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Quantitative Finance · Glossary

What is Liquidation engine?

Definition 18.4 Markets III: Commodities, Energy and Crypto · Chapter 18 — Margin, Liquidation and Loss Allocation

A liquidation engine is the venue’s system that monitors every account against its maintenance margin at the mark price, takes over the positions of accounts that breach it, and closes them, usually by sending orders into the venue’s own order book, sometimes by transferring them to designated liquidity providers.

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