Market Feed

The purpose of the Market Feed is to provide the protocol with up-to-date info on the market price, trading volume, and volatility of protocol currencies: the WLDT, the WLDT Rights token, and each Vault asset. The primary input to the Market Feed is

11The minimum WLDT Rights token auction price will be specified as a parameter of the protocol at mainnet launch.

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the recent, off-chain history of major cryptocurrency exchanges. The primary output of the Market Feed is an on-chain summary of this data, reported and updated every 30 minutes.12

The Market Feed is necessarily an oracle system [10], as the information it requires is unavailable on the blockchain itself. The Market Feed is composed of:

• The on-chain Record Book

• A collection of off-chain, trusted Reporters

Each trusted Reporter periodically fetches market data, summarizes that data, and sends the resulting report to the on-chain Record Book. The Record Book checks the authorization and consistency of reports and maintains long-term summaries of market data.

5.4.1 Reports and Records

Reporters provide packets of off-chain data to the on-chain record book. Each such packet of data is a report. Each report summarizes the last 30 minutes of trading from each major exchange on which an asset trades. A report summarizes market data about each of the protocol’s assets, including volume, volatility, and average price. Volume is simply the sum of quantities of trades of that asset. Average price is a volume- and time-weighted average of prices across trades. Volatility is the volume-weighted variance of prices in the 30-minute window.

When the on-chain Record Book has accepted a matching set of reports, it combines the summaries with its short history of recent summaries to compute volume, volatility, and price over the last 4 hours.13 Both the 30-minute fast average and the 4-hour slow average are used by the rest of the protocol.

5.4.2 Reporters

Each Reporter is a program running outside the Ethereum blockchain and inside a secure, trusted execution enclave. At launch, we plan to rely on reporters we build ourselves. However, decentralized aggregator oracle solutions such as ChainLink [11] are preferred. We will likely switch over to ChainLink (or a similar solution) as it comes online and gains significant adoption.

Until ChainLink or a similar solution is available and trustworthy, we require the following properties of a Reporter:

• Each secure enclave provides cryptographic remote attestation of the installed program.

12The reporting period is a tradeoff. Factors affecting its value include market volatility, how quickly the protocol can affect prices, and the costs per operation of each Reporter. The protocol could dynamically adjust this period, though a static period has the virtue of simplicity.

13Like with the reporting period of 30 minutes, the slow-average period is a trade-off between how expensive we can make a market-manipulation attack and the protocol’s ability to quickly respond to natural changes in the market.

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• Each secure enclave provides read-and-tamper-proofing of Reporter memory.

• Each Reporter runs a distinct implementation of the market-summarization pro-

  gram.

  5.4.3 The Record Book

  The Record Book compares the market reports from its Reporters. If they agree, and further reports from those Reporters’ accounts do not appear in the next 2 minutes, then the Record Book accepts the reports.14 If a clear majority of reports agree, but some minority disagrees, then the majority report is accepted, and minority Reporters lose their authorization. If reports disagree without a majority, then the Record Book concludes there is insufficient information available. No auctions will be launched while there is insufficient price feed information available.