From 2723cc73b6b1cfd3ef06eeb0f440dd7267688a58 Mon Sep 17 00:00:00 2001 From: abitmore Date: Fri, 16 Feb 2018 23:41:39 +0000 Subject: [PATCH] bsip32: add when to check for black swan event --- bsip-0032.md | 23 +++++++++++++++++++++++ 1 file changed, 23 insertions(+) diff --git a/bsip-0032.md b/bsip-0032.md index 26a8432..d87b9d7 100644 --- a/bsip-0032.md +++ b/bsip-0032.md @@ -51,6 +51,29 @@ 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]