Three mechanisms compose. Each one is independently sufficient to survive an ordinary bad day; together they are what lets the venue quote volatility at all.
1 · Quadratic skew fee
borrowRate_dominant = baseFee × ( OI_dominant / (OI_counter + 1) )²The crowded side pays for the privilege, and the payment scales faster than the imbalance; the thin side pays nothing. Past 80/20 the book is flagged as skewed.
2 · Escrowed 8× payout cap
maxProfit = 8 × initialMarginWorst-case liability is reserved at execution. Because the ceiling is known when the order settles, the vault never carries an obligation it has not already funded.
3 · 20% single-block dampener
P_settlement = α · P_new + (1 − α) · P_last, α = 0.05Manipulating settlement requires holding a false price across many consecutive 100ms blocks against arbitrage from five venues, which is the point.
Tested against
| Scenario | Injected | Required outcome |
|---|---|---|
| Black swan vol jump | +500% index in one block | EMA engages, zero raw settlement |
| Total directional skew | 100% of OI on one side | Zero vault shortfall |
| Oracle blackout | All venues stale > budget | Withdrawals pause, no liquidations |
| Cascade | Sequential liquidations at cap | Escrow covers every payout |