VMP-14 Create Market - LINK/USD(USDT)-Perpetual

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1

VMP-14 Create Market - LINK/USD(USDT) Perpetual

This is a perpetual futures market for Chainlink (LINK) denominated in USD using the LINK/USD Chainlink price feed. This market will be settled in USDT.

Market Summary:
Name:
LINK/USD(USDT) PERPETUAL

Settlement asset:
USDT

Rationale:
LINK already exists as a Vega Futures market and is popular cryptocurrency based on marketcap and daily perpetual trading volume.

Market/Update Details:
Instrument:
LINK/USD(USDT)-PERP

Data source definition for the settlement data oracle:
Chainlink Oracle
0x2c1d072e956affc0d435cb7ac38ef18d24d9127c

Risk model:
Log-Normal

Liquidity monitoring parameters:

"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
          }
        },

Price monitoring parameters:

"priceMonitoringParameters": {
          "triggers": [
            {
              "horizon": "43200",
              "probability": "0.9999999",
              "auctionExtension": "300"
            }
          ]
        },

SLA monitoring parameters:

        "liquiditySlaParameters": {
          "priceRange": "0.03",
          "commitmentMinTimeFraction": "0.85",
          "performanceHysteresisEpochs": "1",
          "slaCompetitionFactor": "0.5"
        }
      }
    },

Full Proposal JSON:

{
  "rationale": {
    "title": "LINK/USD(USDT) Perpetual",
    "description": "This is a perpetual futures market for Chainlink (LINK) denominated in USD using the LINK/USD Chainlink price feed. This market will be settled in USDT."
  },
  "terms": {
    "newMarket": {
      "changes": {
        "linearSlippageFactor": "0.001",
        "quadraticSlippageFactor": "0",
        "decimalPlaces": "3",
        "positionDecimalPlaces": "1",
        "instrument": {
          "name": "LINK/USD(USDT)-PERP",
          "code": "LINK/USD-PERP",
          "perpetual": {
            "settlementAsset": "bf1e88d19db4b3ca0d1d5bdb73718a01686b18cf731ca26adedf3c8b83802bba",
            "quoteName": "USD",
            "marginFundingFactor": "0.95",
            "interestRate": "0",
            "clampLowerBound": "0",
            "clampUpperBound": "0",
            "dataSourceSpecForSettlementData": {
              "external": {
                "ethOracle": {
                  "address": "0x2c1d072e956AFFC0D435Cb7AC38EF18d24d9127c",
                  "abi": "[{\"inputs\":[],\"name\":\"latestAnswer\",\"outputs\":[{\"internalType\":\"int256\",\"name\":\"\",\"type\":\"int256\"}],\"stateMutability\":\"view\",\"type\":\"function\"}]",
                  "method": "latestAnswer",
                  "normalisers": [
                    {
                      "name": "link.price",
                      "expression": "$[0]"
                    }
                  ],
                  "requiredConfirmations": 3,
                  "trigger": {
                    "timeTrigger": {
                      "every": 30
                    }
                  },
                  "filters": [
                    {
                      "key": {
                        "name": "link.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": "link.price",
              "settlementScheduleProperty": "vegaprotocol.builtin.timetrigger"
            }
          }
        },
        "metadata": [
          "enactment:TBD",
          "base:LINK",
          "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": 0,
    "enactmentTimestamp": 0
  }
}
2

Hey, pls see new JSON to match BTC market:

{
  "rationale": {
    "title": "LINK/USD(USDT) Perpetual",
    "description": "This is a perpetual futures market for Chainlink (LINK) denominated in USD using the LINK/USD Chainlink price feed. This market will be settled in USDT. Forum discussion can be found [here](https://community.vega.xyz/t/vmp-14-create-market-link-usd-usdt-perpetual/4372)"
  },
  "terms": {
    "newMarket": {
      "changes": {
        "linearSlippageFactor": "0.001",
        "quadraticSlippageFactor": "0",
        "decimalPlaces": "3",
        "positionDecimalPlaces": "1",
        "instrument": {
          "name": "LINK/USD(USDT)-PERP",
          "code": "LINK/USD-PERP",
          "perpetual": {
            "settlementAsset": "bf1e88d19db4b3ca0d1d5bdb73718a01686b18cf731ca26adedf3c8b83802bba",
            "quoteName": "USD",
            "marginFundingFactor": "0.9",
            "interestRate": "0.1095",
            "clampLowerBound": "-0.0005",
            "clampUpperBound": "0.0005",
            "dataSourceSpecForSettlementData": {
              "external": {
                "ethOracle": {
                  "address": "0x2c1d072e956AFFC0D435Cb7AC38EF18d24d9127c",
                  "abi": "[{\"inputs\":[],\"name\":\"latestAnswer\",\"outputs\":[{\"internalType\":\"int256\",\"name\":\"\",\"type\":\"int256\"}],\"stateMutability\":\"view\",\"type\":\"function\"}]",
                  "method": "latestAnswer",
                  "normalisers": [
                    {
                      "name": "link.price",
                      "expression": "$[0]"
                    }
                  ],
                  "requiredConfirmations": 3,
                  "trigger": {
                    "timeTrigger": {
                      "every": 300
                    }
                  },
                  "filters": [
                    {
                      "key": {
                        "name": "link.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": 28800
                    }
                  ]
                }
              }
            },
            "dataSourceSpecBinding": {
              "settlementDataProperty": "link.price",
              "settlementScheduleProperty": "vegaprotocol.builtin.timetrigger"
            }
          }
        },
        "metadata": [
          "enactment:TBD",
          "base:LINK",
          "quote:USD",
          "class:fx/crypto",
          "perpetual",
          "sector:defi"
        ],
        "priceMonitoringParameters": {
          "triggers": [
            {
              "horizon": "43200",
              "probability": "0.9999999",
              "auctionExtension": "300"
            }
          ]
        },
        "liquidityMonitoringParameters": {
          "targetStakeParameters": {
            "timeWindow": "3600",
            "scalingFactor": 0.05
          },
          "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": 1701820800,
    "enactmentTimestamp": 1701821400
  }
}
1 Like
3

Hey,

This looks mostly fine, any particular reason for an interest rate (within the risk model) of 0.016 and only one price monitoring trigger?

I belive the convention so far has been to populate the enactment date in the metadata (I refer to the proposal that has already been submitted on chain with the actual anticpiated enactment date and not “TBD”).

4

Hey @Witold,

Thanks for the reply. The interest rate is set to 0.016 after the discussion in the BTC perp market thread. I thought I’d just replicate the same structure.

Regarding enactment, oversight on my part apologies. I also missed correctly formatting the title. Would you like me to resubmit the proposals?

5

Hi Jubi,

Thanks for these. One more comment regarding position decimals. With 1 position decimal the margin for the smallest order will be price x 1e-1 x RF = 11 x 0.1 x 0.02264 = 0.029304.

This is probably too low in the sense that someone could spam / ddos the network by placing many “cheap” orders on the book.

I would suggest position decimals of 0.

Also we could consider whether we really need 3 decimals on price so trade with 11.123 or with 11.12. I think in this case 3 is ok but 2 may be better.

By the way the decimals is the one thing we can’t update later with market update. We can update with governance but the process is more painful: one needs to submit a proposal to “close” the current perp market and submit a fresh new one with the right decimals. So all parties will need to “move” their positions.

6

hey Jubi, quick suggestion from my end :slight_smile:

When you re-submit the proposal could you please stick to the naming convention used in the forum i.e. “title”: “[VMP-14 Create Market - LINK/USD(USDT) Perpetual]". That would be helpful when sharing on different channels with the community and keeping the consistency between forum /governance proposals. Thanks

7

That probably just made it’s way into the ETH perp by accident because it appears to be a default in the docs, and since we were using the ETH perp as the basis for further proposals that mistake seems to have been inherited by all subsequent market proposals.

image
image884Ă—520 62.6 KB

8

hey edo, yep this was a silly error on my part apologies

9

Hey @david @Witold @Edo,

Please see the new updated JSON that I plan to resubmit

Edits:

  • Changes to risk params (pls can I have some feedback for this)
  • Fixed decimals places according to David’s feedback
  • Added 2 new price monitoring triggers (modelled off the BTC futures market) please let me know if these are fine.
  • reset interest rate back to 0% with +/-0.5% clamps
  • Fixed title

Before submitting I’ll:

  • fix enactment time in metadata
{
  "rationale": {
    "title": "VMP-14 - Create Market - LINK/USD(USDT) Perpetual",
    "description": "This is a perpetual futures market for Chainlink (LINK) denominated in USD using the LINK/USD Chainlink price feed. This market will be settled in USDT. Forum discussion can be found [here](https://community.vega.xyz/t/vmp-14-create-market-link-usd-usdt-perpetual/4372)"
  },
  "terms": {
    "newMarket": {
      "changes": {
        "linearSlippageFactor": "0.001",
        "quadraticSlippageFactor": "0",
        "decimalPlaces": "2",
        "positionDecimalPlaces": "0",
        "instrument": {
          "name": "LINK/USD(USDT)-PERP",
          "code": "LINK/USD-PERP",
          "perpetual": {
            "settlementAsset": "bf1e88d19db4b3ca0d1d5bdb73718a01686b18cf731ca26adedf3c8b83802bba",
            "quoteName": "USD",
            "marginFundingFactor": "0.9",
            "interestRate": "0",
            "clampLowerBound": "-0.0005",
            "clampUpperBound": "0.0005",
            "dataSourceSpecForSettlementData": {
              "external": {
                "ethOracle": {
                  "address": "0x2c1d072e956AFFC0D435Cb7AC38EF18d24d9127c",
                  "abi": "[{\"inputs\":[],\"name\":\"latestAnswer\",\"outputs\":[{\"internalType\":\"int256\",\"name\":\"\",\"type\":\"int256\"}],\"stateMutability\":\"view\",\"type\":\"function\"}]",
                  "method": "latestAnswer",
                  "normalisers": [
                    {
                      "name": "link.price",
                      "expression": "$[0]"
                    }
                  ],
                  "requiredConfirmations": 3,
                  "trigger": {
                    "timeTrigger": {
                      "every": 300
                    }
                  },
                  "filters": [
                    {
                      "key": {
                        "name": "link.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": 28800
                    }
                  ]
                }
              }
            },
            "dataSourceSpecBinding": {
              "settlementDataProperty": "link.price",
              "settlementScheduleProperty": "vegaprotocol.builtin.timetrigger"
            }
          }
        },
        "metadata": [
          "enactment:TBD",
          "base:LINK",
          "quote:USD",
          "class:fx/crypto",
          "perpetual",
          "sector:defi"
        ],
        "priceMonitoringParameters": {
          "triggers": [
            {
              "horizon": "3600",
              "probability": "0.9999999",
              "auctionExtension": "120"
            },
            {
              "horizon": "14400",
              "probability": "0.9999999",
              "auctionExtension": "180" 
            },
            {
            "horizon": "43200",
            "probability": "0.9999999",
            "auctionExtension": "300" 
            }
          ]
        },
        "liquidityMonitoringParameters": {
          "targetStakeParameters": {
            "timeWindow": "3600",
            "scalingFactor": 0.05
          },
          "triggeringRatio": "0.1",
          "auctionExtension": "1"
        },
        "logNormal": {
          "tau": 0.0001140771161,
          "riskAversionParameter": 0.000001,
          "params": {
            "mu": 0,
            "r": 0.0,
            "sigma": 1.0
          }
        },
        "liquiditySlaParameters": {
          "priceRange": "0.03",
          "commitmentMinTimeFraction": "0.85",
          "performanceHysteresisEpochs": "1",
          "slaCompetitionFactor": "0.5"
        }
      }
    },
    "closingTimestamp": 0,
    "enactmentTimestamp": 0
  }
}
10

Hi Jubi,

The risk stuff looks good, same as the SOL one, where I commented. The decimals look good.

Cheers!!!

1 Like
11

Jubi,

I don’t think Witold was referring to the interest rate for the funding params, I think he was referring to r in the risk model. I would recommend you re-instate the previous interestRate value for the funding params.