This proposal seeks to modify the risk models of the BTC and ETH perps to increase the leverage available on these markets.
This will also have an effect on the rewards being distributed to LPs for this market. The proposed changes to the risk models will result in a smaller probability of trading for orders placed farther from the best bid and ask, and hence will result in orders close to the best bid and ask getting a larger share of the LP rewards.
The risk model params in the proposals below should result in a max leverage of ~100x.
Full Proposal JSON:
{
"rationale": {
"title": "VMP-33a Update BTC/USD Perpetual risk model to allow greater leverage.",
"description": "A proposal to update the risk model of the BTCUSD Perp market. The proposed risk params for the BTCUSD Perp are as follows: \"tau\": 0.000003995, \"riskAversionParameter\": 0.000001, \"sigma\": 1.0, \"mu\": 0, \"r\": 0. These parameters should result in an initial leverage of ~50x and a max leverage of ~100x."
},
"terms": {
"updateMarket": {
"marketId": "4e9081e20e9e81f3e747d42cb0c9b8826454df01899e6027a22e771e19cc79fc",
"changes": {
"linearSlippageFactor": "0.001",
"quadraticSlippageFactor": "0",
"instrument": {
"code": "BTC/USD-PERP",
"perpetual": {
"quoteName": "USD",
"marginFundingFactor": "0.9",
"interestRate": "0.1095",
"clampLowerBound": "-0.0005",
"clampUpperBound": "0.0005",
"dataSourceSpecForSettlementData": {
"external": {
"ethOracle": {
"address": "0xF4030086522a5bEEa4988F8cA5B36dbC97BeE88c",
"abi": "[{\"inputs\":[],\"name\":\"latestAnswer\",\"outputs\":[{\"internalType\":\"int256\",\"name\":\"\",\"type\":\"int256\"}],\"stateMutability\":\"view\",\"type\":\"function\"}]",
"method": "latestAnswer",
"normalisers": [
{
"name": "btc.price",
"expression": "$[0]"
}
],
"requiredConfirmations": 3,
"trigger": {
"timeTrigger": {
"every": "300"
}
},
"filters": [
{
"key": {
"name": "btc.price",
"type": "TYPE_INTEGER",
"numberDecimalPlaces": "8"
},
"conditions": [
{
"operator": "OPERATOR_GREATER_THAN",
"value": "0"
}
]
}
]
}
}
},
"dataSourceSpecForSettlementSchedule": {
"internal": {
"timeTrigger": {
"conditions": [
{
"operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
"value": "0"
}
],
"triggers": [
{
"every": "28800"
}
]
}
}
},
"dataSourceSpecBinding": {
"settlementDataProperty": "btc.price",
"settlementScheduleProperty": "vegaprotocol.builtin.timetrigger"
}
}
},
"metadata":[
"base:BTC",
"quote:USDT",
"class:fx/crypto",
"perpetual",
"sector:defi",
"enactment:2023-12-01T18:00:00Z"
],
"priceMonitoringParameters": {
"triggers": [
{
"horizon": "4320",
"probability": "0.9999999",
"auctionExtension": "300"
},
{
"horizon": "1440",
"probability": "0.9999999",
"auctionExtension": "180"
},
{
"horizon": "360",
"probability": "0.9999999",
"auctionExtension": "120"
}
]
},
"liquidityMonitoringParameters": {
"targetStakeParameters": {
"timeWindow": "3600",
"scalingFactor": 0.05
},
"triggeringRatio": "0.9",
"auctionExtension": "1"
},
"logNormal": {
"tau": 0.000003995,
"riskAversionParameter": 0.000001,
"params": {
"mu": 0,
"r": 0,
"sigma": 1.0
}
},
"liquiditySlaParameters": {
"priceRange": "0.03",
"commitmentMinTimeFraction": "0.85",
"performanceHysteresisEpochs": "1",
"slaCompetitionFactor": "0.5"
}
}
},
"closingTimestamp": 1707609600,
"enactmentTimestamp": 1707609600
}
}
{
"rationale": {
"title": "VMP-33b Update ETH/USD Perpetual risk model to allow greater leverage.",
"description": "A proposal to update the risk model of the ETHUSD Perp market. The proposed risk params for the ETHUSD Perp are as follows: \"tau\": 0.00000305, \"riskAversionParameter\": 0.000001, \"sigma\": 1.15, \"mu\": 0, \"r\": 0. These parameters should result in an initial leverage of ~50x and a max leverage of ~100x."
},
"terms": {
"updateMarket": {
"marketId": "e63a37edae8b74599d976f5dedbf3316af82579447f7a08ae0495a021fd44d13",
"changes": {
"linearSlippageFactor": "0.001",
"quadraticSlippageFactor": "0",
"instrument": {
"code": "ETH/USD-PERP",
"perpetual": {
"quoteName": "USD",
"marginFundingFactor": "0.95",
"interestRate": "0.1095",
"clampLowerBound": "-0.0005",
"clampUpperBound": "0.0005",
"dataSourceSpecForSettlementSchedule": {
"internal": {
"timeTrigger": {
"conditions": [
{
"operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
"value": "0"
}
],
"triggers": [
{
"every": "28800"
}
]
}
}
},
"dataSourceSpecForSettlementData": {
"external": {
"ethOracle": {
"address": "0x5f4eC3Df9cbd43714FE2740f5E3616155c5b8419",
"abi": "[{\"inputs\":[],\"name\":\"latestAnswer\",\"outputs\":[{\"internalType\":\"int256\",\"name\":\"\",\"type\":\"int256\"}],\"stateMutability\":\"view\",\"type\":\"function\"}]",
"method": "latestAnswer",
"args": [],
"trigger": {
"timeTrigger": {
"every": "300"
}
},
"requiredConfirmations": "3",
"filters": [
{
"key": {
"name": "eth.price",
"type": "TYPE_INTEGER",
"numberDecimalPlaces": "8"
},
"conditions": [
{
"operator": "OPERATOR_GREATER_THAN_OR_EQUAL",
"value": "0"
}
]
}
],
"normalisers": [
{
"name": "eth.price",
"expression": "$[0]"
}
]
}
}
},
"dataSourceSpecBinding": {
"settlementDataProperty": "eth.price",
"settlementScheduleProperty": "vegaprotocol.builtin.timetrigger"
}
}
},
"metadata": [
"enactment:2023-11-19T02:00:00Z",
"base:ETH",
"quote:USD",
"class:fx/crypto",
"perpetual",
"sector:defi"
],
"priceMonitoringParameters": {
"triggers": [
{
"horizon": "43200",
"probability": "0.9999999",
"auctionExtension": "300"
}
]
},
"liquidityMonitoringParameters": {
"targetStakeParameters": {
"timeWindow": "3600",
"scalingFactor": 0.05
},
"triggeringRatio": "0.9",
"auctionExtension": "1"
},
"logNormal": {
"tau": 0.00000305,
"riskAversionParameter": 0.000001,
"params": {
"mu": 0,
"r": 0,
"sigma": 1.15
}
},
"liquiditySlaParameters": {
"priceRange": "0.03",
"commitmentMinTimeFraction": "0.85",
"performanceHysteresisEpochs": "1",
"slaCompetitionFactor": "0.5"
}
}
},
"closingTimestamp": 1707609600,
"enactmentTimestamp": 1707609600
}
}