PnL Calculation

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FTX has a PnL page!

You can view your profit and loss on each day and break it down by product.

This article will describe how this PnL is calculated, but please note that there are many valid ways to calculate PnL, and this page only shows one!

We recommend that users refer to their wallet balances, fills, and positions to determine PnL using the method they prefer.  The PnL page is just a tool, and it's your wallet and balances pages that show what your account really owns.

 

Some different ways to calculate PnL

Consider the following scenario: you buy 1 BTC at $5000 on Monday. Tuesday, the market price for BTC rises to $6000. Wednesday, the price rises to $6500, and then you withdraw the 0.5 BTC. Thursday, the price falls to $4000.

What PnL would you assign to each day from this one trade? Some options:

1) Monday: $1500, all other days: $0 (you bought at $5000 on Monday and withdrew when BTC was worth $6500)

2) Monday: -$1000, all other days: $0 (you bought at $5000 on Monday and now BTC is worth $4000)

3) Monday: $0 (since the price hadn't risen yet), $1000 on Tuesday (since the price rose $1000), $500 on Wednesday (since the price rose $500), $0 on Thursday (since you withdrew, so the change in price doesn't count)

4) Monday: $0 (since the price hadn't risen yet), $1000 on Tuesday (since the price rose $1000), $500 on Wednesday (since the price rose $500), -$1500 on Thursday (since the price fell by $1500)

 

FTX's PnL page uses option 4, but that doesn't mean that the other methods (or the many others not listed here) are illegitimate! 

 

How FTX Calculates PnL

For each market, FTX keeps track of:

  • Sell size: Total size you've sold
  • Sell proceeds: Total amount you've received for selling
  • Buy size: Total size you've bought
  • Buy cost: Total amount you've paid for buying
  • Created size: Total size created (only applicable for leveraged token markets)
  • Creation cost: Total amount paid in creations (only applicable for leveraged token markets)
  • Redeemed size: Total size redeemed (only applicable for leveraged token markets)
  • Redemption proceeds: Total amount received for redemptions (only applicable for leveraged token markets)
  • Fees: The total fees you've paid
  • Funding: The total net amount you've been paid or charged in funding (only applicable for perpetual future markets)

Each day at 00:00 UTC, FTX takes note of the Market price for each market, and determines the total PnL on that market: 

PnL = [(Buy size + Created Size) * Market price - (Buy cost - Creation cost)] + [(Sell proceeds + Redemption proceeds) - (Sell size +  Redeemed size)* Market price] - Fees + Funding

The PnL page shows you you changes in PnL over each day.  That means that it takes your Total PnL calculated at the end of that day, and subtracts the Total PnL it calculated at the end of the previous day, to get the PnL for that day.

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