Slippage-Aware Pricing Logic

Adjusting fund valuations to reflect real market execution conditions.

Why Slippage Matters

In volatile or low-liquidity environments, the theoretical price of an asset may differ from its actual execution price. This gap known as slippage can distort NAV calculations and lead to unfair pricing at mint or redemption.

OLTA integrates slippage-aware logic to ensure NAV remains grounded in realistic execution conditions.

How Slippage Is Accounted For

  1. Liquidity Profiling Each asset is assessed for market depth and historical slippage on DEXs and CEXs.

  2. Expected Execution Ranges Price feeds are adjusted using a tolerance band based on estimated slippage for a given trade size.

  3. NAV Adjustments In cases where an asset has low liquidity or high volatility, its price contribution to the NAV is discounted accordingly.

Effective Price

Effective Price=P×(1−s)\text{Effective Price} = P \times (1 - s)

Where:

  • P = Oracle price of the asset

  • s = Expected slippage (expressed as a decimal, e.g. 1% = 0.01)

Example

If the oracle price of Asset X is $2.00 but expected slippage is 1% for the required volume, the adjusted NAV input becomes.

Effective Price = 2.00 x (1 - 0.01) = $1.98

Impact

This mechanism prevents arbitrage, protects against mispricing during redemptions, and ensures fair treatment of all investors, especially in thin markets.

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