Settlement TWAP
How Kimp Contracts settle on the 1-hour time-weighted average of 60 one-minute index samples, and why a TWAP is used.
Positions held to expiry settle in cash against the 1-hour TWAP of the Kimp Index, not against a single value. This page defines the TWAP and the settlement process.
Definition#
settlement_bps = (1 / n) × Σ index_bps(i), for each finalized sample i in 07:00–08:00 UTCn = number of finalized samples in the window (maximum 60)| Parameter | Value |
|---|---|
| Window | Friday 07:00 to 08:00 UTC |
| Sample interval | One minute, one sample per epoch |
| Samples | 60 when every epoch finalizes |
| Weighting | Equal |
| Sample eligibility | Epochs finalized with quorum; stale epochs excluded |
| Minimum samples | 30 of 60, otherwise expiry is extended |
| Rounding | Nearest whole bps, halves away from zero |
Because epochs are equal in length, a time-weighted average of finalized values is the arithmetic mean of the samples.
Example#
A BTC series is in its settlement window. The 60 samples average 310.4 bps. The settlement value is +310 bps.
A Long premium position opened at +120 bps settles with Δ = 310 − 120 = +190 bps. A 10,000 USD notional position receives 10,000 × 190 / 10,000 = 190 USD before fees. See Worked P&L examples.
Why a TWAP#
A single value at 08:00 would be a target. Anyone able to push Upbit's last trade, or a global venue's last trade, for one minute could move the settlement of every open position.
With a 60-sample average, one distorted sample has one sixtieth of the effect. A 300 bps distortion in one sample moves the settlement value by 5 bps. Moving the settlement value by 10 bps requires sustaining a 10 bps distortion across the whole hour, or a 600 bps distortion for one minute. A move of that size in a single epoch would also trigger the circuit guard, which requires reports from two thirds of the active set. See Sampling and median.
The attack cost is paid on external venues against real liquidity for a full hour, while the protection comes from the median across reporters and venues, the circuit guard and the TWAP together.
Settlement process#
- 1At 07:00 UTC the expiring series becomes reduce-only. Closes remain allowed at the mark.
- 2KimpIndex records each finalized value from 07:00 to 08:00 as a settlement sample for the series.
- 3At 08:00 UTC, if at least 30 samples exist, the settlement value is fixed. Settlement can then be triggered by anyone.
- 4Each open position's P&L is computed at the settlement value, the settlement fee of 0.02% of notional is deducted, and the remaining equity becomes claimable by the trader.
- 5The next weekly series lists.
Settlement does not charge the 0.05% closing fee and does not carry a skew charge. It is not a trade.
Fewer than 30 samples#
If fewer than 30 samples exist, for example because Upbit halted the asset during the window, expiry is extended by 1 hour and the test is repeated on the 60 minutes before the new expiry. Extensions continue up to 24 hours. If no window reaches 30 samples, the series settles at the last finalized value. See Edge cases.
Finality#
The settlement value is final once fixed. Disputes against individual epochs affect reporter bonds, not settled positions. See Dispute rules.