Author Topic: Brainstorm - Bit20 MSSR / margin call  (Read 14250 times)

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Offline EstefanTT


If I set the MSSR at 140% and keep the MCR at 175% :

1) The minimum collateral to borrow a BTWTY will be at 245% ( 140 * 175 ) ?
2) Is there a way to avoid asking for so much collateral ?
3) The margin call will be triggered at 175% of the price  ?
4) I won't trigger any margin call by increasing the MSSR because they will be triggered at 175% of the price feed ?
5) Once someone has less than 175% collateral, he will be margin call and its order will sit at 140% of the price feed ?
6) The price at which the margin call order sit in the market move with the price feed ?
//Current situation
The minimum collateral (which is amount of BTS): Feed price * (1.1 *1.75) * DEBT .
Shorter's  ammount of BTS in deposit must be higher than that. Otherwise margin call is triggered for him.
This means If you w'ont trigger any margin calls your (newX  * newY) outcome can't be higher than current (1.1 *1.75). Increasing "1.1" while decreasing "1.75" looks like the only option.  In other hand, MCR can't go to low if market is unstable and illiquid. Something for something, not much place for changes.

Your margin call trigger price:  COLLATERAL  /  DEBT / (1.1 * 1.75)          //not displayed in dialog box, I think it should be.
current margin call order price: 1.1 * Feed price                                      // current yellow order price, if happen
Your margin call order price:  1.1 * Your margin call trigger price               // your yellow order price in the future.

COLLATERAL is  ammount of deposited BTS

You can check those equations by playing with BTWTY Margin  dialog box.
Are you sure that the margin call is not  triggered simply when collateral reach MCR * Price feed ? So currently 175% of the price feed.

Carefull that the documentation has mistakes !

I observed carefully how DestBest get its order margin called and it seems that he had to put a minimum of 192% to borrow its BTWTY but nothing happened until he reached 175% of collateral. Then, passing at 174% he has been margin call.

Could you confirm it @DestBest ?
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Offline nmywn

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If I set the MSSR at 140% and keep the MCR at 175% :

1) The minimum collateral to borrow a BTWTY will be at 245% ( 140 * 175 ) ?
2) Is there a way to avoid asking for so much collateral ?
3) The margin call will be triggered at 175% of the price  ?
4) I won't trigger any margin call by increasing the MSSR because they will be triggered at 175% of the price feed ?
5) Once someone has less than 175% collateral, he will be margin call and its order will sit at 140% of the price feed ?
6) The price at which the margin call order sit in the market move with the price feed ?
//Current situation
The minimum collateral (which is amount of BTS): Feed price * (1.1 *1.75) * DEBT .
Shorter's  ammount of BTS in deposit must be higher than that. Otherwise margin call is triggered for him.
This means If you w'ont trigger any margin calls your (newX  * newY) outcome can't be higher than current (1.1 *1.75). Increasing "1.1" while decreasing "1.75" looks like the only option.  In other hand, MCR can't go to low if market is unstable and illiquid. Something for something, not much place for changes.

Your margin call trigger price:  COLLATERAL  /  DEBT / (1.1 * 1.75)          //not displayed in dialog box, I think it should be.
current margin call order price: 1.1 * Feed price                                      // current yellow order price, if happen
Your margin call order price:  1.1 * Your margin call trigger price               // your yellow order price in the future.

COLLATERAL is  ammount of deposited BTS

You can check those equations by playing with BTWTY Margin  dialog box.

Offline 天籁

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No he's correct, margin calls only happen once the call price goes below the feed price.


Then documentation should be corrected, because it says that margin call is triggered when the call price is between feed price and SQPP.


The documentation is a copy paste of a write up that I did before BM changed the mechanics to make it so that margin calls are only triggered when the call price goes below the feed price, there's a github issue for this in the graphene repo.

Call price is DEBT * MCR / COLLATERAL.


This is extremely confusing indeed ! If the documentation is not right on certain points, I really don't know where to go to find information to make myself able to take the right decisions.

I need to change this parameter (MSSR) as soon as possible. I don't want to have this market in a dangerous position in the next high volatility event.

Can you confirm a couple more think ? (and correct me if I'm wrong)

If I set the MSSR at 140% and keep the MCR at 175% :

1) The minimum collateral to borrow a BTWTY will be at 245% ( 140 * 175 ) ?
2) Is there a way to avoid asking for so much collateral ?
3) The margin call will be triggered at 175% of the price  ?
4) I won't trigger any margin call by increasing the MSSR because they will be triggered at 175% of the price feed ?
5) Once someone has less than 175% collateral, he will be margin call and its order will sit at 140% of the price feed ?
6) The price at which the margin call order sit in the market move with the price feed ?
3) The margin call will be triggered at 175% of the price  ? Yes
5) Once someone has less than 175% collateral, he will be margin call and its order will sit at 140% of the price feed ? Yes
6) The price at which the margin call order sit in the market move with the price feed ?Yes

Offline yvv

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No he's correct, margin calls only happen once the call price goes below the feed price.


