Merge branch 'palazzo' into chore/align_spec_with_core_palazzo

.github/workflows/quality_check.yml

@@ -8,7 +8,7 @@ name: "Quality checks"
     branches:
       - master
       - cosmicelevator
-      - palazzomistero
+      - palazzo
 
 env:
   GITHUB_TOKEN: ${{ secrets.GITHUB_TOKEN }}

non-protocol-specs/0012-NP-LIPE-liquidation-price-estimate.md

@@ -8,7 +8,7 @@ Provide an estimate of the price range at which the liquidation of a specified p
 
 Provide an estimated liquidation price range, where the lower bound assumes no slippage in the [margin level calculation](../protocol/0019-MCAL-margin_calculator.md) and the upper bound assumes that the slippage cap is applied.
 
-This amounts to carrying out the same computation twice, once with both linear and quadratic slippage factor set to `0` and once with the actual values used by the market for which the specified position is being considered.
+This amounts to carrying out the same computation twice, once with slippage factor set to `0` and once with the actual value used by the market for which the specified position is being considered.
 
 The system carries out [position resolution](../protocol/0012-POSR-position_resolution.md) when the available collateral (amount in margin account for the market along with amount in the general account denominated in the same asset) is less than the maintenance margin level for the position. The first step is to cancel any open orders that a distressed party may have. After that the margin requirement is re-evaluated to see if the position is still distressed. Therefore we provide three sets of estimates of a liquidation price range: current open volume only, current open volume with active buy orders, current open volume with active sell orders.
 
@@ -27,13 +27,13 @@ where $V$ is the open volume (negative for a short position) and $S^\text{curren
 We assume margin is calculated as per continuous trading formula (as there are no closeouts in auctions) and that the slippage cap always applies, therefore we get:
 
 $$
-\text{collateral available} + V(S^{\text{liquidation}}-S^\text{current}) = S^{\text{liquidation}} (V \cdot \text{linear slippage factor}+V^2 \cdot \text{quadratic slippage factor}+V \cdot \text{risk factor}) + V \cdot \text{constant},
+\text{collateral available} + V(S^{\text{liquidation}}-S^\text{current}) = S^{\text{liquidation}} (V \cdot \text{linear slippage factor}+V \cdot \text{risk factor}) + V \cdot \text{constant},
 $$
 
 where $\text{risk factor}$ is the long risk factor when $V>0$ and the short risk factor otherwise. The $\text{constant}$ is an optional arbitrary constant scaling with open volume added to the maintenance margin, e.g. the funding payment portion of the margin for [perpetual futures](../protocol/0053-PERP-product_builtin_perpetual_future.md#5-margin-considerations). Solving for $S^{\text{liquidation}}$ we get:
 
 $$
-S^{\text{liquidation}} = \frac{\text{collateral available}-V \cdot S^\text{current} - V \cdot \text{constant}}{V \cdot \text{linear slippage factor}+V^2 \cdot \text{quadratic slippage factor}+V \cdot \text{risk factor}-V}
+S^{\text{liquidation}} = \frac{\text{collateral available}-V \cdot S^\text{current} - V \cdot \text{constant}}{V \cdot \text{linear slippage factor}+V \cdot \text{risk factor}-V}
 $$
 
 if the denominator in the above expression evaluates to $0$ the liquidation price is undefined and we return an error, otherwise we return the result floored at $0$ (as the negative price is not attainable for any of the currently supported products).

protocol/0019-MCAL-margin_calculator.md

@@ -24,7 +24,7 @@
 
 - A feature test that checks margin in case market PDP < 0 is created and passes. (<a name="0019-MCAL-010" href="#0019-MCAL-010">0019-MCAL-010</a>)
 
-- If a party is short `1` unit and the mark price is `15 900` and `market.maxSlippageFraction[1] = 0.25`, `market.maxSlippageFraction[2] = 0.25` and `RF short = 0.1` and order book is
+- If a party is short `1` unit and the mark price is `15 900` and `market.linearSlippageFactor = 0.25` and `RF short = 0.1` and order book is
 
     ```book
     buy 1 @ 15 000
@@ -34,14 +34,14 @@
     sell 10 @ 100 100
     ```
 
-    then the maintenance margin for the party is `15 900 x (0.25 x 1 + 0.25 x 1 x 1) + 0.1 x 1 x 15 900 = 9 540`. (<a name="0019-MCAL-011" href="#0019-MCAL-011">0019-MCAL-011</a>)
+    then the maintenance margin for the party is `15 900 x 0.25 x 1 + 0.1 x 1 x 15 900 = 5 565`. (<a name="0019-MCAL-024" href="#0019-MCAL-024">0019-MCAL-024</a>)
 
