Limits

Initial Margin Fraction [IMF]

The total IMF is the minimum OMF needed to open a new order.
  • The base IMF is the IMF per market computed as:
    • For derivative markets,
      IMFbase=1leveragemaxIMF_{base} = \frac{1}{leverage_{max}}
    • For borrowing,
      IMFbase=1.1Wโˆ’1IMF_{base} = \frac{1.1}{W} - 1
      where W is the weight of the asset being borrowed
    • where
      leveragemaxleverage_{max}
      is the max allowed initial leverage per market (ex: 20)
  • The total IMF is computed as the average of each market's base IMFs weighted by the position open notional for that market
IMFtotal=โˆ‘positionย openย notionalร—IMFbasetotalย positionย openย notionalIMF_{total} = \frac{\sum position \space open \space notional \times IMF_{base}}{total \space position \space open \space notional}
OMF needs to be above the IMF to increase a position.
OMF needs to be above the IMF after withdrawal.

Cancel Margin Fraction [CMF]

The total CMF is the minimum OMF needed to not have your open orders cancelled.
  • The base CMF is the CMF per market:
    • For derivative markets,
      CMFbase=5ร—IMFbase8CMF_{base} = \frac{5 \times IMF_{base}}{8}
      โ€‹
    • For borrowing, the CMF base is the same as the borrow IMF base
  • The total CMF is computed as the average of each marketโ€™s CMF weighted by the position open notional for that market
CMFtotal=โˆ‘positionย openย notionalร—CMFbasetotalย positionย openย notionalCMF_{total} = \frac{\sum position \space open \space notional \times CMF_{base}}{total \space position \space open \space notional}

Maintenance Margin Fraction [MMF]

The total MMF is the minimum MF needed to not be liquidated.
  • The base MMF is the MMF per market:
    • For derivative markets,
      MMFbase=IMFbase2MMF_{base} = \frac{IMF_{base}}{2}
      โ€‹
    • For borrowing,
      MMFbase=1.03Wโˆ’1MMF_{base} = \frac{1.03}{W} - 1
      where W is the weight of the asset being borrowed
  • The total MMF is computed as the average of each marketโ€™s MMF weighted by the position notional for that market
MMFtotal=โˆ‘positionย notionalร—MMFbasetotalย positionย notionalMMF_{total} = \frac{\sum position \space notional \times MMF_{base}}{total \space position \space notional}
MF needs to be above the MMF to place new orders.