BasisOS
  • INTRODUCTION
    • What is BasisOS
    • Key Concepts in Basis Trading
    • Vision and Value Proposition
  • Basis Vaults
    • Architecture Overview
    • Components and Interactions
    • Managed Approach
    • Execution Flow
  • BASISOS AGENT
    • Overview
    • Core Components
    • System Design and Interactions
    • Agentic Roadmap
      • Stage 0: Assistant
      • Stage 1: Maintainer
      • Stage 2: Curator
      • Stage 3: Sovereign
  • TOKENOMICS
    • Token Distribution
    • Liquidity Mining
      • Distribution Mechanics
      • Rewards Schedule
    • Mindshare Mining
      • Distribution Mechanics
      • Rewards Schedule
  • CORE PROTOCOL
    • LogarithmVault
    • BasisStrategy
    • SpotManager
    • OffchainPositionManager
    • GmxV2PositionManager
    • LogarithmOracle
      • Oracle Provider
    • Contract Addresses
  • RISK MANAGEMENT
    • Funding Risk
    • Liquidity Risk
    • Risk Framework
      • Margin Treasury
      • Maximum Leverage
      • Asset Clustering
      • Strategy Capacity
    • Backtests
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  1. RISK MANAGEMENT
  2. Risk Framework

Margin Treasury

The Margin Treasury (MT) is a risk constraint designed to capture the short-term volatility of asset prices. It is defined as the 95th percentile of the 5-minute price change distribution, serving as a threshold that should not be breached under normal conditions.

Technical Details:

  • Calculation: MT=Q(5m)0.95MT = Q(5m)_{0.95}MT=Q(5m)0.95​ Here, Q(5m)0.95Q(5m)_{0.95}Q(5m)0.95​​ represents the 95th percentile of price changes over a 5-minute window.

  • Purpose: The Margin Treasury acts as a buffer against sudden, extreme price movements. If the price change exceeds this threshold, it signals that market conditions are unusually volatile, prompting risk mitigation action such as emergency deleverage.

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Last updated 3 months ago