Then documentation should be corrected, because it says that margin call is triggered when the call price is between feed price and SQPP.


The documentation is a copy paste of a write up that I did before BM changed the mechanics to make it so that margin calls are only triggered when the call price goes below the feed price, there's a github issue for this in the graphene repo.

Call price is DEBT * MCR / COLLATERAL.


This is extremely confusing indeed ! If the documentation is not right on certain points, I really don't know where to go to find information to make myself able to take the right decisions.

I need to change this parameter (MSSR) as soon as possible. I don't want to have this market in a dangerous position in the next high volatility event.

Can you confirm a couple more think ? (and correct me if I'm wrong)

If I set the MSSR at 140% and keep the MCR at 175% :

1) The minimum collateral to borrow a BTWTY will be at 245% ( 140 * 175 ) ?
2) Is there a way to avoid asking for so much collateral ?
3) The margin call will be triggered at 175% of the price  ?
4) I won't trigger any margin call by increasing the MSSR because they will be triggered at 175% of the price feed ?
5) Once someone has less than 175% collateral, he will be margin call and its order will sit at 140% of the price feed ?
6) The price at which the margin call order sit in the market move with the price feed ?

These are right questions and answers should go https://bitshares.org/wallet/#/help

Offline EstefanTT

No he's correct, margin calls only happen once the call price goes below the feed price.


Then documentation should be corrected, because it says that margin call is triggered when the call price is between feed price and SQPP.


The documentation is a copy paste of a write up that I did before BM changed the mechanics to make it so that margin calls are only triggered when the call price goes below the feed price, there's a github issue for this in the graphene repo.

Call price is DEBT * MCR / COLLATERAL.


This is extremely confusing indeed ! If the documentation is not right on certain points, I really don't know where to go to find information to make myself able to take the right decisions.

I need to change this parameter (MSSR) as soon as possible. I don't want to have this market in a dangerous position in the next high volatility event.

Can you confirm a couple more think ? (and correct me if I'm wrong)

If I set the MSSR at 140% and keep the MCR at 175% :

1) The minimum collateral to borrow a BTWTY will be at 245% ( 140 * 175 ) ?
2) Is there a way to avoid asking for so much collateral ?
3) The margin call will be triggered at 175% of the price  ?
4) I won't trigger any margin call by increasing the MSSR because they will be triggered at 175% of the price feed ?
5) Once someone has less than 175% collateral, he will be margin call and its order will sit at 140% of the price feed ?
6) The price at which the margin call order sit in the market move with the price feed ?
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(BitShares French ConneXion - www.bitsharesfcx.com)

Offline DestBest

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Offline yvv

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No he's correct, margin calls only happen once the call price goes below the feed price.


Then documentation should be corrected, because it says that margin call is triggered when the call price is between feed price and SQPP.


The documentation is a copy paste of a write up that I did before BM changed the mechanics to make it so that margin calls are only triggered when the call price goes below the feed price, there's a github issue for this in the graphene repo.

Call price is DEBT * MCR / COLLATERAL.

This all should be clearly explain somewhere. Before this happens, nobody will invest into bitAssets any money. Current documentation on margin calls is inaccurate and confusing. Fixing this should be the worker proposal #1.


« Last Edit: January 08, 2017, 12:13:10 am by yvv »

Offline svk

No he's correct, margin calls only happen once the call price goes below the feed price.


Then documentation should be corrected, because it says that margin call is triggered when the call price is between feed price and SQPP.


The documentation is a copy paste of a write up that I did before BM changed the mechanics to make it so that margin calls are only triggered when the call price goes below the feed price, there's a github issue for this in the graphene repo.

Call price is DEBT * MCR / COLLATERAL.
Worker: dev.bitsharesblocks

Offline yvv

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No he's correct, margin calls only happen once the call price goes below the feed price.


Then documentation should be corrected, because it says that margin call is triggered when the call price is between feed price and SQPP.

Offline Geneko

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Margin calls only happen once the call price goes below the feed price.

Once you get margin called, the order will execute UP TO the sqp price, think of it as a premium with an upper limit.
Are you sure?

Call price is set:
BorrowedAssetAmmount*feed price*175%>=collateral


I think you're wrong. Margin call wil trigger if your collateral < 192.5% - that's why you cannot open position.


I was convinced too margin call is triggered at:
BorrowedAssetAmmount*feed price*175%*110%>=collateral
« Last Edit: January 07, 2017, 10:46:35 pm by Geneko »

Offline svk

No he's correct, margin calls only happen once the call price goes below the feed price.

Once you get margin called, the order will execute UP TO the sqp price, think of it as a premium with an upper limit.
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Offline yvv

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Quote
I can't see why MCR can't be lower than SQP.

