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TODO DIAGRAM

Position Model

Inside a risk pool, position is stored as an array of arrays.

• The outside array is indexed by currency.
• The inside array is an ordered 4-truple of non-negative values: { Buying, Selling, Bought, Sold }.

Expressed more formally:

A position p is an aggregation of outlays of both open and filled portions of orders made by a set of traders.
A formula f is a mapping from positions to non-negative real numbers. f must be convex.
A limit l is an ordered pair of (f, v) where f is a formula and v is a non-negative real number.
A Position p is said to be in violation of limit l under formula f if and only if f(p) > v.

Limits

Limits may be categorized as follows:

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