105 lines
4.3 KiB
Markdown
105 lines
4.3 KiB
Markdown
BSIP: 0032
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Title: Always Match Orders At Maker Price
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Author: Abit More <https://github.com/abitmore>
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Status: Accepted
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Type: Protocol
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Created: 2018-02-16
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Discussion: https://github.com/bitshares/bitshares-core/issues/338
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Replaces: -
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Worker: 1.14.93
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# Abstract
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Currently, under most circumstances, when matching two orders, the maker price
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will be used to calculate how much each order will pay and receive.
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However, when matching a taker limit order with a maker margin call order,
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the taker price is being used.
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This BSIP proposes a principle: always match orders at maker price.
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# Motivation
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Generally, the order that is placed earlier (the maker) sets a price,
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another order that is placed later (the taker) accepts the price, thus a match,
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two orders pay to each other at that price.
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Take the pure limit order matching mechanism in BitShares as an example:
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If one person (A) placed a limit
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order to sell 100 BTS at 0.1 USD per BTS, another person (B) then placed a new
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limit order to buy 100 BTS at 0.105 USD per BTS, the two orders will match at
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0.1 USD per BTS, so A will pay 100 BTS and get 10 USD, B will pay 10 USD and
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get 100 BTS.
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However, in BitShares, when matching a taker limit order with a maker margin
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call order, the taker price is being used.
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For example, if trader A's margin call order is
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selling 100 BTS at no less than 0.1 USD per BTS, then trader B placed an order
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that buys 100 BTS at 0.105 USD per BTS, the two order will match at 0.105 USD
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per BTS, so A will pay 100 BTS and get 10.5 USD, B will pay 10.5 USD and get
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100 BTS.
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While not strictly a bug, this behavior is unexpected and irritating for users.
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# Rationale
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Matching orders at the maker price, with margin calls being inlined in the
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order book, is an easy to understand rule and matches user expectations,
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see [bitshares-core
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issue #338](https://github.com/bitshares/bitshares-core/issues/338).
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There is a parameter in price feed named MSSR, which stands for "maximum short
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squeeze ratio". Maker price of margin call orders is MSSP, which stands for
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"maximum short squeeze price", is calculated as `feed_price / MSSR`.
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Note: `feed_price` here is in terms of debt/collateral, aka "how much debt per
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collateral".
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Currently a black swan event will occur when the call order with least
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collateral ratio is going to be matched below 100% collateral ratio price
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(name it `100CRP`). Because the call order will be matched with incoming limit
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order at limit order's price (taker price),
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which can be higher or lower than 100CRP, so even if MSSP is below 100CRP,
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an incoming taker limit order may or may not trigger a black swan.
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So it makes sense to check if a black swan event will occur every time when a
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limit order is created.
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After the behavior changed to always match at maker price, when MSSP is below
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100CRP, an incoming taker limit order will always trigger a black swan event.
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So it makes sense to trigger the black swan event when MSSP is below 100CRP
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rather than waiting for an incoming limit order. That means it's no longer
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needed to check for black swan event when a limit order is created.
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Since checking for black swan event is somehow expensive, we'll gain a side
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benefit on performance with the change.
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# Specifications
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Matching between a limit order and a call order is done in
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`check_call_orders(...)` function of `database` class, price of limit order
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is always used. It need to be changed to use MSSP when the call order is maker.
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When triggering a black swan event when MSSP is below 100CRP,
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sometimes the short
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position with least collateral ratio may still have more than 100% collateral
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ratio. In this case, the global settlement price is 100CRP but not the actual
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collateral ratio of the short position with least collateral ratio.
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This is current behavior, it's fair, no need to change.
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# Discussion
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It might seem unfair on the shorter to match at MSSP even if the incoming order
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specifies a better price. However, in a rationally acting market users will not,
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in the presence of margin calls, create limit orders below the MSSP.
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Effectively the new rule doesn't change this situation.
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# Summary for Shareholders
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[to be added if any]
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# Copyright
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This document is placed in the public domain.
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# See Also
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* https://github.com/bitshares/bitshares-core/issues/338
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* https://bitsharestalk.org/index.php?topic=25926.0
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