TradFi Copy Trading Core Logic ｜ Gate

TradFi Copy Trading Core Logic

The TradFi copy trading mechanism replicates trades based on the proportion of total assets. Calculation formulas are as follows.

1. Opening Position: Copier Order Size (Lots) = Copier's Account Equity / (Lead Trader's Account Equity + Lead Trader Trading Fee) × Lead Trader Order Size (Lots)
2. Partial Closing: Copier Partial Close Size (Lots) = Lead Trader Close Size (Lots) / Total Size of Lead Position (Lots) × Total Size of Copy Position (Lots)
3. Full Closing: The copier follows the lead trader to close the position at market price.

Examples

Opening Position
The TradFi lead trader has 10,000 in account assets and opens a 1-lot position with a fee of 6. After execution, the lead trader's account equity becomes 9,994. The copy trader has 5,000 in account assets.
Copier Order Size = 5,000 / (9,994 + 6) × 1 = 0.5 Lots
Partial Closing
The lead trader holds 1 lot and partially closes 0.2 lots. The copy trader holds 0.5 lots.
Copier Order Size = 0.2 / 1 × 0.5 = 0.1 Lots
Full Closing
If the lead trader fully closes a position, the copier will also fully close the corresponding copied position.

Special Scenarios

Due to minimum order size limits:
• If the minimum order size is 0.01 lot and the calculated size is 1.111, the system rounds down to 1.11 lots;
• If the minimum order size is 0.1 lot and the calculated size is 1.111, the system rounds down to 1.1 lots;
• If the minimum order size is 1 lot and the calculated size is 1.111, the system rounds down to 1 lot.

Due to maximum order size limits:
• If the maximum order size is 10 lots and the calculated size is 20 lots, the system will cap it at 10 lots.

TradFi Profit Sharing Logic

As a Gate TradFi lead trader, you can earn a percentage of the net profits generated by copiers based on the High-Water Mark (HWM) principle.

Profit Sharing Mechanism: High-Water Mark (HWM)

• Profit sharing is based on the copier's cumulative net PnL within the trading period (realized + unrealized);
• Profit sharing is only triggered when the copier's cumulative net PnL exceeds the previous record high;
• If losses occur, the lead trader must fully recover the losses before becoming eligible for profit sharing again;
• A new HWM is only set when the cumulative net PnL surpasses the previous peak, ensuring lead traders are only rewarded when consistent profits are generated.

Calculation Logic

• Cumulative Net PnL (Within the Cycle)= Total Realized PnL + Total Unrealized PnL – Cumulative Fees + Cumulative Funding Fees + Dividends
• Eligible PnL for Sharing =Cumulative Net PnL Within the Cycle – High-Water Mark at Last Profit Sharing
• Profit sharing is only calculated when the eligible profit is > 0
• Profit Sharing Amount (per Copier) = Eligible PnL × Profit Sharing Ratio
• Total profit sharing is calculated as the sum of all copiers' profit sharing amounts under the lead trader.

Example

TradFi Core Metrics

PnL

1. Formula
   PnL = Ending Assets – Total Deposits During Period + Total Withdrawals During Period – Beginning Assets

2. Example:
   If current assets = 150, assets 7 days ago = 100, cumulative deposits = 20, and cumulative withdrawals = 10:
   7D PnL = 150 – 20 + 10 – 100 = 40

ROI

1. Formula

2. Formula
   ROI = (Ending Assets – Total Deposits During Period + Total Withdrawals During Period – Beginning Assets) / (Beginning Assets + Total Deposits During Period)

3. Example:
   If current assets = 150, assets 7 days ago = 100, cumulative deposits = 20, and cumulative withdrawals = 10:
   7D ROI = (150 – 20 + 10 – 100) / (100 + 20) = 33.33%

Sharpe Ratio

1. Formula
   

Maximum Drawdown (MDD)

1. Formula

2. Formula
   MDD = Max[(Historical Peak ROI – current ROI) / (Historical Peak ROI + 1)]

3. 7D Max Drawdown Example
   The maximum drawdown calculated at 00:00 on June 8 uses the ROI at that time as the starting point and evaluates drawdowns from June 1 to June 8.

Disclaimer

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