Fee Structure

The Open Nile Protocol collects three types of fees: trading fees on every position event, liquidation penalties on distressed positions, and oracle fees for price reads. All fees use snapshotted rates from position open time, ensuring traders know their costs upfront. Fees are distributed between the protocol treasury and the liquidity pool according to a configurable split.

Nile Markets uses flat fee rates in M2 — there are no volume-based tiers or maker/taker distinctions. Every trader pays the same rates regardless of volume. Volume-tiered pricing is planned for M3.

Fee Types

Fee	Formula	When Collected
Trading Fee	`notional * snapshotTradingFeeBps / 10,000`	Open, increase, settlement, close, reduce
Liquidation Penalty	`notional * snapshotLiquidationPenaltyBps / 10,000`	Liquidation only (added to trading fee)
Oracle Fee	Flat `snapshotOracleFee` per price read	Every forward price lookup

Default Values

Trading Fee

5 bps (0.05%)Applied to the notional amount on every position open, increase, settlement, early termination, and reduction.

Liquidation Penalty

30 bps (0.3%)Applied to the notional amount only during liquidation, added on top of the trading fee. Combined liquidation fee = 35 bps.

Oracle Fee

0.10 USDCFlat fee per forward price lookup. Collected from the trader’s collateral each time a forward price is read.

Fee Distribution

All collected fees (trading fees and liquidation penalties) are split between two destinations:

Destination	Default Share	Description
Treasury	30% (3,000 bps)	Protocol revenue for operations and development
Pool	70% (7,000 bps)	LP compensation, directly increasing pool equity and share price

The distribution is executed by FeeLib.distributeFee(), which iterates through all configured fee destinations and transfers proportional shares.

Fee destination shares must sum to exactly 10,000 basis points (100%). This is enforced by Config.setFeeDestinations() and is one of the protocol’s core invariants. If shares do not sum correctly, the configuration transaction reverts.

Fee Capping

Fees are always capped at available margin. The protocol never reverts on insufficient fee funds — it collects whatever is available. This ensures that settlement and liquidation cannot be blocked by a position that has been drained by losses.

After Profit
After Loss
Zero PnL

actualFee = min(fee, marginAtRisk)
marginAfterFee = marginAtRisk - actualFee
payout = marginAfterFee + pnl

When a position is profitable, the full calculated fee is typically collected since the margin is intact, and the trader receives marginAfterFee + pnl.

actualFee = min(fee, marginAtRisk)        // fee taken first
marginAfterFee = marginAtRisk - actualFee
cappedLoss = min(|pnl|, marginAfterFee)

When a position has losses, the fee is taken first from the locked margin, then PnL is applied to the remainder. Fee collection is deterministic regardless of PnL sign — fees are a function of the trade, not its outcome. In extreme bad-debt scenarios the trader’s loss is capped at marginAtRisk - actualFee, and any uncollectable loss is absorbed by LPs as bad debt.

actualFee = min(fee, marginAtRisk)

With no PnL, the full margin is available and the full fee is typically collected.

The fee waterfall is fee-first: actualFee is computed against the full marginAtRisk, then PnL is applied from the remainder. Under bad debt, LPs absorb the difference rather than the fee being trimmed. This is a deliberate design choice that makes fee revenue independent of PnL outcomes.

Fee Collection Methods

Fees are collected through different mechanisms depending on the context:

Context	Collection Method	Source
Position open	`collectFee`	Free collateral (available balance beyond locked margin)
Position increase	`collectFee`	Free collateral
Settlement (all types)	Deducted in `_settlePosition`	Locked margin — fee taken first, PnL applied to remainder
Oracle fee	`collectFeeFromCollateral`	Total collateral (can draw from locked portion)

The oracle fee uses collectFeeFromCollateral, which can draw from the locked portion of collateral, not just the free balance. This is because oracle fees are small (0.10 USDC) and must be collected reliably for every price read. Allowing it to draw from locked collateral prevents oracle fee collection from failing when a trader has minimal free collateral.

Snapshotted Rates

All fee rates are captured at position open time and stored in the position struct:

Snapshotted Field	Default Value
`snapshotTradingFeeBps`	5 (0.05%)
`snapshotLiquidationPenaltyBps`	30 (0.3%)
`snapshotOracleFee`	100,000 (0.10 USDC)

If the protocol admin changes fee rates after a position is opened, the position continues to use its snapshotted rates. Only newly opened positions use the updated rates. This protects traders from retroactive fee changes.

