Decentralized futuresIt is mainly divided into AMM、 Order book and synthetic assets , Performance is currently being 、 Price acquisition 、 Risk Management 、 Cost and liquidity 、 Further exploration on capital efficiency and anonymity , And has achieved some results .
Original title ：《 Can decentralized derivatives shake the status of centralized exchanges ？》
In the traditional financial world, financial derivatives are divided into the following categories according to the form of products ： Forward contract （Forward）、 Futures contracts （Future）、 Options contracts （Option） And swap contracts （Swap）. The corresponding primary assets are divided into stocks 、 The interest rate 、 Money and commodities .2020 In, the nominal value of the overall derivatives market was roughly 840 Trillions of dollars , The size of the stock market is 56 Trillions of dollars , The size of the bond market is 119 Trillions of dollars , The size of the derivatives market is the size of its original assets 4-5 times .
We map it to the digital currency world , Most of the existing digital currency derivatives transactions take place in exchanges , With a delivery contract 、 In the form of perpetual contracts and options , Among them, the perpetual contract is also an alternative swap product . according to Coingecko Data statistics of , The top seven contract exchanges in the world are coin security 、OKEX、Huobi、Bybit、FTX、Bitget、BitMEX, In the past 24 The spot trading volume within hours is 230 Billion dollars , The futures trading volume is 775 Billion dollars , Futures trading volume is spot 3.37 times ; about DEX for Uniswap V2 and V3 Total of 24 The hourly volume is 12.5 Billion dollars , With Perpetual Protocol The decentralized contract exchange represented by 24 The hourly volume is 0.96 Billion dollars , In a decentralized world, futures trading volume is only one fourteenth of the spot trading volume .
The top seven crypto derivatives exchanges source ：coingecko
Comparison of derivatives and spot scale in various markets source ：Foresight Ventures
If you apply the trading volume of a centralized exchange , The trading volume of the decentralized contract exchange shall also be... Of the trading volume of the spot exchange 4 times , On the surface, the trading volume of futures contract exchange still has dozens of times of growth space . But according to the current data , The business development of decentralized derivatives trading platform is obviously unsatisfactory .
Decentralized exchange volume data
Advantages and pain points of decentralized derivatives
First, we define derivatives in the current decentralized field , It is mainly divided into four categories, namely futures （ Perpetual contract ）, At present, there are Perpetual Protocol、dYdX、Futureswap、Injective Protocol、MCDEX、DerivaDEX etc. ; Options have Opyn、Hegic、Charm、Opium etc. ; Synthetic assets include Synthetix、UMA、Mirror、Duet etc. ; The forecast market has Augur、Polymarket etc. ; Interest rate swaps have Horizon、Yield、Barnbridge wait . This paper mainly analyzes decentralized derivatives from the perspective of futures and synthetic assets .
Compared with the centralized institutions in the field of digital currency , Decentralized derivatives have the following advantages ：
1、 Asset custody ： The assets of decentralized derivatives projects are hosted on the chain , Transparent and traceable , It can avoid the illegal operation and default risk of centralized institutions ;
2、 Fairness ： The transaction rules are formulated in advance by the smart contract , Difficult to tamper with through the background , More fair to both sides of the transaction ;
3、 Autonomy ： The charging mode of decentralized derivatives platform 、 The types of coins and development policies can be decided through community autonomy , Participants can share the benefits of project development .
At the same time, the decentralized derivatives platform is facing many problems to be solved ：
1、 performance ： Derivatives trading requires very high timeliness , For on chain solutions, it is difficult to meet real-time transactions ;
2、 Price acquisition ： Derivatives trading is highly price sensitive , The definition of marked price and transaction price need to be solved by Oracle ;
3、 Risk Management ： Clearing mechanism is a major problem faced by both decentralized exchanges and centralized exchanges , The decentralized platform also needs to deal with the congestion in the chain caused by sharp price fluctuations , How to conduct reasonable and timely liquidation is an important condition to ensure the continued existence of the derivatives platform ;
4、 Cost and liquidity ： Highly leveraged margin trading has a high demand for the liquidity of the underlying transaction , Therefore, the platform needs to avoid the impact cost of transactions , And formulate reasonable handling fee standards ;
5、 Capital efficiency ： The core demand of traders participating in derivatives trading is that they can carry out margin trading and add leverage , However, the excess mortgage mechanism introduced by some synthetic asset projects once again limits the efficient use of funds ;
6、 anonymity ： The integration of decentralized projects , The data on the chain is clear and verifiable , But large institutional traders have the need to hide their positions and contract addresses .
