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Every peg-monitoring system eventually faces the same problem: a noisy signal that crosses a threshold a dozen times in a single minute. The first alert is useful. The next ninety-nine are spam — and the user mutes the channel within an hour. The fix is hysteresis. Hysteresis means a state machine remembers where it came from. Going up needs a higher threshold than coming back down. It’s the same logic a household thermostat uses: heat turns on at 19°C, but won’t turn off until the room reaches 21°C. Without that gap, the heater clicks on and off every few seconds.

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The state ladder, explicitly

Pegana has five peg states for every monitored asset:
  • PEGGED — spread inside the calm band; no alert.
  • DRIFT — spread crossed the per-asset drift threshold; subscribers are notified.
  • DEPEG — spread crossed depeg; more urgent alert framing.
  • CRITICAL — spread crossed critical; the system explicitly tags the asset as actively breaking.
  • BLACK_SWAN — the most extreme band, reachable from both the spread path (a discount beyond 2× critical, per-asset overridable) and the CR path (hyUSD, CR < 100%). It auto-exits via the normal hysteresis like every other band — not a no-reset terminal state (ADR-0025).
UNKNOWN is a non-alerting status, not a severity band. On routine stale or low-confidence input the engine skips the recompute and holds the last published state rather than flipping to UNKNOWN; it does publish honest-dark UNKNOWN at cold-start and when an anchor is detectably broken (a >10% premium on a NAV-priced asset → the NAV-sanity gate, ADR-0025).

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Asymmetric enter and exit

For an LST with a drift threshold at 30 bps:
  • PEGGED → DRIFT: the smoothed spread must cross 30 bps and stay there for 30s.
  • DRIFT → PEGGED: the smoothed spread must fall to 22 bps (30 × 0.75) AND stay there for 120s.
  • DRIFT → DEPEG: the smoothed spread must cross 100 bps and stay there for 30s.
  • DEPEG → DRIFT: the smoothed spread must fall to 75 bps (100 × 0.75) AND stay there for 120s.
Notice the asymmetry. The exit threshold sits 25% below the entry threshold (DEADBAND_PCT = 25%). Combined with the 120-second exit dwell, this means a signal noisily oscillating in the 25–35 bps range stays in DRIFT for the entire duration — one alert at entry, none in the middle, one transition back when the underlying actually heals.

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Why the exit dwell is longer than the entry dwell

Entering a stressed state is something subscribers want fast — a 30-second confirmation is plenty. Exiting back to PEGGED is something subscribers want to trust — a single tick at 29 bps after a 200 bps spike is not the same as a sustained recovery. Extending the exit dwell to 120s is a small cost (a couple extra minutes of alert state) and a big honesty win. The same logic applies at every state boundary. CRITICAL → DEPEG requires 120s below the critical exit threshold, and BLACK_SWAN decays back the same way once the spread (or hyUSD CR) genuinely recovers — it auto-exits via the normal hysteresis, not a manual operator reset (ADR-0025).

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EWMA smoothing on top of the FSM

Even with asymmetric thresholds, raw ticks are too noisy. Pegana smooths the raw spread with an EWMA (exponentially-weighted moving average) using α = 0.3 by default. That means each new tick contributes 30% to the displayed spread; the prior smoothed value carries 70%. α matters. A higher α (say 0.6) is more responsive but lets transient spikes flip state. A lower α (0.1) is laggy and misses real depegs. 0.3 is calibrated against 24h p99 noise per asset class — it’s tight enough to catch a real depeg inside 15 seconds and loose enough that a single bad Jupiter quote doesn’t trip the alert.

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What this means for downstream consumers

If you’re consuming Pegana’s WebSocket stream as an event source — webhook trigger, prediction-market settlement, insurance payout — you want hysteresis. Without it, you’d see a 1-second DRIFT → PEGGED → DRIFT roundtrip as two separate transitions, and your downstream automation would react twice. Pegana’s published transitions are guaranteed to be sticky for at least the exit dwell window (30s entry, 120s exit). A transition emitted at 12:34:05 means the state held for that long. You can act on the transition immediately and trust it won’t reverse in the next breath.

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Reading the parameters

Every threshold and dwell timer lives in assets.toml and is exposed via /v1/assets/<symbol>/extra. The /thresholds <symbol> command in @PeganaWatchBot returns the same numbers in chat. Reproduce the FSM yourself from raw discount ticks if you want — the parameters are open.

Methodology

Full FSM parameters, formulas, exit thresholds per asset class.

State machine

Higher-level overview of the five states.

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Sources