Worked Examples

Standard trading fee on position open

Position:

Notional: 1,000 USDC (1,000,000,000 raw)
Trading fee: 5 bps

Calculation:

fee = 1,000,000,000 * 5 / 10,000 = 500,000 = 0.50 USDC

Distribution:

Treasury (30%): 0.50 * 3,000 / 10,000 = 0.15 USDC
Pool (70%): 0.50 * 7,000 / 10,000 = 0.35 USDC

Liquidation fee (trading fee + penalty)

Position:

Notional: 1,000 USDC
Trading fee: 5 bps
Liquidation penalty: 30 bps

Calculation:

tradingFee = 1,000 * 5 / 10,000 = 0.50 USDC
liquidationPenalty = 1,000 * 30 / 10,000 = 3.00 USDC
totalFee = 0.50 + 3.00 = 3.50 USDC

Distribution:

Treasury (30%): 3.50 * 3,000 / 10,000 = 1.05 USDC
Pool (70%): 3.50 * 7,000 / 10,000 = 2.45 USDC

Fee-first waterfall under bad debt

Position:

Notional: 1,000 USDC
IM locked (marginAtRisk): 20 USDC
Calculated loss: -19 USDC
Trading fee calculated: 1 USDC (combined trading + liquidation penalty in this example)

Fee-first waterfall:

actualFee       = min(1, 20)        = 1 USDC          // fee taken first
marginAfterFee  = 20 - 1            = 19 USDC
cappedLoss      = min(19, 19)       = 19 USDC         // entire margin-after-fee absorbs the loss
badDebt         = max(0, 19 - 19)   = 0 USDC          // no bad debt this time
traderNet       = -(actualFee + cappedLoss) = -20 USDC

What if the loss had been 25 USDC instead?

actualFee       = min(1, 20)        = 1 USDC          // fee paid in full
marginAfterFee  = 20 - 1            = 19 USDC
cappedLoss      = min(25, 19)       = 19 USDC         // capped at remaining margin
badDebt         = 25 - 19           = 6 USDC          // pool absorbs 6 USDC
traderNet       = -(actualFee + cappedLoss) = -20 USDC // trader still loses full 20

Under fee-first, the fee is always collected as long as marginAtRisk > 0. The pool absorbs any uncollectable loss as bad debt, but fee revenue stays deterministic.

Liquidation Penalty Destination

The liquidation penalty goes entirely to fee destinations (30% treasury, 70% pool), not to the address that triggers the liquidation. The liquidator receives no reward — they only pay gas. This design choice means that in M2, the keeper service performs liquidations as a protocol service rather than as an economically motivated external actor.

Fee on Position Increase

When a position is increased via increasePosition, the trading fee is calculated on the additional notional only, not the full new notional:

fee = additionalNotional * snapshotTradingFeeBps / 10,000

The trader has already paid the trading fee on the original notional at position open. Only the new exposure incurs a fee.

Fee on Position Reduction

Similarly, when a position is reduced via reducePosition, the fee is on the reduction amount only:

fee = reductionNotional * snapshotTradingFeeBps / 10,000

This ensures fees are proportional to the notional being transacted, not the full position size.

Overview

FX Forwards

Roadmap

Fee Types

Default Values

Trading Fee

Liquidation Penalty

Oracle Fee

Fee Distribution

Fee Capping

Fee Collection Methods

Snapshotted Rates

Worked Examples

Liquidation Penalty Destination

Fee on Position Increase

Fee on Position Reduction

​Fee Types

​Default Values

Trading Fee

Liquidation Penalty

Oracle Fee

​Fee Distribution

​Fee Capping

​Fee Collection Methods

​Snapshotted Rates

​Worked Examples

​Liquidation Penalty Destination

​Fee on Position Increase

​Fee on Position Reduction

Fee Types

Default Values

Fee Distribution

Fee Capping

Fee Collection Methods

Snapshotted Rates

Worked Examples

Liquidation Penalty Destination

Fee on Position Increase

Fee on Position Reduction