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
    • Contract Addresses
  • RISK MANAGEMENT
    • Funding Risk
    • Liquidity Risk
    • Risk Framework
      • Margin Treasury
      • Maximum Leverage
      • Asset Clustering
      • Strategy Capacity
    • Backtests
Powered by GitBook
On this page
  1. RISK MANAGEMENT
  2. Risk Framework

Strategy Capacity

PreviousAsset ClusteringNextBacktests

Last updated 1 month ago

Strategy Capacity defines the maximum amount of capital the BasisOS vault can deploy effectively while still allowing positions to be closed without incurring excessive slippage. It considers limitations on both the spot and hedge sides of the strategy.

Technical Details:

  • Spot Capacity: Determined by two main constraints:

    • Liquidity Constraint: CAPliquidity=Tl×$AvgPoolTVLCAP_{liquidity} = T_l \times \$AvgPoolTVLCAPliquidity​=Tl​×$AvgPoolTVL where TlT_lTl​ is a fixed percentage (e.g., 5%) and $AvgPoolTVL is the average total value locked for the asset.

    • Slippage Constraint: Ensures that the trade-induced price impact does not exceed a predefined maximum slippage: slpg(CAPslippage)<Tsslpg(CAPslippage) < T_sslpg(CAPslippage)<Ts​

    • Effective Spot Capacity: CAPspot=min⁡(CAPliquidity,CAPslippage)CAP_{spot} = \min (CAP_{liquidity}, CAP_{slippage})CAPspot​=min(CAPliquidity​,CAPslippage​)

  • Hedge Capacity: Based on the average open interest ($AvgOI) and a threshold percentage ToiT_{oi}Toi​ (e.g., 10%): CAPhedge=Toi×$AvgOICAP_{hedge} = T_{oi} \times \$AvgOICAPhedge​=Toi​×$AvgOI

  • Overall Vault Capacity: The vault’s effective capacity is the minimum of the spot and hedge capacities: Vault Capacity=min⁡(CAPspot,CAPhedge)\text{Vault Capacity} = \min (CAP_{spot}, CAP_{hedge})Vault Capacity=min(CAPspot​,CAPhedge​)

  • Purpose: These constraints ensure that positions can be adjusted (or liquidated) with acceptable slippage and without significantly affecting market depth. They also help maintain the balance between spot and hedge positions, which is critical for achieving the targeted leverage and overall risk profile.