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Backpack Exchange is a fully regulated global cryptocurrency exchange building an innovative, easy-to-use and compliant trading platform.
Built on robust, real-time risk management, Backpack’s engine automatically aggregates all user assets into a single, cross-margined environment while simultaneously enabling auto lending. This allows traders of all sizes to access advanced trading tools typically reserved for institutional participants on other platforms.
150+ Countries
500M+ Transactions Completed
With Auto Lend, all of your deposited assets are automatically entered into our lending pool, generating yield for you by default. These assets remain fully margin-eligible, eliminating the friction of having to manage separate “earn” accounts.
Even unrealized position PnL is considered part of your total collateral, which continues to accrue yield until the position is closed. Additional Yield from Stablecoins
Lend USD and stack an additional APY on top of the lending rate when lending eligible stablecoins. This boost comes from Stablecoins Treasury yield exposure through a curated stablecoin basket. Distributions are paid out monthly, in line with how treasury yield is delivered.
Your lent SOL now additionally earns the native SOL staking yield. Backpack Exchange stake their own SOL reserves and provide the full staking yield to all lenders. Your SOL is not only margin-eligible, but also enabling you to passively benefit from staking rewards.
Any assets you lend out can be utilized as margin for new trades, further enhancing your capital efficiency.
Backpack’s yield system is deeply integrated into the exchange’s core risk engine to ensure you retain full collateral value while earning interest.
Backpack’s risk engine, cross margin, and auto-lending are designed to offer every user the kind of capital efficiency typically locked behind VIP tiers on other exchanges.
Lower-tier users are not subjected to punitive margin requirements or restricted from advanced products. We focus on an inclusive design to level the playing field.
Our settlement engine allows you to partially realize PnL on a rolling basis, adjusting or locking in gains without requiring a full position close.
This continuous settlement mechanism is particularly useful for hedging, high-frequency arbitrage, or complex multi-leg strategies.
Backpack’s fee structure is comparable to the most cost-efficient platforms in the market
We built this system from the ground up to create what we like to call Interest Bearing Perps - a system that blends perpetual trading with a borrow lending market so your collateral works overtime.
Have 30 seconds? Check out our quick Interest Bearing Perps walkthrough:
To trade on Backpack Exchange you will need to create an account, complete identity verification and deposit funds (via fiat onramp or crypto deposit).
Visit backpack.exchange and register a new account.
After verifying your email, complete the KYC (Know Your Customer) identity verification process.
See detailed instructions:
Once the KYC process is completed you can fund your wallet via our fiat onramp (bank transfer, credit/debit card) or direct crypto deposits.
Access both options by opening the Deposit menu.
Spot market, Spot margin, Perpetual futures and Safe are all available to Backpack users. See our for detailed instructions and additional product information.
Contact Customer Support in or by email:
Interest Rates on Backpack are determined by a Utilization Rate model. Each borrow lend market has its own Utilization Rate curve, which can be found on their respective Lend page. A market's Utilization Rate shows how much of its available assets are borrowed. As more assets get borrowed, interest rates rise.
More specifically, Utilization Rate = Total Borrowed / Total Lent
You can get a comprehensive view of how interest rates are generated on Backpack. At any point in time, you can monitor the following:
Total lending pool supply
Total borrowed amount
Backpack features an omnichain money market where users can lend and borrow a variety of assets. Users can deposit from any chain to lend in the unified pool, or borrow against their collateral and withdraw to any supported network - all without bridging. This omnichain money market is a core component of Backpack’s margin system, allowing users to trade with the highest level of capital efficiency.
Lenders can earn yield on their assets by supplying liquidity into the lending pool, which can be borrowed by other users for the following purposes:
Spot margin trading
USDC settlements for perpetual futures trading
Withdraw off the exchange
Unlike most centralized exchanges, interest rates on Backpack are determined by a transparent Utilization Rate model, which users can view at any time on the Lend page. The utilization rate represents the proportion of lent assets that are currently borrowed for a given market. Higher utilization rates indicate stronger borrowing demand, resulting in higher interest rates. Interest rates are calculated and paid every hour.
