Capital Reservation

Aegis uses a max-of-concurrency-groups model to estimate the worst-case margin required for a strategy configuration. This model determines how much exchange balance must be available before the bot will open a new position.

---

Model: Max-of-Concurrency-Groups

Within a single strategy, legs are organized into concurrency groups — sets of legs that can be simultaneously active. The capital reservation is the maximum margin required across all concurrency groups, not the sum of all legs.

This is distinct from a naive sum-of-all-legs approach:

Approach	Estimate
Sum of all legs	Assumes all legs are open simultaneously — overly conservative
Max-of-concurrency-groups	Uses the worst-case group that can be open at once — accurate

---

Numeric Example

Setup: A full_short_protection Bastion strategy. Pool value = $1,000, capitalBufferPct = 0.1, leverage = 5×.

First, compute margin per leg using the effective capital (see capitalBufferPct):

effectiveCapitalUsd = $1,000 × (1 + 0.1) = $1,100
marginPerLeg       = $1,100 / 5           = $220

Leg	Margin per activation
lower_short	$220
upper_short (reentry)	$220

Sum-of-all-legs estimate: $220 + $220 = $440
Max-of-concurrency-groups estimate: max($220, $220) = $220

In the full_short_protection preset, at most one of the two legs is active at a given time (successive events: exit, then reentry). The capital reservation model correctly identifies that the maximum concurrent requirement is $220, not $440.

Note

orbit_both configures both LONG and SHORT directions, but Orbit never operates both legs simultaneously. At most one leg is active at a time, so orbit_both still results in a single-leg reservation — the maximum of the two configured leg estimates, not their sum.

---

Capital Buffer and Effective Capital

capitalBufferPct does not add a separate safety buffer on top of a calculated margin — it multiplies the pool value to produce the effective capital the bot sizes against:

effectiveCapitalUsd = poolValueUsd × (1 + capitalBufferPct)
marginPerLeg       = effectiveCapitalUsd / leverage
required_balance   ≥ worst_case_group_margin

A higher capitalBufferPct means a larger position notional, a higher margin per leg, and therefore a higher required balance. The buffer is baked into the notional size, not added afterward.

See Risk Parameters — capitalBufferPct for the full reference and numeric examples.

---

Cross-references

• Strategy Parameters — Risk Params
• Strategy Parameters — Leverage and Margin
• Bots — Bastion
• Bots — Orbit