer", "Julien Hugonnier", "Urban Jermann" ], "version": "arXiv2310.11771v2，2024-09-04", "access": { "kind": "pdf_full_text", "uri": "https://arxiv.org/pdf/2310.11771v2", "verified_access_at": "2026-09-21" }, "required_unit": { "locator": "§2–3；p8式(6)，p12符号段", "scope": "线性永续价格变化与资金费现金流的模型对象。", "purpose": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。" }, "supports": "线性永续价格变化与资金费现金流的模型对象。", "limits": "p12 below-spot/contango文字与关系式有冲突，不采用这些口头标签；未核附录定理。" } ], "optional_readings": [], "runtime_reading_log": [], "supplied_inputs": { "case_inputs": [ { "id": "SIM-PL-MBT-CARRY-01", "owner": "P32", "consumers": [ "P32" ], "version": "final-20260921", "unit": { "money": "USD", "asset": "BTC", "futures": "MBT" }, "identity": "Teaching dated-futures carry; real MBT unit/BRR settlement, synthetic path/margins/loan.", "defaults": { "quantity_btc": 1, "contract_btc": 0.1, "contracts_short": 10, "own_cash": 36000, "loan_principal": 30000, "loan_apr": 0.08, "spot_entry": 50000, "futures_entry": 51500, "initial_margin": 12000, "maintenance_margin": 10000 }, "default_results": { "initial_free_cash": 3955, "stress_margin_gap": 2545, "forced_exit_net": -1657.2534246575342, "survive_net": 1161.7647260273973, "max_committed_own": 38545, "net_over_initial": 0.03227124238964992, "net_over_max_committed": 0.030140478039366904 }, "branch_boundaries": { "ratios": "Capital-efficiency descriptors, not TWR/MWR/annualized.", "spot_transfer": "No deadline rescue unless branch explicitly permits transfer.", "settlement": "BRR cash settlement differs from spot sale." } }, { "id": "SIM-PL-LINEAR-PERP-01", "owner": "P32", "consumers": [ "P32" ], "version": "final-20260921", "unit": { "money": "USDT", "asset": "BTC", "funding_rate": "decimal/event" }, "identity": "Teaching linear-USDT perpetual branch; exchange funding mechanics real, path/rates/fees synthetic.", "defaults": { "quantity_btc": 1, "spot_entry": 50000, "spot_exit": 51000, "perp_entry": 50200, "perp_exit": 51100, "funding_marks": [ 50000, 52000, 51000 ], "funding_rates": [ 0.0001, -0.0002, 0.00015 ], "own_cash": 66000 }, "default_results": { "short_funding_cash": [ 5, -10.4, 7.65 ], "net_funding": 2.25, "spot_pnl": 1000, "perp_pnl": -900, "fees": 70.76, "net_pnl": 31.49, "net_over_initial_not_annualized": 0.00047712121212121204 }, "annualization_exercise": { "assumed_interval_hours": 8, "events_per_365_day_year": 1095, "formula": "(24/8)*365", "single_event_rate": 0.0001, "simple_annualized_math_only": 0.1095, "display": "10.95%", "warning": "Not locked/expected/net return; interval, rate, mark