Margin

SportsPerp uses a two-point margin model familiar from every major perpetual DEX: an initial margin required to open a position, and a maintenance margin below which liquidation mechanisms engage. Both are expressed as a percentage of position size.

Initial margin

Initial margin is implicit in the leverage you choose. At 5x leverage, you post 20% of the notional position size as collateral; at 2x, you post 50%.

initial_margin = position_size / leverage

The maximum leverage available to you at open time is the minimum of three caps:

So a trader on a 5x-max market who places a position sized at 30% of effective_oi (tier 4 → 2x) during a high-confidence-interval moment (0.4x multiplier) gets an effective max of min(5, 2, 0.4 × 5) = 0.8x. In practice, 0.8x will fall below the MIN_POSITION_SIZE check and the trade will be rejected. This is the protocol protecting both the trader and the protocol from opening a position that’s unlikely to end well.

Maintenance margin

Maintenance margin is the floor below which liquidation triggers. It is 20%, hard-coded as MAINTENANCE_MARGIN_BPS = 2000 in math/margin.rs.

The check is performed on every trade, every funding application, and every liquidation call:

margin_ratio = (collateral + unrealized_pnl) × 10000 / position_size
             = effective_collateral × 10000 / position_size

• margin_ratio > 2000 (> 20%) → position is healthy
• 2000 ≥ margin_ratio > 1333 (20% ≥ ratio > 13.33%) → Layer 1 partial liquidation eligible
• margin_ratio ≤ 1333 (≤ 13.33%, which is 2/3 of maintenance) → Layer 2 backstop (or Layer 3 ADL if insurance depleted)

The 20% floor is chosen to give a partial liquidation room to work: closing 20% of a position at margin-ratio 20% restores the ratio meaningfully before the backstop threshold is hit. See Three-Layer Cascade for the full cascade.

Effective collateral

Effective collateral = deposited collateral + unrealized PnL (floored at 0).

// programs/obv-perps/src/math/margin.rs
pub fn effective_collateral(collateral: u64, pnl: i64) -> u64 {
    let effective = (collateral as i64).saturating_add(pnl);
    if effective <= 0 { 0 } else { effective as u64 }
}

This is what the margin-ratio check uses. Consequences:

• Winning positions get easier to carry. A +20% PnL effectively doubles your maintenance-margin headroom.
• Losing positions accumulate risk even without drawdown. Funding payments reduce collateral. A position with modest negative PnL and a long holding period can enter the liquidation zone purely from funding.
• Maintenance is computed in real-time from mark price, not entry price. As the market moves, so does your margin ratio, continuously.

Confidence-based leverage scaling

The protocol automatically reduces max leverage when oracle confidence widens — typically during live matches when data is in flight, or in the first minutes after a fresh OBV update when models haven’t converged.

Implementation: confidence_leverage_multiplier in math/margin.rs.

This is not a governance parameter — it is a protocol invariant. A trader cannot override it. When in doubt the protocol de-risks automatically rather than requiring manual intervention.

Adding and removing collateral

Two instructions let you manage margin on an open position without closing it:

• add_collateral — deposit more USDC to reduce leverage or reclaim headroom.
• withdraw_collateral — pull USDC out, subject to the maintenance-margin check not being violated.

Every margin transfer also resets the anti-manipulation baseline (last_margin_transfer_collateral). This matters for liquidation protection — a position can only be liquidated while profitable if it has lost ≥ 18.3% of effective collateral vs this baseline. See Three-Layer Cascade.

Fixed-point integer math

All margin arithmetic uses u64 and u128 integers with explicit scales — no floats. Overflow is checked on every multiplication. A trader can reproduce any margin computation bit-for-bit from open-source inputs using the @sportsperp/sdk math helpers, which mirror the Rust implementation.

Further reading

• Margin Tiers — how position size relative to per-market effective_oi caps your leverage.
• Entry Price & PnL — how PnL enters the effective-collateral calculation.
• Liquidations — what happens when the margin check fails.