-- In the same situation as above, if `market.maxSlippageFraction[1] = 100`, `market.maxSlippageFraction[2] = 100` (i.e. 10 000% for both) instead, then the margin for the party is `84 100 + 0.1 x 1 x 15900 = 85 690`. (<a name="0019-MCAL-012" href="#0019-MCAL-012">0019-MCAL-012</a>)
+- In the same situation as above, if `market.linearSlippageFactor = 100`, (i.e. 10 000%) instead, then the margin for the party is `1 590 000 + 0.1 x 1 x 15900 = 1 591 590`. (<a name="0019-MCAL-025" href="#0019-MCAL-025">0019-MCAL-025</a>)
 
-- If the `market.maxSlippageFraction` is updated via governance then it will be used at the next margin evaluation i.e. at the first mark price update following the parameter update. (<a name="0019-MCAL-013" href="#0019-MCAL-013">0019-MCAL-013</a>)
+- If the `market.linearSlippageFactor` is updated via governance then it will be used at the next margin evaluation i.e. at the first mark price update following the parameter update. (<a name="0019-MCAL-013" href="#0019-MCAL-013">0019-MCAL-013</a>)
 
 - For a perpetual future market, the maintenance margin is equal to the maintenance margin on an equivalent dated future market, plus a component related to the expected upcoming margin funding payment. Specifically:
-  - If a party is long `1` unit and the mark price is `15 900` and `market.maxSlippageFraction[1] = 0.25`, `market.maxSlippageFraction[2] = 0.25` and `RF long = 0.1` and order book is
+  - If a party is long `1` unit and the mark price is `15 900` and `market.linearSlippageFactor = 0.25` and `RF long = 0.1` and order book is
 
     ```book
     buy 1 @ 15 000
@@ -51,7 +51,7 @@
     sell 10 @ 100 100
     ```
 
-    then the dated future maintenance margin component for the party is `15 900 x (0.25 x 1 + 0.25 x 1 x 1) + 0.1 x 1 x 15 900 = 9 540`. The current accrued funding payment for the perpetual component is calculated using
+    then the dated future maintenance margin component for the party is `15 900 x 0.25 x 1 + 0.1 x 1 x 15 900 = 5 565`. The current accrued funding payment for the perpetual component is calculated using
 
     ```book
     delta_t = funding_period_end - max(funding_period_start, internal_data_points[0].t)
@@ -66,21 +66,21 @@
     ```
 
     - If `s_twap = 1600`, `delta_t = 0.002` and `interest_rate = 0.05` then `funding_payment = 1600 * 0.002 * 0.05 = 0.16`.
-      - Thus, if `margin funding factor = 0.5`, `total margin requirement = futures margin + funding margin = 9540 + 0.5 * 0.16 * 1 = 9540.08` (<a name="0019-MCAL-019" href="#0019-MCAL-019">0019-MCAL-019</a>)
+      - Thus, if `margin funding factor = 0.5`, `total margin requirement = futures margin + funding margin = 5565 + 0.5 * 0.16 * 1 = 5565.08` (<a name="0019-MCAL-026" href="#0019-MCAL-026">0019-MCAL-026</a>)
 
     - If instead
       - `clamp_upper_bound*s_twap < max(clamp_lower_bound*s_twap, (1 + delta_t * interest_rate)*s_twap-f_twap)`
       - `funding payment = f_twap - s_twap + clamp_upper_bound*s_twap = f_twap + s_twap * (clamp_upper_bound - 1)`.
       - Then with `s_twap = 1600`, `clamp_upper_bound = 0.05` and `f_twap = 1550`, `funding_payment = 1590 + 1600 * (0.05 - 1) = 1590 - 1520 = 70`
-      - Thus, with `margin funding factor = 0.5`, `total margin requirement = futures margin + funding margin = 9540 + 0.5 * 70 * 1 = 9575` (<a name="0019-MCAL-020" href="#0019-MCAL-020">0019-MCAL-020</a>)
-      - However is position is instead `-1`, with the same margin requirement, if `margin funding factor = 0.5`, `total margin requirement = futures margin + funding margin = 9540 + 0.5 * max(0, 70 * -1) = 9540`(<a name="0019-MCAL-021" href="#0019-MCAL-021">0019-MCAL-021</a>)
+      - Thus, with `margin funding factor = 0.5`, `total margin requirement = futures margin + funding margin = 5565 + 0.5 * 70 * 1 = 5600` (<a name="0019-MCAL-027" href="#0019-MCAL-027">0019-MCAL-027</a>)
+      - However is position is instead `-1`, with the same margin requirement, if `margin funding factor = 0.5`, `total margin requirement = futures margin + funding margin = 5565 + 0.5 * max(0, 70 * -1) = 5565`(<a name="0019-MCAL-021" href="#0019-MCAL-021">0019-MCAL-021</a>)
 
