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The pricing system determines how the perpetual tracks the underlying asset’s value through Index Price (fair value) and Mark Price (used for margin and liquidation).

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External Pricing

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Freshness Rules

ParameterDefaultDescription
T_stale_soft5sData usable but flagged
T_stale_hard30sData not usable for external mode
External Reference Available = true when:
  • Newest MDP input age ≤ T_stale_hard
  • Data passes sanity filters

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Multi-Source Aggregation

With 2+ independent feeds: 
MDP_raw = median(source_prices)
If dispersion exceeds dispersion_limit, degrade to “Reference Disrupted” mode.

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Jump Filters

Accept new MDP only if: 
abs(MDP_candidate / MDP_prev - 1) ≤ J_accept
InstrumentJ_accept
Single-name equities50%
Indices20–30%
If violated, require confirmation by ≥K sources or persistence for T_persist seconds.

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Index Price

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External Mode (Primary)

When external reference is available: 
Index = MDP_filtered
Anchor ← Index  (updated each valid tick)

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Internal Drift Mode (Fallback)

When external reference is unavailable (weekend, outage): Impact Price Definitions:
  • ImpactBid(q) = VWAP bid to sell q notional
  • ImpactAsk(q) = VWAP ask to buy q notional
  • ImpactMid = (ImpactBid + ImpactAsk) / 2
Drift Update: 
Pressure = ln(ImpactMid / Index_prev)
κ = min(Δt / τ, c)
Index = Index_prev * exp(κ * Pressure)
ParameterDefaultDescription
τ8 hoursTime constant
c0.1Clamp factor

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Mark Price

Mark is used for margin, PnL, and liquidation triggers.

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Components

ComponentFormula
C1Index
C2Index + EMA_150s(Mid - Index)
C3median(BestBid, BestAsk, LastTrade)
Mark_raw = median(C1, C2, C3)

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Guardrails

Step Clamp (per update): 
Mark_step = clamp(Mark_raw, Mark_prev*(1 - s), Mark_prev*(1 + s))
Default: s = 0.50% per 3s update. Leverage Band: 
Band = 1 / MaxLeverageEffective
Mark_final = clamp(Mark_step, Anchor*(1 - Band), Anchor*(1 + Band))
Example: 10× leverage → 10% band around Anchor.

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Order Price Bands

Orders are rejected if price is outside the band:
SessionEquitiesIndices
Reference Open±10%±5%
Weekday Overnight±7%±4%
Weekend±5%±3%
  • Reject buy orders above center*(1 + band)
  • Reject sell orders below center*(1 - band)
  • Market orders convert to IOC with protective limit at band edge