The genre of decentralized futures products
Decentralized futures derivatives are the most types of projects in the market , The most diverse of solutions , The product model is mainly perpetual contract , At present, it is mainly divided into three schools ：AMM、 Order book and synthetic assets ;
With Perpetual Protocol As a representative of the AMM Schools
AMM The main genre will be Uniswap Medium AMM The model is modified （ Such as vAMM、sAMM etc. ）, The mode of forming capital pool or virtual capital pool , Traders are long or short by interacting with the assets in the pool .
Mainstream decentralized derivatives platform GMV data source ：Token terminal
In this genre Perpetual Protocol As a representative . according to Messari Data statistics of Perpetual Protocol In the perpetual contract track, the market share reaches 76%, Its revenue scale in July was in all Defi Ranked seventh in the project , Second only to Sushiswap. however , Because this year 2 It is difficult to calculate the contribution of brush volume behavior caused by mining transactions opened in January , Its trading volume and income can not accurately reflect its real market share .
Perpetual Protocol The model adopted is to build a virtual liquidity pool vAMM, Its essence is based on X*Y=K Formula to simulate pricing , Traders by providing margin USDC Into the capital pool （Vault）, There is no need for external liquidity providers . This method is also a casting path for synthetic assets , There is no actual token exchange between the two currencies , Because there are only USDC, The quantity and income of incoming and outgoing funds are calculated by mathematical formula according to the price of the transaction pair at the time of entry and exit .
Here we quote the documents of the project party for an example ：
X*Y=K,ETH and USDC The price of is Y/X=100;
Vault There is... In the pool 10000USDC,X=100,K=100*10000,Alice Use 100U Inject more than twice as much ETH;
because Alice Inject 100U And after more than double , The pool takes its position into Y Turn into 10000+100*2=10200U,ETH and USDC The exchange rate becomes 100*10000/10200=98.04;Alice actual ETH The position becomes 100-98.04=1.96;
And then , Bob Continue to inject 100U And 2 Multiple lever opening , Calculate by the same method as above , The number of orders it actually holds is 98.03-96.15=1.89;（ Notice here ETH Because Alice Rising with the opening of , therefore Bob The average cost of holding a position is higher than Alice）
When Bob After opening ETH The exchange rate price has been pulled up again , Alice Close the position , Realization 7.84U The profits of the =10400-96.15*10400/(96.15+1.96)-200
And then Bob close a position , Losses after closing positions ：-7.84 U=10192.15-98.11 * 10192.15 /（98.11+ 1.88）-200.
From the above example, it can be found that for participants in the same pool , One trader's profit is equal to another's loss , All the traders in the pool set against each other , And through virtual AMM Model to calculate everyone's income . The characteristics of this model are as follows ：
1、AMM The model does not need an external Oracle to get the price , The realization of price is leveled by arbitragers inside and outside the market , Although it avoids the risk of Oracle , But when In the absence of arbitragers, the price of on-site assets may deviate greatly from that of off-site assets , This will prompt margin traders to burst their positions ;
2、K The value is floating , stay Perpetual In the project K The value is set by the team ,K Too small a value will affect the depth of the pool ,K If the value is too large, the fluctuation of the on-site price is too small to match the off-site price ; therefore K The setting of the value will greatly affect AMM Operation of mode ;
3、 stay AMM In the model, large orders have a great impact on the impact cost of the capital pool , Especially for price sensitive contract traders, the size and order of their orders have a great impact on the income ;
For the above problems Perpetual Protocol Put forward again V2 edition Curie, The main changes are ：
1、 The original vAMM Liquidity pool placement Uniswap V3, With v-token Create a liquidity pool in the form of （ such as vETH/vUSDC）, When traders deposit USDC After opening the position, it is decided by Leverage LP Come to v-token Generate and inject funds equal to the open position into the pool , This is essentially a casting path for synthetic assets , It just changes the original formula calculation method to the actual token The path that makes up the liquidity pool .
