A framework for setting LTVs and maintenance thresholds directly from actual market depth so positions can unwind without toxic slippage.
Define a target close size q (e.g., 3× average liquidation size). Compute slippage across AMM + CLOB depth, then set MaxLTV ≤ 1 − slippage(q).
Unify AMM virtual reserves with resting limit orders to estimate impact accurately.
Route simulation considers multi‑hop paths when they materially lower impact.
During liquidity shocks, caps tighten automatically; when depth returns, limits reopen.
Auctions size lots to the best‑bid depth and use time‑sliced execution to minimize footprint. Keepers receive a yellow‑tagged rebate when they improve VWAP by ≥Δ.