Oracle / External Pricing
| Parameter | Default | Notes |
|---|---|---|
T_stale_soft | 5s | Data usable but flagged |
T_stale_hard | 30s | Data not usable |
J_accept (equities) | 50% | Max single-tick jump |
J_accept (indices) | 20-30% | |
T_persist | 60s | Confirmation time for big jumps |
K_sources | 2 | Min sources to confirm |
dispersion_limit | 2% | Max spread between sources |
Index Price
| Parameter | Default | Notes |
|---|---|---|
| τ (time constant) | 8 hours | Longer = slower drift |
| c (clamp factor) | 0.1 | Max adjustment per update |
ImpactDepthNotional | 250k | Per liquidity |
Mark Price
| Parameter | Default | Notes |
|---|---|---|
MarkStepClamp | 0.50% / 3s | Max movement per tick |
Band | 1 / MaxLeverage | Anchor-centered band |
BandWeekendCap | 5-10% | Optional weekend cap |
Order Bands
Single-Name Equities
| Session | Band |
|---|---|
| Reference Open | ±10% |
| Weekday Overnight | ±7% |
| Weekend | ±5% |
| Disrupted | ±3% |
Indices
| Session | Band |
|---|---|
| Reference Open | ±5% |
| Weekday Overnight | ±4% |
| Weekend | ±3% |
| Disrupted | ±2% |
Position & Leverage
Position Limit Multipliers
| Session | Multiplier |
|---|---|
| Reference Open | 1.0× |
| Weekday Overnight | 0.5× |
| Weekend | 0.1× |
| Disrupted | 0× (reduce-only) |
Leverage Caps
| Session | Max Leverage |
|---|---|
| Reference Open | 10× |
| Weekday Overnight | 5× |
| Weekend | 2× |
| Disrupted | 1× |
Margin
Leverage Tiers
| Position Notional | Max Leverage | IM | MM |
|---|---|---|---|
| 50k | 10× | 10% | 5% |
| 250k | 5× | 20% | 10% |
| 1M | 3× | 33% | 16.7% |
| $1M+ | 2× | 50% | 25% |
Session Add-Ons
| Session | IM Add-On | MM Add-On |
|---|---|---|
| Reference Open | 0% | 0% |
| Weekday Overnight | 10-25% | 5-12.5% |
| Weekend | 50-100% | 25-50% |
Funding
| Parameter | Default |
|---|---|
| EMA window | 5-15 min |
| FR cap | 0.5% / hour |
| Funding interval | Continuous or 8h |
| Hysteresis timer | 60s |
Liquidation
Spreads
| Session | Spread |
|---|---|
| Reference Open | 0.5-1.0% |
| Weekday Overnight | 1.0-2.0% |
| Weekend | 2.0-5.0% |
| Disrupted | 5.0%+ |
Throttles
| Session | Max / Second |
|---|---|
| Reference Open | $100k |
| Weekday Overnight | $50k |
| Weekend | $10k |
Fees
| Recipient | Fee |
|---|---|
| Liquidator | 0.3-0.5% |
| Insurance fund | 0.2-0.3% |
| Protocol | 0.1-0.2% |
| Total | 0.6-1.0% |
Circuit Breakers
| Threshold | Action |
|---|---|
| >10 liq / 10s | Pause 30s |
| >$1M / 1min | Alert |
| >20% OI / 1h | Governance review |
ADL
| Parameter | Default |
|---|---|
| Timeout | 60s |
| ADL fee | 0.1-0.2% |
| Insurance threshold | 30% |
Quick Reference
| Category | Parameter | Default |
|---|---|---|
| Oracle | Stale hard | 30s |
| Jump filter | 50% (eq), 25% (idx) | |
| Index | Drift τ | 8h |
| Drift clamp | 0.1 | |
| Mark | Step clamp | 0.50% / 3s |
| Orders | Band (open) | ±10% (eq), ±5% (idx) |
| Position | Weekend limit | 0.1× |
| Leverage | Weekend cap | 2× |
| Margin | Weekend add-on | 50-100% |
| Funding | Cap | 0.5% / hour |
| Liquidation | Spread (open) | 0.5-1.0% |
| Throttle (open) | $100k/s | |
| ADL | Timeout | 60s |
Tuning Process
- Launch conservative — tighter limits, higher margins
- Monitor 2-4 weeks — liquidation frequency, depth, gaps
- Iterate — relax if healthy, tighten if ADL/stress frequent
- Per-instrument — adjust for liquidity and volatility