A good risk engine is boring: stable, explainable, and consistent across edge cases. Checklist before scaling size: 1) Verify mark/index sources. 2) Understand margin steps and maintenance rules. 3) Test liquidation behavior with small size. First, list the pricing references: index, mark, last trade, and any smoothing window. Then locate which reference drives margin checks. 4) Confirm fee tiers and forced execution costs. 5) Review risk limits, circuit breakers, and incident transparency. Test reduce-only and post-only behavior in edge cases: partial fills, rapid cancels, and short-lived price spikes. Example: a 0.05% extra cost on forced execution can erase multiple margin steps when leverage is high and moves are fast. Treat cross margin as a correlated portfolio, not a set of independent positions. Correlations tend to converge in selloffs. 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. Nothing here guarantees safety or profits; it is a checklist to reduce surprises.
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.