bsips/bsip-0032.md

    BSIP: 0032
    Title: Always Match Orders At Maker Price
    Author: Abit More <https://github.com/abitmore>
    Status: Draft
    Type: Protocol
    Created: 2018-02-16
    Discussion: https://github.com/bitshares/bitshares-core/issues/338
    Replaces: -
    Worker: To be done

# Abstract

Currently, under most circumstances, when matching two orders, the maker price
will be used. That said, the order that is placed earlier sets a price,
another order that is placed later accepts the price, thus a match, two orders
pay to each other at that price. For example, if one person (A) placed a limit
order to sell 100 BTS at 0.1 USD per BTS, another person (B) then placed a new
limit order to buy 100 BTS at 0.105 USD per BTS, the two orders will match at
0.1 USD per BTS, so A will pay 100 BTS and get 10 USD, B will pay 10 USD and
get 100 BTS.

However, when matching a taker limit order with a maker margin call order,
the taker price is being used. For example, if trader A's margin call order is
selling 100 BTS at no less than 0.1 USD per BTS, then trader B placed an order
that buys 100 BTS at 0.105 USD per BTS, the two order will match at 0.105 USD
per BTS, so A will pay 100 BTS and get 10.5 USD, B will pay 10.5 USD and get
100 BTS.

This BSIP proposes a mechanism to change this behavior to: always match orders
at maker price.

# Motivation

Make the exchange system more user-friendly.

# Rational

To attract more users, the system should be fair.

It's common sense that orders should be matched at maker price.

# Specifications

There is a parameter in price feed named MSSR, which stands for "maximum short
squeeze ratio". Maker price of margin call orders is MSSP, which stands for
"maximum short squeeze price", is calculated as `feed_price / ( 100% + MSSR )`.
Note: `feed_price` here is in terms of debt/collateral, aka "how much debt per
collateral".

Matching between a limit order and a call order is done in
`check_call_orders(...)` function of `database` class, price of limit order
is always used. It need to be changed to use MSSP when the call order is maker.

Currently a black swan event will occur when the call order with least
collateral ratio is going to be matched below 100% collateral ratio price
(name it CRP). Because the call order will be matched with incoming limit order
at limit order's price (taker price),
which can be higher or lower than CRP, so even if MSSP is
below CRP, an incoming taker limit order may or may not trigger a black swan.
So it makes sense to check if a black swan event will occur every time when a
limit order is created.

After the behavior changed to always match at maker price, when MSSP is below
CRP, an incoming taker limit order will always trigger a black swan event.
So it makes sense to trigger the black swan event when MSSP is below CRP rather
than waiting for an incoming limit order. That means it's no longer needed to
check for black swan event when a limit order is created. Since checking for
black swan event is somehow expensive, we'll gain a side benefit on performance
with the change.

When triggering a black swan event when MSSP is below CRP, sometimes the short
position with least collateral ratio may still have more than 100% collateral
ratio. In this case, the global settlement price is CRP but not the actual
collateral ratio of the short position with least collateral ratio.
This is current behavior, it's fair, no need to change.

# Discussion

[to be added if any]

# Summary for Shareholders

[to be added if any]

# Copyright

This document is placed in the public domain.

# See Also

* https://github.com/bitshares/bitshares-core/issues/338
* https://bitsharestalk.org/index.php?topic=25926.0