private/pme/simulate

Calculates the Extended Risk Matrix and margin information for the selected currency or against the entire Cross-Collateral portfolio.

Scope: account:read

Try in API console

cURL

cURL

curl --request GET \
  --url https://test.deribit.com/api/v2/private/pme/simulate \
  --header 'Content-Type: application/json' \
  --data '
{
  "jsonrpc": "2.0",
  "id": 2255,
  "method": "private/pme/simulate",
  "params": {
    "currency": "BTC"
  }
}
'

200

{
  "jsonrpc": "2.0",
  "id": 2255,
  "result": {
    "model_params": {
      "currency_pair": {
        "btc_usd": {
          "extended_table_factor": 1,
          "m_inc": 0.00005,
          "min_volatility_for_shock_up": 0.5,
          "max_delta_shock": 0.1,
          "delta_total_liq_shock_threshold": 20000000,
          "volatility_range_down": 0.25,
          "volatility_range_up": 0.5,
          "long_term_vega_power": 0.13,
          "short_term_vega_power": 0.3,
          "price_range": 0.16
        }
      },
      "currency": {
        "usd": {
          "max_offsetable_pnl": 0,
          "annualised_move_risk": 0.1,
          "extended_dampener": 25000,
          "min_annualised_move": 0.01,
          "haircut": 0,
          "equity_side_impact": "none",
          "pnl_offset": 0,
          "correlation_set": false
        },
        "btc": {
          "max_offsetable_pnl": 0,
          "annualised_move_risk": 0.075,
          "extended_dampener": 100000,
          "min_annualised_move": 0.01,
          "haircut": 0,
          "equity_side_impact": "both",
          "pnl_offset": 0,
          "correlation_set": false
        }
      },
      "general": {
        "mm_factor": 0.8,
        "buckets_count": 4,
        "vol_scenarios_count": 3,
        "timestamp": 1718619740501
      }
    },
    "aggregated_risk_vectors": {
      "btc_btc": {
        "standard": [
          -0.05968587238095239,
          -0.05968587238095239,
          -0.05968587238095239,
          -0.04272965863636364,
          -0.04272965863636364,
          -0.04272965863636364,
          -0.02724789826086957,
          -0.02724789826086957,
          -0.02724789826086957,
          -0.013056284583333334,
          -0.013056284583333334,
          -0.013056284583333334,
          0,
          0,
          0,
          0,
          0,
          0,
          0,
          0,
          0,
          0,
          0,
          0,
          0,
          0,
          0
        ],
        "extended": [
          0,
          0,
          0,
          0,
          0,
          0,
          0,
          0
        ]
      }
    },
    "initial_risk_vectors": {
      "BTC-PERPETUAL": {
        "standard": [
          -0.05991206933333334,
          -0.05991206933333334,
          -0.05991206933333334,
          -0.04289159509090909,
          -0.04289159509090909,
          -0.04289159509090909,
          -0.027351162086956524,
          -0.027351162086956524,
          -0.027351162086956524,
          -0.013105765166666668,
          -0.013105765166666668,
          -0.013105765166666668,
          0,
          0,
          0,
          0.012097629384615385,
          0.012097629384615385,
          0.012097629384615385,
          0.023299138074074074,
          0.023299138074074074,
          0.023299138074074074,
          0.033700538999999995,
          0.033700538999999995,
          0.033700538999999995,
          0.043384601931034494,
          0.043384601931034494,
          0.043384601931034494
        ],
        "extended": [
          -0.05991206933333334,
          -0.05991206933333334,
          0.04338460193103449,
          0.04338460193103449,
          0.04338460193103449,
          0.04338460193103449,
          0.04338460193103449,
          0.04338460193103449
        ]
      },
      "BTC-28JUN24": {
        "standard": [
          0.0002261969523809524,
          0.0002261969523809524,
          0.0002261969523809524,
          0.00016193645454545456,
          0.00016193645454545456,
          0.00016193645454545456,
          0.00010326382608695652,
          0.00010326382608695652,
          0.00010326382608695652,
          0.00004948058333333334,
          0.00004948058333333334,
          0.00004948058333333334,
          0,
          0,
          0,
          -0.00004567438461538462,
          -0.00004567438461538462,
          -0.00004567438461538462,
          -0.00008796548148148148,
          -0.00008796548148148148,
          -0.00008796548148148148,
          -0.0001272357857142857,
          -0.0001272357857142857,
          -0.0001272357857142857,
          -0.00016379779310344832,
          -0.00016379779310344832,
          -0.00016379779310344832
        ],
        "extended": [
          0.0002261969523809524,
          0.0002261969523809524,
          -0.0001637977931034483,
          -0.0001637977931034483,
          -0.0001637977931034483,
          -0.0001637977931034483,
          -0.0001637977931034483,
          -0.0001637977931034483
        ]
      }
    },
    "margins": {
      "btc": {
        "initial_margin_details": {
          "risk_matrix_margin_details": {
            "delta_shock": 0,
            "roll_shock": 0.00315725898,
            "worst_case_bucket": {
              "bucket": 1,
              "side": "left",
              "source": "standard",
              "index": 1
            },
            "worst_case": 0.05968587238095239,
            "correlation_contingency": 0
          },
          "risk_matrix_margin": 0.06284313098,
          "spot_margin": 0,
          "mmp_margin": 0.06,
          "open_orders_margin": 0.000018212
        },
        "initial_margin": 0.122861343,
        "maintenance_margin": 0.050274504784
      }
    },
    "portfolio": {
      "currency": {},
      "position": {
        "BTC-PERPETUAL": 0.314538364,
        "BTC-28JUN24": -0.001187534
      }
    },
    "index_price": {
      "btc_usd": 65666.19
    },
    "ticker": {
      "BTC-PERPETUAL": {
        "mark_price": 65910.57,
        "index_price": 65666.19
      },
      "BTC-28JUN24": {
        "mark_price": 67371.75,
        "index_price": 65666.19
      }
    }
  }
}

Query Parameters

currency · enum<string> · required

The currency for which the Extended Risk Matrix will be calculated. Use CROSS for Cross Collateral simulation.

Available options: BTC, ETH, USDC, USDT, CROSS

Example:

"BTC"

add_positions · boolean

If true, adds simulated positions to current positions, otherwise uses only simulated positions. By default true

simulated_positions · string

Object with positions in following form: {InstrumentName1: Position1, InstrumentName2: Position2...}, for example {"BTC-PERPETUAL": -1.0} (or corresponding URI-encoding for GET). Size in base currency. JSON string containing: object data

Response

200 - application/json

Success response

jsonrpc · enum<string> · required

The JSON-RPC version (2.0)

Available options: 2.0

result · object · required

Simulation details

id · integer

The id that was sent in the request