VMP-18/19 Update targetStakeParameters.scalingFactor on BTC and ETH December futures

🗳️ Governance Proposals Market Proposals
1

Update targetStakeParameters.scalingFactor on BTC & ETH Dec 2023 futures

We need to change the liquidityMonitoringParameters.targetStakeParameters.scalingFactor on the ETH and BTC December futures to be 0.05 instead of 1, following the enactment of https://governance.vega.xyz/proposals/18ffa141d001292c8d80a7390fc3c413259de58aa0e0ca15412b4e87158f511a.

The target stake measurement is far too strict now, and it is costly to keep the markets out of liquidity monitoring auctions. Changing this parameter by a factor of 1/20 returns the market to the same configuration as before the enactment of VNP-016.

BTC December Futures:

{
    "rationale": {
        "title": "VMP-18: Change targetStakeParameters.scalingFactor from 1 to 0.05 on BTC/USD-231231",
        "description": "Change targetStakeParameters.scalingFactor from 1 to 0.05 on BTC/USD-231231 as set out in https://community.vega.xyz/t/vmp-18-19-update-targetstakeparameters-scalingfactor-on-btc-and-eth-december-futures/4386"
    },
    "terms": {
        "updateMarket": {
            "marketId": "e001366a8e2e5079362205acf54edf096b2e949adfc2f8088b5061ebd11b8e9c",
            "changes": {
                "instrument": {
                    "id": "",
                    "code": "BTC/USDT-231231",
                    "name": "BTC/USDT expiry 2023 Dec 31st",
                    "metadata": {
                        "tags": [
                            "base:BTC",
                            "quote:USDT",
                            "class:fx/crypto",
                            "quarterly",
                            "sector:defi",
                            "enactment:2023-09-28T08:00:00Z",
                            "settlement:2023-12-31T08:00:00Z"
                        ]
                    },
                    "future": {
                        "settlementAsset": "bf1e88d19db4b3ca0d1d5bdb73718a01686b18cf731ca26adedf3c8b83802bba",
                        "quoteName": "USDT",
                        "dataSourceSpecForSettlementData": {
                            "id": "02b62576811c7400a94eda7cd86b0a761a808059c077edc6d2b0fce19282349b",
                            "createdAt": "0",
                            "updatedAt": "0",
                            "data": {
                                "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"
                                                    }
                                                ]
                                            }
                                        ]
                                    }
                                }
                            },
                            "status": "STATUS_UNSPECIFIED"
                        },
                        "dataSourceSpecForTradingTermination": {
                            "id": "3af85b4faeb28ddf17c3b5f22200d93597e9ade8c8fed79aa4eef8f92f2df07e",
                            "createdAt": "0",
                            "updatedAt": "0",
                            "data": {
                                "internal": {
                                    "time": {
                                        "conditions": [
                                            {
                                                "operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
                                                "value": "1704009600"
                                            }
                                        ]
                                    }
                                }
                            },
                            "status": "STATUS_UNSPECIFIED"
                        },
                        "dataSourceSpecBinding": {
                            "settlementDataProperty": "prices.BTC.value",
                            "tradingTerminationProperty": "vegaprotocol.builtin.timestamp"
                        }
                    }
                },
                "marginCalculator": {
                    "scalingFactors": {
                        "searchLevel": 1.1,
                        "initialMargin": 1.5,
                        "collateralRelease": 1.7
                    }
                },
                "logNormalRiskModel": {
                    "riskAversionParameter": 0.000001,
                    "tau": 0.000009506426342,
                    "params": {
                        "mu": 0,
                        "r": 0,
                        "sigma": 1.5
                    }
                }
            },
            "decimalPlaces": "1",
            "fees": {
                "factors": {
                    "makerFee": "0.00005",
                    "infrastructureFee": "0.0003",
                    "liquidityFee": "0.0001"
                }
            },
            "openingAuction": {
                "duration": "3600",
                "volume": "0"
            },
            "priceMonitoringSettings": {
                "parameters": {
                    "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": 0.05
                },
                "triggeringRatio": "0.7",
                "auctionExtension": "1"
            },
            "tradingMode": "TRADING_MODE_MONITORING_AUCTION",
            "state": "STATE_SUSPENDED",
            "marketTimestamps": {
                "proposed": "1695212359207015686",
                "pending": "1695884400000000000",
                "open": "1695895995352301832",
                "close": "0"
            },
            "positionDecimalPlaces": "4",
            "lpPriceRange": "",
            "linearSlippageFactor": "0.001",
            "quadraticSlippageFactor": "0",
            "liquiditySlaParams": {
                "priceRange": "0.05",
                "commitmentMinTimeFraction": "0.95",
                "performanceHysteresisEpochs": "1",
                "slaCompetitionFactor": "0.9"
            }
        }
    }
}