To protect lenders, all borrows are subject to Backpack’s margin requirements and real time liquidation system. This means that no user can borrow without meeting the necessary collateral requirements, and in the event that their margin fraction drops below the necessary levels, Backpack will immediately begin liquidating their position.
Current Utilization Rate
Projected interest rates at various Utilization Rate levels
And more
Interest is charged every hour. The Borrow Rate is purely determined by the Utilization Rate curve. The Lend Rate is equal to Borrow Rate * Utilization.
The utilization rate curve is designed to reduce the risk of reaching 100% utilization, which would block redemptions from the lending pool. The system defines an optimal utilization threshold where interest rates begin to rise exponentially. This makes borrowing increasingly expensive, encouraging repayments, while also making lending more attractive due to higher yields. These market forces work together to reduce the utilization rate.
As an additional safeguard, the system includes a throttle threshold. When utilization reaches this level, all redemptions and new borrows pause. This gives new lenders time to enter the market and borrowers time to repay their debt. The pause also creates a buffer for redeeming collateral from accounts undergoing liquidation.
At Backpack Exchange, our commitment to providing a transparent and competitive fee structure is paramount.
The tables below outlines the Spot Trading & Perpetual Futures fee tiers for our Public Beta Launch, enabling traders to easily identify the fees associated with their trading volume.
We may change these fees for the next phase of launch and will post the updated fees here beforehand.
*SUBJECT TO CHANGE*
Mad Lads holders who connect their Backpack Wallet containing the NFT to Backpack Exchange will automatically qualify for VIP Tier 1 trading fees. The Mad Lads VIP program is in place for both Spot and Perpetual futures.
Maker Fee: A "maker" is someone who places a limit order that adds liquidity to the market. This means the order isn’t filled immediately but waits for a matching order (opposite buy or sell) to come along. The fee incurred for such orders is called the "maker fee". Makers typically pay a lower fee as they contribute to the market's liquidity.
Taker Fee: A "taker" is someone who places an order that matches immediately with an existing order on the order book. This takes liquidity away from the market. The fee for such orders is called the "taker fee". Takers typically pay a slightly higher fee due to the immediate nature of their trades.
The more you trade, the more you save! Our fee structure is designed to reward high-volume traders with reduced fees. As your 30-day trading volume increases, you ascend through our tier levels, and your applicable fees decrease. Both maker and taker fees decrease as you move to a higher tier, allowing for a more cost-effective trading experience.
Please refer to the table provided to view the fee structure across different tiers and the corresponding 30-day volume requirements. We aim to offer a seamless trading experience with a clear understanding of the associated costs.
Backpack offers the ability for you to borrow assets for a variety of use cases, such as spot margin trading. Borrowed assets go into your available balance, which can be used to place orders or make withdrawals as long as the margin requirements are met.
Contrary to most Borrow Lend protocols/products, you don’t need to supply assets into the lending pool before being able to borrow on Backpack. As long as there is Available Equity in the subaccount, users can start borrowing.
Here are the three different ways to borrow on Backpack.
Borrows can be originated manually through the Borrow tab on the Lend page.
Note that the Auto Lend setting automatically repays all borrows in a subaccount. As a result,
You can automatically borrow through spot margin by checking the Margin checkbox on the order entry user interface and spending more than what they currently have or selling an asset that they don’t hold. For example, if you hold USDC and wants to short sell ETH spot, you can simply enable Margin and sell ETH. This will trigger a borrow for you, removing the need for making a manual borrow beforehand in order to trade with it.
Similarly, you can borrow against your collateral when withdrawing an asset that you currently don’t hold by checking the Margin checkbox on the withdrawal modal. The maximum withdrawable amount with borrow will be determined by your current Available Equity.
Borrows can be repaid in the following ways:
If you hold the asset you owe, you can manually repay it on the Borrow tab on the trade page by clicking Repay, or through the Repay tab on the Lend page. As explained previously, note that if Auto Lend is enabled, you won’t be able to make manual repayments as any borrows will be repaid automatically if there is an available balance to do so.
