Position Assignment System Logic

Assignment Disbursement

There are numerous factors that influence how the assignments are disbursed among liquidity providers in the PAS.

  • The largest consideration is how high of an Assignment volume a liquidity provider can take. If your institution is able to take more, then you are afforded a higher share of any given Assignment.
  • The magnitude of liquidity provided on the platform in general also plays a consideration. If you are more active providing liquidity then a larger Assignment share is considered
  • Finally, if you are more able to receive terminations in general (i.e., keeping sufficient margin to take opportunities), this will make you a more reliable provider that gets a higher share

Algorithm Description

Below is a direct description of the process:

  1. Mark Price for a contract or contracts changes, valuing positions at new amount.
  2. Liquidation occurs on margin account level (e.g., FI_XBTUSD) when position values fall below maintenance margin requirement.
  3. Assignments occur on a per Contract basis (e.g., FI_XBTUSD150618).
  4. We refer to the unfilled liquidation for a specific contract by U
  5. We refer to the set of liquidity providers whose general preferences are satisfied by P
  6. We allocate U among P according to their risk preferences
  7. Repeat the following process until U has been entirely allocated or P is empty.
  8. If P is empty and has not been entirely allocated, then the remainder is terminated, with corresponding drop in Open Interest

 

Check out an Example of how an Assignment unfolders in out system.