     - If instead
       - `clamp_upper_bound*s_twap > clamp_lower_bound*s_twap > (1 + delta_t * interest_rate)*s_twap-f_twap)`
       - `funding payment = f_twap - s_twap + clamp_lower_bound*s_twap = f_twap + s_twap * (clamp_lower_bound - 1)`.
       - Then with `s_twap = 1600`, `clamp_lower_bound = -0.05` and `f_twap = 1550`, `funding_payment = 1590 + 1600 * (-0.05 - 1) = 1590 - 1680 = -90`
-      - Thus, with `margin funding factor = 0.5`, `total margin requirement = futures margin + funding margin = 9540 + 0.5 * max(0, -90 * 1) = 9540` (<a name="0019-MCAL-022" href="#0019-MCAL-022">0019-MCAL-022</a>)
-      - However is position is instead `-1`, with the same margin requirement, if `margin funding factor = 0.5`, `total margin requirement = futures margin + funding margin = 9540 + 0.5 * max(0, -90 * -1) = 9585`(<a name="0019-MCAL-023" href="#0019-MCAL-023">0019-MCAL-023</a>)
+      - Thus, with `margin funding factor = 0.5`, `total margin requirement = futures margin + funding margin = 5565 + 0.5 * max(0, -90 * 1) = 5565` (<a name="0019-MCAL-028" href="#0019-MCAL-028">0019-MCAL-028</a>)
+      - However is position is instead `-1`, with the same margin requirement, if `margin funding factor = 0.5`, `total margin requirement = futures margin + funding margin = 5565 + 0.5 * max(0, -90 * -1) = 5610`(<a name="0019-MCAL-029" href="#0019-MCAL-029">0019-MCAL-029</a>)
 
 ## Summary
 
@@ -107,7 +107,7 @@ The calculator takes as inputs:
 - `mark price`
 - `scaling levels` defined in the risk parameters for a market
 - `quantitative risk factors`
-- `market.maxSlippageFactors` which is a 2 dimensional decimal optional market creation parameter with a default of `[0.1,0.1]` i.e. `[10%,10%]` with the following validation: `0 <= market.maxSlippageFactors[1] <= 1 000 000` and `0 <= market.maxSlippageFactors[2] <= 1 000 000`.
+- `market.linearSlippageFactor` which is decimal optional market creation parameter with a default of `0.1` i.e. `10%` with the following validation: `0 <= market.linearSlippageFactor <= 1 000 000`.
 
 Note: `open_volume` may be fractional, depending on the `Position Decimal Places` specified in the [Market Framework](./0001-MKTF-market_framework.md). If this is the case, it may also be that order/positions sizes and open volume are stored as integers (i.e. int64). In this case, **care must be taken** to ensure that the actual fractional sizes are used when calculating margins. For example, if Position Decimals Places (PDP) = 3, then an open volume of 12345 is actually 12.345 (`12345 / 10^3`). This is important to avoid margins being off by orders of magnitude. It is notable because outside of margin calculations, and display to end users, the integer values can generally be used as-is.
 Note also that if PDP is negative e.g. PDP = -2 then an integer open volume of 12345  is actually 1234500.
@@ -149,7 +149,7 @@ with
 
 ```formula
 maintenance_margin_long
-    = max(min(riskiest_long * slippage_per_unit, product.value(market_observable)  * (riskiest_long * market.maxSlippageFraction[1] + riskiest_long^2 * market.maxSlippageFraction[2])), 0)
+    = max(min(riskiest_long * slippage_per_unit, product.value(market_observable)  * (riskiest_long * market.linearSlippageFactor)), 0)
     +  max(open_volume, 0) * [ quantitative_model.risk_factors_long ] . [ Product.value(market_observable) ] + buy_orders * [ quantitative_model.risk_factors_long ] . [ Product.value(market_observable) ]`,
 ```
 
@@ -177,7 +177,7 @@ where
 
 - **Short positions** are exited by the system considering what the volume weighted price of **buying** the size of the open short position (not riskiest short position) on the order book (i.e. by buying from the offers (asks) on the order book). If there is no open short position, the slippage per unit is zero.
 
-If there is zero or insufficient order book volume on the relevant side of the order book to calculate the `exit_price`, then take `slippage_per_unit = +Infinity` which means that `min(slippage_volume * slippage_per_unit, mark_price * (slippage_volume * market.maxSlippageFraction[1] + slippage_volume^2 * market.maxSlippageFraction[2])) = mark_price * (slippage_volume * market.maxSlippageFraction[1] + slippage_volume^2 * market.maxSlippageFraction[2])` above.
+If there is zero or insufficient order book volume on the relevant side of the order book to calculate the `exit_price`, then take `slippage_per_unit = +Infinity` which means that `min(slippage_volume * slippage_per_unit, mark_price * (slippage_volume * market.linearSlippageFactor)) = mark_price * (slippage_volume * market.linearSlippageFactor)` above.
 