The proceeds of a spot margin trade can be used to repay borrows. For example, assuming you owe 1 SOL, if they buy 1 SOL with Margin enabled on the trade, that SOL will be automatically used to repay the outstanding borrow.
When Auto Lend is enabled, all borrows are repaid automatically as soon as there is available balance in the account. That means that if you owe 1 SOL, you can simply deposit 1 SOL into the subaccount and the debt will be repaid automatically.
Backpack has a tiered liquidation model that prevents your account from going bankrupt. First, the system attempts to liquidate positions through the orderbook. If positions are too large or if a user's margin fraction falls below their auto-close threshold, liquidation occurs against Backstop Liquidity Providers.
In the edge case that prices are falling extremely rapidly and the system is not able to liquidate a borrower’s position on time, Backpack employs an auto-deleveraging (ADL) mechanism to ensure that the lender receives the value of their lend in notional terms. To illustrate this:
Assume a Borrower is borrowing 1 BTC from a Lender
Borrower is not holding BTC in their account. They either withdrew it or traded it into another asset.
The Borrower’s account goes bankrupt. BTC is trading at $100,000.
The Lender is still expecting their money. In this edge case, the liquidation system would liquidate the Borrower’s assets, and pay out $100,000 to the Lender in notional terms, rather than 1 BTC.
In conclusion, Backpack’s liquidation system has levels of backstop liquidity in place to maintain stability in the market and protect lenders. In extreme cases, the primary mandate of the margin system is to make sure that the Lender receives the value that they lent, either in the actual token or in notional USD terms at the time of liquidation.
When a market reaches 100% utilization, lent assets cannot be redeemed. This creates a potential risk since Backpack allows lent assets to be used as collateral. If a user with lent collateral faces liquidation, but their assets cannot be redeemed due to full utilization, Backpack employs an Auto-Deleveraging (ADL) mechanism.
The ADL process works as follows:
A user with lent assets as collateral triggers liquidation due to losing positions.
Market utilization reaches 100%, preventing lend redemptions.
The liquidation engine activates but cannot redeem the lender's assets.
The system matches the lender with borrowers who have available collateral (every borrow is collateralized).
Futures on Backpack settle in USDC. This includes fees, funding payments, and PnL.
If you have USDC in your account, then all USDC settlements will be debited from your USDC balance. However, in the case that you don't have USDC available in your account and therefore owe it to the system, Backpack considers the following options (in order):
Redeem any outstanding USDC lends
Borrow USDC from the borrow lending pool
Convert non-USDC collateral into USDC
An amount in notional USDC terms no greater than the size of the original borrow is transferred from the borrower to the lender's account for liquidation.
The loan is now closed. The lender was successfully liquidated. The borrower's collateral may have been converted to a different asset than originally borrowed, but their account value remains unchanged.
PnL on Backpack is settled in real-time. Every 10 seconds, any unrealized profits or losses are realized without affecting your position size. This means your USDC balance is continuously credited or debited as your PnL fluctuates.
This real-time settlement model maximizes capital efficiency. For example, if you have a position with +$1,000 unrealized profit and want to physically use those assets (for spot, withdrawals, etc):
On traditional crypto exchanges, you would need to close your position to access that $1,000, or borrow against your increased equity.
With Backpack, that $1,000 profit is immediately credited to your USDC balance, allowing you to use it for spot trading, opening new positions, withdrawing from the exchange, or lending—all without reducing your original position.
To further enhance capital efficiency, if you enable Auto Lend, all profits are automatically lent into the USDC lending pool to earn yield while your position remains open. Importantly, these lent assets still count 100% towards your equity, meaning you can simultaneously earn yield while using those funds to maintain existing positions and open new positions.
The same process applies to losses. When your futures positions experience losses, your USDC balance is debited accordingly. This functions identically to traditional unrealized loss models in terms of liquidation risk—the only difference is in accounting. In both models, losses reduce your account equity, which affects your margin calculations and liquidation thresholds in exactly the same way. Whether your losses are "unrealized" on traditional platforms or "realized" through real-time settlement on Backpack, the risk management mechanics and liquidation parameters remain the same.
