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"
}
}
'{
"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
}
}
}
}Calculates the Extended Risk Matrix and margin information for the selected currency or against the entire Cross-Collateral portfolio.
Scope: account:read
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"
}
}
'{
"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
}
}
}
}The currency for which the Extended Risk Matrix will be calculated. Use CROSS for Cross Collateral simulation.
BTC, ETH, USDC, USDT, CROSS "BTC"
If true, adds simulated positions to current positions, otherwise uses only simulated positions. By default true
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
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