Definitions and methodology
Overnight gap
gap = onchain mid ÷ reference close − 1, shown in basis points while the reference market is closed. It is not arbitrage: the close cannot be traded.
Live basis
basis = onchain mid ÷ live reference − 1 during the regular session (09:30–16:00 ET, 13:00 on early-close days). The live reference must be younger than 3 minutes or the row shows NO DATA.
Onchain mid
Read from the pool account (sqrt price for CLMMs, active bin for DLMM), divided by the token's active ScaledUiAmount multiplier so the price is per share — the oracle's unit. The venue is the USDC pool with the most liquidity within ±0.5 %; the choice only switches when another pool has more than 1.5× the depth.
Gap by size
For $1k…$250k the engine walks the pool's real liquidity — tick by tick, crossing initialised ticks — for buys and sells, LP fee included. Where the fetched liquidity runs out the result is NO FILL.
Gap index GI-1
Equal-weighted mean of constituent gaps. Excluded: no gap, stale reference or pool, or depth below $25,000 within ±0.5 %. Fewer than 3 qualifying constituents → UNPUBLISHED. Families: TOTAL, TECH, AI, BROAD.
Oracle rules
The reference close is the value in force at 16:00:00 ET (13:00 on early closes), read from stored history — never from a later call.
Rejected if older than 25 h, or with no sample in the 5 minutes before the close. Two sources diverging by more than 50 bp flag REFERENCE DISAGREE.
Source rank: Chainlink Data Streams → Pyth Pro → the official exchange close (Nasdaq, a fixed dated value read once published) → the issuer's quote, labelled ISSUER CLOSE · NOT INDEPENDENT. When the official close and the issuer quote both exist they are cross-checked.
Settlement
Products settle once, permissionlessly, from oracle reports whose key binds instrument, method, session date and observation time. A report for another time can never settle a product. If no valid report exists within the delay window the halt policy applies: refund, or the fallback observation.
Jurisdiction and eligibility
Not for U.S. persons. Not an offer. Not investment advice.
xStocks are not available to U.S. persons and, through Kraken, not in the US, Canada, the UK or Australia. Ondo Stocks exclude the US, Canada and sanctioned regions. Tokens carry transfer restrictions set by their issuers (permanent delegate, pausable mint).
Risks
- Overnight and weekend gaps can reverse at the open.
- Onchain books can be thin; check gap by size.
- Issuers can pause or claw back tokens (permanent delegate).
- The free reference is the issuer's own quote, not an independent oracle.
- Programs are not audited and not on mainnet.
Worked example Hypothetical
LINEAR_CAPPED opening-gap product: reference close $200.00, cap 500 bp, 100.00 USDC collateral per pair. Computed by the production payoff engine (integer math, truncation toward zero; share in parts per 1,000,000).
| Observed at open | Return | Long share | LONG pays | SHORT pays |
|---|---|---|---|---|
| $203.00 | 150 bp | 65.00% | 65.00 USDC | 35.00 USDC |
| $180.00 (capped) | -1000 bp | 0.00% | 0.00 USDC | 100.00 USDC |