calculate_max_position_whale_risk

Documentation for eth_defi.gmx.market_depth.calculate_max_position_whale_risk function.

calculate_max_position_whale_risk(market, portfolio_usd, max_oi_pct, is_long)

Calculate the maximum position size subject to whale-risk constraints.

Analogous to sizing a position in a Uniswap pool so as not to become too large relative to the pool’s liquidity. On GMX, we don’t want to represent more than max_oi_pct of one side’s open interest, because:

  • Exiting a large position will move OI against us.

  • Other traders may push OI further, increasing funding/borrowing drag.

  • In extreme cases the pool capacity cap prevents new positions entirely.

The maximum position is:

max_position = min(portfolio_usd, max_oi_pct * side_oi, available_cap)

For a $100 000 portfolio with max_oi_pct = 0.025 (2.5 %), a market with $1 M long OI allows at most $25 000 on the long side — meaning 10 equally weighted positions would already be constrained.

Example:

from eth_defi.gmx.api import GMXAPI
from eth_defi.gmx.market_depth import calculate_max_position_whale_risk

api = GMXAPI(chain="arbitrum")
markets = api.get_market_depth()

for m in markets:
    result = calculate_max_position_whale_risk(
        market=m,
        portfolio_usd=100_000,
        max_oi_pct=0.025,
        is_long=True,
    )
    print(f"{m.market_symbol}: max ${result.max_position_usd:,.0f}  ({result.pct_of_total_oi:.2f}% of OI)  {'OK' if result.whale_ok and result.cap_ok else result.binding_constraint}")
Parameters

  • market (eth_defi.gmx.market_depth.MarketDepthInfo) – Market depth snapshot

  • portfolio_usd (float) – Total portfolio value in USD

  • max_oi_pct (float) – Maximum share of one side’s OI the position may represent. E.g. 0.025 means 2.5 %.

  • is_long (bool) – True for long side, False for short side

Returns

PositionSizingResult with the capped position and diagnostics

Return type

eth_defi.gmx.market_depth.PositionSizingResult