2、 Introduce the role of market maker as Uni V3 Our liquidity pool provides liquidity management , This will improve the availability of liquidity to some extent , but The size of pool liquidity depends on the amount of capital and market making ability of market makers .
3、 In addition to the function of ensuring settlement of abnormal compensation, the insurance fund , Add the role of counterparty to the pool when multiple short positions are unbalanced , At the same time, replenish the liquidity of the pool .
Taken together ,Perpetual V1 The use of AMM The solution seems to provide unlimited liquidity , But once the amount of money gets bigger , Although the position can be opened, the actual impact cost is still unavoidable ;V2 After the upgrading of the model, it will also be subject to the services provided by special market making institutions , application Uni V3 After the active market making strategy, liquidity providers will also produce corresponding free losses . Although the use of AMM The model solves the long tail problem of derivatives market , But for traders with large capital volume and higher price sensitivity AMM The impact cost of the model is still high .
With dYdX For the representative order book flow
dYdX Lock up volume and profit Statistics source ：Token terminal
As the earliest trading platform involved in decentralized derivatives dYdX In the last year 5 First online in January BTC-USDC Perpetual contract , April this year and StarkWare Cooperation has jointly built on StarkEX Full position margin perpetual contract on the engine Layer 2 agreement , Recently, due to coin issuance and airdrop, the trading volume has increased greatly . In addition to perpetual contract transactions ,dYdX It also provides loans 、 The function of spot and margin trading , Its contract share in the current decentralized perpetual contract trading market 12%, In second place .
dYdX Take the order book mode , from Wintermute Provide liquidity as a major market maker , Offline matchmaking + Online settlement . Therefore, its trading mode is basically consistent with the centralized exchange , The trading price of the current contract is determined by the opening price , The price of the opening contract is fixed by the market making organization . according to Wintermute According to the disclosed data , At present dYdX In the transaction on 95% The above is quoted by the market maker , therefore Market makers have become an important core of the order book trading platform , This is also the target of most critics dYdX Criticism of excessive centralization .
secondly , The order book trading mode has high requirements for the performance of matching and trading .dYdX Of Layer 2 What is taken is ZK-Rollup The expansion plan of , Traders need to deposit their money into dYdX To trade in a contract , The fund adopts the mode of self custody , Users always have the control of funds . The approximate operation path is as follows ：StarkEX from dYdX Get a sequence from , Run them internally , And make sure everything is checked out and meaningful . then , It moves the transaction to Cairo Program . Cairo The compiler will compile Cairo Program , Then the prover converts it into STARK prove . And then , Send the proof on this chain to the verifier for verification . If the verifier accepts the certificate , It proves to be legal . This is in dYdX The embodiment of is Everyone can be in Layer1 View balance of all users on , But transaction data doesn't happen on the chain , This ensures the privacy of the trading strategy , It also reduces transaction costs . meanwhile Layer2 Upper Gas Fees are paid by dYdX Team commitment , The user only needs to pay the transaction fee .
With Layer 2 And the gradual improvement of various capacity expansion schemes , The trading experience of the order book trading mode will be closer to the centralized exchange ,dYdX There are also a variety of advanced order types （ For example, the market price 、 Fixed price 、 Stop profit and stop loss and Good-Till-Date、Fill Or Kill or Post-Only Order options ）, For traders, their contract function is gradually moving closer to the centralized exchange . For a contract exchange , Different stages have different priorities , A single market maker is a necessity for its early development to ensure liquidity , When professional investors gradually enter the market , The whole trading ecology will also improve , The degree of psychosis will also be reduced .
