Price Spread
Market Order Price Spread
When executing a market order, Drake applies a price spread on top of Chainlink's low-latency price feed to account for market conditions and liquidity depth.
Spread Structure
Price Spread = Fixed Spread + Dynamic Spread
BTC and ETH
Fixed Spread: 0.04%
Dynamic Spread: 0%
All Other Instruments
Fixed Spread: 0.04%
Dynamic Spread: Variable based on market conditions
Dynamic Spread Calculation
The dynamic spread adjusts based on three factors:
Open Interest Imbalance — The difference between long and short open interest
Order Size — Your trade's impact on the overall position balance
Market Depth — Available liquidity at 1% price deviation
Formula:
Dynamic Spread = |Open Interest Imbalance + Order Position| / min(1% Depth Bid, 1% Depth Ask)
Where:
Open Interest Imbalance = |Long OI| - |Short OI|
Order Position (Long) = Trade Size × Instrument Price
Order Position (Short) = Trade Size × -1 × Instrument Price
Dynamic spread only applies when: OI Imbalance ≤ 20% of Total OI Limit
This mechanism ensures fair pricing that reflects real market liquidity and prevents excessive directional imbalance in the vault.
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