Update markets ETH/USDT-231231 and BTC/USDT-231231 with new SLA params.
I think it makes sense to modify the SLA params on existing markets such that the commitmentMinTimeFraction matches that of the upcoming proposed Perpetuals as discussed previously: VMP-12 - Create Market - ETH/USD(USDT) Perpetual - #22 by Jubi
I have left other parameters unchanged because I think the most important one is the commitmentMinTimeFraction but if anyone thinks these should also be modified or if anyone spots and issues in the proposal JSON please share your feedback and thoughts.
Full Proposal JSON:
{
"rationale": {
"title": "VMP-16 Change ETH/USDT-231231 Future SLA commitmentMinTimeFraction from 0.95 to 0.85.",
"description": "VMP-16 Change ETH/USDT-231231 Future SLA commitmentMinTimeFraction from 0.95 to 0.85 as laid out in the forum: https://community.vega.xyz/t/vmp-16-17-update-markets-eth-usdt-231231-and-btc-usdt-231231-with-new-sla-params/4376."
},
"terms": {
"updateMarket": {
"marketId": "39410c92ed75c175e6cc572372b8a2adfeb0261a06a4480142b224d87017948c",
"changes": {
"instrument": {
"code": "ETH/USDT-231231",
"future": {
"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": "1704009600"
}
]
}
]
}
}
},
"dataSourceSpecForTradingTermination": {
"internal": {
"time": {
"conditions": [
{
"operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
"value": "1704009600"
}
]
}
}
},
"dataSourceSpecBinding": {
"settlementDataProperty": "prices.ETH.value",
"tradingTerminationProperty": "vegaprotocol.builtin.timestamp"
}
}
},
"metadata": [
"base:ETH",
"quote:USDT",
"class:fx/crypto",
"quarterly",
"sector:defi",
"enactment:2023-09-28T08:00:00Z",
"settlement:2023-12-31T08:00:00Z"
],
"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": 0.000009506426342,
"params": {
"mu": 0,
"r": 0,
"sigma": 1.5
}
},
"liquiditySlaParameters": {
"priceRange": "0.05",
"commitmentMinTimeFraction": "0.85",
"performanceHysteresisEpochs": "1",
"slaCompetitionFactor": "0.9"
}
}
},
"closingTimestamp": 1700074800,
"enactmentTimestamp": 1700074800
}
}
{
"rationale": {
"title": "VMP-17 Change BTC/USDT-231231 Future SLA commitmentMinTimeFraction from 0.95 to 0.85.",
"description": "VMP-17 Change BTC/USDT-231231 Future SLA commitmentMinTimeFraction from 0.95 to 0.85 as laid out in the forum: https://community.vega.xyz/t/vmp-16-17-update-markets-eth-usdt-231231-and-btc-usdt-231231-with-new-sla-params/4376."
},
"terms": {
"updateMarket": {
"marketId": "e001366a8e2e5079362205acf54edf096b2e949adfc2f8088b5061ebd11b8e9c",
"changes": {
"instrument": {
"code": "BTC/USDT-231231",
"future": {
"quoteName": "USDT",
"dataSourceSpecForSettlementData": {
"external": {
"oracle": {
"signers": [
{
"ethAddress": {
"address": "0xfCEAdAFab14d46e20144F48824d0C09B1a03F2BC"
}
}
],
"filters": [
{
"key": {
"name": "prices.BTC.value",
"type": "TYPE_INTEGER",
"numberDecimalPlaces": "6"
},
"conditions": [
{
"operator": "OPERATOR_GREATER_THAN",
"value": "0"
}
]
},
{
"key": {
"name": "prices.BTC.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.BTC.value",
"tradingTerminationProperty": "vegaprotocol.builtin.timestamp"
}
}
},
"metadata": [
"base:BTC",
"quote:USDT",
"class:fx/crypto",
"quarterly",
"sector:defi",
"enactment:2023-09-28T08:00:00Z",
"settlement:2023-12-31T08:00:00Z"
],
"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": 0.000009506426342,
"params": {
"mu": 0,
"r": 0,
"sigma": 1.5
}
},
"liquiditySlaParameters": {
"priceRange": "0.05",
"commitmentMinTimeFraction": "0.85",
"performanceHysteresisEpochs": "1",
"slaCompetitionFactor": "0.9"
}
}
},
"closingTimestamp": 1700074800,
"enactmentTimestamp": 1700074800
}
}
I will update the timestamps prior to submission on-chain.
Regards
Ed