Internal

IPD comes from order book depth: it compares the current oracle price to the impact bid and impact ask, which are the average execution prices to trade a configured impact notional on each side. If a side has insufficient depth, that side contributes 0.
Continuous-time EMA update: the oracle evolves smoothly over time (robust to irregular updates and market halts) using a time constant τ = 1 hour. The update caps the per-tick influence via c = 0.1, meaning the new sample weight is at most about 9.5% per update.
Seamless switchovers: when external data drops, the internal oracle initializes from the last external price. When external inputs resume, the oracle reverts to the external spot on the next tick.
Safety remains in place: the mark price constraints (including the 1 / max leverage band versus last external spot) still limit single-tick jumps, including during weekend or closed session conditions.
Practical effect of τ = 1 hour: faster reflection of price discovery during closed sessions and reduced funding drag on genuine gap moves, while keeping the same safety properties.

With oracle price S, the impact price difference (IPD) is defined as:

\text{IPD} = \max\!\left(P_{\text{impactBid}} - S,\; 0\right) \;-\; \max\!\left(S - P_{\text{impactAsk}},\; 0\right)

The oracle is robust to irregular updates and market halts. It uses a time constant τ = 1 hour and updates as:

S_t = \beta_t S_{t^{-}} + (1 - \beta_t) x_t, \qquad \beta_t = \exp\!\left(-\frac{\Delta t^*}{\tau}\right), \qquad x_t = S_t + \mathrm{IPD}_t

where:

\Delta t^* = \min(\Delta t,\; c\tau), \qquad \Delta t = t - t_{\text{prev}}, \qquad

and

c = 0.1, 1 - \beta_t \le 1 - e^{-0.1} \approx 9.5\%

Note: This provides the more general form of the continuous-time EMA. Component (2) of the mark price samples the basis:

x_t = S_t - P_{\text{mid},t}

with a time constant τ = 150 seconds.