[{"data":1,"prerenderedAt":5046},["ShallowReactive",2],{"kscript:strategies/perps":3},{"slug":4,"filePath":5,"frontmatter":6,"rawMarkdown":12,"tree":13},"strategies/perps","strategies/perps.md",{"title":7,"description":8,"verified":9},"Perps: Margin, Liquidation, and Funding","instrument=\"perps\" switches the broker emulator to isolated-margin perpetual futures - leverage, maker/taker fees, funding settlement, and liquidation, each with disclosed counts.",{"engine":10,"probes":11},"3.0.67",null,"---\ntitle: 'Perps: Margin, Liquidation, and Funding'\ndescription: instrument=\"perps\" switches the broker emulator to isolated-margin perpetual futures - leverage, maker/taker fees, funding settlement, and liquidation, each with disclosed counts.\nverified:\n  engine: 3.0.67\n  probes:\n---\n\n## What perps mode is\n\nDeclaring `strategy(..., instrument=\"perps\")` switches the broker emulator from spot accounting to isolated-margin perpetual futures. Four mechanics turn on, and each reports its own counters so a result is never quietly shaped by machinery you cannot see:\n\n- **Margin.** Every entry commits isolated margin of `notional / leverage`; entries that cannot be margined are rejected and counted.\n- **Maker/taker fees.** Fills are charged `makerFeePercent` or `takerFeePercent` instead of `commissionPercent`. See [Slippage and Costs](slippage-and-costs.md#maker-and-taker-fees-perps).\n- **Funding.** Recorded funding events settle against the open position (`funding=\"data\"`, the default), or funding is off entirely (`funding=\"off\"`).\n- **Liquidation.** Positions that exhaust their margin are force-closed at the broker's implicit liquidation stop, with `onLiquidation` deciding whether the run keeps trading or halts.\n\nThe default is `instrument=\"spot\"`, and a spot run carries none of this: the perps stats report zero (`makerFeesPaid`, `takerFeesPaid`, `fundingPaid`, `fundingEventsApplied`, `fundingUnavailableCount`, `liquidationCount` all `0`, `liquidationHalted: false`) and the perps-only output series are omitted entirely.\n\nThe perps parameters and their exact validation rules live in the [strategy() parameter table](../functions/strategy-functions.md#strategy). The defaults, echoed verbatim by a minimal `strategy(title=...)` declaration: `instrument=\"spot\"`, `leverage=1`, `maintenanceMarginPercent=0.5`, `makerFeePercent=0`, `takerFeePercent=0`, `funding=\"data\"`, `onLiquidation=\"continue\"`.\n\n## Margin\n\nEach perps entry commits **isolated margin** equal to the fill's notional divided by `leverage`. A probed 1-unit long filled at `109.54121974506596` with `leverage=2` reports `committedMarginSeries` at exactly `54.77060987253298` while the position is open, and `0` when flat.\n\nAny number literal `> 0` is legal leverage, including fractions: `leverage=0.5` runs cleanly and commits twice the notional. `maintenanceMarginPercent=0` is also legal (the lower bound is inclusive).\n\n**Leverage scales margin, not PnL.** The same signals with the same fixed quantity produce byte-identical `netProfit` (`-90.70244890375582` across 7 trades) whether run as spot or as perps with `leverage=0.5`; re-run at `leverage=5` with fees declared, the result differs only by the fees charged. Leverage decides how much equity a position ties up and where liquidation sits, not what a trade earns.\n\n### Margin rejection\n\nAn entry whose required margin exceeds available margin is rejected, counted in `stats.rejectedOrders`, and disclosed with a diagnostic. The required amount is **fee-inclusive**: in the probe (1000 units at a `109.54121974506596` fill, `leverage=2`, `takerFeePercent=0.05`, `initialCapital=100`) the rejection reports\n\n```\nSTRATEGY_MARGIN_REJECTED: strategy.entry order 'Long' was rejected: required margin 54825.38048240551 exceeds available margin 100\n```\n\nwhich is exactly `notional / leverage` (`54770.60987253298`) plus the entry's taker fee (`54.77060987253298`). Every one of the run's 7 entries was rejected (`rejectedOrders: 7`, `totalTrades: 0`); rejections are counted, never thrown.