Volatility based fee

In times of high volatility or due to black swan events or unexpected real world events, the margin engine will be adding a flat 10bps fees as volatility fee and the asset volatility is calculated onchain based on price difference between pyth's reported price and pyth's reported EMA price for the asset.

We monitor market volatility by comparing the reported price to the exponential moving average (EMA) reported by Pyth’s oracles. If the difference between these prices exceeds a predefined threshold, the High Volatility Flag is set for the said asset. If it exceeds a greater threshold, then volatility based fee will be applied.

Thresholds for "High Volatility Flag"

• Crypto: 2% difference between EMA and Spot.

• Metals: 0.66% difference between EMA and Spot.

• Currencies: 0.33% difference between EMA and Spot.

Thresholds for "Close Only Mode"

• Crypto: 5% difference between EMA and Spot.

• Metals: 1.1% difference between EMA and Spot.

• Currencies: 0.55% difference between EMA and Spot.

More info to be added!