Merge pull request #31 from Synthetixio/add-btc-perps-market

Add BTC Perps Market

omnibus-optimism-goerli.toml

@@ -1,5 +1,5 @@
 name = "synthetix-omnibus"
-version = "3.2.1-dev.b257e30b"
+version = "3.2.1-dev.3c89ca90"
 description = "Includes the full synthetix system with configurations applied"
 include = [
     "tomls/settings-testnet.toml",
@@ -13,6 +13,7 @@ include = [
     "tomls/markets/spot/btc.toml",
     "tomls/markets/spot/link.toml",
     "tomls/markets/perps/eth.toml",
+    "tomls/markets/perps/btc.toml",
     "tomls/permit-all-createPool.toml",
     "tomls/permit-all-registerMarket.toml",
     "tomls/permit-all-perps-createAccount.toml",
@@ -131,8 +132,11 @@ defaultValue = "10000"
 [setting.perpsEthInitialMarginRatio]
 defaultValue = "2"
 
-[setting.perpsEthMaintenanceMarginFraction]
-defaultValue = "1"
+[setting.perpsEthMinimumInitialMarginRatio]
+defaultValue = "0.01"
+
+[setting.perpsEthMaintenanceMarginScalar]
+defaultValue = "0.5"
 
 [setting.perpsEthLiquidationRewardRatioD18]
 defaultValue = "0.01"
@@ -149,6 +153,50 @@ defaultValue = "1"
 [setting.perpsEthLockedOiRatio]
 defaultValue = "0.1"
 
+# BTC Perps Configuration
+
+[setting.btcPerpsMarketId]
+defaultValue = "200"
+
+[setting.perpsBtcSkewScale]
+defaultValue = "100000"
+
+[setting.perpsBtcMaxFundingVelocity]
+defaultValue = "9"
+
+[setting.perpsBtcMakerFeeRatio]
+defaultValue = "0.0007"
+
+[setting.perpsBtcTakerFeeRatio]
+defaultValue = "0.0003"
+
+[setting.perpsBtcMaxMarketSize]
+defaultValue = "10000"
+
+[setting.perpsBtcInitialMarginRatio]
+defaultValue = "2"
+
+[setting.perpsBtcMaintenanceMarginScalar]
+defaultValue = "1"
+
+[setting.perpsBtcMinimumInitialMarginRatio]
+defaultValue = "0.01"
+
+[setting.perpsBtcLiquidationRewardRatioD18]
+defaultValue = "0.01"
+
+[setting.perpsBtcMaxLiquidationLimitAccumulationMultiplier]
+defaultValue = "1"
+
+[setting.perpsBtcMaxSecondsInLiquidationWindow]
+defaultValue = "30"
+
+[setting.perpsBtcMinimumPositionMargin]
+defaultValue = "1"
+
+[setting.perpsBtcLockedOiRatio]
+defaultValue = "0.1"
+
 # ETH Synth Configuration
 
 [setting.synthEthAsyncFixedFee]
@@ -181,13 +229,28 @@ args = [
 ]
 depends=["provision.perpsFactory", "invoke.createEthSynth"]
 
+[invoke.setPerpsProxyCustomTransactorOnBtcSynthMarket]
+target = ["spotFactory.SpotMarketProxy"]
+fromCall.func = "getMarketOwner"
+fromCall.args = ["<%= extras.synth_btc_market_id %>"]
+func = "setCustomTransactorFees"
+args = [
+  "<%= extras.synth_btc_market_id %>", 
+  "<%= imports.perpsFactory.contracts.PerpsMarketProxy.address %>", 
+  "<%= parseEther('0.0001') %>"
+]
+depends=["provision.perpsFactory", "invoke.createBtcSynth"]
+
 # Pyth settlement strategy config
 [setting.pythFeedUrl]
 defaultValue = "https://api.synthetix.io/pyth-testnet/api/get_vaa_ccip?data={data}"
 
 [setting.pythEthFeedId]
 defaultValue = "0xca80ba6dc32e08d06f1aa886011eed1d77c77be9eb761cc10d72b7d0a2fd57a6"
 
+[setting.pythBtcFeedId]
+defaultValue = "0xf9c0172ba10dfa4d19088d94f5bf61d3b54d5bd7483a322a982e1373ee8ea31b"
+
 [setting.priceWindowDuration]
 defaultValue = "180"
 
@@ -206,4 +269,4 @@ args = [
     ],
 ]
 
-depends=["invoke.createScPool", "invoke.createEthSynth", "invoke.createBtcSynth", "invoke.createLinkSynth", "invoke.createEthPerpsMarket"]
+depends=["invoke.createScPool", "invoke.createEthSynth", "invoke.createBtcSynth", "invoke.createLinkSynth", "provision.perpsFactory"]

omnibus-optimism-mainnet.toml

@@ -30,6 +30,9 @@ defaultValue = "0x4200000000000000000000000000000000000006"
 [setting.eth_aggregator_address]
 defaultValue = "0x13e3Ee699D1909E989722E753853AE30b17e08c5"
 