\n\n## Liquidation\n\nThe broker maintains an implicit liquidation stop on every open perps position. For a probed long, the liquidation level is `entry * (1 - 1/leverage) / (1 - maintenanceMarginPercent/100)`: at entry `109.54121974506596` with `leverage=25` and `maintenanceMarginPercent=0.5` that is `105.6880110103149`, and the observed liquidated trade closes with `pnl: -3.853208734751064`, exactly that level minus entry. Liquidated trades carry `exitReason: \"liquidation\"`, and in the probe they enter and liquidate on the same bar (`entryBar: 10`, `exitBar: 10`).\n\n`onLiquidation` decides what happens next:\n\n| Value | Observed behavior |\n| --- | --- |\n| `\"continue\"` (default) | Trading continues. The probed run liquidates all 7 entries (`liquidationCount: 7`, 7 trades all with `exitReason: \"liquidation\"`, `liquidationHalted: false`). |\n| `\"halt\"` | The first liquidation stops the strategy. The same script closes 1 trade (`liquidationCount: 1`, `liquidationHalted: true`) and every subsequent entry is rejected (`rejectedOrders: 6`). |\n\n```javascript title=\"liquidation-continue.ks\"\n//@version=3\n\n// Liquidation, onLiquidation=\"continue\" (default): leverage=25 on the ~+/-10%\n// oscillating fixture guarantees the broker's implicit liquidation stop is hit\n// (long P_liq = E*(1-1/25)/(1-0.005) ~ 96.5% of entry; fixture lows dip ~10%).\n// Expect trades closed with exitReason=\"liquidation\", stats.liquidationCount\n// counting them, liquidationHalted=false, and trading CONTINUING after each\n// liquidation (multiple liquidated trades across the run).\nstrategy(title=\"Liquidation Continue\", initialCapital=10000,\n         instrument=\"perps\", leverage=25, maintenanceMarginPercent=0.5,\n         funding=\"off\", onLiquidation=\"continue\",\n         qtyType=\"fixed\", qtyValue=1, pyramiding=1);\n\ntimeseries data = ohlcv(symbol=currentSymbol, exchange=currentExchange);\n\ntimeseries fastMa = sma(source=data.close, period=4);\ntimeseries slowMa = sma(source=data.close, period=9);\n\nif (crossover(fastMa, slowMa)) {\n  strategy.entry(\"Long\", \"long\");\n}\n\nplotLine(value=strategy.equity(), width=1, colors=[\"#2563eb\"], label=[\"Equity\"], desc=[\"Strategy equity\"]);\n```\n\n`stats.bankruptcyDeficit` reports the shortfall left when a liquidation fill lands beyond what the position's committed margin covers. It was `0` in every probed run: each observed liquidation loss (`3.853208734751064`) settled inside its committed margin (`4.381648789802639` at `leverage=25`).\n\n## Funding\n\n`funding=\"data\"` (the default) settles recorded funding events against the open position; `funding=\"off\"` disables funding entirely. Only those two literals are accepted (see [validation](#validation)).\n\n```javascript title=\"funding-data-with-provider.ks\"\n//@version=3\n\n// funding=\"data\" WITH a host funding provider attached (probe harness\n// --funding funding-provider.json: 8-hourly events, rate=0.0001, full\n// coverage). A long perps position held to end of data pays positive-rate\n// funding: stats.fundingPaid > 0 (positive = strategy paid),\n// stats.fundingEventsApplied counts settlements applied to the open position,\n// fundingUnavailableCount = 0 (full coverage), and the cumulative\n// fundingPaidSeries ends at stats.fundingPaid.\nstrategy(title=\"Funding With Provider\", initialCapital=10000,\n         instrument=\"perps\", leverage=2, funding=\"data\",\n         qtyType=\"fixed\", qtyValue=1, pyramiding=1);\n\ntimeseries data = ohlcv(symbol=currentSymbol, exchange=currentExchange);\n\ntimeseries fastMa = sma(source=data.close, period=4);\ntimeseries slowMa = sma(source=data.close, period=9);\n\nif (crossover(fastMa, slowMa)) {\n  strategy.entry(\"Long\", \"long\");\n}\n\nplotLine(value=strategy.equity(), width=1, colors=[\"#2563eb\"], label=[\"Equity\"], desc=[\"Strategy equity\"]);\n```\n\nObserved with 8-hourly events at rate `0.0001` covering the whole window, and a long opened at bar 10 and held to the end:\n\n- **Settlements apply only while a position is open.** The window carried 38 funding events; `fundingEventsApplied: 36` (the events before the entry never touched the account).\n- **`fundingPaid` is signed from the strategy's side.** The probed long under a positive rate paid out: `fundingPaid: 0.36904136169411894`, and the cumulative `fundingPaidSeries` ends at exactly that value.