private/pme/simulate

Calculates the Extended Risk Matrix (ERM) and detailed margin information for Portfolio Margin accounts. The ERM provides a comprehensive view of portfolio risk across different scenarios and market conditions.

You can calculate the ERM for a specific currency or for the entire Cross-Collateral portfolio. The response includes margin requirements, risk metrics, and scenario analysis that helps assess portfolio risk under various market conditions.

Use this method to understand margin requirements and risk exposure before making trading decisions in a Portfolio Margin account.

📖 Related Article: Portfolio Margin

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