What is the trailing up function in USDⓈ-M Futures grid trading?
The trailing up function enables your USDⓈ-M Futures grid bot to move the trading range upwards to align with an upward trend market. It can address the limitations of traditional grid trading where profits are often limited due to price breakthroughs.
After enabling the trailing up function, your grid order’s upper limit will automatically adjust as the asset's price increases. The grid's lower limit, however, remains constant even if the price drops. It potentially allows you to secure higher profits by taking advantage of price increases beyond the highest range of the grid.
Please note:
- Trailing up is only available for the neutral and long directions of USDⓈ-M Futures grid trading.
- Once trailing up is enabled, you cannot disable it in the current grid operation.
- When trailing up is enabled, the stop loss price for the long grid and the stop bottom price for the neutral grid will automatically trail up with the grid's lower price, and they cannot be adjusted once set.
- Currently, trailing up is only available to whitelisted users. If you’d like to be included, please contact Customer Support.
How to enable trailing up?
You can activate trailing up when placing a grid trading order. Simple check the box next to it to enable.
You’ll see a [Trailing Up] tag on the grid order confirmation pop-up and on the order details page.
How to monitor trailing up orders?
You can monitor your Trailing Up orders from [Running] and [History].
1. [Running]
You can view real-time data on all your active orders, including trailing up orders. You may also adjust your order parameters here.
You can view the grid parameters after each trailing from [Running /History Order Details] - [Order History] - [Trailing Records].
2. [History]
You can view a complete record of all your past orders. You may also check the performance of your completed trailing up orders.
How to use trailing up in grid trading?
Let's use the below example to understand how trailing up works in grid trading.
Parameters
- Lower Limit Price: $25,000
- Upper Limit Price: $45,000
- Number of Grids: 5
- Grid Mode: Arithmetic
- Leverage: 5x
- Last Price: $30,000
- Min. Quantity: 0.001
- Min Notional: 5
- Trailing Coefficient: 2
- Maximum Price for This Symbol: $4,529,764
- Initial Margin (set by the user): 150
Grid trading without using trailing up:
First, the bot will set up a grid trading structure with a buy order at the lower limit price ($25,000) and multiple sell orders from $33,000 to $45,000 equally across the grid based on the price gap.
| Price | Order |
| $45,000 | Sell |
| $41,000 | Sell |
| $37,000 | Sell |
| $33,000 | Sell |
| $29,000 | None |
| $25,000 | Buy |
If the price rises above the upper limit price, the bot won’t place any new orders. It will wait for the price to drop and fulfill the existing buy orders to pair with the sell orders.
Grid trading using trailing up:
The trailing up function adjusts the trading range in response to significant price increases. If the price increases above the upper limit price and the price difference between the grid levels ($45,000 + $4,000 = $49,000), the bot will adjust the grid upwards.
It will cancel the lowest buy order and place a new buy order at the previous upper limit price. If the price keeps increasing above the new upper limit price and the price difference ($49,000 + $4,000 = $53,000), the bot will repeat this process and adjust the grid upwards.
- Originally, the bot placed a buy order at $25,000 and a series of sell orders from $33,000 to $45,000 based on the price gap.
- If the price goes above the upper limit price and the price gap ($45,000 + $4,000 = $49,000), the bot will move the price range up by canceling the original buy order and place a new buy order at the old upper limit price ($45,000).
- If the price keeps going up above the new upper limit price and the price gap ($49,000 + $4,000 = $53,000), the bot will move the price range up again by canceling the buy order from the lower limit price ($29,000) and placing a new buy order at the old upper limit price ($49,000).
- The new price range now becomes $33,000 to $53,000. The bot will perform like a normal grid bot if the price remains in this range.
- In this example, the trailing up count is 2.
How to calculate the quantity in trailing up?
In a trailing up grid trading strategy, each grid holds the same quote value, not base quantity, due to the fluctuating price range. While in traditional grid trading, each grid usually has the same amount of the base currency (like BTC in a BTC/USDT perpetual contract) regardless of the grid’s price level. For example, you might buy or sell 0.01 BTC at each grid level, it doesn’t matter whether the price is $30,000 or $35,000. When trailing up is enabled, you may buy or sell with 300 USDT at each grid level.