MSSR (aka SQPR) sets the upper limit for price at which margin call can be taken. MCR sets the lower limit for collateral amount. Collateral amount can not be lower than BTS needed to buy back debt at highest price allowed, because otherwise situation is possible when this collateral is not enough. This means that MCR>=MSSR.
« Last Edit: January 07, 2017, 06:48:31 pm by yvv »

Offline nmywn

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I understand it this way:
SQP ( Squeeze protection price) is 10%, force buying back discount range.
At 175% collateral x 1.1(SQP) =192% to feed price, marging call trigers buying back in 175-192% range, meaning, if for instance in bitBTC market:
BTS/bitBTC feed price is 250,000 or bitBTC/BTS is 0.00000400, everyone who owns 1 bitBTC needs to lock 250,000x192%=480,000 colateral.
If it doesn't have enough , then it is forced to buy back bitBTC in price range of 1.1x250,000=275,000 - 250,000 BTS/bitBTC
or 0.000003636-0.00000400 bitBTC/BTS price range.
As feed price moves down, SQP moves with it through order book.
Yeah, me too.

So in case BTWTY, something extreme like this would do the job:
 SQP aka MSSR  = 1.5
MCR = 1.1 (or even lower)
It will force shorters to cover called positions at whatever price market offer up to 1.5 * feed price.
What if market selling higher than 1.5*feed? It's mean SQP is to low and ASSET is no longer covered, because margin calls cannot be executed.
In my opinion SQP is the thing to mess around.

Edit: This may not work. MCR should not be set lower than MSSR, because in this case the situation is possible when there is not enough collateral to buy margin call order at SQP price. Correct me if I am wrong.
Just thinking.
SQP  must be higher  than average  market  price/feed price ratio -  it is a must  to  execute margin calls.
MCR  can take a role of buffor only if first condition is meet. Otherwise it's  useless. Collateral sits there but can't be really used.
For USD or CNY condition  price / feed < SQP is true

I can't see why MCR can't be lower than SQP.
Lets assume:
my position: 1 ASSET at feed price = 100 BTS
market price: 140 BTS
SQP: 2
MCR: 1
CR= SQP * MCR = 2

So margin call triggers at feed price = 100
I have 200 BTS in colateral deposit. Enough to make an order that will be executed.

But it would maybe inflate market price even more as nothing prevents from manipulation against shorters.

This is how I understand the documentation with the current parameters:

MCR = Minimum Collateral Ration = 175%
MSSR = Maximum Short Squeeze Ratio = 110% (SQPR in the doc)
PF = Price Feed
CR = Collateral Ratio
  • You can NOT open a short position with a CR inferior to 192.5% (1.1 * 175%)
  • You get margin called when your CR goes to 175%
  • Your margin call will sit at 110% of the PF
^Correct me if I'm wrong


I think you're wrong. Margin call wil trigger if your collateral < 192.5% - that's why you cannot open position.


Offline DestBest

This is how I understand the documentation with the current parameters:

MCR = Minimum Collateral Ration = 175%
MSSR = Maximum Short Squeeze Ratio = 110% (SQPR in the doc)
PF = Price Feed
CR = Collateral Ratio
  • You can NOT open a short position with a CR inferior to 192.5% (1.1 * 175%)
  • You get margin called when your CR goes to 175%
  • Your margin call will sit at 110% of the PF
^Correct me if I'm wrong

Based on those assumptions and the current state of the market I would recommend:

To set the MSSR to something between 130% and 150%.
You could then lower the MSSR if the market move toward the PF.

If you plan on setting the MCR higher, I would suggest raising the MSSR even higher than 150%.

I suppose that the  current "yellow" order will stay in orderbook even if  SQP will change. Just guessing.
What is wrong with conclusion that BTWTY is currently in the ongoing black swan event.
I am the only "yellow" order currently being margin called, I will close this short as soon as the brainstorming is over or if it gets near black swan price. No worry.
« Last Edit: January 07, 2017, 01:36:18 am by DestBest »
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Offline Geneko

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  I don't understand why holders aren't selling? Holders belive that price will go up, but if this happen they get rect by black swan and as long as i know we don't have mechanism (yet) to cover holders even at loos. So while price of ASSET is rising, after black swan they get nothing or better to say minus 100%.
This is because of individual acting in its own self interest rather then mutual interest. Game theory offers explanations of those scenarios.
Anyway there is shortage in supply of smart coins. Market only reflects that. You can always sell above feed price and you cant buy enough well under feed price.

It will force shorters to cover called positions at whatever price market offer up to 1.5 * feed price.
What if market selling higher than 1.5*feed? It's mean SQP is to low and ASSET is no longer covered, because margin calls cannot be executed.
In my opinion SQP is the thing to mess around.
In my opinion too but I think it should be opposite of that
SQP should be set to 0% and margin call price for instance 300%.
SQP 10% is deviation, which is reflected on the market price, where buy orders goes only to 1/1.1=0.909 feed price (you never know when somebody could be margin called - place sell order 10% bellow feed price) and sell order goes well below feed price accordingly.
Obviously there is something wrong with such market. SQP is artificial incentive, neglecting market property to correct it self.
As for margin call it is: forced sell order - which doesn't have to be filled all at once but should last as long as there are not enough collateral.
It is same as now. Only difference is in that initial marging call buys 10% range of order book and then buys every offer 10% bellow feed price.
« Last Edit: January 07, 2017, 12:18:18 am by Geneko »