VMP-005 - Create market - ETH/USDT Future - 2023/09/30

VMP-005 - Create market - ETH/USDT Future - 2023/09/30

This is a quarterly ETH/USDT futures contract expiring on 2023/09/30 08:00:00 UTC time on Vega network.

Market Summary:

Name:
ETH/USDT expiry 2023 Sept 30th

Settlement asset:
USDT

Rationale:
ETH is the second largest Crypto asset with the highest volume and Marketcap.

Market Details:

Instrument:
ETH/USDT-230930

Settlement data source:
CoinbaseOracle

Risk model:
Lognormal Risk Model

Liquidity monitoring parameters:

{
    "targetStakeParameters": {
        "timeWindow": "3600",
        "scalingFactor": 1
    },
    "triggeringRatio": "0.7",
    "auctionExtension": "1"
}

Price monitoring parameters:

{
  "triggers": [
    {
      "horizon": "3600",
      "probability": "0.9999",
      "auctionExtension": "120"
    },
    {
      "horizon": "14400",
      "probability": "0.9999",
      "auctionExtension": "180"
    },
    {
      "horizon": "43200",
      "probability": "0.9999",
      "auctionExtension": "300"
    }
  ]
}

Proposal JSON:

{
    "proposalSubmission": {
        "reference": "ETH/USDT-230930",
        "terms": {
            "closingTimestamp": "1686834000",
            "enactmentTimestamp": "1686837600",
            "newMarket": {
                "changes": {
                    "instrument": {
                        "name": "ETH/USDT expiry 2023 Sept 30th",
                        "code": "ETH/USDT-230930",
                        "future": {
                            "settlementAsset": "bf1e88d19db4b3ca0d1d5bdb73718a01686b18cf731ca26adedf3c8b83802bba",
                            "quoteName": "USDT",
                            "dataSourceSpecForSettlementData": {
                                "external": {
                                    "oracle": {
                                        "signers": [
                                            {
                                                "ethAddress": {
                                                    "address": "0xfCEAdAFab14d46e20144F48824d0C09B1a03F2BC"
                                                }
                                            }
                                        ],
                                        "filters": [
                                            {
                                                "key": {
                                                    "name": "prices.ETH.value",
                                                    "type": "TYPE_INTEGER",
                                                    "numberDecimalPlaces": "6"
                                                },
                                                "conditions": [
                                                    {
                                                        "operator": "OPERATOR_GREATER_THAN",
                                                        "value": "0"
                                                    }
                                                ]
                                            },
                                            {
                                                "key": {
                                                    "name": "prices.ETH.timestamp",
                                                    "type": "TYPE_TIMESTAMP"
                                                },
                                                "conditions": [
                                                    {
                                                        "operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
                                                        "value": "1696060800"
                                                    }
                                                ]
                                            }
                                        ]
                                    }
                                }
                            },
                            "dataSourceSpecForTradingTermination": {
                                "internal": {
                                    "time": {
                                        "conditions": [
                                            {
                                                "operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
                                                "value": "1696060800"
                                            }
                                        ]
                                    }
                                }
                            },
                            "dataSourceSpecBinding": {
                                "settlementDataProperty": "prices.ETH.value",
                                "tradingTerminationProperty": "vegaprotocol.builtin.timestamp"
                            }
                        }
                    },
                    "metadata": [
                        "base:ETH",
                        "quote:USDT",
                        "class:fx/crypto",
                        "quarterly",
                        "sector:defi",
                        "enactment:2023-06-15T14:00:00Z",
                        "settlement:2023-09-30T08:00:00Z"
                    ],
                    "priceMonitoringParameters": {
                        "triggers": [
                            {
                                "horizon": "3600",
                                "probability": "0.9999",
                                "auctionExtension": "120"
                            },
                            {
                                "horizon": "14400",
                                "probability": "0.9999",
                                "auctionExtension": "180"
                            },
                            {
                                "horizon": "43200",
                                "probability": "0.9999",
                                "auctionExtension": "300"
                            }
                        ]
                    },
                    "liquidityMonitoringParameters": {
                        "targetStakeParameters": {
                            "timeWindow": "3600",
                            "scalingFactor": 1
                        },
                        "triggeringRatio": "0.7",
                        "auctionExtension": "1"
                    },
                    "logNormal": {
                        "riskAversionParameter": 0.000001,
                        "tau": 0.0001140771161,
                        "params": {
                            "sigma": 1.5
                        }
                    },
                    "decimalPlaces": "2",
                    "positionDecimalPlaces": "3",
                    "lpPriceRange": "0.8",
                    "linearSlippageFactor": "0.001",
                    "quadraticSlippageFactor": "0.0"
                }
            }
        },
        "rationale": {
            "description": "## Summary\n\nThis proposal requests to list ETH/USDT-230930 as a market with USDT as a settlement asset on the Vega Network as discussed in: https://community.vega.xyz/.\n\n## Rationale\n\n- ETH is the second largest Crypto asset with the highest volume and Marketcap.\n- Given the price, 2 decimal places will be used for price due to the number of valid digits in asset price. \n- Position decimal places will be set to 3 considering the value per contract\n- USDT is chosen as settlement asset due to its stability.",
            "title": "ETH/USDT-230930"
        }
    }
}

1 Like

The team will be focusing on providing feedback and support around VMP-001, VMP-004, and VMP-007 this week since these June ME expiry markets are the most time sensitive.

They will come back to this proposal once those are submitted for voting.

This is using the same risk/price monitoring parameters as the June expiration so the same plots as shown here should still apply

These two should be updated to reflect the rest of the proposal.
These two should be updated to reflect the rest of the proposal.

"closingTimestamp": "1684933200",
"enactmentTimestamp": "1684936800",

Updated, please review!

The current figures are the following.

"closingTimestamp": "1686834000", ->GMT: Thursday, 15 June 2023 13:00:00

"enactmentTimestamp": "1686837600", ->GMT: Thursday, 15 June 2023 14:00:00


Yes. This is the recommended enactment time we got from Vega Team. If this looks ok we’re gonna go ahead and submit ETH Sept.

I do not see any issues with the proposal, and if you are happy with how the similar markets that are live behaved, then I think it looks good from a technical standpoint.

I do not see any issues with the proposal, and if you are happy with how the similar markets that are live behaved, then I think it looks good from a technical standpoint.

Update:
The proposal was submitted to the Governance dapp for a vote and passed.
The proposal has been enacted
Adding link to proposal on-chain here