SIP 52: Add Next Price to Fee Reclamation Source

AuthorJustin J Moses
Discussions-To<https://discordapp.com/invite/AEdUHzt>
StatusProposed
Created2020-03-04

Simple Summary

Expand fee reclamation to use next price update for certain synths

Abstract

Add an optional mechanism to fee reclamation where instead of a waiting period in time for calculating price differences, some synths would require a new price update.

Motivation

The underlying assets of certain synths - such as forex, commodities, stocks and indicies - undergo spot market closures. For forex and commodities, spot market closures are weekends across all world timezones (Friday at 5 pm EST - Sunday 5 pm EST). For stocks and indicies, there are evenings, weekends and public holidays for in each market’s region. During these periods where spot markets are closed, the futures markets continue to operate and world news continues to be delivered that may impact futures and shift the spot price at next market open. In order to prevent Synthetix traders taking advantage of these upcoming movements, we propose expanding fee reclamation for these synths, so that instead of waiting some number of time in the future, fee reclamation will wait until a new price has been received.

Moreover, this functionality would be useful for leveraged synths. If on-chain prices are only updated every hour (and potentially variant per pricing network) and on a 1% deviation via Chainlink’s decentralized pricing networks, leveraged synths with only a timed fee reclamation waiting period could expose the debt pool to significant frontrunning opportunites. Instead, this proposal would allow adding leveraged synths into this.

An event is emitted whenever the mapping for a synth is updated to provide information on whether the “timed” or “next-price” fee reclamation/rebate is applied for a given exchange in a particular block.

Specification

  1. Exchanger would need a new mapping(bytes32 => bool) to track which synths require this new “next price” waiting period (others would continue to use the timed waiting period), and an internal function that will emit an event SynthFeeReclamationConfigChange whenever a mapping() is changed.
  2. Exchanger.maxSecsLeftInWaitingPeriod() would always return 0 for those using the “next price” feature
  3. ExchangeRates needs new function to getNextRoundId(fromRoundId, bytes32)
  4. Synthetix.isWaitingPeriod(bytes32) would need to be amended, if any exchange into (dest), out of (src) (or both) a “next price” synth, then needs to lookup in ExchangeRates.getNextRoundId() to see if a new price has been received or not (for one or both)
  5. Exchanger.settle() would need to determine next price for src and dest using either timed waiting period (as now) or “next price” (via #3 above), depending on each synth’s parameters from #1 above.

Given the additional mechanism, an exchange’s waiting period needs to consider both the src and the dest synths. The waiting period would be timed if and only if both synths are using timed. In all other cases, a combination of “next price” and timed will be required, and the waiting period will be the longer of the two.

For example, imagine Alice exchanges 100 sAUD (a next price synth) to sETH (a timed synth) on a weekend. Her exchange succeeds but now the next price waiting period on sAUD would extend until forex market open at Sunday 5pm ET. This would mean she couldn’t exchange or transfer any sETH until then.

One potential way to solve this is to amend Fee Reclamation logic (SIP-37) to allow exchanges and transfers that are from funds not undergoing a waiting period. Imagine in the above scenario where Alice would have 0.5 sETH (if ETHUSD was at 200) after the exchange, she could be permitted to exchange or transfer ETH as long as she’d be left with at least 0.5 sETH to potentially reclaim from.

Events

event SynthFeeReclamationConfigChange(bytes32 currencyKey, bool useNextPrice);

Rationale

The current fee reclamation system relies on tracking 12 (configurable) exchanges into some given synth before requiring settlement. Then, at settlement, it calculates how much is owed and reclaims or rebates the amount. Expanding it for this functionality is not too difficult (as outlined above), though it makes reasoning about ongoing waiting periods more cumbersome for users.

Test Cases

TBD

Implementation

TBD

Copyright and related rights waived via CC0.