find_max_position_size

Documentation for eth_defi.gmx.market_depth.find_max_position_size function.

find_max_position_size(long_open_interest_usd, short_open_interest_usd, is_long, max_price_impact_bps, params, max_oi_available_usd=0.0, search_precision_usd=100.0)

Find the maximum position size that keeps price impact within a threshold.

Uses binary search over the price impact curve, which is monotonically increasing with position size for balance-worsening trades.

Parameters

  • long_open_interest_usd (float) – Current long open interest in USD

  • short_open_interest_usd (float) – Current short open interest in USD

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

  • max_price_impact_bps (float) – Maximum acceptable price impact expressed in basis points (1 bps = 0.01 %). E.g. 5.0 means 5 bps = 0.05 %.

  • params (eth_defi.gmx.market_depth.PriceImpactParams) – Price impact parameters from fetch_price_impact_params()

  • max_oi_available_usd (float) – Upper bound for the search in USD. If 0 (the default), falls back to GMX_DEFAULT_SEARCH_MAX_USD ($100 M), which covers typical GMX market sizes. Use MarketDepthInfo.available_long_oi_usd or MarketDepthInfo.available_short_oi_usd here for accuracy.

  • search_precision_usd (float) – The binary search halts when the range is narrower than this value (USD). Default 100.0 (i.e., $100 precision).

Returns

Maximum position size in USD at which the absolute price impact stays at or below max_price_impact_bps basis points. Returns 0.0 if even the smallest position exceeds the threshold.

Return type

float