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": "1685516400",
"enactmentTimestamp": "1685520000",
"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:2023-05-31T08:00:00Z",
"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"
}
}
}