Author Topic: Delegates Please Publish Feeds More Often  (Read 13495 times)

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Offline biophil

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There is no need for short squeeze protection imo. When a margin call happens, the system should take all orders up to a limit defined by collateral.
As the name implies, the short squeeze protection is to protect shorters for overpaying in low-liquidity markets.

Why to do this? Shorters deposit collateral to protect bitAssets. If a shorter can't maintain his collateral, use it all to buy back his debt. What's a problem with this?
Where you sit determines what you say.Where you stand depends on where you sit.

To state it explicitly, people with large short positions want to offload as much of their risk as possible to people on the long side. Hence things like short-squeeze protection and bitcrab's bizarre arguments for nonzero force-settle offsets.

It's things like this that have really weakened my trust in the BitAsset system. It seems that there is a deep incentive problem here:

If BitShares does well, people who took out short positions on BitAssets make a ton of money and gain a large share of the total stake. Since those people have short positions, they have two things:
1. Strong individual incentives to offload risk to longs, and
2. The voting power to make that a reality.

Of course, the whole point of holding BitAssets is that they're supposed to be a place to harbor oneself from price volatility and risk, and in my view, BitAssets are one of the major selling points for Bitshares overall. So if the large shorts vote their own interests myopically (which they have both the incentive and the ability to do), they weaken one of the very pillars that holds up Bitshares itself.

Maybe I'm overstating the importance of BitAssets to the overall Bitshares ecosystem? In any case, I've been aggressively reducing my exposure to BitAssets ever since I realized the magnitude of the incentive problem. The black swan risk is just too great and too difficult to quantify for me to keep significant amounts of my wealth here anymore.
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Offline abit

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There is no need for short squeeze protection imo. When a margin call happens, the system should take all orders up to a limit defined by collateral.
As the name implies, the short squeeze protection is to protect shorters for overpaying in low-liquidity markets.

Why to do this? Shorters deposit collateral to protect bitAssets. If a shorter can't maintain his collateral, use it all to buy back his debt. What's a problem with this?
Where you sit determines what you say.Where you stand depends on where you sit.
« Last Edit: January 27, 2018, 06:51:46 pm by abit »
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Offline yvv

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There is no need for short squeeze protection imo. When a margin call happens, the system should take all orders up to a limit defined by collateral.
As the name implies, the short squeeze protection is to protect shorters for overpaying in low-liquidity markets.

Why to do this? Shorters deposit collateral to protect bitAssets. If a shorter can't maintain his collateral, use it all to buy back his debt. What's a problem with this?

Offline xeroc

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There is no need for short squeeze protection imo. When a margin call happens, the system should take all orders up to a limit defined by collateral.
As the name implies, the short squeeze protection is to protect shorters for overpaying in low-liquidity markets.

Offline yvv

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There is no need for short squeeze protection imo. When a margin call happens, the system should take all orders up to a limit defined by collateral.

Offline biophil

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The root problem is not the feed price and the max short-squeeze ratio.

The root problem is the DEX is very very friendly to the shorter, when someone was forced liquidation, the rest of BTS should be withdraw at least 60%  as a punitive margin by the DEX.

Yes, that's exactly what I'm saying. If I understand it correctly, that's what the max short-squeeze ratio does -- controls the penalty associated with getting margin-called.
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Offline biophil

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Would it also not be worth increasing the max force settle volume per 24hrs? If it's set to 1% and someone has a margin call greater than 1%, perhaps the DEX couldn't clear the margin call fast enough?

I agree that max force settle volume is WAY too low. But I sort of assumed it didn't affect margin calls.

FWIW, the DEX doesn't clear margin calls -- the traders do. A possibly-bigger problem is the max short-squeeze ratio is only 110%, which means that margin calls are not very aggressive and traders don't have much incentive to buy into the margin call. I suppose USD will probably black-swan today because of it. A very serious problem is that Bitshares is too shorter-friendly, at the expense of people who hold the supposedly risk-free bitassets.

