Layer 7 — Inventory Check & Pricing Engine
Inventory & Hedge Check
| Inventory Condition | Description | Action |
|---|---|---|
| OK (Dead Zone) | Pool balance within per-corridor dead zone of target (USD-IDR: 5%, USD-SGD: 3%, MYR-IDR: 7%) | Proceed to pricing with zero skew offset. Dead zone thresholds defined in Inventory Skew — Skew Formula. |
| Mild Imbalance | Pool balance beyond dead zone but <25% off target | Apply inventory skew offset per Inventory Skew formula; upgrade state to PROTECT |
| Severe Imbalance | Pool balance >25% off target | Apply maximum skew offset (capped at MaxSkew_bps per Inventory Skew configuration); upgrade state to RESTRICT; trigger rebalancing alert |
Why Per-Corridor Dead Zones?
A blanket 10% threshold would be too loose for deep corridors (USD-SGD) and too tight for thin EM corridors (MYR-IDR). Per-corridor dead zones align with the Inventory Skew system's sensitivity constants — USD-SGD with its deep liquidity self-corrects faster (3% dead zone), while MYR-IDR's thin cross-pair needs a wider buffer before skew activates (7% dead zone).
Adjusted Mid-Rate Construction
Ratio applies a skew offset to the mid-rate itself before the spread is added — not just a symmetric spread widening. This is how institutional FX dealers manage their books.
Adjusted MID = Oracle MID ± Inventory Skew Offset
| Inventory Position | Skew Direction | Economic Effect |
|---|---|---|
| Long IDR (too much IDRX) | MID pulled DOWN | USD-to-IDR swaps cheaper; attracts flow that reduces IDR inventory |
| Short IDR (too little IDRX) | MID pulled UP | IDR-to-USD swaps cheaper; attracts flow that increases IDR inventory |
| Balanced | No skew | Neutral pricing; spread applied symmetrically |
Spread Construction
Total Spread = Base + Volatility Add-on + Liquidity Add-on + Inventory Skew
| Component | Description | Example Value |
|---|---|---|
| Base Spread | Minimum spread floor. Set per corridor, but overridden per transaction size band by the fee tier's spread_override_bps. Covers LP yield, infrastructure, compliance. Never zero. | Varies by corridor and fee tier. See Volume-Tiered Fee Schedule. |
| Volatility Add-on | Buffer for fast markets. Scaled to 1m/5m/15m price movement. | 0.5 bps (quiet) to 5–6 bps (stressed) |
| Liquidity Add-on | Cost of external sourcing. Higher for thinly-traded EM currencies. | Varies by corridor and time of day |
| Inventory Skew | Asymmetric adjustment to BID/ASK to attract needed flow direction. | Calculated from pool balance ratio |
info
See Inventory Skew — Skew Formula for the full formula, sensitivity constants (k), dead zones, and MaxSkew caps per corridor.