If you don't have sufficient USDC collateral and are using other assets (BTC, SOL, ETH, or USDT), the system will automatically create a USDC borrow to cover any losses rather than liquidating your non-USDC collateral.
Auto Lend is a subaccount setting that automatically lends all available assets sitting in a subaccount into the lending pool. When Auto Lend mode is enabled, you can seamlessly start lending by depositing assets to your subaccount or buying an asset that is eligible to be lent out.
To provide the most seamless and flexible user experience, all lends are redeemed automatically to the maximum extent possible (see note below) for the user, regardless of whether Auto Lend is enabled or disabled. You can redeem your assets in the following ways:
Spot Trading - lends will be automatically redeemed to cover any spot trades. For example, if you are lending USDC and wants to buy BTC, your USDC will be redeemed automatically from the lending pool in order to cover the trade.
Withdrawing - you can also simply withdraw their lent assets without having to manually redeem them. At the time of withdrawal, Backpack will redeem their lends from the lending pool and process the withdrawal.
Manual Redeem - if you no longer wants to lend, but don't need to trade or withdraw the funds, you can simply manually redeem their assets from their Lend page or the Lend modal (only if Auto Lend isn’t enabled).
Important to note: you can redeem your lends as long as the utilization rate for that given asset allows it. In order to prevent the utilization rate from reaching 100%, Backpack implements a throttling threshold, in which no lends can be redeemed and no additional borrows can occur until the utilization rate dips below that threshold (via more lends or more people repaying their borrows). More detail on this further below.
Backpack offers a Spot Margin trading product that empowers you to go long or short on spot assets beyond current wallet balances. Behind the scenes this system leverages Backpack’s real-time liquidation engine and the transparent borrow & lending market to enable capital-efficient spot trades. All spot margin positions on Backpack tap into the same lending pools and are subject to the same margin requirements and liquidation processes that govern the broader borrow & lending framework.
This ensures that:
You can automatically borrow the assets you need to complete a spot trade.
Borrowers are always sufficiently collateralized, with the platform liquidating positions if necessary.
Before placing a margin trade, you need to ensure Margin Trading is enabled in the subaccount’s settings. With Auto Lend on, you can borrow via spot margin trades without needing to create manual loans—Backpack automatically borrows on your behalf whenever you trade beyond your spot balances.
Spot Margin allows you to buy or sell an asset in amounts exceeding your available balance, seamlessly creating a borrow for the shortfall (or withdrawing the borrowed asset if you want to transfer it off-exchange).
Enable Margin in your order form.
Place a Buy or Sell order for the desired asset in the spot market.
If you sell more than you hold (short selling) or buy more than your balance can cover, the system borrows on your behalf.
Example:
You have 1,000 USDC but want to buy 2,000 USDC worth of SOL.
By checking the “Margin” box, Backpack automatically borrows the extra 1,000 USDC and completes your spot purchase.
You now have a long SOL position financed by a partial borrow.
When you owe a certain asset due to a spot margin borrow, you can repay in the following ways:
Auto-Repayment with Auto Lend
If Auto Lend is enabled, any matching assets you acquire in your subaccount (via deposits, trades, or conversions) immediately go toward paying down your debt.
Spot Margin
Simply buy back the asset you owe. For instance, if you are short 10 SOL, placing a margin-enabled BUY for 10 SOL will automatically repay your SOL debt.
Manual Repayment
If Auto Lend is disabled, visit the Borrow tab (or the Borrow modal) and click Repay. Any assets you hold that match the borrowed asset can be used to repay.
Spot Margin on Backpack uses the same cross-margin system as the rest of the exchange, meaning:
Collateral is calculated from all assets in your subaccount, each with its own “haircut” (collateral weight).
Maintenance Margin is monitored in real time. If your margin fraction (collateral vs. open positions) dips below the required threshold, liquidation is triggered.
Initial Margin: The collateral you need to open a position.
