Update price monitoring engine spec in line with mark-price-methodology changes #2121
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davidsiska-vega
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Jan 15, 2024
barnabee
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Jan 15, 2024
| - It periodically (in a predefined, deterministic way) sends the: | ||
| - the probability level α, | ||
| - period τ, | ||
| - the associated reference price | ||
| to the risk model and obtains the range of valid up/down price moves per each of the specified triggers. Please note that these can be expressed as either additive offsets or multiplicative factors depending on the risk model used. The reference price is the latest price such that it's at least τ old or the earliest available price should price history be shorter than τ. | ||
| - It holds the history of volume weighted average prices looking back to the maximum τ configured in the market. | ||
| - It holds the history of mark prices looking back to the maximum τ configured in the market. |
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@davidsiska-vega you mentioned keeping VWAP for the last traded price, is that still something you want?
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I thought this would be contained within the mark price calculation logic, the price monitoring module would just keep track of the mark price (however it's calculated).
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davidsiska-vega
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Update price monitoring engine spec in line with proposed mark-price-methodology changes.
Closes #2116