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ADL

Contract: KCU_USDT_PERP

Quote: USDT / KCU 1 Contract = 1 KCU PnL_Long = (Mark - Entry) × Qty PnL_Short = (Entry - Mark) × Qty KAI.COM KCU Perpetual Core Model V4.3 - 3 / 18 Trading Time = 7 × 24 × 365 Funding Times = UTC 00:00 / 08:00 / 16:00

KCU-Index

KCU-Trade

KCU-Consume

For each source i: NormalizedPrice_i = RawPrice_i × Hardware_Adjustment_i × Availability_Adjustment_i × Latency_Adjustment_i RawWeight_i = BaseWeight_i × DQS_i × Freshness_i × Independence_i × Depth_i × OutlierPenalty_i FinalWeight_i = RawWeight_i / Σ RawWeight_i KAI100 = WeightedMedian(NormalizedPrice_i, FinalWeight_i) IndexDispersion = WeightedMAD(NormalizedPrice_i / KAI100 - 1) IndexConfidenceBand = ± max(1.5%, 2.5 × IndexDispersion) IndexHealth = 0.25×SourceScore + 0.25×DQS_avg + 0.20×FreshnessScore + 0.20×DispersionScore + 0.10×UptimeScore KAI.COM KCU Perpetual Core Model V4.3 - 4 / 18

Shadow

If |SourcePrice_i / WeightedMedian - 1| > 3 × WeightedMAD: SourcePrice_i = winsorize_to_boundary If |SourcePrice_i / WeightedMedian - 1| > 15%: Source_i = review_queue Weight_i = 0 for 30 minutes If independent_sources < 4: IndexHealth <= 70 MarketState cannot be Normal If IndexHealth < 60: New positions disabled MarketState = Reduce-Only or Cancel-Only

KAI.COM KCU Perpetual Core Model V4.3 - 5 / 18

Confidence-Weighted Impact Mark。 3.1 Impact价格 ImpactNotional = clamp(0.05% × OpenInterest, 5,000 USDT, 25,000 USDT) ImpactBid = sell ImpactNotional into book, obtain average executable price ImpactAsk = buy ImpactNotional into book, obtain average executable price ImpactMid = (ImpactBid + ImpactAsk) / 2 BookSpread = (ImpactAsk - ImpactBid) / ImpactMid BookDepthScore = min(DepthWithin1Percent / ImpactNotional, 1.0)

RawBasis = ImpactMid / KAI100 - 1 BasisCap = clamp(max(1.5%, 2 × RealizedVol_1h, 1.5 × BookSpread), 1.5%, 8.0%) BoundedBasis = clamp(RawBasis, -BasisCap, +BasisCap) BasisEWMA = EWMA(BoundedBasis, half_life = 30 minutes)

IndexWeight = clamp(IndexHealth / 100, 0.60, 0.90) BookWeight = 1 - IndexWeight If BookDepthScore < 0.5: BookWeight = BookWeight × BookDepthScore IndexWeight = 1 - BookWeight MarkPrice = KAI100 × (1 + BookWeight × BasisEWMA) MarkPrice must stay inside KAI100 ± IndexConfidenceBand unless MarketState = Emergency

Normal Book 双边1%深度 >= ImpactNotional 正常Impact Mark

Weak Book

ImpactNotional BookWeight减半

Thin Book

ImpactNotional

Only Broken Book

Basis Cancel-Only KAI.COM KCU Perpetual Core Model V4.3 - 6 / 18

Premium = MarkPrice / KAI100 - 1 Premium_8h = EWMA(Premium, half_life = 2 hours, window = 8 hours) DeadZone = 0.30% PremiumComponent = sign(Premium_8h) × max(|Premium_8h| - DeadZone, 0) × 0.05 InterestComponent = 0.005% per 8h LiquidityProtection = f(BookDepthScore, IndexHealth, MarketState) Funding_8h = clamp(InterestComponent + PremiumComponent + LiquidityProtection, -Cap_State, +Cap_State)

Cap/Floor

Normal ±0.25% / 8h

Guard ±0.50% / 8h

Reduce-Only ±0.75% / 8h

Cancel-Only

Emergency

If BookDepthScore < 0.5 and |Premium_8h| < 2%: LiquidityProtection = -sign(Premium_8h) × 0.01% # 防止薄盘口导致过度资金费 If IndexHealth < 70:

If Premium_8h hits Cap for 3 consecutive funding windows: MarketState cannot be Normal IMR volatility addon +5%

Premium_8h

PremiumComponent Interest Funding_8h 0.20% Normal

Normal (1.00%-0.30%)×0.05=0.035% 0.005% 0.040% 5.00% Guard (5.00%-0.30%)×0.05=0.235% 0.005% 0.240% 12.00% Guard 0.585% 0.005% 0.50%触cap KAI.COM KCU Perpetual Core Model V4.3 - 7 / 18 Premium_8h

