SCCP-2116: Update Perps V2 Parameters

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Simple Summary

This SCCP proposes to update the perps v2 parameters as per the below:

Skew Scale:

Market Current Scale Proposed Scale Current Slippage Proposed Slippage Cex Slippage
PYTH 14,437,500 35,000,000 391.00 161.29 36
WLD 3,250,000 9,750,000 168.00 56.00 18

** Slippage figures in the table above are with respect to a trade size of USD 500 thousand **

Update Endorsed Liquidator Parameters

Update the maxLiquidationDelta of and maxPD of the SOL perp market to 8.01 bp and 16.02 bp, respectively.


Below is a description of the parameter changes proposed in the SCCP:

  • skewScale is the scaling factor of the relevant market in the underlying currency for computing PD and Funding Rates.
  • maxPD and maxLiquidationDelta, described in SIP-2095, are parameters that determine whether accounts flagged for liquidation require an endorsed account to confirm the liquidation. As a rule, the maxPD is configured to 2 * (offchain maker fee + offchain taker fee) while the maxLiquidationDelta is set to offchain maker + offchain taker fees.


The proposed parameter changes on skew scale aim at calibrating the incentive on arbitrageurs to arbitrage the skew by targeting an effective liquidity comfortably below liquidity available on centralized exchanges.

The update to maxPD and maxLiquidationDelta are proposed in this SCCP, following the change in maker fee on the SOL perp market in SCCP-2106.


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