PolygonexchangePolygonexchange: how Poloniex futures grids work
Poloniex's futures grid bots place contract orders at preset intervals within a chosen price range. Moving outside that range pauses grid activity, but open positions can still lose money or be liquidated.
- Futures Grid 2.0
- Bot assets move from the USDT-M Futures account to the Trading Bots account, where each bot's positions are isolated from those of other bots.
- Earlier guide: Poloniex Futures Grid Trading
- Allocated grid funds remain in the futures account.
Direction, price levels and leverage
Access depends on Poloniex Futures account eligibility and regional restrictions. Creating a Futures Grid 2.0 bot also requires acceptance of the Futures Grid Risk Disclosure, Poloniex Futures Trading Service Agreement and applicable platform agreements.
The grid's direction determines the exposure that its orders can build:
- A long grid starts with long positions, sells to close at higher levels and buys again at lower levels.
- A short grid starts with short positions, buys to close at lower levels and sells again at higher levels.
- A neutral grid can generate both long and short positions as prices move within its configured range.
Manual configuration lets the user set the range, grid intervals, leverage and other parameters. The Grid 2.0 AI Parameters option uses an algorithm and backtesting of the previous 14 days of market data to suggest settings. Those settings don't guarantee future performance.
- Base and cap prices
- The lower and upper boundaries of the grid's price range.
- Arithmetic spacing
- Equal price differences between neighboring grid levels.
- Geometric spacing
- Equal price ratios between neighboring grid levels.
- Leverage
- The maximum varies by trading pair. More leverage increases exposure for a given margin and amplifies losses as well as gains.
Grid spacing sets the price distance between neighboring order levels. It doesn't guarantee that either order will fill. A long or short grid can also establish directional exposure during initial order placement, before a completed grid pair appears.
Creation, funding and activation in Futures Grid 2.0
Bot creation can fail if market depth or margin is insufficient. It also fails when the current market price already meets a configured take-profit, stop-loss or stop top/bottom condition.
The investment has several components:
Investment (margin) = Initial margin + Trading fees + Reserved assets
. The reserved portion covers funding-rate changes, so the investment amount includes more than the margin used to establish positions.
Creating the bot transfers its assets into the Trading Bots account. Each bot is isolated from the other bots there, but its own leveraged positions remain subject to liquidation.
A configured trigger price delays activation until the last price or mark price reaches that level. Without a trigger price, the bot starts running immediately after successful creation.
How filled orders become profit and loss
Grid orders build and reduce positions as their prices are reached and execution liquidity permits. In a long grid, a filled buy can be followed by a closing sell at the next higher grid level. A completed pair realizes the difference between its fill prices on the matched quantity; an open counterpart order still leaves exposure.
- Matched PnL
- Realized profit from filled grid orders that form a matched buy-and-sell pair.
- Unmatched PnL
- Unrealized profit or loss on filled orders that haven't been matched. Grid 2.0 calculates it from the last price and the average fill price of those unmatched orders.
- Total bot PnL
- The combination of matched PnL, unmatched PnL and total funding fees. Funding can be paid or received.
The PnL/Grid field is an estimated percentage with trading fees deducted.
Worked example: A completed pair's gross gain
A completed BTCUSDT perpetual long-grid pair has a gross gain of 0.98 USDT under these hypothetical inputs: buy fill price = 62,414 USDT per BTC; closing sell fill price = 63,114 USDT per BTC; matched quantity = 0.0014 BTC. Both orders are assumed to fill completely at those prices.
The calculation is
gross_pair_pnl = (sell_fill - buy_fill) * matched_quantity
. The price difference is 700 USDT per BTC, giving
700 * 0.0014 = 0.98
USDT of gross paired profit before trading fees and funding.
A smaller difference between the filled prices reduces that gross gain at the same quantity. If the closing sell hasn't filled, the projected 0.98 USDT hasn't been realized. Fees, funding and losses on unmatched positions can still leave the bot with a total loss after this pair closes.
A range pause and a closing trigger have different effects
In Grid 2.0, no orders are placed when the last price or mark price is below the base price or above the cap price. This range pause leaves existing positions open. Continued movement outside the range can increase unrealized losses and lead to liquidation.
Configured take-profit, stop-loss and stop top/bottom prices are termination conditions. When the last price or mark price reaches the relevant configured level, the bot begins closing and the position is closed at market price. The trigger level doesn't guarantee the eventual fill price, particularly when market depth is low.
Manual termination in Grid 2.0 cancels open orders and closes the position at the current market price. Slippage can occur. The earlier Poloniex Futures Grid Trading guide describes selectable cancel-order or close-position behavior when a bot stops.
Risk controls can also terminate a Grid 2.0 bot because of auto-deleveraging, liquidation, removal of the trading pair, a maximum position-size or grid-quantity limit, order-matching failure or negative equity. Upon termination, the bot's assets are transferred back from the Trading Bots account to the USDT-M Futures account.
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