Maintenance Margin: The collateral you need to keep that position open without liquidation.
Position Size: For spot margin, your short or overbought balances count toward your total exposure.
Your maximum position size depends on:
Collateral Haircuts (some assets count less toward collateral due to higher volatility)
Borrowing Pool Liquidity (there must be enough supply for you to borrow)
Available Equity in your subaccount
This means it’s not as straightforward as a simple “balance × max leverage” calculation.
Example
Suppose you have 100 USDC in your subaccount and the system allows 10× max leverage. Theoretically, you might assume you can buy $1,000 of SOL.
USDC is considered high-quality collateral (minimal haircut).
SOL may have a lower collateral weight (a “haircut”) due to higher volatility.
When you trade USDC for SOL, your collateral composition changes from “good collateral” to “riskier collateral.” As a result, the margin engine may limit your final position to, say, $800 of SOL, ensuring you retain enough stable collateral to cover potential volatility in SOL’s price.
Spot margin borrowing relies on the same borrow & lending framework as standard manual borrows. This means:
Utilization Rate = Total Borrowed / Total Lent.
Borrow Rate: Determined by the market’s Utilization Curve. Higher utilization means higher borrowing costs.
Lend Rate: Equal to Borrow Rate × Utilization. Lenders earn more yield as the pool’s utilization grows.
Because spot margin taps into the same pool, your borrow is subject to the hourly interest charges outlined in the borrow & lending doc. You can track real-time utilization and interest rates on the Lend page for each asset.
Backpack follows a multi-currency, cross-margin model designed to maximize capital efficiency.
Unlike other exchanges that force you to segregate your balances in separate wallets (spot, futures, margin, earn, etc), Backpack offers a single cross-margin wallet that can be used to trade all products. If you would like to isolate risk, you can seamlessly create a new subaccount, which is completely segregated from other subaccounts.
You can use a variety of non-USD assets as collateral, which contribute towards your account equity in order to open and maintain futures and borrow positions.
To provide the highest level of capital efficiency amongst all centralized exchanges, Backpack allows you to use 100% of lent assets as collateral, enabling them to earn yield even when it's being used to maintain positions. Additionally, unrealized profits are cycled into the borrow lending pool and generate yield as well, providing further capital efficiency.
Here's a quick video walkthrough that shows you how it works:
Collateral on Backpack is calculated in USD terms. Assets that are eligible for collateral receive a Collateral Value, which contribute towards your Net Equity.
Collateral Value is calculated as follows: Token Quantity * Mark Price * Weight
Each collateral asset has a default Collateral Weight, or in other words, a haircut. An asset's Collateral Weight may decrease based on how large the collateral amount is to adjust for risk and the time needed to liquidate. The Collateral Value curve for each of your assets can be found in the statements page.
Here’s an example to illustrate how Collateral Value is calculated (note that the haircut values below are not accurate. Check the statements page to see the actual weights):
As illustrated above, while this user holds $120,000 worth of assets, their Total Account Collateral (i.e. the sum of the Collateral Value of all their assets), is $116,300.
Equity represents the risk-adjusted value of your account, which can be used to maintain futures and borrow positions. This is also known as your Margin Balance.
Net Equity is calculated as follows = Total Account Collateral + Total Unrealized PnL + Unsettled Balances - Total Borrow Liability
You can find all these values and a full breakdown of your account’s equity in your .
Available Equity is the capital you can use to open new positions or orders. It's calculated as Net Equity - Equity Locked, where Equity Locked represents margin tied up in open positions and orders that increase exposure. To maximize efficiency, your unrealized profits also count toward Available Equity.
Your Account Margin (AKA Margin Health) can be evaluated using these two data points:
1) Initial Margin Rate (IMR) - this illustrates how much Available Equity is left to open new positions. Once IMR reaches 100%, no new positions that increase risk can be opened.
IMR = Total Initial Margin / Net Equity
You can see your Initial Margin Balance (i.e. how much initial margin is being used across all your positions) in the Margin Overview section on the trade page when you hover over your Initial Margin percentage.
