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…xchange. Co-authored-by: Cursor <cursoragent@cursor.com>
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… spreads Quoted spreads were far wider than intended because sigma was overstated by two independent bugs. Decimal mismatch in the backfill. OracleTracker seeded its window from the hashprice subgraph (8 decimals) and then appended live on-chain answers (6 decimals), so a single ln(1/100) return dominated the window. The history source now declares the aggregator address and decimals it is reporting, and OracleTracker reconciles that against the live oracle before rebasing; a mismatched aggregator skips the backfill instead of poisoning sigma. This replaces the previous magnitude-based guess at the scale factor. Wrong estimator for an irregularly sampled feed. volatilityPerSecond divided each log return by sqrt(dt), which is only valid if the feed samples a Brownian process at times unrelated to its moves. These oracles publish on a deviation threshold, so |r| is essentially independent of elapsed time (measured corr(log dt, log|r|) = -0.13 over a stable day, -0.11 over 96h) and dividing by sqrt(dt) injects a spurious 1/sqrt(dt) term. It read ~1.74x high in every period sampled. Replaced with the realized-variance estimator sqrt(sum r^2 / sum dt), which is unbiased under threshold publication and far more robust to bursts: rolling sigma spread over 96h was 20x for the old form versus 4x for the new one. Verified against production in dry run, where sigma fell from 69 to 41 bps over a 1h horizon. Also in this change: - Gate vault deposits on dryRun. CollateralTracker.maybeTopUp() submitted real deposits even in dry-run mode. - Replace oracle.historyLookbackMultiplier with historyMaxAgeSec. The old knob scaled the backfill window by pollInterval, which has no bearing on how often the oracle updates. Backfill now requests exactly windowSize samples and uses the age bound only to keep a stale regime out of sigma. - Move shared config documentation from the YAML files into the TypeBox schema descriptions so hover docs reach every environment, leaving only env-specific rationale inline. Corrects a stale claim that hashprice updates every ~5 min (measured median is ~3 min) and drops a comment describing a tx-weight field that no longer exists. - Consolidate the three copies of fractionToNumber into math.ts and use it in oracleTracker, which was calling Fraction.valueOf() directly and logging null for sigma. Sigma is now reported at info level on backfill. - Finish the migration to unified portfolio.*.yml configs: drop the per-app perps/futures configs and the stg variants, retire the matching package scripts, and replace the two per-app smoke tests with one portfolio test.
fix(market-maker): correct the realized-volatility estimate inflating spreads
dev -> stg
shev-titan
approved these changes
Sep 22, 2026
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Market maker fix