Markets do not need to crash for accounts to blow up; thin liquidity and poor definitions are enough. Testing guide: use small-size experiments to validate edge cases before deploying serious capital. Test marks vs index under fast moves, then test liquidation math with fees and conservative slippage assumptions. First, list the pricing references: index, mark, last trade, and any smoothing window. Then locate which reference drives margin checks. Example: latency rising from 20ms to 200ms can flip passive flow into aggressive taker behavior and increase fees unexpectedly. Latency risk is real. When latency rises, a maker strategy can become taker flow and your costs jump right when you need stability. Then test degraded mode: what changes when rate limits tighten or when the venue throttles your order flow. Track basis, funding, and realized volatility together. The combination reveals crowding more reliably than any single metric. 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's pragmatic view is to assume failures happen and size positions to survive the failure modes. Derivatives are risky; use independent judgment and test assumptions before scaling 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.