Margin Requirements - DerivaDEX Docs

DerivaDEX applies margin at the strategy level. Each strategy is cross-margined in USDC, risk is measured from the current mark price, and two thresholds govern risk: one for opening or increasing exposure, and one for liquidation.

Core margin quantities

These quantities appear throughout the platform’s risk checks.

Quantity	Definition	Used for
Strategy value	Available collateral plus unrealized PnL, marked at current mark prices	Base account value for margin monitoring
Total position notional	Sum of `abs(position_size) × mark_price` across open positions	Denominator for margin fraction and leverage
Total open position notional	Sum of worst-case exposure notional across positions and resting orders that could increase exposure	Denominator for open margin fraction and weighted IMF
Margin fraction (`MF`)	`strategy_value / total_position_notional`	Liquidation monitoring
Open margin fraction (`OMF`)	`min(strategy_value, available_collateral) / total_open_position_notional`	Pre-trade admission for exposure-increasing orders
Initial margin fraction (`IMF`)	Weighted required initial-margin fraction across total open position notional	Threshold that `OMF` must meet or exceed
Maintenance margin ratio (`MMR`)	`MMR_FRACTION / max_leverage`	Liquidation threshold

The mark price (not the last trade price) is the risk input for notional, PnL, and liquidation checks. See Price Feeds and Mark Price Inputs.

Strategy leverage and shared constants

The baseline margin requirements come from the strategy’s leverage setting and two shared protocol constants.

Parameter	Value	Notes
Default strategy max leverage	`3x`	DerivaDEX strategies default to `3x` leverage
Base initial margin fraction	`1 / max_leverage`	At `3x`, the base IMF is `0.3333...` (`33.33%`)
`IMF_FACTOR`	`0.0004`	Adds a size-scaling term for very large open positions
`MMR_FRACTION`	`0.15`	Shared maintenance constant used with `max_leverage`
Maintenance margin ratio at `3x`	`0.05` (`5%`)	`0.15 / 3`

Initial margin admission rule

DerivaDEX checks initial margin on the post-execution strategy state. An order that opens or increases exposure is accepted only if the resulting OMF is at least the resulting IMF.

position_imf = max(1 / max_leverage, IMF_FACTOR × sqrt(open_position_size))
portfolio_imf = sum(position_imf_i × open_position_notional_i) / sum(open_position_notional_i)
omf = min(strategy_value, available_collateral) / total_open_position_notional
admission rule: omf >= portfolio_imf

Input	Definition	Notes
Open position size	The larger absolute exposure that would exist in one market if the strategy’s current position and exposure-increasing resting orders were fully filled in the riskier direction	Includes posted bids and asks, not just filled positions
Open position notional	`open_position_size × mark_price`	Used to weight each market’s IMF contribution
Position IMF	`max(1 / max_leverage, IMF_FACTOR × sqrt(open_position_size))`	Small positions use the leverage floor; very large positions pick up the square-root term
Portfolio IMF	Notional-weighted average of the position-level IMFs	One strategy can hold multiple products, so the requirement is aggregated
`min(strategy_value, available_collateral)` in `OMF`	The numerator is capped at available collateral when unrealized PnL is positive	Unrealized gains do not increase opening power; unrealized losses still reduce it

Maintenance margin and liquidation trigger

Once a strategy has open exposure, liquidation monitoring uses MF rather than OMF.

strategy_value = available_collateral + unrealized_pnl
total_position_notional = sum(abs(position_size_i) × mark_price_i)
mf = strategy_value / total_position_notional
mmr = MMR_FRACTION / max_leverage
liquidation trigger: mf < mmr

Quantity	Meaning
`strategy_value`	Collateral plus unrealized PnL across all open positions in the strategy
`MF`	Current solvency ratio of the strategy against its marked notional exposure
`MMR`	Minimum `MF` required to keep the strategy out of liquidation
Liquidation threshold at `3x`	`5%` (`0.05`)

When each rule applies

The platform applies the same margin model differently depending on whether an order increases or reduces risk.

Case	Margin rule
Opening a new position	Post-execution `OMF >= IMF` must hold
Increasing an existing position	Post-execution `OMF >= IMF` must hold
Posting resting liquidity that could increase exposure if filled	Included in open-position sizing for `OMF` and `IMF` checks
Reducing or closing an existing position without crossing through flat into the opposite side	The order can bypass the `OMF >= IMF` admission check because it improves exposure; solvency and execution guards still apply
Existing open position after entry	`MF` is monitored against `MMR` for liquidation

Worked margin cases

These examples show the two thresholds in action, including a rejection where opposite-side resting orders still leave a larger absolute exposure in one direction.

Case	Calculation	Outcome
New short order with `1,000` USDC collateral, `1` contract of open exposure, and mark price `1,100`	`OMF = 1,000 / (1 × 1,100) = 0.9091`; `IMF = max(1 / 3, 0.0004 × sqrt(1)) = 1 / 3`	Accepted because `0.9091 >= 0.3333...`
Second order increases the same strategy to `2` contracts of open exposure at the same `1,100` mark, while unrealized PnL contributes `+250` to strategy value	`OMF = min(1,250, 1,000) / (2 × 1,100) = 1,000 / 2,200 = 0.4545`; `IMF` remains `1 / 3`	Still accepted because unrealized gains do not raise the numerator above available collateral, but `0.4545 >= 0.3333...`
Existing long `2` contracts with `1,000` USDC collateral, mark price `1,000`, resting bid for `2` more contracts, and resting ask for `1` contract	Worst-case open position size is `max(abs(2 + 2), abs(2 - 1)) = max(4, 1) = 4`; `OMF = 1,000 / (4 × 1,000) = 0.25`; `IMF = max(1 / 3, 0.0004 × sqrt(4)) = 1 / 3`	Rejected with `OMFLessThanIMF` because the risk check uses the larger reachable absolute exposure, so the opposite-side ask does not offset the bid enough to satisfy `0.25 >= 0.3333...`
Liquidation check with `5,000` USDC collateral, short `100` contracts, mark price `145`, and unrealized PnL `-4,500`	`strategy_value = 5,000 - 4,500 = 500`; `MF = 500 / (100 × 145) = 0.03448`; `MMR = 0.15 / 3 = 0.05`	Liquidatable because `0.03448 < 0.05`

Size-scaling threshold

The square-root IMF_FACTOR term matters only once a position is large enough to exceed the base leverage floor.

Quantity	Value
Crossover condition	`IMF_FACTOR × sqrt(open_position_size) > 1 / max_leverage`
Crossover size at `3x` leverage	`((1 / 3) / 0.0004)^2 ≈ 694,444.44` units
Below the crossover size	`IMF = 1 / max_leverage`
Above the crossover size	`IMF = IMF_FACTOR × sqrt(open_position_size)`

API fields and rejection codes

Programmatic integrations can inspect the current maintenance state and detect failed initial-margin checks from API responses.

API field or code	Meaning
Strategy metrics `marginFraction`	Current `MF` for the strategy
Strategy metrics `mmr`	Current maintenance margin ratio; the strategy can be liquidated when `marginFraction < mmr`
Safety failure `OMFLessThanIMF`	The post-execution strategy state would leave `OMF` below `IMF`, so the order is rejected

The strategy’s leverage setting and other trading parameters can change through product or governance updates.

​Core margin quantities

​Strategy leverage and shared constants

​Initial margin admission rule

​Maintenance margin and liquidation trigger

​When each rule applies

​Worked margin cases

​Size-scaling threshold

​API fields and rejection codes

​Related references