With Synthetix Represented by the synthetic asset genre
Synthetix Lock up volume and profit Statistics source ：Token terminal
As the largest and earliest synthetic asset platform ,Synthetix Most people have known about the development state of... I won't repeat it here . Its transaction mode is that users pledge SNX In the form of 500% Pledge rate generation sUSD, Then through trading sUSD Converted into any synthetic asset within the system , Can pass sToken Do more ,iToken Short , And the asset type of the transaction is not limited to digital currency , It also includes foreign exchange 、 Stocks and Commodities . Here we discuss synthetic assets as a genre of decentralized derivatives , Because it is essentially a contractual transaction in the form of collateral or margin .
SNX Our trading model is quite novel , Introduced a new name Dynamic debt pools The concept of . The debts of users and systems change in real time , When the user mortgages SNX Casting sUSD,sUSD Is the debt generated by the system , When you exchange it for sToken The debt of the post system will also follow sToken Change with the change of value , also The debt of the system is secured by all SNX Of users share in proportion . Here we quote an example ：
Suppose there are only two people in the system , They cast respectively 100sUSD.
Final , The debts of Party A and Party B have become 150 sUSD, But the value of a's assets 200 sUSD, B's asset value is still 100 sUSD. At this time, a sells sBTC get 200 sUSD, It only needs 150 sUSD Can be redeemed SNX, And B still needs to buy 50 sUSD To redeem the mortgage SNX.
about SNX Of staker Come on ,Synthetix The debt pool model is actually a dynamic zero sum game ( The service charge is also allocated to staker)： Profits may come from more of the rise in their asset prices , It may also be that in the process of decline, its asset prices fall even less ; vice versa . Or say , For participation Synthetix Users of the pledge , It's essentially doing more 「 The ability to invest / The investment capacity of other participants 」. hold sUSD Immobility, of course, is a choice , But at the same time, they expose themselves to 「 Other people have too strong investment ability, so I lose money 」 Under the risk of . According to Taleb , Pledge in user SNX Generate sUSD when , Already 「sink in the game」 了 , It's a very bold design , Everyone is taking risks , So all the people are really 「 Stakeholders 」.
SNX This design is quite bold and innovative , It is essentially the same as AMM The zero sum game constructed in the model is similar , At the same time vAMM Generally speaking, the virtual assets injected according to the opening position are also similar to the casting process of synthetic assets . But with the AMM The difference is , The price of synthetic assets is directly fed by the oracle , Therefore, there are no slip points and liquidity problems , So as to truly realize unlimited liquidity .
The solution to the problem of decentralized derivatives
After understanding the operation mode of decentralized derivatives, we return to the questions at the beginning of the article , Whether the above projects can effectively solve these problems ？ Where is the future direction of decentralized derivatives ？
At present, the problem of performance has been preliminarily solved , Various decentralized derivatives platforms have adopted different capacity expansion schemes ：Perpetual Protocol Use the side chain scheme xDai;dYdX take ZK-rollup Of Layer2 Solutions are matched off the chain 、 Bookkeeping on the chain ;SNX It uses Optimisitc Of Layer2 Plan to expand capacity . These capacity expansion schemes basically ensure the real-time performance of transactions , It also solves the problem of transaction execution Front-run problem .
