Price Impact

Each trade’s fill price is adjusted linearly by the trade’s impact on the market’s premium/discount. It produces a symmetrical high frequency rebalancing opportunity since any trade that reduces skew will receive a discounted price and any trade that widens skew will receive a price premium.

The purpose of the dynamic fill price is to disincentivize volume that increases skew and promote volume that contracts skew by directly adjusting entry prices similar to how a perps market maker might widen or tighten spreads on a perps clob in response to price drift or net exposure to funding.

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