defi-trading-systems

For a long position, liquidation price equals entry price times (1 minus 1/leverage plus maintenance margin rate). For a short, it is entry times (1 plus 1/leverage minus the maintenance margin rate). The skill includes a Position class implementing both formulas.

Impermanent loss for a constant product AMM equals 2 times the square root of the price ratio divided by (1 plus the price ratio), minus 1. A 2x price move produces roughly 5.7% loss versus holding, and the skill provides calculators for both V2 and concentrated V3 positions.

Key protections include setting tight slippage limits, submitting transactions through private mempools like Flashbots, splitting large orders into smaller chunks, using TWAP execution schedules, and routing through batch auction protocols such as CoW Protocol.

Funding arbitrage captures the spread between the highest and lowest funding rates for the same symbol by going long on the low-rate exchange and short on the high-rate exchange. A spot-perp basis trade variant shorts the perpetual and holds spot when funding is positive.

Use a private mempool when trade size and gas conditions make the transaction attractive to MEV bots. The skill scores risk as trade size in USD divided by 10,000 multiplied by gas price divided by 50, recommending private submission when the score exceeds 1.0.