VMP-009 - Create market - LINK/USDT Future - 2023/12/31

VMP-009 - Create market - LINK/USDT Future - 2023/12/31

This is a quarterly LINK/USDT futures contract expiring on 2023/12/31 08:00:00 UTC time on Vega network.

Market Summary:

Name:
LINK/USDT expiry 2023 Dec 31th

Settlement asset:
USDT

Rationale:
LINK is among the top 20 largest Crypto asset with the highest volume and Marketcap.

Market Details:

Instrument:
LINK/USDT-231231

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": "60",
      "probability": "0.9999",
      "auctionExtension": "5"
    },
    {
      "horizon": "600",
      "probability": "0.9999",
      "auctionExtension": "30"
    },
    {
      "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": "LINK/USDT-231231",
        "terms": {
            "closingTimestamp": "1693465200",
            "enactmentTimestamp": "1693468800",
            "newMarket": {
                "changes": {
                    "instrument": {
                        "name": "LINK/USDT expiry 2023 Dec 31st",
                        "code": "LINK/USDT-231231",
                        "future": {
                            "settlementAsset": "bf1e88d19db4b3ca0d1d5bdb73718a01686b18cf731ca26adedf3c8b83802bba",
                            "quoteName": "USDT",
                            "dataSourceSpecForSettlementData": {
                                "external": {
                                    "oracle": {
                                        "signers": [
                                            {
                                                "LINKAddress": {
                                                    "address": "0xfCEAdAFab14d46e20144F48824d0C09B1a03F2BC"
                                                }
                                            }
                                        ],
                                        "filters": [
                                            {
                                                "key": {
                                                    "name": "prices.LINK.value",
                                                    "type": "TYPE_INTEGER",
                                                    "numberDecimalPlaces": "6"
                                                },
                                                "conditions": [
                                                    {
                                                        "operator": "OPERATOR_GREATER_THAN",
                                                        "value": "0"
                                                    }
                                                ]
                                            },
                                            {
                                                "key": {
                                                    "name": "prices.LINK.timestamp",
                                                    "type": "TYPE_TIMESTAMP"
                                                },
                                                "conditions": [
                                                    {
                                                        "operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
                                                        "value": "1704009600"
                                                    }
                                                ]
                                            }
                                        ]
                                    }
                                }
                            },
                            "dataSourceSpecForTradingTermination": {
                                "internal": {
                                    "time": {
                                        "conditions": [
                                            {
                                                "operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
                                                "value": "1704009600"
                                            }
                                        ]
                                    }
                                }
                            },
                            "dataSourceSpecBinding": {
                                "settlementDataProperty": "prices.LINK.value",
                                "tradingTerminationProperty": "vegaprotocol.builtin.timestamp"
                            }
                        }
                    },
                    "metadata": [
                        "base:LINK",
                        "quote:USDT",
                        "class:fx/crypto",
                        "quarterly",
                        "sector:defi",
                        "enactment:2023-08-31T08:00:00Z",
                        "settlement:2023-12-31T08:00:00Z"
                    ],
                    "priceMonitoringParameters": {
                        "triggers": [
                            {
                                "horizon": "60",
                                "probability": "0.9999",
                                "auctionExtension": "5"
                            },
                            {
                                "horizon": "600",
                                "probability": "0.9999",
                                "auctionExtension": "30"
                            },
                            {
                                "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": "3",
                    "positionDecimalPlaces": "2",
                    "lpPriceRange": "0.8",
                    "linearSlippageFactor": "0.001",
                    "quadraticSlippageFactor": "0.0"
                }
            }
        },
        "rationale": {
            "description": "## Summary\n\nThis proposal requests to list LINK/USDT-231231 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- LINK is among the top 20 largest Crypto asset with the highest volume and Marketcap.\n- Given the price, 3 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 2 considering the value per contract\n- USDT is chosen as settlement asset due to its stability.",
            "title": "LINK/USDT-231231"
        }
    }
}


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.

@Yy-Shadow Similarly to the BTC market I’d suggest: I

  1. we should tighten lpPriceRange to maybe 0.1 or even 0.05 to make it harder for any LP to “freeride” on others’ liquidity.
  2. maybe we can consider moving tau from 0.0001140771161 (which is currently the year fraction corresponding to 1h) to 0.000009506426342 (which would correspond to 5 min).