Futures Daily Settlement: Reconcile Cash, P&L and Partial Exits
zhan chenA profitable futures exit can show a loss on the final day. Reconcile a four day example, partial closes, fees, deposits and margin without double counting.
A futures position can close at a profit while the statement for its final day shows a loss. That is not necessarily a booking error. Daily settlement measures the change since the previous settlement; whole-trade profit measures the change since entry. Earlier gains may already have moved into cash.
The practical test is to reconstruct both views and reconcile them. If daily variation adds up to the profit on the individual trades, the difference is timing. If it does not, check the contract, prices, multiplier, cash movements and fees before concluding that money is missing.
Which price resets the account?
The last traded price, the official daily settlement and the final settlement at expiry serve different purposes. An exchange can calculate daily settlement using a defined window or methodology rather than the final trade displayed on a chart. A preliminary settlement can also be revised. The relevant contract's published procedure—not a universal clock time—determines the reference price.
For a simple linear futures contract, a long position carried from yesterday generates daily variation equal to the change in settlement price multiplied by the contract multiplier and quantity. A short has the opposite sign. A position opened today starts from its execution price; one closed today ends at its execution price. These boundaries become crucial when part of a position is closed.
This calculation is not a universal formula for inverse contracts, options, currency conversion or delivery charges. Those require their own specifications. Nor should an adjusted continuous chart supply the settlement price of an actual position: continuous futures and roll adjustments can change the displayed historical price without changing the price booked in the account.
A four-day ledger that reconciles exactly
Assume two contracts are bought at 100. Each point is worth 50 currency units per contract. All amounts below use that same currency; these are invented prices, not a quoted product. Ignore fees initially.
| Day and event | Daily variation | Contracts left |
|---|---|---|
| 1: buy two at 100; settle at 102 | +200 | 2 |
| 2: no trades; settle at 99 | −300 | 2 |
| 3: sell one at 101; settle at 103 | +300 | 1 |
| 4: sell the last at 102 | −50 | 0 |
Day 1 credits (102 − 100) × 50 × 2 = 200. Day 2 debits (99 − 102) × 50 × 2 = −300. The account has therefore lost 100 across the first two days, even though day 1 was profitable.
Day 3 has two separate legs. The closed contract earns (101 − 99) × 50 = 100 since the previous settlement. The remaining contract earns (103 − 99) × 50 = 200. Daily variation is 300, not 100 and not 400.
On day 4, the last contract is sold one point below its previous settlement, so the daily entry is −50. Yet that contract was bought at 100 and sold at 102: its lifetime profit is +100. The preceding settlements already accounted for the other +150. Adding that lifetime +100 to all its previous settlement credits would count the same gain twice.
The final check is exact: 200 − 300 + 300 − 50 = 150. Separately, the first contract earns (101 − 100) × 50 = 50 and the second earns (102 − 100) × 50 = 100. The two methods produce the same 150.
Separate investment performance from funding
Now add a fee of 2 per contract on each execution side. Opening two contracts costs 4; closing the first costs 2 and closing the second costs 2. Total fees are 8, leaving net trading profit of 142.
If opening cash was 5,000 and the trader deposited another 1,000 during the period, ending cash after all positions are closed is 5,000 + 1,000 + 150 − 8 = 6,142, assuming no other charges or adjustments. The 1,142 increase in cash is not trading profit. Subtract the 1,000 external contribution and the remaining 142 reconciles.
For this fully settled cash example: net trading result = ending cash − opening cash − deposits + withdrawals. Interest, currency translation and other non-trading adjustments must also be separated if present. On an open intraday account, a cash balance alone is insufficient: establish whether displayed equity already includes unrealized P&L and whether today's variation has been posted. Adding both versions of the same movement is another common double count.
Margin explains liquidity, not a second expense
Margin is collateral. Reserving it can reduce available funds without creating a trading loss; releasing it can increase available funds without producing income. Cash balance, equity, available funds and withdrawable cash are not interchangeable statement fields. Collateral eligibility, haircuts, currency, settlement timing and broker rules can keep them different.
Consider a separate hypothetical account with equity of 2,800, maintenance margin of 3,000 and initial margin of 3,600. If its rules require restoration to initial margin after a breach, the required top-up is 800—not the 200 needed merely to return to maintenance. Actual deadlines, intraday controls and liquidation rights depend on the broker and contract. The numbers are illustrative, not current margin requirements.
A strategy can show an eventual profit in a backtest yet fail to fund an interim settlement debit. Consequently, evaluating the full path of cash requirements is different from calculating the final profit. Margin is also not a cap on possible losses.
Find the first line that stops reconciling
- Identify the instrument. Match exchange, contract month, direction, quantity, multiplier and settlement currency. Do not substitute a continuous ticker.
- Anchor the day. Use the broker's clearing-day boundary and the final official settlement. An overnight trade can belong to a different statement day than its calendar date suggests.
- Rebuild position changes. Carry yesterday's quantity forward, add each fill, then verify the closing quantity. Treat partial exits separately.
- Recalculate variation. Separate positions carried in from trades executed today. Check the product's monetary rounding: multiplying rounded per-contract values need not match rounding a grand total.
- Reconcile cash. Match fees, deposits, withdrawals and other explicit adjustments individually. Remove funding flows from performance.
- Escalate the residual. If a difference remains, send the broker the affected date, contract, fills, settlement reference and calculation—not just a screenshot of a different chart.
A negative final-day P&L is therefore not enough to demonstrate an error. The stronger evidence is a residual that survives correct prices, quantities, rounding and cash-flow treatment. That is the point at which a settlement query becomes a specific, answerable accounting question.