\n- **Funding debits the position's committed margin.** The identical run with `funding=\"off\"` ends with `committedMarginSeries` at `54.77060987253298`; with funding applied it ends at `54.401568510838864`, lower by exactly `fundingPaid`.\n- **No data, no invented rate.** The same script with no funding data available settles nothing (`fundingPaid: 0`, `fundingEventsApplied: 0`) and instead counts every bar on which an open position had no covering funding data: `fundingUnavailableCount: 289` for the position held from bar 10 through the end of the 300-bar run. The count is the disclosure; the equity curve is not silently shaped by a guessed rate.\n- **`funding=\"off\"` is an exact no-op.** With the same funding data attached, all three funding stats stay `0` and `fundingPaidSeries` stays all-zero.\n\n## Perps output series\n\nPerps runs add two bar-aligned series to the strategy output, present on every perps run (including `funding=\"off\"`) and omitted on spot runs:\n\n| Series | Meaning |\n| --- | --- |\n| `committedMarginSeries` | Margin committed to the open position on each bar (`54.77060987253298` while the probed 1-unit, leverage-2 long is open; `0` when flat). |\n| `fundingPaidSeries` | Cumulative funding paid, ending at `stats.fundingPaid`. |\n\n## Perps parameters on spot, and commission on perps\n\nDeclaring parameters for the instrument you did not pick is not an error, but the engine discloses or ignores them predictably. Every case below is probed:\n\n| Declaration | Observed behavior |\n| --- | --- |\n| Spot + `makerFeePercent`/`takerFeePercent` | Diagnostic `STRATEGY_SPOT_MAKER_TAKER_IGNORED: strategy(): 'makerFeePercent' and 'takerFeePercent' apply only to instrument=\"perps\"; spot uses 'commissionPercent'`. Not charged: the run charged `commissionPercent` only (`feesPaid: 1.442067423960801` at `commissionPercent=0.1`, `makerFeesPaid: 0`, `takerFeesPaid: 0`). With only one of the two declared, the message names just that one. |\n| Spot + `onLiquidation=\"halt\"` | Same diagnostic code, different wording: `STRATEGY_SPOT_MAKER_TAKER_IGNORED: strategy(): 'onLiquidation' applies only to instrument=\"perps\"`. No liquidation machinery runs (`liquidationCount: 0`, `liquidationHalted: false`). |\n| Spot + `funding=\"off\"` | Silently accepted, no diagnostic. |\n| Spot + `leverage=5, maintenanceMarginPercent=2` | Silently accepted and echoed in the declaration, but inert: `netProfit` is byte-identical to the plain spot run (`-90.70244890375582`) and no liquidation machinery runs. |\n| Perps + `commissionPercent=0.1` | Diagnostic `STRATEGY_PERPS_COMMISSION_IGNORED: strategy(): 'commissionPercent' is ignored for instrument=\"perps\"; fees come from 'makerFeePercent'/'takerFeePercent'`. Not charged: `feesPaid: 0` with maker/taker left at their `0` defaults. |\n\n## Validation\n\nPerps parameters are validated at compile time, literal-only, with these exact rejections (each error also carries the declaration's source location):\n\n| Declaration | Compile error |\n| --- | --- |\n| `instrument=\"margin\"` | `strategy(): 'instrument' must be 'spot' or 'perps'` |\n| `instrument=1` | `strategy(): 'instrument' must be a string literal` |\n| `leverage=0`, `leverage=-2`, or `leverage=someVar` | `strategy(): 'leverage' must be a number literal > 0` |\n| `maintenanceMarginPercent=-1` or `=100` | `strategy(): 'maintenanceMarginPercent' must be a number literal >= 0 and \u003C 100` (upper bound exclusive; `0` is legal) |\n| `makerFeePercent=-0.1` | `strategy(): 'makerFeePercent' must be a number literal >= 0` |\n| `takerFeePercent=-0.1` | `strategy(): 'takerFeePercent' must be a number literal >= 0` |\n| `funding=\"on\"` | `strategy(): 'funding' must be 'data' or 'off'` |\n| `onLiquidation=\"stop\"` | `strategy(): 'onLiquidation' must be 'continue' or 'halt'` |\n\nNon-literal values can never sneak in structurally either: `strategy()` must be the script's first statement, so no variable exists to reference. Placing a `var` above it fails earlier with `Script must start with a define(title, position, axis) or strategy(title) statement`.