AMM The price acquisition path of the genre is mainly through the assets in the pool and xy=k To define , The transaction price does not need an external Oracle , The index price that collects the fund rate uses the Oracle Chainlink ,Perpetual V2 In the introduction of Uni V3 The liquidity pool function will also be combined Uniswap My Oracle . therefore about AMM In terms of mode , The failure of Oracle has relatively little impact on it .*
and dYdX There are three prices ： Index price 、 Oracle price and intermediate market price , The index price is determined by dYdX The team maintains , It is determined by referring to the prices of six to seven spot exchanges , Used to trigger functions such as conditional orders ; The price of the Oracle is determined by Chainlink and MakerDao To provide , Used to calculate margin requirements and capital rates ; The intermediate market price is the price generated by the order book , It is also used to calculate the capital rate ;dYdX The price acquisition model is similar to the centralized exchange , The actual transaction price of the contract is subject to the order book , And the price of the explosion is determined by the Oracle . On the whole , Market makers and arbitragers become dYdX The price leader , The risk of Oracle will affect the burst price to a certain extent .
about SNX Generally speaking, price acquisition depends entirely on Chianlink The price of the Oracle , The feed price of the Oracle will directly determine the transaction price of all assets 、 System liabilities and liquidation price .
At present, the clearing of derivatives exchanges depends on the quotation of Oracle , Clearing occurs when the margin falls below a certain level , And compensate through the model of Insurance Fund . First , Most projects rely on Chainlink Quote for , Therefore, when there is a Oracle attack, it can not be avoided . Secondly, the problem of clearing congestion in the chain caused by sharp price fluctuations cannot be solved for the time being , In the future, the congestion problem may be alleviated to a certain extent through the capacity expansion scheme of multiple companies .
Cost and liquidity
For small traders Gas The high cost , For traders with large amount of capital, the impact cost caused by liquidity is higher . The former is currently adopted Layer2 The scheme has been preliminarily solved , The latter in AMM The impact cost in the genre is inevitable , The order book genre mainly depends on the market making ability and capital size of market makers , The impact cost of a single trader will be wiped out if the overall capital of the agreement is large enough .
in addition to , For derivatives traders with relatively high turnover rate, the handling fee is also a big problem . From the current data , The transaction fee of decentralized Derivatives Contract exchange is much higher than that of centralized exchange , among Perpetual The transaction fee is 0.1%,dYdX The transaction rate of general users is hanging order 0.05%, Food list 0.2%, The transaction cost of a centralized exchange is only 0.02%-0.04%. Although these projects have opened the function of transaction mining to subsidize transaction costs , However, after the mining release is completed, the transaction cost of decentralized exchange is still expensive .
at present AMM The capital utilization rate of derivatives exchanges and order book schools is not much different from that of centralized exchanges , among Perpetual The maintenance margin rate is 6.25%,dYdX Yes. 7.5%. But like SNX Derivatives exchanges of this synthetic asset genre require excess collateral , Its liquidation line reaches 200%. although SNX Can achieve unlimited liquidity , However, for contract traders, the way of excess mortgage greatly limits the use efficiency of funds , It also loses the meaning of contract transaction .
At present, the capacity expansion scheme adopted by various exchanges will transfer most of the transaction data to the offline market ,dYdX Zero knowledge proof is adopted to protect the privacy of traders , So when Layer2 After the relevant privacy schemes are gradually improved, the anonymity of contract transactions will be guaranteed .
Through the comparison of the above decentralized derivatives exchanges, it can be found that , With dYdX The order book school represented by can better solve the main pain points of current decentralized derivatives projects , The trading mode and trading function of the order book are also more in line with the habits and needs of derivatives traders . Even though dYdX There are some disadvantages of not being decentralized , But this is actually a problem of survival and development , The first purpose of a decentralized project is to meet the basic functional needs of users , Then, the user ecology will be improved by introducing more cooperative institutions and multiple types of participants , Gradually achieve its goal of decentralization .
For exchanges , Derivatives are like fresh e-commerce in the field of e-commerce , Because of the product 、 Restrictions on technology and channels , It's the hardest fortress to break . therefore , Decentralized derivatives are difficult to shake the position of centralized exchanges in the short and medium term , With Layer 2 And the development of various expansion schemes , Performance in decentralized derivatives projects 、 Risk Management 、 The problems of transaction cost and transaction anonymity will be partially solved , Decentralized derivatives exchanges will also become Layer2 The biggest beneficiaries of development . In the long run, the derivatives track is still Defi One of the tracks with great development potential and high upper limit in the field .
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