Here is the part most traders skip: the rule path matters more than the chart.
The mechanism: Liquidation is a path, not a single event. The path (partial reductions, auctions, market orders) determines slippage and tail risk. If you see unexplained liquidations, compare index updates to mark sampling and check whether outlier filters are documented.
Where it breaks: Fee design is part of risk: forced execution costs can reduce your liquidation distance, and rebates can attract toxic flow that degrades fills.
A simple test: Track funding together with basis and realized volatility. The combination is a better crowding signal than any single metric. Example: doubling size in a thin book can more than double slippage because depth is not linear near top levels. Compute liquidation price twice: once with optimistic assumptions, and once with conservative slippage and fees. The gap is your uncertainty budget.
What to do next: Pitfall: ignoring fees and funding in liquidation math. The platform can close you earlier than your stop-loss plan expects.
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.
The mechanism: Liquidation is a path, not a single event. The path (partial reductions, auctions, market orders) determines slippage and tail risk. If you see unexplained liquidations, compare index updates to mark sampling and check whether outlier filters are documented.
Where it breaks: Fee design is part of risk: forced execution costs can reduce your liquidation distance, and rebates can attract toxic flow that degrades fills.
A simple test: Track funding together with basis and realized volatility. The combination is a better crowding signal than any single metric. Example: doubling size in a thin book can more than double slippage because depth is not linear near top levels. Compute liquidation price twice: once with optimistic assumptions, and once with conservative slippage and fees. The gap is your uncertainty budget.
What to do next: Pitfall: ignoring fees and funding in liquidation math. The platform can close you earlier than your stop-loss plan expects.
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.