\n",{"type":14,"children":15,"data":5040,"position":5042},"root",[16,37,39,75,76,382,383,570,571,758,759,774,775,929,930,1005,1006,1110,1111,1127,1128,1258,1259,1276,1277,1384,1385,1401,1402,1587,1588,1613,1615,1874,1875,2452,2453,2552,2553,2569,2570,2636,2637,3128,3129,3163,3164,3585,3586,3601,3602,3632,3633,3826,3827,3842,3843,3856,3858,4427,4428,4443,4444,4458,4460,4967,4968],{"type":17,"tagName":18,"properties":19,"children":21,"position":33},"element","h2",{"id":20},"what-perps-mode-is",[22],{"type":23,"value":24,"position":25},"text","What perps mode is",{"start":26,"end":30},{"line":27,"column":28,"offset":29},1,4,3,{"line":27,"column":31,"offset":32},22,21,{"start":34,"end":36},{"line":27,"column":27,"offset":35},0,{"line":27,"column":31,"offset":32},{"type":23,"value":38},"\n",{"type":17,"tagName":40,"properties":41,"children":42,"position":72},"p",{},[43,51,65],{"type":23,"value":44,"position":45},"Declaring ",{"start":46,"end":48},{"line":29,"column":27,"offset":47},23,{"line":29,"column":49,"offset":50},11,33,{"type":17,"tagName":52,"properties":53,"children":54,"position":62},"code",{},[55],{"type":23,"value":56,"position":57},"strategy(..., instrument=\"perps\")",{"start":58,"end":59},{"line":29,"column":49,"offset":50},{"line":29,"column":60,"offset":61},46,68,{"start":63,"end":64},{"line":29,"column":49,"offset":50},{"line":29,"column":60,"offset":61},{"type":23,"value":66,"position":67}," switches the broker emulator from spot accounting to isolated-margin perpetual futures. Four mechanics turn on, and each reports its own counters so a result is never quietly shaped by machinery you cannot see:",{"start":68,"end":69},{"line":29,"column":60,"offset":61},{"line":29,"column":70,"offset":71},257,279,{"start":73,"end":74},{"line":29,"column":27,"offset":47},{"line":29,"column":70,"offset":71},{"type":23,"value":38},{"type":17,"tagName":77,"properties":78,"children":79,"position":379},"ul",{},[80,81,135,136,253,254,325,326,378],{"type":23,"value":38},{"type":17,"tagName":82,"properties":83,"children":84,"position":131},"li",{},[85,104,111,124],{"type":17,"tagName":86,"properties":87,"children":88,"position":98},"strong",{},[89],{"type":23,"value":90,"position":91},"Margin.",{"start":92,"end":95},{"line":93,"column":93,"offset":94},5,285,{"line":93,"column":96,"offset":97},12,292,{"start":99,"end":101},{"line":93,"column":29,"offset":100},283,{"line":93,"column":102,"offset":103},14,294,{"type":23,"value":105,"position":106}," Every entry commits isolated margin of ",{"start":107,"end":108},{"line":93,"column":102,"offset":103},{"line":93,"column":109,"offset":110},54,334,{"type":17,"tagName":52,"properties":112,"children":113,"position":121},{},[114],{"type":23,"value":115,"position":116},"notional / leverage",{"start":117,"end":118},{"line":93,"column":109,"offset":110},{"line":93,"column":119,"offset":120},75,355,{"start":122,"end":123},{"line":93,"column":109,"offset":110},{"line":93,"column":119,"offset":120},{"type":23,"value":125,"position":126},"; entries that cannot be margined are rejected and counted.",{"start":127,"end":128},{"line":93,"column":119,"offset":120},{"line":93,"column":129,"offset":130},134,414,{"start":132,"end":134},{"line":93,"column":27,"offset":133},281,{"line":93,"column":129,"offset":130},{"type":23,"value":38},{"type":17,"tagName":82,"properties":137,"children":138,"position":249},{},[139,156,163,176,183,196,203,216,223,242],{"type":17,"tagName":86,"properties":140,"children":141,"position":150},{},[142],{"type":23,"value":143,"position":144},"Maker/taker fees.",{"start":145,"end":148},{"line":146,"column":93,"offset":147},6,419,{"line":146,"column":31,"offset":149},436,{"start":151,"end":153},{"line":146,"column":29,"offset":152},417,{"line":146,"column":154,"offset":155},24,438,{"type":23,"value":157,"position":158}," Fills are charged ",{"start":159,"end":160},{"line":146,"column":154,"offset":155},{"line":146,"column":161,"offset":162},43,457,{"type":17,"tagName":52,"properties":164,"children":165,"position":173},{},[166],{"type":23,"value":167,"position":168},"makerFeePercent",{"start":169,"end":170},{"line":146,"column":161,"offset":162},{"line":146,"column":171,"offset":172},60,474,{"start":174,"end":175},{"line":146,"column":161,"offset":162},{"line":146,"column":171,"offset":172},{"type":23,"value":177,"position":178}," or ",{"start":179,"end":180},{"line":146,"column":171,"offset":172},{"line":146,"column":181,"offset":182},64,478,{"type":17,"tagName":52,"properties":184,"children":185,"position":193},{},[186],{"type":23,"value":187,"position":188},"takerFeePercent",{"start":189,"end":190},{"line":146,"column":181,"offset":182},{"line":146,"column":191,"offset":192},81,495,{"start":194,"end":195},{"line":146,"column":181,"offset":182},{"line":146,"column":191,"offset":192},{"type":23,"value":197,"position":198}," instead of ",{"start":199,"end":200},{"line":146,"column":191,"offset":192},{"line":146,"column":201,"offset":202},93,507,{"type":17,"tagName":52,"properties":204,"children":205,"position":213},{},[206],{"type":23,"value":207,"position":208},"commissionPercent",{"start":209,"end":210},{"line":146,"column":201,"offset":202},{"line":146,"column":211,"offset":212},112,526,{"start":214,"end":215},{"line":146,"column":201,"offset":202},{"line":146,"column":211,"offset":212},{"type":23,"value":217,"position":218},". 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Recorded funding events settle against the open position (",{"start":278,"end":279},{"line":264,"column":273,"offset":274},{"line":264,"column":280,"offset":281},74,677,{"type":17,"tagName":52,"properties":283,"children":284,"position":292},{},[285],{"type":23,"value":286,"position":287},"funding=\"data\"",{"start":288,"end":289},{"line":264,"column":280,"offset":281},{"line":264,"column":290,"offset":291},90,693,{"start":293,"end":294},{"line":264,"column":280,"offset":281},{"line":264,"column":290,"offset":291},{"type":23,"value":296,"position":297},", the default), or funding is off entirely (",{"start":298,"end":299},{"line":264,"column":290,"offset":291},{"line":264,"column":129,"offset":300},737,{"type":17,"tagName":52,"properties":302,"children":303,"position":311},{},[304],{"type":23,"value":305,"position":306},"funding=\"off\"",{"start":307,"end":308},{"line":264,"column":129,"offset":300},{"line":264,"column":309,"offset":310},149,752,{"start":312,"end":313},{"line":264,"column":129,"offset":300},{"line":264,"column":309,"offset":310},{"type":23,"value":315,"position":316},").",{"start":317,"end":318},{"line":264,"column":309,"offset":310},{"line":264,"column":319,"offset":320},151,754,{"start":322,"end":324},{"line":264,"column":27,"offset":323},604,{"line":264,"column":319,"offset":320},{"type":23,"value":38},{"type":17,"tagName":82,"properties":327,"children":328,"position":374},{},[329,347,354,367],{"type":17,"tagName":86,"properties":330,"children":331,"position":341},{},[332],{"type":23,"value":333,"position":334},"Liquidation.",{"start":335,"end":338},{"line":336,"column":93,"offset":337},8,759,{"line":336,"column":339,"offset":340},17,771,{"start":342,"end":344},{"line":336,"column":29,"offset":343},757,{"line":336,"column":345,"offset":346},19,773,{"type":23,"value":348,"position":349}," Positions that exhaust their margin are force-closed at the broker's implicit liquidation stop, with ",{"start":350,"end":351},{"line":336,"column":345,"offset":346},{"line":336,"column":352,"offset":353},121,875,{"type":17,"tagName":52,"properties":355,"children":356,"position":364},{},[357],{"type":23,"value":358,"position":359},"onLiquidation",{"start":360,"end":361},{"line":336,"column":352,"offset":353},{"line":336,"column":362,"offset":363},136,890,{"start":365,"end":366},{"line":336,"column":352,"offset":353},{"line":336,"column":362,"offset":363},{"type":23,"value":368,"position":369}," deciding whether the run keeps trading or halts.",{"start":370,"end":371},{"line":336,"column":362,"offset":363},{"line":336,"column":372,"offset":373},185,939,{"start":375,"end":377},{"line":336,"column":27,"offset":376},755,{"line":336,"column":372,"offset":373},{"type":23,"value":38},{"start":380,"end":381},{"line":93,"column":27,"offset":133},{"line":336,"column":372,"offset":373},{"type":23,"value":38},{"type":17,"tagName":40,"properties":384,"children":385,"position":567},{},[386,395,408,415,427,434,447,452,465,471,484,490,503,509,522,529,542,548,560],{"type":23,"value":387,"position":388},"The default is 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