As a rule of thumb, the Initial Margin required to open a new position can be calculated as follows:
Initial Margin = Position Notional Value / Max Account Leverage
For example, if your max account leverage is 10x and you want to open a $10,000 position, your initial margin will be $1000.
However, keep in mind that, just as with Collateral Value, as the size of the position increases, the initial margin requirement may increase as well to adjust for risk.
Additionally, margin requirements may differ by market. For example, if the baseline Initial Margin Fraction (IMF) for a given market is 0.20, the initial margin requirement will be 20% of position size (ignoring large sizes), even when the max account leverage is 10x. To see the margin requirements for a given market, check the Margin tab on the trade page.
To see how much Margin a new position requires before submitting an order, you can see the Margin Required value when placing an order. To see how much margin an existing position is using, see the Initial Margin column in the Positions tab.
2) Maintenance Margin Rate (MMR) - this shows how far your account is from getting liquidated. Once MMR reaches 100%, your account will start getting liquidated.
MMR = Total Maintenance Margin / Net Equity
As a rule of thumb, the Maintenance Margin Fraction (MMF) starts at 5%. However, same as with Initial Margin, your Maintenance Margin requirements may increase depending on the size of your position and also may differ by market.
To see your Maintenance Margin (i.e. the total maintenance margin used across all of your positions), hover over your Maintenance Margin percentage in the Margin Overview section on the trade page.
Backpack’s margin model is centered around subaccounts.
Every subaccount is cross-margined, multi-currency, and has access to all products (spot, futures, spot-margin, borrow, lending). To illustrate the simplicity of this model, if you deposit USDC and BTC, your Net Equity increases and you can start trading all products right away without taking any extra steps. No need to move assets around wallets to start trading.
Moreover, subaccounts are completely segregated from one another. This means that any funds sitting in one subaccount are not exposed to another subaccount that might be getting liquidated. Balances and risk are completely isolated at the subaccount level, allowing you to run different strategies and determine how much in assets you want to put at risk.
If you prefer to trade with Isolated Margin, you can open a position in a different, isolated subaccount.
You can create up to a maximum of 10 subaccounts and seamlessly transfer funds between each other.
Max leverage on Backpack is set at the subaccount level.
You can choose how much risk you want to take on a given subaccount across all your positions by editing your Max Account Leverage in a given subaccount.
When you change your Max Leverage, the initial margin used by open positions and future orders will change as well.
Futures on Backpack settle in USDC. This includes fees, funding payments, and PnL.
If you have both USDC and non-USDC collateral (e.g. BTC), the system will use your USDC balance to cover these settlements.
When you have insufficient USDC but holds other collateral like BTC, the system automatically creates a USDC borrow to cover settlement payments instead of selling the collateral. For example, if the user needs to cover a 1 USDC fee to open a position, the system creates a 1 USDC borrow rather than liquidating any BTC.
In the case that the USDC lending market's utilization rate exceeds the throttle threshold or if you get liquidated while using Non-USDC assets as collateral, your collateral will get converted to cover the settlement payments. These conversions would appear on Reconciliation Conversions in the Settlements .
Currently, markets are denominated and settled in USDC.
Lent assets can be used as collateral to open and maintain futures positions. Interest rates are determined by the public utilization rate curve of the Borrow Lend market.
PnL is continuously realized by default and counts toward net equity. Realized PnL earns or pays interest based on your borrow/lend exposure—surplus earns interest if Auto-Lend is enabled, while borrowed balances incur interest by default.
Liquidations first go through the orderbook, and upon hitting the auto-close margin, accounts are liquidated against Backstop Liquidity Providers.
Item
Description
Formula
Collateral Value
Notional value of collateral asset with haircut applied
Total Account Collateral
Total value of collateral assets with haircut applied
Unrealized PnL
Position Unrealized PnL
Net Exposure Quantity
Size in tokens of current open positions and open orders that increase risk within a symbol
We have fallback logic to calculate the Mark Price. The order of preference is:
Index price + 1 minute EWMA of (mid price - index price) delta. The mid price is the mean of the best bid and best offer.