ETH December Futures:

{
    "rationale": {
        "title": "VMP-19: Change targetStakeParameters.scalingFactor from 1 to 0.05 on ETH/USD-231231",
        "description": "Change targetStakeParameters.scalingFactor from 1 to 0.05 on ETH/USD-231231 as set out in https://community.vega.xyz/t/vmp-18-19-update-targetstakeparameters-scalingfactor-on-btc-and-eth-december-futures/4386"
    },
    "terms": {
        "updateMarket": {
            "marketId": "39410c92ed75c175e6cc572372b8a2adfeb0261a06a4480142b224d87017948c",
            "changes": {
                "instrument": {
                    "id": "",
                    "code": "ETH/USDT-231231",
                    "name": "ETH/USDT expiry 2023 Dec 31st",
                    "metadata": {
                        "tags": [
                            "base:ETH",
                            "quote:USDT",
                            "class:fx/crypto",
                            "quarterly",
                            "sector:defi",
                            "enactment:2023-09-28T08:00:00Z",
                            "settlement:2023-12-31T08:00:00Z"
                        ]
                    },
                    "future": {
                        "settlementAsset": "bf1e88d19db4b3ca0d1d5bdb73718a01686b18cf731ca26adedf3c8b83802bba",
                        "quoteName": "USDT",
                        "dataSourceSpecForSettlementData": {
                            "id": "34da46c48bd78b710b5d7ff605b521e9826da6f701950b7e4e0bb23490126094",
                            "createdAt": "0",
                            "updatedAt": "0",
                            "data": {
                                "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"
                                                    }
                                                ]
                                            }
                                        ]
                                    }
                                }
                            },
                            "status": "STATUS_UNSPECIFIED"
                        },
                        "dataSourceSpecForTradingTermination": {
                            "id": "3af85b4faeb28ddf17c3b5f22200d93597e9ade8c8fed79aa4eef8f92f2df07e",
                            "createdAt": "0",
                            "updatedAt": "0",
                            "data": {
                                "internal": {
                                    "time": {
                                        "conditions": [
                                            {
                                                "operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
                                                "value": "1704009600"
                                            }
                                        ]
                                    }
                                }
                            },
                            "status": "STATUS_UNSPECIFIED"
                        },
                        "dataSourceSpecBinding": {
                            "settlementDataProperty": "prices.ETH.value",
                            "tradingTerminationProperty": "vegaprotocol.builtin.timestamp"
                        }
                    }
                },
                "marginCalculator": {
                    "scalingFactors": {
                        "searchLevel": 1.1,
                        "initialMargin": 1.5,
                        "collateralRelease": 1.7
                    }
                },
                "logNormalRiskModel": {
                    "riskAversionParameter": 0.000001,
                    "tau": 0.000009506426342,
                    "params": {
                        "mu": 0,
                        "r": 0,
                        "sigma": 1.5
                    }
                }
            },
            "decimalPlaces": "2",
            "fees": {
                "factors": {
                    "makerFee": "0.00005",
                    "infrastructureFee": "0.0003",
                    "liquidityFee": "0.0001"
                }
            },
            "openingAuction": {
                "duration": "3600",
                "volume": "0"
            },
            "priceMonitoringSettings": {
                "parameters": {
                    "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": 0.05
                },
                "triggeringRatio": "0.7",
                "auctionExtension": "1"
            },
            "tradingMode": "TRADING_MODE_MONITORING_AUCTION",
            "state": "STATE_SUSPENDED",
            "marketTimestamps": {
                "proposed": "1695212461338136362",
                "pending": "1695884400000000000",
                "open": "1695896179418922181",
                "close": "0"
            },
            "positionDecimalPlaces": "3",
            "lpPriceRange": "",
            "linearSlippageFactor": "0.001",
            "quadraticSlippageFactor": "0",
            "liquiditySlaParams": {
                "priceRange": "0.05",
                "commitmentMinTimeFraction": "0.95",
                "performanceHysteresisEpochs": "1",
                "slaCompetitionFactor": "0.9"
            }
        }
    }
}
2

I agree. Absolute priority for now. Can we get this to vote?

