Curriculum·R409 Grid, DCA, and Rule-Based Automation·about 42 min
Grid variants and their risk changes
By the end of this lesson you can
- →Name the five common variants and the single risk each one changes
- →Compute a levered grid's liquidation price against its own lower bound
- →Show why an unbounded grid removes a limit rather than a risk
- →Explain what a cascade does to a rule whose orders are already resting
Senior · enrolled learners
This lesson opens with The GDAX ether flash crash, 21 June 2017.
- What happened
- At about 12:30 Pacific time on 21 June 2017, a multi-million dollar market sell order of roughly 39,300 ETH, about $12.7M, was placed on the GDAX ether and dollar book. Filling it consumed the book from about $317.81 down to about $224.48, a slippage of roughly 29.4 percent in a single order. That move then triggered approximately 800 stop-loss orders and margin funding liquidations, each of which sold into a book that had not refilled, and ether traded as low as $0.10 before recovering. The venue subsequently credited customers whose accounts had experienced a margin call or a stop-loss execution on that book, at a reported cost of around $1M.
- The decision point
- The first order was a decision by one participant. Everything after it was rules executing, and every one of those rules had been configured in advance by somebody who believed it protected them. A grid is a set of resting orders with the same property: once the range is breached, the configuration executes without further input, into whatever book exists. Adding leverage to that configuration adds a second set of rules, held by the venue, which execute first.
- Recorded loss
- $1,000,000
What you will be able to answer
- →What are the five variants?
- →Where does a 3x grid liquidate?
- →What does an unbounded grid remove?
- →What does a cascade do to resting orders?
Orientation and Year One are open: anyone can read them without an account. From Year Two onward the lessons are for enrolled learners, because progress through the later years only means anything if it is tracked against a record.
It is free. We do not sell the list and there is nothing to buy at the end of it.
Sources and review
- https://www.coincodex.com/article/2272/300000-return-in-a-few-seconds-the-2017-gdax-flash-crash
- https://finance.yahoo.com/news/coinbase-pay-back-ethereum-flash-125635725.html
- https://www.pymnts.com/news/payment-methods/2017/coinbase-reimburses-customers-from-cryptocurrency-ethereum-crash/
- https://www.bloomberg.com/news/articles/2017-10-02/cryptocurrency-flash-crash-is-said-to-draw-scrutiny-from-cftc
Confidence medium·Volatility medium·Reviewed 2026-08-07·Owner unassigned
Contested
Reported figures for the GDAX incident differ slightly, with the triggering order given as roughly 39,300 ETH and about $12.7M, the initial slippage as about 29.4 percent, and the number of subsequent stop and liquidation events as approximately 800. The reimbursement total is reported around $1M. The venue's own account and third-party reconstructions agree on the sequence, which is what this lesson relies on.
The liquidation arithmetic in part two applies R402-02's isolated long formula to a levered grid treated as a single averaged position. Real levered grid products differ in how they margin each level and some use cross margin across the whole grid, which moves the number. Per R409-L2 recompute it against your own venue's published schedule.
R402-05 owns cascade dynamics and R407-03 owns liquidity and stop clusters. This lesson owns what those do to a configuration whose orders are already resting. Keep the splits.