GWAV Parameters
Values
- ivVarianceCBThreshold: 10 points (0.10)
- skewVarianceCBThreshold: 10 points (0.10)
Meaning/Justification
- Fire the volatility circuit breaker when either the baseline or skew of a listing deviates too far from its respective GWAV.
- Too small a threshold means the circuit breaker always fires, meaning users will be frequently be locked out from depositing/withdrawing.
- Too large a threshold means the CB won’t detect possible attacks/large spikes.
Value
- LiquidityCBThreshold: 5% of NAV
Meaning/Justification
- This is the percentage of the NAV the pool must have in free liquidity before the liquidity circuit breaker fires.
- I.e. if the pool is worth $50M, then if LiquidityCBThreshold = 5%, the pool must have at least $2.5M in USD available to trade, otherwise the circuit breaker fires.
- The value needs to be sufficiently high so that the AMM has enough funds to arbitrage down volatility spikes/attacks, but not too high so as to always fire.
Values
- ivVarianceCBTimeout: 36 hours
- skewVarianceCBTimeout: 36 hours
Meaning/Justification
- After the volatility circuit breaker stops firing there is a timeout, during which deposits/withdrawals are still blocked.
Value
- LiquidityCBTimeout: 72 hours
Meaning/Justification
- After the liquidity circuit breaker stops firing there is a timeout, during which deposits/withdrawals are still blocked.
- This prevents an attacker from preparing a deposit/withdrawal to occur immediately after the circuit breaker fires.
- The liquidity circuit breaker should very rarely fire. The times when it does fire should be treated with caution. A long cooldown period means that any volatility surface manipulation will have ample time to be arbitraged down by the market.
Value
- GuardianDelay: 7 days
Meaning/Justification
- This is a failsafe to ensure that if either circuit breaker continuously fires, Guardians have the ability to process deposits/withdrawals that have been signalled for at least 7 days.
Value
- BoardSettlementCBTimeout: 6 hours
Meaning/Justification
- When a board is liquidated (i.e. expires), deposits and withdrawals will be locked out while all positions on this board are settled.
Value
- AcceptableSpotPricePercentMove: 0.5% change from previous value
Meaning/Justification
- If the spot price (as measured by a ChainLink oracle) moves by more than this percentage, then all deposits/withdrawals are blocked until cache is called again.
Value
- WithdrawalFee: 0.003 (0.3%)
Meaning/Justification
- This is a small fee charged on withdrawn USD.
- I.e. if a user withdraws funds worth $1000, they will receive $996. The $4 fee returns to the pool (and shared amongst remaining LPs).
- This encourages users to stay in the pool and further reduces the possibility of any manipulation.
Values
- DepositDelay: 7 days
- WithdrawalDelay: 7 days
Meaning/Justification
- When a user signals to deposit/withdraw, there has to be a delay between signalling and processing. If this delay is not present, then LPs would exit when the pool is doing well, hurting continuing LPs.
- These delays introduce uncertainty which nullifies the edge entering/exiting LPs have with current information.
- After the launch of Avalon, DepositDelay can be lowered to ~ 2 days.
- Withdrawal delay can always be moderately long (~ 3 days).
Last modified 2mo ago