Index price.
Median of the best bid, best offer and last traded price on Backpack.
Mid price (mean of best bid and best offer) on Backpack.
Last traded price on Backpack.
We will resort to using the fallback logic if we do not have the necessary data (e.g. it is stale).
Markets in post only state will use the index price as the mark price until the order book state changes to open.
For Index Price, we retrieve market price data from a set of exchanges.
For each exchange, we take the median of {best bid, best ask, last price} and use this as the market price.
We then calculate the median market price for the exchanges.
We apply a ceiling price of 100bps above the median and a floor price of 100bps below the median. If an exchange is outside of that, then they will be given the ceiling / floor price.
Each exchange is given a weighing that affects their weight. We use that weighting in a weighted mean average market price calculation for the set of exchanges.
Note: on Wednesday August 20 at 08:00 UTC, the funding rate intervals across all perpetual futures markets were changed to hourly.
Funding rate = Clamp[(mean_premium_index + Clamp(interest_rate – mean_premium_index, -0.05%, 0.05%)) / 8, Funding rate cap, Funding rate floor]
The funding rate is calculated as follows:
Every second we record the premium index
premium = (mark price − index price) / index price
Average premium index = moving-average of those per-second premiums over the funding interval.
Interest-rate add-on
interest_rate = 0.03 % × (funding_interval_hours / 24)
The funding rate floors and ceilings are set per market and can be found on the market specs or fetched via API using the .
Funding payments are debited/credited at the end of the interval and are calculated as follows:
payment = funding rate × position quantity × mark price
These are applied to limit orders.
We calculate the median of {best bid, best offer, last price}. This is called the Active Price.
We then have a configurable Max Multiplier and Min Multiplier parameters.
If a limit order is submitted with a limit price that exceeds Active Price * Max Multiplier, then it is rejected. Conversely, if it has a limit price below Active Price * Min Multiplier, then it is rejected
These are applied to taker orders.
We have parameters Max Impact Multiplier and Min Impact Multiplier.
If we have a buy taker order, we will only allow it to to take up to the price level of best offer * Max Impact Multiplier. If the order is not fully filled at that point then we will expire the order and it will be partially filled. Converse logic applied for Min Impact Multiplier.
We calculate the 5 minute moving mean average for the mark price, mean mark price
We then have 2 parameters Max Multiplier and Min multiplier
If a taker order is submitted, then we will allow it to fill up until the price level of mean mark price * Max Multiplier . If the order is not fully filled at that point then we will expire the order and it will be partially filled. Converse logic applied for Min Multiplier . This is similar to the above price impact price bands.
We calculate the 5 minute moving average of the premium, mean premium
We then have a parameter tolerance pct
If, e.g. the tolerance percentage is 1% and the mean premium is 3%, then if a taker order is submitted, we will only allow it full up to a price level at which the current premium is 4%. If the order is not fully filled at that point then we will expire the order and it will be partially filled.
If, e.g. the tolerance percentage is 1% and the mean premium is -3%, then if a taker order is submitted, we will only allow it full up to a price level at which the current premium is -4%. If the order is not fully filled at that point then we will expire the order and it will be partially filled.
Net Exposure Notional
Notional size of current open positions and open orders that increase risk within a symbol
Total Exposure Notional
Total notional sum of open positions and orders that increase risk across all symbols
Base IMF
Position IMF without considering size
Position Initial Margin Fraction (IMF)
Initial margin requirement for a position adjusted for position size
Position Maintenance Margin Fraction (MMF)
Maintenance margin requirement adjusted for position size
Account IMF
Minimum margin fraction required to open new positions
Account MMF
Minimum margin fraction required to not get liquidated.
Net Equity
Total net equity value of the account.
Net Equity Locked
Total equity used to maintain open positions and orders that increase risk.
Net Equity Available
Equity available to open new positions.
Account Margin Fraction (MF)
How levered an account is given its current active positions and the mark prices of the coins.
Auto Close Margin Fraction
Margin fraction in which account is liquidated against BLPs.
