SCCP-190: Update Fees & Atomic Volatility Circuit Breakers Parameters

Author
StatusImplemented
TypeGovernance
NetworkEthereum & Optimism
ImplementorTBD
ReleaseTBD
ProposalLoading status...
Created2022-04-25

Simple Summary

This SCCP proposes to update the parameters for the atomic and non-atomic exchanges in light of the release of SIP-198 and SIP-222.

Atomic Exchanges on Ethereum

Base Fees

Ticker Proposed Fees Current Fees
ETH 25 30
BTC 25 30
USD 0 30
EUR 15 NA
CHF 15 NA
JPY 15 NA
AUD 15 NA
GBP 15 NA
KRW 15 NA

Ethereum Atomic Exchange Circuit Breakers

Ticker Proposed Circuit Breakers Parameters Existing Circuit Breaker Parameters
ETH 3 Answers / 10 Minutes 3 Answers / 10 Minutes
BTC 3 Answers / 10 Minutes 3 Answers / 10 Minutes
USD NA NA
EUR 2 Answers / 10 Minutes NA
CHF 2 Answers / 10 Minutes NA
JPY 2 Answers / 10 Minutes NA
GBP 2 Answers / 10 Minutes NA
KRW 2 Answers / 10 Minutes NA
AUD 2 Answers / 10 Minutes NA

Other Parameters

  • The max volume per block would remaind at 15m$ per block
  • USD, ETH and BTC would be using 'USDC', wETH and wBTC as their respective uniswap-v3 equivalents.
  • The rest of the feeds, being EUR, CHF, JPY, GBP, AUD and KRW, would trade at the pure chainlink price.
  • The CL_BUFFER will be set to zero on all assets.

Non-Atomic Exchanges on Ethereum

Base Exchange Fee

Ticker Proposed Fees Previous Fees
ETH 25 25
BTC 25 30
USD 0 30
EUR 5 25
CHF 5 25
AUD 5 25
JPY 5 25
GBP 5 25
KRW 5 25
AAVE 70 100
DOT 70 100
DEFI 70 100
LINK 50 85

Atomic Exchanges on Optimism

Base Exchange Fee

Ticker Proposed Fees Previous Fees
ETH 25 25
BTC 25 25
USD 0 25
LINK 35 35
EUR 5 25
AAVE 55 70
SOL 55 70
AVAX 55 70
MATIC 55 70
UNI 55 70

Abstract

The parameters are as follows:

  • feeRateForExchange is the fee that is paid by traders computed by adding the baseFee of the source and destination currencies after SIP-222. Previously that fee is based purely on the destination currency.
  • atomicMaxVolumePerBlock is the max volume in sUSD per block.
  • The atomicVolatilityConsiderationWindow is the the time window to evaluate whether a synth is too volatile to atomically exchange, specified in number of seconds
  • The atomicVolatilityUpdateThreshold is the maximum number of Chainlink updates in the consideration window before a synth is deemed too volatile to atomically exchange, specified in number of updates.

Motivation

The base fees were primarily calibrated by considering the historical volatility of the assets as to limit the latency arbitrage. The atomic exchange circuit breakers were set by looking at the number of historical oracle prices pushes during different time intervals under different volatility environments with the aim of limiting trading disruption.

Copyright and related rights waived via CC0.