RWA Pricing Mechanism

RWA pricing is derived from two primary sources: external oracle feeds (e.g., Chainlink, Pyth, Stork, and other exchanges) and internal pricing.

The index price is calculated according to the pricing methodology defined below. For mark price, the only change is that the cexPrices component is replaced with the pricing methodology defined below.

Pricing Transition

External oracle feeds are the primary price source. When oracle data becomes stale, the pricing mechanism shifts from oracle-based pricing to internal pricing. As soon as an external price is available, the internal price is going to instantly converge to it.

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Internal Pricing

Internal pricing is derived from order book impact prices, smoothed using a time-weighted Exponential Moving Average (EMA).

Time-Weighted EMA

$$EMA_t = \alpha \cdot P_t + (1 - \alpha) \cdot EMA_{t-1}$$

$$\alpha = 1 - e^{- \Delta t / \tau}$$

• Pₜ — current impact price

• τ — smoothing time constant

• Δt — time since last update

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Index Price

For index price we set:

• $\tau = 30 \text{ minutes}$

The internal index price is capped relative to the last oracle price and the leverage of the market:

• Indexᵢₙₜₑᵣₙₐₗ ∈ [ P_oracle · (1 − 1/L), P_oracle · (1 + 1/L) ]

  • Where L is leverage.

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Mark Price Component

For mark price we set:

• $\tau = 2 \text{ minutes}$

The mark price is capped relative to the last oracle price and the leverage of the market:

• Markᵢₙₜₑᵣₙₐₗ ∈ [ P_oracle · (1 − 1/L), P_oracle · (1 + 1/L) ]

A simulation:

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Price Cap Removal (2026-07-10)

On the following markets there will be no price caps based on on the last oracle price:

SPY, US500, QQQ, US100, XAU, XAG, NVDA, TSLA, AAPL, AMZN, MSFT, GOOGL, META, XCU, SNDK, WTI, XPD, XPT, BRENTOIL, MU, EWY, SPCX, DRAM, SOXL, SKHYNIXUSD, SAMSUNGUSD, INTC, NATGAS, IBM, AMD, MSTR

To prevent manipulation attacks, internal prices will continue to be validated against prices from other trading venues.