Core margin invariants
| Invariant | Contract |
|---|---|
| Pre-trade margin enforcement | Post-execution strategy state must satisfy OMF >= IMF |
| Continuous solvency checks | Maker and taker solvency verified before and during fills |
| Liquidation trigger model | Margin fraction monitored against maintenance threshold |
Use this page when
| If you need… | Use this page because… |
|---|---|
| the public baseline for margin invariants and liquidation thresholds | it is the canonical formula/threshold reference |
| to distinguish initial-margin safety from maintenance liquidation triggers | it separates those concepts into explicit invariants and threshold parameters |
the exact public reading of OMF, IMF, and MMR terms | it keeps those factors in one factual carrier |
Thresholds and factors
| Parameter | Value |
|---|---|
MMR_FRACTION constant | 0.15 |
| Maintenance threshold formula | MMR = MMR_FRACTION / max_leverage |
| Default-example maintenance threshold | 0.15 / 3 = 5% |
IMF_FACTOR constant | 0.0004 |
Formula summary
| Quantity | Public reading |
|---|---|
MF | margin fraction used for liquidation monitoring: Total Strategy Value / Total Position Notional |
| Total Strategy Value | deposited collateral plus unrealized PnL for the strategy |
OMF | open-margin fraction derived from strategy value or margin over total open position notional |
IMF | weighted initial-margin fraction derived from open-position notional and the larger of base leverage margin or the IMF_FACTOR * sqrt(open size) term |
| Maintenance threshold | MMR_FRACTION / max_leverage |
Edge behavior
| Edge case | Public reading |
|---|---|
| reducing orders | orders that only reduce existing exposure can improve solvency and are treated differently from exposure-increasing orders |
| no-position or empty-liquidity edge | solvency helpers have special edge semantics in source rather than behaving like an ordinary non-zero position state |
| default values | the public constants are baseline examples and should not be overread as timeless deployment law |
Reading notes
| Topic | Public reading |
|---|---|
MF versus OMF | MF is the liquidation-monitoring ratio, while OMF is the exposure-aware initial-margin safety ratio checked against IMF for post-execution admissibility |
OMF >= IMF | post-execution initial-margin safety invariant |
| maintenance threshold | separate liquidation trigger derived from MMR_FRACTION / max_leverage |
| default 5% example | public default example, not a promise that every deployment will always use identical leverage posture |
Liquidation entry behavior
When margin fraction drops below the computed maintenance threshold for the strategy:- Account enters liquidation queue.
- Pending orders are canceled.
- Normal liquidation path is attempted first.
- ADL path is used when normal path cannot resolve risk safely.
What this page does not replace
| Need | Use instead |
|---|---|
| the broader safety-control map | Trading Safeties and Guards |
| mark-price inputs and deviation context | Price Feeds and Mark Price Inputs |
| the step-by-step response workflow | How to Handle Liquidations and Margin Calls |
Related references
- How to Handle Liquidations and Margin Calls
- Trading Safeties and Guards
- Price Feeds and Mark Price Inputs