notional, eligibility and fees change." }, "branch_boundaries": { "currency": "Keep separate from CME USD branch.", "interval": "Bybit says pairs may differ and settlement frequency can change dynamically." } } ], "operational_details": { "mbt": { "own_cash": 36000, "loan": 30000, "loan_rate": 0.08, "contract_btc": 0.1, "quantity": 1, "spot_entry": 50000, "futures": [ 51500, 54500, 56000, 52000 ], "spot_stress": 53000, "spot_final": 51950, "initial_margin": 12000, "maintenance": 10000, "revised_initial": 14000, "revised_maintenance": 12000, "spot_fee": 0.0005, "futures_fee_each_side": 2, "stress_day": 10, "final_day": 30, "cash_cannot_transfer_before_deadline": true }, "perp": { "unit": "USDT", "own_cash": 66000, "quantity": 1, "spot_entry": 50000, "spot_exit": 51000, "perp_entry": 50200, "perp_exit": 51100, "funding_marks": [ 50000, 52000, 51000 ], "funding_rates": [ 0.0001, -0.0002, 0.00015 ], "spot_fee": 0.0005, "perp_fee": 0.0002, "initial_margin": 12000, "maintenance_schedule": null, "financing_cost": 0 } }, "static_default_result": { "id": "SIM-PL-MBT-CARRY-01", "unit": "USD", "survive": false, "unfunded_gap": 2545, "stockPnl": 3000, "futPnl": -4500, "gross": -1500, "fees": 91.5, "interest": 65.75342465753425, "net": -1657.2534246575342, "ending": 34342.74657534246, "used_extra_own": 0, "max_committed_own": 36000, "ratio_initial": -0.04603481735159817, "ratio_committed": -0.04603481735159817, "days": 10, "contract_count": 10, "note": "借款本金与保证金释放不重复计作损益。" }, "attachments": [ { "path": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/mbt-event-ledgers.csv", "branch": "core", "sha256": "e974c190381f01f658e5d5195a307ca39be487312d7199047ff79437c93c1637", "format": "csv", "public_access": "具名公开附件；与原稿字节一致。" }, { "path": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/linear-perp-event-ledger.csv", "branch": "core", "sha256": "d4d267c51b814d59380a2d00842b33f2cb9cc37c45f4d13b15f9ffca9a9a450b", "format": "csv", "public_access": "具名公开附件；与原稿字节一致。" } ], "default_scope": "core", "branch_rule": "复制或学习只带本篇及所选分支需要的附件，完整大数组只在shared中保存一次。", "case_scopes": { "SIM-PL-MBT-CARRY-01": "core", "SIM-PL-LINEAR-PERP-01": "core" }, "operational_scopes": { "mbt": "core", "perp": "core" }, "frozen_inputs_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/final-shared-inputs.json", "reproduction_data_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/runtime-inputs.json" }, "source_id_aliases": { "PE-CME-MES": "MA-MES", "MP-CME-GRAIN": "MP-CME-GRAIN", "PI-CME-CORN": "PI-CME-CORN", "MP-CME-3Y": "MP-CME-3Y", "MP-CME-TREAS": "MP-CME-