PremiumComponent Interest Funding_8h 12.00% Reduce-Only 0.585% 0.005%

StressLoss = Z_conf × Sigma_liq_horizon + CloseoutCost + IndexUncertainty + CollateralHaircut IMR_risk_floor = StressLoss IMR_effective = max( IMR_user_floor, IMR_position_tier, IMR_risk_floor + ConcentrationAddon, IMR_market_state_floor ) MMR_effective = max( 0.55 × IMR_effective, MMR_position_tier, CloseoutCost + IndexUncertainty + 5% )

Z_conf 2.33

Sigma_liq_horizon

CloseoutCost max(1.0%, 2×BookSpread, 1.5×ImpactSlippage)

IndexUncertainty IndexConfidenceBand的一半，最低0.75%

CollateralHaircut

MarketStateFloor Normal 0 / Guard 5% / Reduce 10% / Cancel 仅

KAI.COM KCU Perpetual Core Model V4.3 - 8 / 18

IMR_user_floor

1x 100% 50% 5,000 USDT

3x 33.3% 20% 50,000 USDT

5x 20% 12.5% 250,000 USDT

5x 20% 12.5% 1,000,000 USDT

5x-8x 12.5%-20% 8%-12.5%

IMR_position_tier MMR_position_tier

SideConcentration = UserSameSideNotional / MarketSameSideOpenInterest If SideConcentration > 5%: ConcentrationAddon = +5% If SideConcentration > 10%: ConcentrationAddon = +10%, block same-side open orders If SideConcentration > 20%: reduce-only + manual review

Long Position: Equity(P) = Margin + (P - Entry) × Qty - PendingFunding - FeeReserve Maintenance(P) = P × Qty × MMR_effective + MaintenanceAmount Trigger: Equity(P_mark) <= Maintenance(P_mark) Short Position: Equity(P) = Margin + (Entry - P) × Qty - PendingFunding - FeeReserve Maintenance(P) = P × Qty × MMR_effective + MaintenanceAmount Trigger: Equity(P_mark) <= Maintenance(P_mark) KAI.COM KCU Perpetual Core Model V4.3 - 9 / 18

P_liq_long = (Entry×Qty + MaintenanceAmount + PendingFunding + FeeReserve - Margin) / (Qty × (1 - MMR_effective)) P_liq_short = (Margin + Entry×Qty - MaintenanceAmount - PendingFunding - FeeReserve) / (Qty × (1 + MMR_effective))

P_bank_long = Entry - (Margin - PendingFunding - FeeReserve) / Qty P_bank_short = Entry + (Margin - PendingFunding - FeeReserve) / Qty

TargetMarginRatio = MMR_effective + RecoveryBuffer RecoveryBuffer = max(3%, 1.5 × BookSpread, IndexUncertainty) Liquidation engine chooses ReduceQty x such that: PostEquity / PostNotional >= TargetMarginRatio If x calculated < 25% × Qty: x = 25% × Qty If x calculated > 60% × Qty: x = 60% × Qty, then repeat after 30s Max rounds = 3 before account takeover

MR <= 150% × MMR

MR <= 125% × MMR 仅允许reduce-only

Equity <= Maintenance + Buffer

Example: Long 10,000 KCU, Entry = 3.00, IMR = 33.3%, MMR = 20% Margin = 3.00 × 10,000 × 33.3% = 9,990 USDT FeeReserve = 30 USDT P_liq = (3.00×10,000 + 30 - 9,990) / (10,000 × 0.80) = 20,040 / 8,000 = 2.505 USDT/KCU P_bank = 3.00 - (9,990 - 30) / 10,000 = 2.004 USDT/KCU KAI.COM KCU Perpetual Core Model V4.3 - 10 / 18 Liquidation begins around 2.505, bankruptcy occurs around 2.004. The system has about 20% price buffer to close or take over.

PriceBand = clamp( max(2.0%, 4 × RealizedVol_15m, 1.5 × BookSpread_EWMA, IndexConfidenceBand), 2.0%, 10.0% ) AllowedBuyPrice <= MarkPrice × (1 + PriceBand) AllowedSellPrice >= MarkPrice × (1 - PriceBand) Market orders are converted into IOC limit orders inside the band.

Normal IndexHealth≥80，Vol1h<3%，Spread<1.5%

Guard IndexHealth 70-80 或 Vol1h 3%-5% 或 Spread 1.5%-3%

IMR+5%，Funding cap ±0.50% Reduce-Only IndexHealth 60-70 或 Vol1h 5%-8% 或 Spread>3%

IMR+10%，Funding cap ±0.75% Cancel-Only

Emergency Settlement

Cancel-Only -> Reduce-Only: Index replay OK + orderbook consistency OK + ledger consistency OK Reduce-Only -> Guard: IndexHealth >= 75 for 30 minutes + Spread < 3% + no missing core source Guard -> Normal: IndexHealth >= 80 for 60 minutes + Vol1h < 3% + Spread < 1.5% KAI.COM KCU Perpetual Core Model V4.3 - 11 / 18 IMR reduction after recovery: reduce 1%-2% every 10 minutes, never jump back immediately.

