Risk Ratio

The risk ratio marks the relative risk of the hAMM system.

Position Pool

At any moment, given the sum of total long positions XallX_{all} and the sum of total short positions YallY_{all} for all derivatives, position pool PP that stands for the all positions held can be illustrated as follows:

P=XallYallP=X_{all}-Y_{all}
  • XX is always positive, YY is always negative, PP is always positive.

The value of PP determines the trading depth of a certain derivative.

The larger PP is, the better liquidity and better risk capacity for that derivative.

Calculation

The formula of risk ratio VratioV_{ratio} is as follows:

Vratio=NcP=Xc+YcXallYallV_{ratio}=\dfrac{N_c}{P}=\dfrac{X_c+Y_c}{X_{all}-Y_{all}}
  • XX is always positive and YY is always negative.

  • The sign of VratioV_{ratio} means the direction of risk.

  • XcX_c and YcY_c are total long or short positions for current derivative, XallX_{all} and YallY_{all} are total long or short positions for all derivatives.

Position pool PP is important to the risk control. When the value of PP is large enough, although N0N\neq0, the total risk ratio is still rather limited. When the value of PP is small, a normal value of NN will significantly increase the risk ratio.

Position mining feature is designed to increase position pool.