Using Exchange Entry Price for Futures Position P&L

Summary

This note explains why a futures position’s displayed average price may not represent its original entry price. It contrasts the generic position price field with exchange-specific fields for opening cost, average cost, or entry price. The example shows a Binance futures position containing both a price and an entry price, and argues that settlement can change the former while the latter retains the original position basis.

The practical lesson is to select the exchange’s appropriate original entry-price field when calculating return-based take-profit or stop-loss thresholds. The accompanying helper checks for known fields associated with Huobi, OKX, and Binance, then falls back to the generic position price when none is present. This is an implementation tip rather than a tested trading method: exchange APIs and position schemas may vary, so users need to confirm field meanings for their instrument and account configuration. The note gives no comparative performance results.

Key ideas

• A futures position’s reported price may differ from its original entry price after settlement.
• The note identifies exchange-specific opening-price fields for Huobi, OKX, and Binance.
• Using an unsuitable price basis can distort return calculations for take-profit and stop-loss logic.
• The fallback to a generic price field should be checked against the exchange’s API semantics.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.