1. Grid quantity per order in quote asset
The average cost ratio, which factors in any open loss for each order, is used to calculate the quantity for each grid. The formula for calculating the grid quantity in quote is as follows:
grid_qty in quote = adjust_coef * initial margin * avg_cost_ratio / grid_count
In this formula:
- assuming_price (BUY) = price
- assuming_price (SELL) = max(mark_price, price)
- cost_ratio = price / assuming_price
- avg_cost_ratio is calculated as the average of the cost_ratio over all grids. If a trigger price has been set, the mark_price should be changed to this trigger price.
- "assuming price" is the expected execution price for a buy or sell order in the context of a trailing up grid trading strategy. This assuming price is used to adjust the order quantities to maintain a constant quote value across each grid.
2. Example
Assume that each grid should hold a value of $300. If the price of BTC is $30,000, you would buy/sell 0.01 BTC per order. However, if the price rises to $33,000, you would adjust the quantity to approximately 0.00909 BTC so that the quote value remains at $300.
Please note that the price range in a trailing up strategy is not fixed. As the price of the asset rises, the bot adjusts the price grid upwards, canceling lower buy orders and placing new ones at higher prices. By ensuring each grid holds the same quote value, the bot can maintain a consistent investment size across changing price levels, allowing for more efficient use of capital so that the grid can follow upward movements in a rising market.
3. Minimum initial margin
The minimum initial margin is calculated similarly as in the general guidelines. The smallest quantity (min_qty) that the bot can trade is calculated first, then use it to calculate the minimum initial margin:
min_qty= Max(minQty, minNotional/grid_lower_limit)
Then,
min_initial_margin = max(grid_count * min_notional, grid_count * trailing_coef * initial_grid_upper_limit * min_qty)/ Leverage
Please note that for ETHBTC perpetual contracts are rounded to 4 decimal places; other symbols are rounded to 2 decimal places.
4. Maximum trailing up count
The maximum number of times the bot can adjust the price grid upwards is calculated as follows:
- First, calculate the estimated maximum price the bot can handle:
Estimated_trailing_cap= Min(initial margin* initial leverage/min_qty, maxPrice)
- Then, calculate the maximum trailing up count:
Max Trailing Up Count = (Estimated_trailing_cap - Initial Upper Limit)/Price Difference
Please note that this value is rounded down to the nearest integer.
5. Trailing cap price
The maximum price at which the bot will stop adjusting the price grid upwards:
Trailing Cap Price = Initial Upper Limit + Price Difference * Max Trailing Up Count
This value is rounded to the nearest tick size.
Here is an example using the above parameters in a trailing up order:
1. Grid Qty in Quote Assets:
Grid Qty in Quote = adjust_coef * initial margin * leverage* avg_cost_ratio / grid_count
= 0.95 * 400 * 5 * 1.2 / 5 = 456 USDT
2. Minimum initial margin:
- min_qty= max(minQty, minNotional/grid_lower_limit) = max(0.001,100/25000) = 0.004 BTC
- Min Initial Margin = Max(grid_count * min_notional, grid_count * trailing_coef * initial_grid_upper_limit * min_qty)/ Leverage= Max(5 * 100, 5 * 2 * 45,000 * 0.004) / 5 = 360 USDT
3. Maximum trailing up count:
- Estimated_trailing_cap = min(initial value*initial leverage/min_qty, maxPrice)
= Min(456/0.004, 4,529,764) = 114,000
- Max trailing up count = (Estimated_trailing_cap - initial upper limit) / price difference
= (114,000 - 45,000) / 4,000 = 17.25, rounded down to 17
4. Trailing cap price:
Trailing Cap Price = Initial Upper Limit + Price Difference * Max Trailing Up Count
= 45,000 + 4,000 * 17 =113,000
How to calculate matched profits?
In trailing up orders, matched profits equals the sum of all matched profits from matched buy and sell orders.
Matched Profits = (Sell Order Average Price - Buy Order Average Price) * Matched Sell Order Size - Matched Trading Fee
Let’s use the matched orders below as an example. They’re part of a running grid.
To calculate the matched profits for the sell and buy orders:
1. Matched size
The matched quantity is the lower quantity for the buy and sell order, which is 0.05 BNB.
2. Matched trading fee
Matched Trading Fee = Buy Order Fee for Matched Size + Sell Order Fee for Matched Size
= (0.05/0.06) * 0.00227094 + (0.05/0.05) * 0.0019099
= 0.00380235 USDT
3. Matched profits for this matched order
Matched Profits = (Sell Order Average Price - Buy Order Average Price) * Matched Sell Order Size (matched size) - Matched Trading Fee
= (381.980 - 378.490) * 0.05 - 0.00380235
= 0.17069765 USDT