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How to pick τ, clamp, bands, and session multipliers per symbol/liquidity tier.

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Parameters Overview

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Internal Drift (Index Fallback)

ParameterDescription
τ (tau)Time constant (hours). Bigger = slower drift
c (clamp)Max step weight per update. Smaller = safer
q_impImpact depth for orderbook pressure

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Mark Stability

ParameterDescription
s_stepMax Mark move per tick (e.g., 0.5% per 3s)
Band_leverage1 / L_eff — Mark band around Anchor
Band_cap_closeTighter cap during Weekend/Disrupted

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Order Controls

ParameterDescription
OrderBand_openReject limits outside ±X% during open
OrderBand_closeTighter bands during close

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Session Multipliers

ParameterDescription
m_posPosition size multiplier
m_OIOpen interest cap multiplier
L_effEffective leverage cap
m_IM_addonExtra initial margin
LiqNotionalLimitLiquidation throttle per second

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Liquidity Tiers

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Classification

TierDescription
AUltra liquid / mega-cap — deep books, tight spreads
BLarge-cap — good ADDV, moderate vol
CMid-cap / higher vol — thinner after-hours
DSmall-cap / event-driven — highest gap risk
IndicesFutures-derived 23h/day 5d/wk

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Key Inputs

  • ADDV of underlying (30-90d)
  • Realized volatility
  • Overnight gap magnitude (median and 95th percentile)
  • Perp book depth and spread by session

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Choosing Parameters

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Impact Depth (q_imp)

q_imp = clamp(0.25 * Depth_25bps, $10k, $250k)
Session-aware: q_imp_open > q_imp_overnight > q_imp_weekend

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Time Constant (τ)

Tierτ Open/Disruptedτ Weekend
Indices4-8h8-12h
Tier A6-10h12-18h
Tier B8-14h16-24h
Tier C12-24h24-48h
Tier D24-72h48-96h

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Clamp Factor (c)

Tierc
A / Indices0.1-0.2
B / C0.05-0.1
D0.02-0.05

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Step Clamp (s_step)

Target: absorb gap in 1-5 minutes. 
s_step ≈ Gap% / (CatchUpTime / TickInterval)
Tiers_step (per 3s)
Indices0.5-1.0%
Tier A0.5%
Tier B0.25-0.5%
Tier C0.15-0.3%
Tier D0.10-0.2%

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Weekend Band Cap

TierBand Cap
Indices5-8%
Tier A8-10%
Tier B6-10%
Tier C5-8%
Tier D3-6%

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Order Bands

Critical constraint: 
OrderBand_close ≥ Band_final + LiqSpread + 0.5%
If violated, liquidation orders get rejected.
TierOpenOvernightWeekend
Indices±5%±5%±6-8%
Tier A±10%±8-10%±8-12%
Tier B±10%±6-8%±7-10%
Tier C±8-10%±5-7%±6-8%
Tier D±5-8%±4-6%±4-7%

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Session Multipliers

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Position Limits

TierOvernightWeekend
Indices0.8-1.0×0.2×
Tier A0.5×0.1×
Tier B0.35-0.5×0.05-0.1×
Tier C0.2-0.35×0.03-0.07×
Tier D0.1-0.25×0.01-0.05×

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Margin Add-Ons

TierOvernightWeekend
Indices+0-10%+10-25%
Tier A+10-25%+50-100%
Tier B+15-35%+75-125%
Tier C+25-60%+100-200%
Tier D+50-100%+150-300%

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Leverage Caps

TierOpenOvernightWeekend
Tier A10×5×2×
Tier B8-10×4×1.5-2×
Tier C5×2-3×1-1.5×
Tier D3×1.5-2×1×

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Liquidation Throttles

TierOpenOvernightWeekend
Indices250k−250k-1M250k−250k-1M50k−50k-250k
Tier A100k−100k-500k50k−50k-250k10k−10k-100k
Tier B50k−50k-250k25k−25k-150k5k−5k-50k
Tier C25k−25k-100k10k−10k-50k2k−2k-25k
Tier D10k−10k-50k5k−5k-25k1k−1k-10k

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Indices

ParameterValue
τ4-8h (overnight), 8-12h (weekend)
c0.1
s_step0.5-1.0%
Band_cap_close5-8%
m_posovernight 0.8-1.0×, weekend 0.2×

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Tier A (Mega-Caps)

ParameterValue
τ6-10h (overnight), 12-18h (weekend)
s_step0.5%
Band_cap_close8-10%
m_posovernight 0.5×, weekend 0.1×
IM add-on+10-25% overnight, +50-100% weekend

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Tier C/D (Fragile Names)

ParameterValue
τ24-72h weekend
c0.02-0.05
s_step0.10-0.25%
Band_cap_close3-6%
m_posovernight 0.1-0.35×, weekend 0.01-0.07×
IM add-onweekend +150-300%

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Common Gotchas

  1. Order bands too tight — breaks liquidations
  2. τ too small + thin weekend books — manipulable Index
  3. Step clamp too small — slow catch-up, stored insolvency
  4. Position caps vs liquidation capacity mismatch — guarantees ADL

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Invariants

Always enforce:
  • OrderBand_close ≥ Band_final + LiqSpread + buffer
  • Liquidation orders never rejected by risk checks
  • Funding = 0 when external reference is stale