VMP-12 - Create Market - ETH/USD(USDT) Perpetual

It also looks like “quote” in the metadara should be USD given the oracle?

Hey @barney,

agree with this and sorry I didn’t think about it.

Please see the new JSON:

{
  "rationale": {
    "title": "VMP-12 - Create Market - ETH/USD(USDT)-PERP",
    "description": "This is a perpetual futures market for Ethereum (ETH) denominated in USD and settled in USDT."
  },
  "terms": {
    "newMarket": {
      "changes": {
        "linearSlippageFactor": "0.001",
        "quadraticSlippageFactor": "0",
        "decimalPlaces": "2",
        "positionDecimalPlaces": "3",
        "instrument": {
          "name": "ETH/USD(USDT)-PERP",
          "code": "ETH/USD-PERP",
          "perpetual": {
            "settlementAsset": "bf1e88d19db4b3ca0d1d5bdb73718a01686b18cf731ca26adedf3c8b83802bba",
            "quoteName": "USD",
            "marginFundingFactor": "0.95",
            "interestRate": "0",
            "clampLowerBound": "0",
            "clampUpperBound": "0",
            "dataSourceSpecForSettlementData": {
              "external": {
                "ethOracle": {
                  "address": "0x5f4eC3Df9cbd43714FE2740f5E3616155c5b8419",
                  "abi": "[{\"inputs\":[],\"name\":\"latestAnswer\",\"outputs\":[{\"internalType\":\"int256\",\"name\":\"\",\"type\":\"int256\"}],\"stateMutability\":\"view\",\"type\":\"function\"}]",
                  "method": "latestAnswer",
                  "normalisers": [
                    {
                      "name": "eth.price",
                      "expression": "$[0]"
                    }
                  ],
                  "requiredConfirmations": 3,
                  "trigger": {
                    "timeTrigger": {
                      "every": 30
                    }
                  },
                  "filters": [
                    {
                      "key": {
                        "name": "eth.price",
                        "type": "TYPE_INTEGER",
                        "numberDecimalPlaces": 8
                      },
                      "conditions": [
                        {
                          "operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
                          "value": "0"
                        }
                      ]
                    }
                  ]
                }
              }
            },
            "dataSourceSpecForSettlementSchedule": {
              "internal": {
                "timeTrigger": {
                  "conditions": [
                    {
                      "operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
                      "value": "0"
                    }
                  ],
                  "triggers": [
                    {
                      "every": 1800
                    }
                  ]
                }
              }
            },
            "dataSourceSpecBinding": {
              "settlementDataProperty": "eth.price",
              "settlementScheduleProperty": "vegaprotocol.builtin.timetrigger"
            }
          }
        },
        "metadata": [
          "enactment:2023-11-18T14:00:00Z",
          "base:ETH",
          "quote:USD",
          "class:fx/crypto",
          "perpetual",
          "sector:defi"
        ],
        "priceMonitoringParameters": {
          "triggers": [
            {
              "horizon": "43200",
              "probability": "0.9999999",
              "auctionExtension": "300"
            }
          ]
        },
        "liquidityMonitoringParameters": {
          "targetStakeParameters": {
            "timeWindow": "3600",
            "scalingFactor": 1
          },
          "triggeringRatio": "0.1",
          "auctionExtension": "1"
        },
        "logNormal": {
          "tau": 0.000009506426342,
          "riskAversionParameter": 0.000001,
          "params": {
            "mu": 0,
            "r": 0.016,
            "sigma": 1.5
          }
        },
        "liquiditySlaParameters": {
          "priceRange": "0.03",
          "commitmentMinTimeFraction": "0.85",
          "performanceHysteresisEpochs": "1",
          "slaCompetitionFactor": "0.5"
        }
      }
    },
    "closingTimestamp": 1700226000,
    "enactmentTimestamp": 1700229600
  }
}

Hi @Jubi,

The proposal looks sensible to me. I’d just recommend lowering the triggeringRatio within liuqidityMonitoringParameters to something like 0.1 given the current implementation of perps does not play well with prolonged auctions (funding payment will be based on last known mark price which may become stale compared to spot data if the auction is too long) and there’s a release in the works which will remove liquidity monitoring auctions altogether anyway.

2 Likes

I would like the code to be: ETH/USD-PERP

This would look much cleaner in de drop down, next to the futures.

4 Likes

Agree would be best to copy the exact format of BASE/QUOTE-PRODUCT

1 Like

Thanks everyone, I’ve edited the Json and it is now live: VEGA Governance

Does it not make more sense to set these values to create a positive skew in the funding rate? Because then that gives MMs the incentive to actually come to our trading venue and hold the short exposure here rather than elsewhere? Realistically most of the takers will be wanting to go long on the perps since Bitcoin and Eth are highly asymmetrical assets. So skewing the funding rate positive entices MMs to come and provide liquidity on our perps because they can hold the short exposure then hedge it elsewhere and earn the funding rate. So if we just leave these params at 0 then it is less attractive for MMs to provide liquidity on our perps.

With no skew to the funding rate then there is only incentive for MMs to hold short exposure while the price is highly deviated, as soon as the mark price TWAP returns to par with the spot price TWAP then the funding rate goes to 0 and there is no longer any incentive to hold the short exposure. So realistically the deviation might not even return to par because MMs might just close out their short exposure and go to another perp venue that has a positive skew on funding rates because it’s more profitable for them to do so.

I think we should update the market soon after enactment with a positive interest rate and some reasonable clamp values.

1 Like

Your arguments make sense - but I don’t know what the answer is. It would be good to hear from some of the MMs on the topic.

The clamp and interest rate around funding can of course be changed via governance later like most of the other parts of the proposal.

I agree with Ed, I think it’s very important to do this ASAP after enactment of the market

1 Like