104 lines
4.3 KiB
Markdown
104 lines
4.3 KiB
Markdown
BSIP: 0032
|
|
Title: Always Match Orders At Maker Price
|
|
Author: Abit More <https://github.com/abitmore>
|
|
Status: Accepted
|
|
Type: Protocol
|
|
Created: 2018-02-16
|
|
Discussion: https://github.com/bitshares/bitshares-core/issues/338
|
|
Replaces: -
|
|
Worker: 1.14.93
|
|
|
|
# Abstract
|
|
|
|
Currently, under most circumstances, when matching two orders, the maker price
|
|
will be used to calculate how much each order will pay and receive.
|
|
However, when matching a taker limit order with a maker margin call order,
|
|
the taker price is being used.
|
|
|
|
This BSIP proposes a principle: always match orders at maker price.
|
|
|
|
# Motivation
|
|
|
|
Generally, the order that is placed earlier (the maker) sets a price,
|
|
another order that is placed later (the taker) accepts the price, thus a match,
|
|
two orders pay to each other at that price.
|
|
|
|
Take the pure limit order matching mechanism in BitShares as an 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, in BitShares, 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.
|
|
|
|
While not strictly a bug, this behavior is unexpected and irritating for users.
|
|
|
|
# Rationale
|
|
|
|
Matching orders at the maker price, with margin calls being inlined in the
|
|
order book, is an easy to understand rule and matches user expectations,
|
|
see [bitshares-core
|
|
issue #338](https://github.com/bitshares/bitshares-core/issues/338).
|
|
|
|
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 / MSSR`.
|
|
Note: `feed_price` here is in terms of debt/collateral, aka "how much debt per
|
|
collateral".
|
|
|
|
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 `100CRP`). 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 100CRP, so even if MSSP is below 100CRP,
|
|
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
|
|
100CRP, 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 100CRP
|
|
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.
|
|
|
|
# Specifications
|
|
|
|
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.
|
|
|
|
When triggering a black swan event when MSSP is below 100CRP,
|
|
sometimes the short
|
|
position with least collateral ratio may still have more than 100% collateral
|
|
ratio. In this case, the global settlement price is 100CRP 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
|
|
|
|
It might seem unfair on the shorter to match at MSSP even if the incoming order
|
|
specifies a better price. However, in a rationally acting market users will not,
|
|
in the presence of margin calls, create limit orders below the MSSP.
|
|
Effectively the new rule doesn't change this situation.
|
|
|
|
# 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
|