TREAS", "MD-S05": "MD-S05", "MD-S08": "MD-S08", "PE-FSB-MARGIN": "MA-FSB", "PI-CME-EUR": "PI-CME-EUR", "PI-MIT-CAPM03": "PI-MIT-CAPM03", "PI-MIT-CAPM08": "P-R04b", "PI-FRENCH-FACTORS": "PI-FRENCH-FACTORS", "QTDE-FRENCH": "QTC-FRENCH30", "QTDE-FRENCH-REGIME": "QTC-FRENCH", "PI-GIPS20": "P-R03", "MEFG-CHICAGOFED-2025": "PFH-CHIFED2025", "QTDE-TSCV": "QS02-5.10", "QGHI-MIT-BS13": "QGHI-MIT-BS13", "MD-S01": "MD-S01", "MOD-CRYPTO-CARRY": "MOD-CRYPTO-CARRY", "MOD-PERP-PAPER": "MOD-PERP-PAPER", "MOD-BYBIT-FUNDING": "MOD-BYBIT-FUNDING", "PI-BYBIT-FEE": "PI-BYBIT-FEE", "MOD-BYBIT-PNL": "MOD-BYBIT-PNL", "PI-CME-MBT": "PI-CME-MBT", "PI-CME-CRYPTO-FAQ": "PI-CME-CRYPTO-FAQ", "MOD-LVR": "MOD-LVR", "MOD-UNISWAP-V3": "MOD-UNISWAP-V3" } } ``` ## Supplied entry 现货50,000、期货51,500，看起来像是把1,500放在桌上：买现货、卖期货，等到期就收钱。我们先不争论它是否“套利”，而是把这个安排真正装进账户。买现货要付钱，期货每天可能要补钱，借款要付息，两个账户之间的钱也未必能及时转移。最后两腿相抵，只说明终点的一部分价格风险相抵，不能替我们完成这条资金路径。 这一篇先走美元计价的有到期期货，再换到USDT计价的线性永续。二者是两个独立教学账，不能把两个净结果直接相加。真实合约规格与规则有原文依据；下面的价格、费用、保证金和借款条件均为透明教学设定，不是当前报价、收益承诺或真实账户记录。 ## 1. 到期基差收益怎样产生，又怎样留下尾差 先持有1 BTC现货，同时卖出覆盖1 BTC的期货。CME Micro Bitcoin Futures每张对应0.1 BTC，因此需要空10张；它按指定BRR参考价格现金结算，不把另一个账户的BTC拿来实物交割。[^mbt32] 令现货买入价为 $S_0$，期货卖出价为 $F_0$。期末现货实际卖价为 $S_T$，期货最终结算参考价为 $F_T$。数量均为1 BTC，暂不计费用，则 $$ \begin{aligned} \Pi_{\rm gross} &=(S_T-S_0)+(F_0-F_T)\\ &=(F_0-S_0)+(S_T-F_T). \end{aligned} $$ 第一项是建立仓位时的基差；第二项是实际现货卖价与期货结算价之间仍留下的尾差。只有在数量、退出时点、可执行价格和结算基准都按假设对齐时，才能进一步把第二项当成零。现金结算本身并不保证你能在参考价卖掉另一场所的现货。 本例 $S_0=50{,}000$、$F_0=51{,}500$。存续至第30天时，期货按52,000结算，现货实际卖价51,950。于是毛收益为 $1{,}500-50=1{,}450$，不是1,500。BIS的carry研究提示我们关注市场分割与融资约束，但其历史组合统计与这里的一枚BTC账户不是同一个收益分母。[^bis32] 还有一个建仓细节：**卖出期货不等于在建仓时收到51,500现金**。期货初始价值、保证金转移与逐日变动现金分别记录。若把名义金额写进入金，一张本来需要融资的账户会凭空变得富裕。 ## 2. 终点有利润，中途却可能先缺2,545 我们有自有现金36,000，另借30,000，借款单利年息8%。合计66,000中，50,000用于现货，12,000转入期货保证金。现货开仓费用为5个基点，即25；期货每张每边2美元，开仓20。因此自由现金只有 $$66{,}000-50{,}000-12{,}000-25-20=3{,}955.$$ 12,000保证金仍是资产，不是消费掉的费用；30,000借款同时是负债，不是投资收益。为隔离资金问题，设现货在另一个账户，无法在保证金截止前卖出并转入。 期货从51,500先涨到54,500，再涨到56,000。初始要求12,000、维持要求10,000；第二压力点要求提高至14,000／12,000。所有这些要求是教学参数，不是券商现行保证金。 | 事件 | 期货现金变化 | 补款前保证金 | 应补至初始要求 | 可用自由现金 | 结果 | |---|---:|---:|---:|---:|---| | 建仓 | 0 | 12,000 | 0 | 3,955 | 仓位建立 | | 期货54,500 | −3,000 | 9,000 | 3,000 | 3,955 | 补足后剩955 | | 期货56,000，要求提高 | −1,500 | 10,500 | 3,500 | 955 | 缺2,545 | 读表时不要跳过“要求提高”这一列。若仍用原维持线10,000，10,500不会触发同一个补款动作；模型IM变化和市场VM是两个不同原因。资金准备要同时覆盖两者，而不是只看价格损失。
期货账户在两个压力点的余额、应补款和可用现金。现货账户不与之自动净额结算。

美元carry的过程资金

第二压力点要求提高；现货不能及时转入

美元；应补款分别0、3,000、3,500

-610.403,433.557,477.5011,521.4515,565.40
初始F54,500F56,000
