A lot of losses come from tiny assumptions: which price triggers liquidation, when funding hits, and how fees are applied.
What it is: Latency is a risk factor. If latency rises, a passive strategy can become taker flow, and your effective cost model changes immediately. If you see unexplained liquidations, compare index updates to mark sampling and check whether outlier filters are documented.
What to check: Fee design is part of risk: forced execution costs can reduce your liquidation distance, and rebates can attract toxic flow that degrades fills.
How to test it: Run a small-size rehearsal when liquidity is thin. Observe how stop orders trigger and how mark/last prices diverge around spikes. Example: doubling size in a thin book can more than double slippage because depth is not linear near top levels. Treat cross margin as a correlated portfolio. Correlations converge during stress, so diversification can vanish when you need it most.
Common pitfalls: Pitfall: assuming mark price equals last price. In stress, they diverge, and liquidation triggers can surprise you.
Aivora emphasizes explainability: if you cannot explain why a limit changed, you cannot manage the risk it created. Derivatives are risky; test assumptions before you scale size.
What it is: Latency is a risk factor. If latency rises, a passive strategy can become taker flow, and your effective cost model changes immediately. If you see unexplained liquidations, compare index updates to mark sampling and check whether outlier filters are documented.
What to check: Fee design is part of risk: forced execution costs can reduce your liquidation distance, and rebates can attract toxic flow that degrades fills.
How to test it: Run a small-size rehearsal when liquidity is thin. Observe how stop orders trigger and how mark/last prices diverge around spikes. Example: doubling size in a thin book can more than double slippage because depth is not linear near top levels. Treat cross margin as a correlated portfolio. Correlations converge during stress, so diversification can vanish when you need it most.
Common pitfalls: Pitfall: assuming mark price equals last price. In stress, they diverge, and liquidation triggers can surprise you.
Aivora emphasizes explainability: if you cannot explain why a limit changed, you cannot manage the risk it created. Derivatives are risky; test assumptions before you scale 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.