margin call price is 150%, not 200%

[nmushegian]

https://bitsharestalk.org/index.php?topic=13453.0;topicseen

[vikramrajkumar]

@theoreticalbts Can you also confirm whether the 300% collateral claim is true, or whether it is actually 200%?

[vikramrajkumar]

@theoreticalbts Can you also confirm whether the 300% collateral claim is true, or whether it is actually 200%?

[theoreticalbts]

300% collateral is currently implemented.

I think the intent was always to make margin calls happen when the short side lost 1/2 of their capital, which occurs at 150% when the initial capital is 200% (as it was before the change to 300% / 30 days).

[theoreticalbts]

300% collateral is currently implemented.

I think the intent was always to make margin calls happen when the short side lost 1/2 of their capital, which occurs at 150% when the initial capital is 200% (as it was before the change to 300% / 30 days).

[nmushegian]

I think the intent now is to make 200% the call price since that is what is being advertised

[nmushegian]

I think the intent now is to make 200% the call price since that is what is being advertised

[theoreticalbts]

NB, if we implement this, we'll have to grandfather existing shorts into their current margin call prices. We don't want to be in the business of changing the terms of financial derivative instruments after people have already bought them.

We have to also consider partial covering.

[theoreticalbts]

NB, if we implement this, we'll have to grandfather existing shorts into their current margin call prices. We don't want to be in the business of changing the terms of financial derivative instruments after people have already bought them.

We have to also consider partial covering.

[nmushegian]

Yes, only apply this for future shorts. I don't see why we have to consider partial covers if we do that.

[nmushegian]

Yes, only apply this for future shorts. I don't see why we have to consider partial covers if we do that.

[bytemaster]

Someone changed this back. I remember very clearly using *3 /4 as the multiple in prior versions.

[bytemaster]

Someone changed this back. I remember very clearly using *3 /4 as the multiple in prior versions.

[vikramrajkumar]

cough c7d7257 cough

[vikramrajkumar]

cough c7d7257 cough

[vikramrajkumar]

Why was this returned back to 3/4 from 2/3 yet again: 211c5e1#diff-aa03531d90e90a2437e8cba9b668e0ccR400

[vikramrajkumar]

Why was this returned back to 3/4 from 2/3 yet again: 211c5e1#diff-aa03531d90e90a2437e8cba9b668e0ccR400

[bytemaster]

It wasn't changed back to 2/3... it still reads 3/4.

[bytemaster]

It wasn't changed back to 2/3... it still reads 3/4.

[theoreticalbts]

Yeah, turns out these are both wrong. Suppose you're shorting 100K BTS combined with 50K BTS going long at $0.02 / BTS, the debt is $1000 and the collateral is 150K BTS. The debt's BTS value at price p (where P is dollars per BTS, i.e. $0.02 / BTS) would be debt_value(p) = debt / p. Then 300% initial collateralization can be expressed as:

collateral = 3 * debt_value(initial_price)

If margin call happens at 200% collateralization level, you have

collateral = 2 * debt_value(call_price)

which simplifies to collateral = 2 * debt / call_price, solving for call_price gives

call_price = 2 * debt / collateral

In general when we have collateralization level of L percent, we have

   collateral = (L/100) * debt_value(call_price)
-> call_price = (L/100) * debt / collateral
              = (debt / collateral) / (100/L)
              = (debt / (k * collateral))      where k = 100/L

Defining call_collateral = collateral * k, we have call_price = debt / call_collateral which is what's actually implemented in the code:

  call_collateral.amount *= <something>;
  call_collateral.amount /= <something else>;

something / something else should be k, for L = 200% we have k = 1/2.

[theoreticalbts]

Yeah, turns out these are both wrong. Suppose you're shorting 100K BTS combined with 50K BTS going long at $0.02 / BTS, the debt is $1000 and the collateral is 150K BTS. The debt's BTS value at price p (where P is dollars per BTS, i.e. $0.02 / BTS) would be debt_value(p) = debt / p. Then 300% initial collateralization can be expressed as:

collateral = 3 * debt_value(initial_price)

If margin call happens at 200% collateralization level, you have

collateral = 2 * debt_value(call_price)

which simplifies to collateral = 2 * debt / call_price, solving for call_price gives

call_price = 2 * debt / collateral

In general when we have collateralization level of L percent, we have

   collateral = (L/100) * debt_value(call_price)
-> call_price = (L/100) * debt / collateral
              = (debt / collateral) / (100/L)
              = (debt / (k * collateral))      where k = 100/L

Defining call_collateral = collateral * k, we have call_price = debt / call_collateral which is what's actually implemented in the code:

  call_collateral.amount *= <something>;
  call_collateral.amount /= <something else>;

something / something else should be k, for L = 200% we have k = 1/2.

[theoreticalbts]

So k is simply the debt-to-collateral ratio at margin call. k = 1/2 is desired (debt is 1/2 collateral).

I will call this BTS_BLOCKCHAIN_MCALL_D2C_NUMERATOR / BTS_BLOCKCHAIN_MCALL_D2C_DENOMINATOR

[theoreticalbts]

So k is simply the debt-to-collateral ratio at margin call. k = 1/2 is desired (debt is 1/2 collateral).

I will call this BTS_BLOCKCHAIN_MCALL_D2C_NUMERATOR / BTS_BLOCKCHAIN_MCALL_D2C_DENOMINATOR

[theoreticalbts]

Ran through the numbers with current order book, this is definitely fixed. Probably by 5fcfef1

[theoreticalbts]

Ran through the numbers with current order book, this is definitely fixed. Probably by 5fcfef1

[abitmore]

To be simple, if one shorts 100K BTS combined with 50K BTS going long at $0.02 / BTS, how much should the call price be? It's $0.01 in bts/0.8.x or earlier, but $0.013 in bts/0.9.0 and bts/0.9.1

[abitmore]

To be simple, if one shorts 100K BTS combined with 50K BTS going long at $0.02 / BTS, how much should the call price be? It's $0.01 in bts/0.8.x or earlier, but $0.013 in bts/0.9.0 and bts/0.9.1