What would the effect of changing the max short-squeeze ratio be specifically? Would you desire it increase of decreased? All committee controlled assets use 110%

In my view (bear in mind that I haven't worked through all of the details here), it should be increased. As I understand it, 110% means that a margin call is settled at the price feed plus 10%, which means essentially that the shorter is assessed a fixed penalty of 10% for letting their collateral ratio get too low. Alternatively, BitAsset holders are offered a 10% premium to trade in their BitAssets for BTS. In wild market swings (especially when the price feeds are lagging the external prices), 10% may be too low to clear a high volume of margin calls and prevent a black swan.

I have a vague feeling that the reason the MSSR exists in the first place is to provide a measure of protection against manipulation. Unfortunately the effect of this is to transfer risk from BitAsset short positions to BitAsset long positions.
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binggo

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The root problem is not the feed price and the max short-squeeze ratio.

The root problem is the DEX is very very friendly to the shorter, when someone was forced liquidation, the rest of BTS should be withdraw at least 60%  as a punitive margin by the DEX.

Offline R

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Would it also not be worth increasing the max force settle volume per 24hrs? If it's set to 1% and someone has a margin call greater than 1%, perhaps the DEX couldn't clear the margin call fast enough?

I agree that max force settle volume is WAY too low. But I sort of assumed it didn't affect margin calls.

FWIW, the DEX doesn't clear margin calls -- the traders do. A possibly-bigger problem is the max short-squeeze ratio is only 110%, which means that margin calls are not very aggressive and traders don't have much incentive to buy into the margin call. I suppose USD will probably black-swan today because of it. A very serious problem is that Bitshares is too shorter-friendly, at the expense of people who hold the supposedly risk-free bitassets.

What would the effect of changing the max short-squeeze ratio be specifically? Would you desire it increase of decreased? All committee controlled assets use 110%

Offline biophil

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I have read through this and I agree. I have adjusted accordingly and sped up the price publishing to every 20 minutes. (This is of course the complete opposite of what bitcrab was asking for BitCNY).

Is bitcrab the one who thinks that bitasset risk should be moved from the shorts to the longs?
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Offline biophil

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Would it also not be worth increasing the max force settle volume per 24hrs? If it's set to 1% and someone has a margin call greater than 1%, perhaps the DEX couldn't clear the margin call fast enough?

I agree that max force settle volume is WAY too low. But I sort of assumed it didn't affect margin calls.

FWIW, the DEX doesn't clear margin calls -- the traders do. A possibly-bigger problem is the max short-squeeze ratio is only 110%, which means that margin calls are not very aggressive and traders don't have much incentive to buy into the margin call. I suppose USD will probably black-swan today because of it. A very serious problem is that Bitshares is too shorter-friendly, at the expense of people who hold the supposedly risk-free bitassets.
Support our research efforts to improve BitAsset price-pegging! Vote for worker 1.14.204 "201907-uccs-research-project."

Offline R

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Would it also not be worth increasing the max force settle volume per 24hrs? If it's set to 1% and someone has a margin call greater than 1%, perhaps the DEX couldn't clear the margin call fast enough?

Offline sahkan

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I have read through this and I agree. I have adjusted accordingly and sped up the price publishing to every 20 minutes. (This is of course the complete opposite of what bitcrab was asking for BitCNY).

Offline alt

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I saw there are 11.3 M USD margin call, but the feed price almost 10% higher than other exhchange. and change very slow.
if the witness still behave like this, the USD will be blackswan more easy.

Quote
if  REAL_PRICE < MEDIAN and YOUR_PRICE > MEDIAN publish price

When attempting to write a market maker the slow movement of the feed can be difficult.

I would recommend the following:

if  REAL_PRICE < MEDIAN and YOUR_PRICE > MEDIAN publish price
if  REAL_PRICE > MEDIAN  and  abs( YOUR_PRICE - REAL_PRICE ) / REAL_PRICE  > 0.005 publish price

The goal is to force the price down rapidly and allow it to creep up slowly.

By publishing prices more often it helps market makers maintain the peg and minimizes opportunity for shorts to sell USD below the peg that the market makers then have to absorb. 

If we can get updates flowing smoothly then we can gradually reduce the spread in the market maker bots. 

*note: all prices in USD per BTSX

iHashFury

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Hello

I have just set-up my price feeds https://bitsharestalk.org/index.php?topic=7787.msg159042#msg159042

I hope its correct.

Feedback is appreciated.