StressShortfall = max( P99_5_24h_CloseoutLoss, Top2_Account_Simultaneous_Default, MM_Exit_Shock_Loss ) InsuranceFundTarget = max( 250,000 USDT, 2.5% × OpenInterest, StressShortfall )

StressLossRate = StressShortfall / OpenInterest AllowedOI = min( HardCap_Phase, InsuranceFund / max(StressLossRate, 2.5%), MarketDepth_1pct × 20, IndexReliableVolume_24h × 10 ) If OpenInterest > 90% × AllowedOI: block new high-leverage positions raise IMR +5% If OpenInterest > AllowedOI: new positions disabled, reduce-only for accounts increasing risk

ADL

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ADLScore = 0.40 × PnLRank + 0.30 × EffectiveLeverageRank + 0.20 × SizeRank + 0.10 × CrowdingRank EffectiveLeverage = PositionNotional / AccountEquity CrowdingRank = SameSidePosition / SameSideOI UI displays ADL indicator from 1 to 5 bars. Users cannot pay to lower ADL priority.

Normal ≤1.5%，Guard ≤2.5% (Ask-Bid)/Mid

MMQualityScore = 0.20 × UptimeScore + 0.20 × SpreadScore + 0.20 × DepthScore + 0.15 × ImpactCostScore + 0.10 × QuoteLifeScore + 0.10 × FillRatioScore + 0.05 × BehaviorScore Score >= 85: maker rebate + leverage privilege maintained 70 <= Score < 85: no rebate, privilege unchanged 60 <= Score < 70: warning + limit reduction Score < 60: market maker privilege suspended

MMDefaultFund = MM_CreditLine × 1%-3% If MM wants 8x leverage: required MMDefaultFund >= 3% × MM_CreditLine QualityScore >= 85 for 14 consecutive days KAI.COM KCU Perpetual Core Model V4.3 - 13 / 18 If QualityScore < 70: maximum leverage reduced to 5x If QualityScore < 60: reduce-only until default fund and quotes normalize

IndexHealth≥70 ≤100,000 USDT 1x-2x

Spread≤3% Phase 1 主力

IndexHealth≥75 ≤500,000 USDT

IndexHealth≥80 ≤5,000,000 USDT

Self-made samples are allowed only for:

calibrating DQS parameters
testing funding sensitivity
simulating liquidation under synthetic order flow
validating event replay Self-made samples are not allowed for:
formal KAI100 settlement index
MarkPrice source
triggering user liquidation
funding settlement input

Phase 0B Phase 1

100,000 USDT 500,000 USDT

100,000 USDT 250,000 USDT

10,000 USDT 50,000 USDT KAI.COM KCU Perpetual Core Model V4.3 - 14 / 18

Phase 0B Phase 1

If InsuranceFundConsumption > 50% in stress test: raise IMR_market_state_floor +5% reduce AllowedOI by 20% If ADL triggered in Normal stress more than 1% of accounts: increase InsuranceFundTarget multiplier from 2.5% OI to 3.0% OI If MaxLiquidationSlippage > 3%: raise CloseoutCost and reduce max position tier If IndexHealth < 75 for 3 consecutive days: block Phase upgrade and reduce internal source weight to 0 If funding cap hit 3 windows consecutively: state cannot return to Normal until Premium_8h < 2% for 8 hours

IndexHealth / IndexDispersion

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Mark-KAI100 Basis

BookDepthScore / ImpactCost

InsuranceFundCoverage

StressShortfall

LiquidationSlippage 校准CloseoutCost ADLQueueDistribution

MMQualityScore

KAI100_UPDATED 价格、源列表、权重、DQS、IndexHealth、ConfidenceBand MARK_UPDATED MarkPrice、ImpactMid、BasisEWMA、BookDepthScore、PriceBand ORDER_ACCEPTED/REJECTED

TRADE_EXECUTED

MARGIN_CHANGED

FUNDING_SETTLED

LIQUIDATION_ACTION

STATE_TRANSITION

Invariant 1: replay(events) must reproduce all balances and positions exactly. Invariant 2: liquidation decision must be reproducible from logged MarkPrice and logged margin parameters. Invariant 3: funding settlement must be reproducible from logged components, not recalculated using current index. Invariant 4: any state transition must include metrics that triggered it. Invariant 5: no manual correction can bypass event chain; corrections are new events.

KCU_USDT_PERP KAI.COM KCU Perpetual Core Model V4.3 - 16 / 18

KCU Phase 1定义

Mark ImpactNotional clamp(0.05%×OI, 5k, 25k) USDT Mark BasisCap clamp(max(1.5%, 2×Vol1h, 1.5×Spread), 1.5%, 8%) Funding Interest 0.005% / 8h Funding DeadZone 0.30% premium Funding Premium multiplier

Funding Cap Normal/Guard/Reduce

Margin

IMR 12.5%-20%，MMR 8%-12.5% Margin

Liquidation RecoveryBuffer max(3%, 1.5×Spread, IndexUncertainty) Liquidation

PriceBand

clamp(max(2%, 4×Vol15m, 1.5×Spread, ConfidenceBand), 2%, 10%) Insurance

max(250k, 2.5%×OI, StressShortfall) ADL

Cold Start Phase 1 OI上限

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