此时现货价设为53,000，账面赚3,000。经济上似乎足以覆盖缺口，操作上却来不及转移。这正是为什么净资产为正和截止前可支付必须分开：我们不能拿一个尚未到账的变现假设完成今天的账户。 ## 3. 被迫退出与活到终点，是两条不同路径 没有追加自有资金时，本例明确假设在第10天按现货53,000、期货56,000退出。不能继续把后来期货回到52,000的收益记给已关闭仓位。 现货赚3,000，期货亏4,500，合计毛亏1,500。两腿双边费用为 $25+20+26.50+20=91.50$；贷款利息为 $30{,}000\times8\%\times10/365=65.7534$。净损失因此为 $$-1{,}500-91.50-65.7534=-1{,}657.2534\text{ 美元}.$$ 另一分支是及时追加2,545自有资金。这是外部本金，不是策略赚的钱。它与原有955一同补足3,500，使保证金恢复14,000。之后期货从56,000降至52,000，空头获得4,000，保证金变成18,000，再与现货退出一起结算。 | 项目 | 第10天退出 | 追加后第30天退出 | |---|---:|---:| | 现货损益 | +3,000 | +1,950 | | 期货损益 | −4,500 | −500 | | 两腿毛损益 | −1,500 | +1,450 | | 全部交易费 | −91.500 | −90.975 | | 借款利息 | −65.7534 | −197.2603 | | 净损益 | **−1,657.2534** | **+1,161.7647** | | 累计投入自有本金 | 36,000 | 38,545 | | 偿清贷款后现金 | 34,342.7466 | 39,706.7647 | 贷款本金在最终现金中偿还，但不能又从净损益扣一次30,000，否则重复计算。同理，保证金释放只是资产地点变化，不是额外利润。 存续分支的净收益除原始自有资金为3.2271%，除最大累计投入38,545为3.0140%。这两个比率描述不同的资本占用，不是已经按追加日期处理的TWR或MWR，更不自动成为年化收益。若要评价投资者实际经历，应把2,545的真实到账日期加入日期现金表再计算。 合理替代可以是减少数量、事先锁定可用授信、或不建立此安排。它们改变的是资金需求、剩余基差或机会成本，不应只按这条已知路径的终值排名。关于真实清算，成交时钟、清算业务日和客户到账仍要逐项核定。[^cash32] ## 4. 永续：价格变化之外，还有逐次funding现金 现在换到独立的USDT账户：自有66,000 USDT，买1 BTC现货50,000，卖1 BTC线性永续50,200。退出时现货51,000，永续51,100。因此两腿价格损益为 $1{,}000-900=100$ USDT。 永续没有本例那样预先给定的最终到期收敛日。线性合约的每次资金费以持仓数量、该次标记价和资金费率计算；正费率由多头付给空头，负费率反过来。[^bybit32] 本例空头跨三个给定资金事件，记录如下： | 资金事件 | 标记价，USDT/BTC | 每次费率 | 空头现金 | |---|---:|---:|---:| | 1 | 50,000 | +0.01% | +5.00 | | 2 | 52,000 | −0.02% | −10.40 | | 3 | 51,000 | +0.015% | +7.65 | | 合计 | — | 不把费率直接相加代替金额 | **+2.25** | 以初始保证金12,000计，开仓现货费25、永续费 $50{,}200\times0.02\%=10.04$，自由现金3,964.96；三次funding后依次3,969.96、3,959.56、3,967.21。这里没有提供逐点维持保证金条件，因而不能另画一条自称真实的强平线。 现货双边费50.50，永续双边费20.26，总费70.76。完整结果为 $$\Pi=1{,}000-900+2.25-70.76=31.49\text{ USDT}.$$ 少量价差和funding几乎被费用吃掉。它说明检查费用很重要，不说明所有永续carry都只有这样的收益。反向合约有不同的数量/计价公式，不能把这里的线性USDT公式直接移过去；也不能把31.49 USDT与前面的美元结果相加。
独立USDT账户的funding现金与净收益分解。正funding收入不等于整个安排盈利。

USDT永续：funding并非全部收益

独立币种账户；总费用70.76 USDT

单位：USDT

定价论文把线性永续的多头现金写成价格变动减funding相关项，帮助我们看清合约对象；具体交易所则决定实际费率、时间与扣款程序。[^perp32] 模型中的已知系数不能替代未来实际费率。本文不用原文p12有冲突的口头符号标签来决定方向，而按现金式判断谁付给谁。 ## 5. 先检查能否继续，再看收益
在美元分支，先保持“不追加”，推进到第二压力点，找到955与3,500之间的缺口。再切换及时追加2,545，比较最后现金与净损益；注意本金变化列，而不是只盯利润。USDT分支单独显示三次funding，可以核对空头遇负费率时也要付款。 看到每8小时0.01%，最容易做的外推是 $(24/8)\times365=1{,}095$ 次，每年简单相加10.95%。这个数学次数没有错；把它叫作“锁定净年化”才错。未来费率可能反转，间隔会调整，标记名义量和持仓资格改变，且这一乘法没有扣任何费用、融资和退出差价。Bybit原文明确各交易对可以有不同间隔，并可调整结算频率。[^bybit32] ## 6. 自测与解析 **解释题。** 第二压力点现货账面盈利3,000，为什么仍不能认定3,500应补款已解决？ 本账户自由现金只有955；现货盈利要通过出售、结算与跨账户转入才能成为及时现金。题目已设这些动作赶不上截止，因此仍缺2,545。净资产足够与流动性可用不是同一个判断。 **迁移题。** 若期货仍按52,000结算，但现货实际只能卖51,900，存续分支净收益如何变化？ 毛损益再减少50。