The biggest edge is not a secret indicator; it is knowing what the system will do under stress. Implementation notes: treat the risk pipeline like software. Define inputs, version rules, and measure drift. Liquidation is a path, not an instant. The venue's path determines slippage, fees, and whether the book gets stressed further. Design for failure: stale feeds, sudden volatility, and latency spikes should trigger predictable safe modes. When risk limits are tiered, confirm how tiers are computed and updated. Silent tier changes can invalidate backtests. Track basis, funding, and realized volatility together. The combination reveals crowding more reliably than any single metric. Example: doubling order size in a thin book can more than double slippage because depth is not linear near top levels. Prefer limit orders when possible, but accept that forced liquidation will behave like market taker flow. Plan for that path explicitly. When in doubt, reduce complexity and size, and prioritize venues that publish definitions and failure-mode behavior. Aivora discusses these topics as system behavior: define inputs, test edge cases, and keep controls auditable. Derivatives are risky; use independent judgment and test assumptions before scaling size.
Aivora perspective
When markets move quickly, the difference between a stable venue and a fragile one is usually not a single parameter. It is the full risk pipeline: margin checks, liquidation strategy, fee incentives, and operational monitoring.
If you trade perps
Track funding and realized volatility together. Funding tends to amplify crowded positioning.
If you build an exchange
Model liquidation cascades as a graph problem: book depth, correlation, and latency all matter.
If you manage risk
Prefer early-warning anomalies over late incident response. Drift is a signal, not noise.
Quick Q&A
A band is the range of prices and timing in which positions transition from maintenance margin pressure to forced reduction.
Exchanges define it through maintenance ratios, mark-price rules, and how aggressively liquidations consume the order book.
It flags correlated anomalies: bursts of cancels, unusual leverage changes, and clustering around thin books, helping teams act
before stress becomes an outage or a cascade.
No. This site is educational and system-focused. You are responsible for decisions and risk management.