+[setting.btc_aggregator_address]
+defaultValue = "0xD702DD976Fb76Fffc2D3963D037dfDae5b04E593"
+
 [setting.snx_liquidation_reward]
 defaultValue = "10000000000000000000"
 

tomls/core.toml

@@ -1,5 +1,5 @@
 [setting.snx_package]
-defaultValue = "synthetix:3.2.1-dev.b257e30b"
+defaultValue = "synthetix:3.2.1-dev.3c89ca90"
 
 [setting.owner]
 

tomls/markets/common/settlement-strategies/btc/pyth.toml

@@ -0,0 +1,27 @@
+[setting.btcSettlementDelay]
+defaultValue = "15"
+
+[setting.btcSettlementWindowDuration]
+defaultValue = "60"
+
+[setting.btcPriceWindowDuration]
+defaultValue = "600"
+
+[setting.pythPriceVerificationAddress]
+defaultValue = "0xff1a0f4744e8582DF1aE09D5611b887B6a12925C"
+
+[setting.pythBtcFeedId]
+
+[setting.pythFeedUrl]
+
+[setting.settlementReward]
+defaultValue = "0"
+
+[setting.btcSettlementDeviationTolerance]
+defaultValue = "0.05"
+
+[setting.settlementMinimumUsdExchangeAmount]
+defaultValue = "0.000001"
+
+[setting.settlementMaxRoundingLoss]
+defaultValue = "0.000001"

tomls/markets/perps-factory.toml

@@ -3,7 +3,7 @@ include = [
 ]
 
 [setting.perps_market_package]
-defaultValue = "synthetix-perps-market:3.2.1-dev.b257e30b"
+defaultValue = "synthetix-perps-market:3.2.1-dev.3c89ca90"
 
 [provision.perpsFactory]
 source = "<%= settings.perps_market_package %>"

