Framework for Setting dYdX Margin Risk Parameters

Funded by dYdX Grants

The lack of a consistent framework for setting margin parameters leads to ad hoc, adjustments and sub-optimal risk management.  Sub-optimal risk management means exchanges cannot scale as much as they potentially could.

We provide a framework for orderbook perpetual futures exchanges to consistently set these parameters as a function of observed orderbook depth.  This allows markets to scale with liquidity, keeping funds safe while maximising capital efficiency.  

Download the Full Report.