Special Cases

How the system handles extraordinary events.

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Gap Events

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During Market Close

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When Reference Resumes

1. Index re-anchors to MDP (after sanity filters)
2. Mark walks toward new price via step clamp
3. Liquidations trigger progressively as Mark moves
4. Escalation to DLP/ADL if needed

Example: 20% gap means Mark catches up in ~2 minutes at 0.50% per 3s

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Weekend Gap Example

Friday close: $190 | **Monday open:**$228 (+20%) Saturday/Sunday:

• Anchor frozen at $190
• Mark constrained to $171-$209 (10x leverage = 10% band)
• No mass liquidations from thin weekend prints

Monday morning:

• Sanity check confirms $228
• Mark walks from $209 to$228 over ~54 seconds
• Liquidations execute progressively

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Trading Halts

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When Halted

• Session becomes Underlying Halted
• Reduce-only or close-only mode
• Tighter order bands (+/-2%)
• Index drift may freeze
• Funding disabled
• Liquidations with extreme caution

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Resumption

1. Wait for price discovery (1-2 minutes)
2. Confirm new price via sanity filters
3. Re-anchor Index
4. Walk Mark toward new level
5. Restore normal trading gradually

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Corporate Actions

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Stock Splits

At split (e.g., 2-for-1):

• Adjust contract multiplier by split ratio
• Adjust positions inversely (100 contracts becomes 50)
• Adjust Index, Anchor, Mark proportionally
• No PnL or liquidation impact

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Dividends

On ex-dividend date:

• Index adjusted: Index = Index - Dividend
• Mark follows via normal update
• No cash payment to perp holders

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Symbol Changes / Mergers

• Ticker changes: update identifier, maintain continuity
• Mergers: depends on deal structure, governance decision

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Extreme Gaps

If gap exceeds sanity threshold (e.g., 80%):

1. Enter Reference Disrupted mode
2. Require multi-source confirmation
3. Manual verification by risk team
4. Governance circuit breaker if needed
5. Walk Mark toward new level after approval

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Delisting

Scheduled:

• 30+ day advance notice
• 7 days before: reduce-only
• 1 day before: close-only
• At delisting: settle at final price

Emergency:

• Immediate settlement at last known price
• Governance review for fairness

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Oracle Failures

Single-source: Continue with remaining sources, flag degraded Multi-source:

1. Session becomes Reference Disrupted
2. Freeze Anchor, reduce-only mode
3. Extended outage (over 30 min): consider pausing trading
4. Recovery: wait for 2+ sources, confirm consensus

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Circuit Breakers

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Summary

1. Predictable state transitions (session-based)
2. Bounded behavior (step clamps, leverage bands)
3. Progressive responses (walk, don’t jump)
4. Clear escalation (orderbook to DLP to ADL to governance)