tomls/markets/perps/btc.toml

@@ -0,0 +1,123 @@
+include = [
+  "../perps-factory.toml",
+
+  # TODO: this is a funny necessary dependency because the oracle manager is registering the same node twice
+  # however, it will not emit "NodeRegistered" the second time because its an unnecessary call
+  "../../oracles/btc.toml",
+  "../common/settlement-strategies/btc/pyth.toml"
+]
+
+[setting.btcPerpsMarketId]
+
+[setting.perpsBtcSkewScale]
+
+[setting.perpsBtcMaxFundingVelocity]
+
+[setting.perpsBtcMakerFeeRatio]
+
+[setting.perpsBtcTakerFeeRatio]
+
+[setting.perpsBtcMaxMarketSize]
+
+[setting.perpsBtcInitialMarginRatio]
+
+[setting.perpsBtcMaintenanceMarginFraction]
+
+[setting.perpsBtcLiquidationRewardRatioD18]
+
+[setting.perpsBtcMaxLiquidationLimitAccumulationMultiplier]
+
+[setting.perpsBtcMaxSecondsInLiquidationWindow]
+
+[setting.perpsBtcMinimumPositionMargin]
+
+[setting.perpsBtcLockedOiRatio]
+
+# strategy type for Perps markets is 0, for spot markets is 1
+[setting.strategyType]
+defaultValue = "0"
+
+[invoke.createBtcPerpsMarket]
+target = ["perpsFactory.PerpsMarketProxy"]
+fromCall.func = "owner"
+func = "createMarket"
+args = ["<%= settings.btcPerpsMarketId %>", "Bitcoin", "BTC"]
+depends = ["provision.perpsFactory"]
+
+[invoke.setPerpsPriceBtc]
+target = ["perpsFactory.PerpsMarketProxy"]
+fromCall.func = "owner"
+func = "updatePriceData"
+args = [
+  "<%= settings.btcPerpsMarketId %>", 
+  "<%= extras.btc_oracle_id %>"
+]
+depends = ["invoke.createBtcPerpsMarket", "invoke.registerBtcOracleNode"]
+
+[invoke.setPerpsBtcSettlementStrategy]
+target = ["perpsFactory.PerpsMarketProxy"]
+fromCall.func = "owner"
+func = "addSettlementStrategy"
+args = [
+  "<%= settings.btcPerpsMarketId %>", 
+  { strategyType = "<%= settings.strategyType %>", settlementDelay = "<%= settings.btcSettlementDelay %>", settlementWindowDuration = "<%= settings.btcSettlementWindowDuration %>", priceWindowDuration = "<%= settings.priceWindowDuration %>", priceVerificationContract = "<%= settings.pythPriceVerificationAddress %>", feedId = "<%= settings.pythBtcFeedId %>",  url = "<%= settings.pythFeedUrl %>", settlementReward = "<%= settings.settlementReward %>", priceDeviationTolerance = "<%= parseEther(settings.btcSettlementDeviationTolerance) %>", disabled = false }
+]
+depends = ["invoke.createBtcPerpsMarket"]
+
+[invoke.setPerpsBtcFundingParameters]
+target = ["perpsFactory.PerpsMarketProxy"]
+fromCall.func = "owner"
+func = "setFundingParameters"
+args = [
+  "<%= settings.btcPerpsMarketId %>", 
+  "<%= parseEther(settings.perpsBtcSkewScale) %>",
+  "<%= parseEther(settings.perpsBtcMaxFundingVelocity) %>"
+]
+depends = ["invoke.createBtcPerpsMarket"]
+
+[invoke.setPerpsBtcOrderFees]
+target = ["perpsFactory.PerpsMarketProxy"]
+fromCall.func = "owner"
+func = "setOrderFees"
+args = [
+  "<%= settings.btcPerpsMarketId %>", 
+  "<%= parseEther(settings.perpsBtcMakerFeeRatio) %>",
+  "<%= parseEther(settings.perpsBtcTakerFeeRatio) %>"
+]
+depends = ["invoke.createBtcPerpsMarket"]
+
+[invoke.setPerpsBtcMaxMarketSize]
+target = ["perpsFactory.PerpsMarketProxy"]
+fromCall.func = "owner"
+func = "setMaxMarketSize"
+args = [
+  "<%= settings.btcPerpsMarketId %>", 
+  "<%= parseEther(settings.perpsBtcMaxMarketSize) %>"
+]
+depends = ["invoke.createBtcPerpsMarket"]
+
+[invoke.setPerpsBtcLiquidationParameters]
+target = ["perpsFactory.PerpsMarketProxy"]
+fromCall.func = "owner"
+func = "setLiquidationParameters"
+args = [
+  "<%= settings.btcPerpsMarketId %>", 
+  "<%= parseEther(settings.perpsBtcInitialMarginRatio) %>",
+  "<%= parseEther(settings.perpsBtcMinimumInitialMarginRatio) %>",
+  "<%= parseEther(settings.perpsBtcMaintenanceMarginScalar) %>",
+  "<%= parseEther(settings.perpsBtcLiquidationRewardRatioD18) %>",
+  "<%= parseEther(settings.perpsBtcMaxLiquidationLimitAccumulationMultiplier) %>",
+  "<%= parseEther(settings.perpsBtcMaxSecondsInLiquidationWindow) %>",
+  "<%= parseEther(settings.perpsBtcMinimumPositionMargin) %>"
+]
+depends = ["invoke.createBtcPerpsMarket"]
+
+[invoke.setPerpsBtcLockedOiRatio]
+target = ["perpsFactory.PerpsMarketProxy"]
+fromCall.func = "owner"
+func = "setLockedOiRatio"
+args = [
+  "<%= settings.btcPerpsMarketId %>", 
+  "<%= parseEther(settings.perpsBtcLockedOiRatio) %>"
+]
+depends = ["invoke.createBtcPerpsMarket"]

tomls/markets/perps/eth.toml

@@ -103,7 +103,8 @@ func = "setLiquidationParameters"
 args = [
   "<%= settings.ethPerpsMarketId %>", 
   "<%= parseEther(settings.perpsEthInitialMarginRatio) %>",
-  "<%= parseEther(settings.perpsEthMaintenanceMarginFraction) %>",
+  "<%= parseEther(settings.perpsEthMinimumInitialMarginRatio) %>",
+  "<%= parseEther(settings.perpsEthMaintenanceMarginScalar) %>",
   "<%= parseEther(settings.perpsEthLiquidationRewardRatioD18) %>",
   "<%= parseEther(settings.perpsEthMaxLiquidationLimitAccumulationMultiplier) %>",
   "<%= parseEther(settings.perpsEthMaxSecondsInLiquidationWindow) %>",

tomls/markets/spot-factory.toml

@@ -3,7 +3,7 @@ include = [
 ]
 
 [setting.spot_market_package]
-defaultValue = "synthetix-spot-market:3.2.1-dev.b257e30b"
+defaultValue = "synthetix-spot-market:3.2.1-dev.3c89ca90"
 
 [provision.spotFactory]
 source = "<%= settings.spot_market_package %>"

tomls/oracles/btc.toml

@@ -0,0 +1,23 @@
+include = [
+  "../core.toml"
+]
+
+[setting.btc_aggregator_address]
+
+[invoke.registerBtcOracleNode]
+target = ["system.oracle_manager.Proxy"]
+func = "registerNode"
+args = [
+    # 3 = chainlink aggregator type
+    3,
+    # 3 parameters are: address of the chainlink oracle
+    "<%= defaultAbiCoder.encode(['address', 'uint256', 'uint8'], [settings.btc_aggregator_address, 0, 8]) %>",
+    []
+]
+
+extra.btc_oracle_id.event = "NodeRegistered"
+extra.btc_oracle_id.arg = 0
+
+depends = [
+  "provision.system"
+]