 ### **Step 2**
 
@@ -187,7 +187,7 @@ Else
 
 ```formula
 maintenance_margin_short
-    = max(min(abs(riskiest short) * slippage_per_unit, mark_price * (abs(riskiest short) *  market.maxSlippageFraction[1] + abs(slippage_volume)^2 * market.maxSlippageFraction[2])),  0)
+    = max(min(abs(riskiest short) * slippage_per_unit, mark_price * (abs(riskiest short) *  market.linearSlippageFactor),  0)
     + abs(min( open_volume, 0 )) * [ quantitative_model.risk_factors_short ] . [ Product.value(market_observable) ] + abs(sell_orders) * [ quantitative_model.risk_factors_short ] . [ Product.value(market_observable) ]`
 ```
 
@@ -250,8 +250,7 @@ bids: [
     {volume: 7, price: $108}
 ]
 
-market.maxSlippageFraction[1] = 0.25
-market.maxSlippageFraction[2] = 0.001
+market.linearSlippageFactor = 0.25
 
 risk_factor_short = 0.11
 risk_factor_long = 0.1
@@ -276,11 +275,11 @@ riskiest_short = min( open_volume + sell_orders, 0 ) =  min( 10 - 8, 0 ) = 0
 slippage_per_unit =  max(0, Product.value(previous_mark_price) - Product.value(exit_price)) = max(0, Product.value($144) - Product.value((1*120 + 4*110 + 5*108)/10)) = max(0, 144 - 110)  = 34
 
 
-maintenance_margin_long =max(min(riskiest_long * slippage_per_unit, product.value(market_observable)  * (riskiest_long * market.maxSlippageFraction[1] + riskiest_long^2 * market.maxSlippageFraction[2])), 0)
+maintenance_margin_long =max(min(riskiest_long * slippage_per_unit, product.value(market_observable)  * (riskiest_long * market.linearSlippageFactor)), 0)
  + max(open_volume, 0 ) * [ quantitative_model.risk_factors_long ] . [ Product.value(market_observable) ] + buy_orders * [ quantitative_model.risk_factors_long ] . [ Product.value(market_observable) ]
 
 
-=  max(min(14 * 34, 144*(14 * 0.25 + 14 * 14 * 0.001), 0) + 10 * 0.1 * 144 + 4 * 0.1 * 144 = max(min(476, 532.224), 0) + 10 * 0.1 * 144 + 4 * 0.1 * 144 = 677.6
+=  max(min(14 * 34, 144*(14 * 0.25), 0) + 10 * 0.1 * 144 + 4 * 0.1 * 144 = max(min(476, 532.224), 0) + 10 * 0.1 * 144 + 4 * 0.1 * 144 = 677.6
 
 # Step 2
 

protocol/0028-GOVE-governance.md

@@ -544,7 +544,7 @@ APIs should also exist for clients to:
 - A market suspended by the governance vote does not allow trade generation of margin account balance reduction. (<a name="0028-GOVE-116" href="#0028-GOVE-116">0028-GOVE-116</a>)
 - Verify that a party with 0 balance of the governance token, but with sufficient ELS can submit a market change proposal successfully. (<a name="0028-GOVE-117" href="#0028-GOVE-117">0028-GOVE-117</a>)
 - Verify that a party with 0 balance of the governance token and insufficient ELS sees their market change proposal rejected after submission. (<a name="0028-GOVE-118" href="#0028-GOVE-118">0028-GOVE-118</a>)
-- Enacting a market closure governance proposal on a market which is in opening auction closes it immediately without generating any trades. (<a name="0028-GOVE-135" href="#0028-GOVE-135">0028-GOVE-135</a>)
+- Enacting a market closure governance proposal on a market which is in opening auction cancels it immediately without generating any trades. The market moves to a cancelled state and any open orders are also cancelled. (<a name="0028-GOVE-135" href="#0028-GOVE-135">0028-GOVE-135</a>)
 - Enacting a market closure governance proposal on a market which is in auction (of any type except the opening auction) uncrosses that auction at the current uncrossing price, generates the trades and then proceeds to close it using the final price (if applicable to the market type). (<a name="0028-GOVE-136" href="#0028-GOVE-136">0028-GOVE-136</a>)
 - Enacting a market closure governance proposal on a market that is in a settled state has no effect. (<a name="0028-GOVE-137" href="#0028-GOVE-137">0028-GOVE-137</a>)
 - Enacting a market closure governance proposal on a market that is not in a settled state always uses the price supplied with the proposal for final settlement, even when the oracle settlement price is available at that time. (<a name="0028-GOVE-138" href="#0028-GOVE-138">0028-GOVE-138</a>)