现货卖出费由25.975降至25.950，节省0.025，其他条件不变，所以净收益减少49.975，变为1,111.7897美元。这是实际退出尾差的影响；不能因为期货结算已确定就忽略它。 **辨认题。** 每次0.01%、每8小时一次，一年简单外推是多少，为什么它不是预期净回报？ 次数为1,095，简单外推10.95%。只有在费率、间隔、名义本金和资格全固定时，这个算式才描述全年资金费；净回报还需加价格腿、减费用和融资，并用合适的投入资本/日期现金评价。现实规则不提供这些条件的锁定承诺。 **完成标准。** 能独立写出两腿和每个账户的现金，先判第二次补款可行性，再解释终值、外部投入与资本分母；永续部分能逐次算funding并保持USD与USDT分账。 [^mbt32]: [CME Rulebook Chapter348: Micro Bitcoin Futures](https://www.cmegroup.com/rulebook/CME/III/300/348.pdf)，常规合约单位及最终现金结算；[Cryptocurrency Futures FAQ](https://www.cmegroup.com/articles/faqs/frequently-asked-questions-cryptocurrency-futures.html)，交易与清算时钟相关回答。真实规格不提供本例保证金。 [^bis32]: Schmeling、Schrimpf、Todorov，[Crypto Carry](https://www.bis.org/publications/working-paper-1087-crypto-carry.pdf)，BIS WP1087，2023，§2.1–2.2及§3.3。采用资金分割与实施条件，不将作者月度策略统计复制成本文账户收益。 [^cash32]: [CME Money Calculations for Futures and Options](https://www.cmegroup.com/clearing/files/CME-Money-Calculations-Futures-and-Options.pdf)，普通期货VM单元；[FSB Liquidity Preparedness](https://www.fsb.org/uploads/P101224-1.pdf)，2024-12-10，§3.3。 [^bybit32]: [Bybit Funding Fee Calculation](https://www.bybit.com/en/help-center/article/Funding-fee-calculation)，2026-05-12版本，When Charged、How Deducted与USDT Perpetual完整单元；[Funding Rate](https://www.bybit.com/en/help-center/article/Introduction-to-Funding-Rate)及[P&L FAQ](https://www.bybit.com/en/help-center/article/FAQ-Profit-Loss-Calculation)，相应线性公式。本文不采用任何即时费率或费率档位。 [^perp32]: Ackerer、Hugonnier、Jermann，[Perpetual Futures Pricing](https://arxiv.org/pdf/2310.11771v2)，固定v2，2024-09-04，§2–3及p8式(6)；模型资金费设定不等于每个交易所的实时程序。 ## Experiment inputs and static equivalents ```json [ { "id": "EXP-P32-CARRY", "node_id": "P32", "title": "基差与资金费率交易：先把资金账走完", "anchor": "p32-lab", "description": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。", "inputs": { "frozen_ids": [ "SIM-PL-MBT-CARRY-01", "SIM-PL-LINEAR-PERP-01" ], "operational_keys": [ "mbt", "perp" ], "units": "逐字段以shared/final-shared-inputs.json与operational-inputs.json为准" }, "outputs": { "default_location": "agent_packet.supplied_inputs.static_default_result" }, "algorithm": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/engine.js; P26 consumes QT24 outputs without rerunning simulation.", "views": [ "分账户逐事件资金", "基差/funding/成本的净结果" ], "boundaries": [ "真实规格不等于当前保证金或成交", "不得从终点补造未提供的资金路径", "输入无效即停止，不能沿用旧结果" ], "static_equivalent": { "figures": [ "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/figures/P32-a.svg", "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/figures/P32-b.svg" ], "body_tables": true, "event_data": [ { "path": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/mbt-event-ledgers.csv", "branch": "core", "sha256": "e974c190381f01f658e5d5195a307ca39be487312d7199047ff79437c93c1637", "format": "csv", "public_access": "随本ZIP及复制教学包提供的UTF-8附件；非内部盘符" }, { "path": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/linear-perp-event-ledger.csv", "branch": "core", "sha256": "d4d267c51b814d59380a2d00842b33f2cb9cc37c45f4d13b15f9ffca9a9a450b", "format": "csv", "public_access": "随本ZIP及复制教学包提供的UTF-8附件；非内部盘符" } ] }, "input_controls": [ { "key": "branch", "label": "币种/合约分支", "type": "select", "default": "dated", "options": [ { "value": "dated", "label": "USD MBT" }, { "value": "perp", "label": "USDT线性永续" } ] }, { "key": "added", "label": "USD额外自有本金", "type": "selectnum", "default": 0, "options": [ { "value": 0, "label": "不追加" }, { "value": 2545, "label": "及时追加2,545" } ] }, { "key": "spotFinal", "label": "USD最终现货卖价（存续分支）", "type": "number", "default": 51950 }, { "key": "rate2", "label": "USDT第2次费率（小数）", "type": "number", "default": -0.0002 } ], "input_uri": "https://ou-liu-red-sugar.github.io/notebook/labs/p-ijklm/shared/final-shared-inputs.json" } ] ``` ## Sources - [Liquidity Preparedness for Margin and Collateral Calls — Final Report](https://www.fsb.org/uploads/P101224-1.pdf): 政策研究中的流动性压力分析；未读全报告，不作因果估计或约束性规则。 P-E 使用范围：Recommendations6–8的资源可用性、haircut、币种/地点/截止与操作准备；不是零售统一账户规则。 本批读取范围：抵押品资格、占用、haircut、币种、地点与及时到账。 - [Money Calculations for CME-cleared Futures and Options](https://www.cmegroup.com/clearing/files/CME-Money-Calculations-Futures-and-Options.pdf): 当日成交与期初头寸的结算现金及正常舍入；不采用无关分数报价例的印刷错误，不提供CL保证金水平。 本批读取范围：逐日价格变动、乘数、现金与结算口径。 - [Introduction to Funding Rate](https://www.bybit.com/en/help-center/article/Introduction-to-Funding-Rate): 资金费率的利息、加权溢价、两层clamp及正常min限额；场所规则与论文线性模型不同。 本批读取范围：交易所funding系数的规则，频率可变。 - [FAQ — Profit and Loss Calculation](https://www.bybit.com/en/help-center/article/FAQ-Profit-Loss-Calculation): 合约规定的价格P&L与币种，杠杆并非固定size价格损益的乘数。 本批读取范围：线性USDT价格盈亏和完整成本口径。 - [Crypto Carry](https://www.bis.org/publications/working-paper-1087-crypto-carry.pdf): 基差、资金分割与carry实施约束。 - [Perpetual Futures Pricing](https://arxiv.org/pdf/2310.11771v2): 两币种现金账户、风险中性条件现金与有限递推。不给出未验证的无穷期证明；inverse方向须映射。 本批读取范围：线性永续价格变化与资金费现金流的模型对象。 - [Funding Fee Calculation](https://www.bybit.com/en/help-center/article/Funding-fee-calculation): 事件资格、正负现金方向、扣款和线性/反向fee例；触限后改频与±5秒不确定。 本批读取范围：持仓×标记价×费率、付款方向、时间资格与可用余额。 - [Frequently Asked Questions: Cryptocurrency Futures](https://www.cmegroup.com/articles/faqs/frequently-asked-questions-cryptocurrency-futures.html): 交易时间与清算业务日不同。 - [CME Rulebook Chapter348: Micro Bitcoin Futures](https://www.cmegroup.com/rulebook/CME/III/300/348.pdf): 0.1BTC、正常tick与BRR现金结算。 ## Content relations ```json [ { "from": "zh-p32", "relation": "part_of", "to": "portfolio-futures", "reason": "主要 topic 归属" }, { "from": "zh-p32", "relation": "requires", "to": "zh-p08", "required_competence": "能够识别受限资金、借款与外部投入。", "reason": "这项能力进入本篇主任务，而非推荐阅读顺序。" }, { "from": "zh-p32", "relation": "uses_method", "to": "zh-p23", "reason": "调用局部概念；本篇同时给出完成算例所需的最小说明。" }, { "from": "zh-p32", "relation": "illustrated_by", "to": "p32-dated", "reason": "同一冻结对象和明确身份的算例。" }, { "from": "zh-p32", "relation": "illustrated_by", "to": "p32-perpetual", "reason": "同一冻结对象和明确身份的算例。" }, { "from": "p32-dated", "relation": "supported_by", "to": "PI-CME-MBT", "reason": "0.1BTC、正常tick与BRR现金结算。", "locator": "常规合约核心及最终结算；不采用BTIC变式", "scope": "0.1BTC、正常tick与BRR现金结算。" }, { "from": "p32-exit", "relation": "supported_by", "to": "PI-CME-CRYPTO-FAQ", "reason": "交易时间与清算业务日不同。", "locator": "单位、交易时钟、维护、清算日及最终BRR相关完整问答", "scope": "交易时间与清算业务日不同。" }, { "from": "p32-dated", "relation": "supported_by", "to": "MOD-CRYPTO-CARRY", "reason": "基差、资金分割与carry实施约束。", "locator": "§2.1–2.2；§3.3资金实施完整单元", "scope": "基差、资金分割与carry实施约束。" }, { "from": "p32-funding", "relation": "supported_by", "to": "MD-S05", "reason": "逐日价格变动、乘数、现金与结算口径。", "locator": "pp1–3普通期货变动现金完整单元", "scope": "逐日价格变动、乘数、现金与结算口径。" }, { "from": "p32-funding", "relation": "supported_by", "to": "MA-FSB", "reason": "抵押品资格、占用、haircut、币种、地点与及时到账。", "locator": "§3.3 printed pp18–20 / PDF pp22–24，Recommendations6–8", "scope": "抵押品资格、占用、haircut、币种、地点与及时到账。" }, { "from": "p32-perpetual", "relation": "supported_by", "to": "PI-BYBIT-FEE", "reason": "持仓×标记价×费率、付款方向、时间资格与可用余额。", "locator": "What/When/How Deducted；USDT Perpetual Contracts完整单元", "scope": "持仓×标记价×费率、付款方向、时间资格与可用余额。" }, { "from": "p32-lab", "relation": "supported_by", "to": "MOD-BYBIT-FUNDING", "reason": "交易所funding系数的规则，频率可变。", "locator": "完整公式、premium averaging、interest及频率/限幅说明", "scope": "交易所funding系数的规则，频率可变。" }, { "from": "p32-perpetual", "relation": "supported_by", "to": "MOD-BYBIT-PNL", "reason": "线性USDT价格盈亏和完整成本口径。", "locator": "线性P&L、mark/last、费用/funding、ROI分母相应完整问答", "scope": "线性USDT价格盈亏和完整成本口径。" }, { "from": "p32-perpetual", "relation": "supported_by", "to": "MOD-PERP-PAPER", "reason": "线性永续价格变化与资金费现金流的模型对象。", "locator": "§2–3；p8式(6)，p12符号段", "scope": "线性永续价格变化与资金费现金流的模型对象。" }, { "from": "p32-lab", "relation": "illustrated_by", "to": "EXP-P32-CARRY", "reason": "分别走完美元MBT和USDT永续账，辨认终点carry与中途资金需求。" } ] ``` ## Related entries