Pre-market Listings

Pre-markets enable trading before a formed spot market exists. As a result, mark and index prices are derived from internal order book dynamics rather than external reference markets.

Due to the absence of reliable external pricing and typically lower liquidity, pre-markets carry increased risk, including higher volatility, wider spreads, and greater susceptibility to price dislocations.

Risk Framework

To account for these risks, pre-markets are launched with conservative risk parameters, including:

• Lower position limits

• More restrictive margin requirements

These parameters are designed to protect both users and the protocol during the early stages of price discovery.

Mark and Index Price

In pre-markets, both Mark and Index prices are derived from exponentially weighted averages of order book prices.

The market is initialised with initial_mark_price, derived from:

• OTC quotes

• Polymarket FDV

• Assumed token supply

Oracle Price

The oracle price represents a smoothed estimate of fair value based on historical mark prices.

• Sampled once per minute

• Defined as a 45-min EWMA of past mark prices

• When historical marks are unavailable, initial_mark_price is used as padding

oracle_0 = initial_mark_price

oracle_t = α · mark_{t−1} + (1 − α) · oracle_{t−1}

α = 1 − exp(−1 / 45)

To prevent runaway pricing in illiquid conditions:

oracle_t ≤ 5 × initial_mark_price

Mark Price

The mark price is the executable fair price used for PnL and liquidations.

• Computed once per minute, after the oracle update

• Uses impact mid price with $500 notional

• Combines the oracle (slow anchor) with a smoothed deviation

mark_t = oracle_t + D_t

D_0 = 0

D_t = β · (impact_mid_t − oracle_t) + (1 − β) · D_{t−1}

β = 1 − exp(−1 / 45)

Intuition:

• oracle_t captures long-term fair value

• impact_mid_t reflects current tradable levels

• D_t ensures gradual adjustment without overreacting to short-term noise

Index Price

The index price is a slower, manipulation-resistant reference price.

• Defined as a 45-min EWMA of mark prices

• Updated once per minute

• Uses the same decay as the oracle

• No caps are applied

index_0 = initial_mark_price

index_t = α · mark_t + (1 − α) · index_{t−1}

α = 1 − exp(−1 / 45)

Transition to Regular Market

Once the underlying spot market is live and reliable external pricing is available:

• Mark and Index prices transition to standard oracle-based pricing, referencing external market data

• Risk limits and margin schedules are revised to reflect improved liquidity and reduced uncertainty

No user action is required during the transition.