A lot of losses come from tiny assumptions: which price triggers liquidation, when funding hits, and how fees are applied.
The mechanism: Latency is a risk factor. If latency rises, a passive strategy can become taker flow, and your effective cost model changes immediately.
Where it breaks: Liquidation is a path, not a single event. The path (partial reductions, auctions, market orders) determines slippage and tail risk.
A simple test: Track funding together with basis and realized volatility. The combination is a better crowding signal than any single metric. Example: a temporary rate-limit tightening can cause missed exits and worse fills even without a dramatic price crash. Treat cross margin as a correlated portfolio. Correlations converge during stress, so diversification can vanish when you need it most.
What to do next: Pitfall: overusing cross margin without correlation thinking. Portfolio coupling can turn a hedge into a trigger.
Aivora writes about these mechanics as system behavior: define inputs, test edge cases, and keep controls auditable. This note is about system mechanics; outcomes are your responsibility.
The mechanism: Latency is a risk factor. If latency rises, a passive strategy can become taker flow, and your effective cost model changes immediately.
Where it breaks: Liquidation is a path, not a single event. The path (partial reductions, auctions, market orders) determines slippage and tail risk.
A simple test: Track funding together with basis and realized volatility. The combination is a better crowding signal than any single metric. Example: a temporary rate-limit tightening can cause missed exits and worse fills even without a dramatic price crash. Treat cross margin as a correlated portfolio. Correlations converge during stress, so diversification can vanish when you need it most.
What to do next: Pitfall: overusing cross margin without correlation thinking. Portfolio coupling can turn a hedge into a trigger.
Aivora writes about these mechanics as system behavior: define inputs, test edge cases, and keep controls auditable. This note is about system mechanics; outcomes are your responsibility.
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.