3

@davidella We need to make sure that the parameters in the market JSON won’t override any existing changes that are going through and being voted on now… We will double check that, and once we’re confident that the JSON above is correct we will propose the change.

4

True. Sorry I am not really familiar with the whole process behind a proposal. I can only say that I think these parameter would work to enable liquidity for now but of course we need to make sure everything coexists

5

I think there are some redundant fields in the original JSON that will cause it to be rejected. Here are some equivalent proposals that I believe will suffice:

{
  "rationale": {
    "title": "VMP-18: Change targetStakeParameters.scalingFactor from 1 to 0.05 on BTC/USD-231231",
    "description": "Change targetStakeParameters.scalingFactor from 1 to 0.05 on BTC/USD-231231 as set out in https://community.vega.xyz/t/vmp-18-19-update-targetstakeparameters-scalingfactor-on-btc-and-eth-december-futures/4386"
  },
  "terms": {
    "updateMarket": {
      "marketId": "e001366a8e2e5079362205acf54edf096b2e949adfc2f8088b5061ebd11b8e9c",
      "changes": {
        "linearSlippageFactor": "0.001",
        "quadraticSlippageFactor": "0",
        "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": 0.05
          },
          "triggeringRatio": "0.7",
          "auctionExtension": "1"
        },
        "logNormal": {
          "tau": 0.000009506426342,
          "riskAversionParameter": 0.000001,
          "params": {
            "mu": 0,
            "r": 0,
            "sigma": 1.5
          }
        },
        "liquiditySlaParameters": {
          "priceRange": "0.05",
          "commitmentMinTimeFraction": "0.85",
          "performanceHysteresisEpochs": "1",
          "slaCompetitionFactor": "0.90"
        }
      }
    },
    "closingTimestamp": 1700719200,
    "enactmentTimestamp": 1700719200
  }
}

{
  "rationale": {
    "title": "VMP-19: Change targetStakeParameters.scalingFactor from 1 to 0.05 on ETH/USD-231231",
    "description": "Change targetStakeParameters.scalingFactor from 1 to 0.05 on ETH/USD-231231 as set out in https://community.vega.xyz/t/vmp-18-19-update-targetstakeparameters-scalingfactor-on-btc-and-eth-december-futures/4386"
  },
  "terms": {
    "updateMarket": {
      "marketId": "39410c92ed75c175e6cc572372b8a2adfeb0261a06a4480142b224d87017948c",
      "changes": {
        "linearSlippageFactor": "0.001",
        "quadraticSlippageFactor": "0",
        "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"
            }
          ]
        },
        "liquidityMonitoringParameters": {
          "targetStakeParameters": {
            "timeWindow": "3600",
            "scalingFactor": 0.05
          },
          "triggeringRatio": "0.7",
          "auctionExtension": "1"
        },
        "logNormal": {
          "tau": 0.000009506426342,
          "riskAversionParameter": 0.000001,
          "params": {
            "mu": 0,
            "r": 0,
            "sigma": 1.5
          }
        },
        "liquiditySlaParameters": {
          "priceRange": "0.05",
          "commitmentMinTimeFraction": "0.85",
          "performanceHysteresisEpochs": "1",
          "slaCompetitionFactor": "0.90"
        }
      }
    },
    "closingTimestamp": 1700719200,
    "enactmentTimestamp": 1700719200
  }
}

Only things that still need setting are the closing and enactment timestamps. I’m happy to set these and submit the proposals if everything seems okay to everyone else.

6

Ed, maybe you can make the proposals? Market update proposals take at least 3 days and without more liquidity the 2 markets will be in auction untill this vote passes.

7

I have updated the proposals with timestamps and have submitted them on-chain.