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.

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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.

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Effective Price

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

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

Slippage Smart Sizing 

1. Real‑time Depth Scan Before any order is submitted, the execution engine snapshots the cumulative depth of each target venue (order‑book levels on CEXs or the liquidity‑curve on AMMs) to map available size at every price tier.

2. Impact‑Tolerance Threshold A strict price‑impact ceiling is enforced (e.g., ≤ 2 bps from mid‑price). If the requested size keeps the projected impact below this ceiling, the order is released in a single block.

3. Dynamic Clipping When the requested size would breach the threshold, the parent order is automatically clipped into smaller child lots. Each lot is executed sequentially, with adaptive pauses that allow resting liquidity to refill.

4. Continuous Resampling After every clip, the engine rescans the updated depth. Spreads tighten? → the next lot size increases. Spreads widen? → the lot size shrinks or execution is temporarily paused.

5. Ex‑post Slippage Audit Realised vs. projected slippage is recorded for each cycle. The impact‑tolerance parameters and clip‑sizing rules are recalibrated in real time, ensuring the model adapts to changing liquidity regimes.

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Impact

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