Read and understand the liquidity solutions of derivatives trading agreements dydx, perpetual protocol and mcdex v3

Fun coin 2021-09-14 16:15:42 阅读数:840

read understand liquidity solutions derivatives

writing | Jiang Haibo

The trading volume of cryptocurrency in centralized exchanges is mainly concentrated in contract trading , Among them, perpetual futures contracts are the main . On decentralized exchanges (DEX) in , Contract trading is considered a possible direction , But in Mobility 、 In terms of transaction volume, no one can achieve the same experience as centralized trading DEX. With the collective launch of Ethereum's second floor expansion scheme ,MCDEX V3、Perpetual Protocol V2 Improvements in liquidity , as well as dYdX Incentives for liquidity after issuing governance tokens , The direction of decentralized sustainable futures contracts may usher in rapid development .


After announcing the issuance of governance tokens ,dYdX The volume of transactions has gradually increased , On the basis of liquidity incentive and transaction mining ,dYdX Has become the largest trading volume of decentralization Derivatives trading agreement .dYdX From transaction 、 Hold positions 、 Provide liquidity 、USDC pledge 、 Market makers encourage liquidity from multiple dimensions such as zero interest unsecured lending , Governance token DYDX Will be in Beijing time 2021 year 9 month 8 Japan 23:00 Then open the transfer function .

Trading rewards

dYdX Will be based on the transaction fees and open positions paid to the agreement , To reward users , This part accounts for DYDX Of the total 25%. The trading volume and position of users will be comprehensively considered , stay 65 individual Epoch Internal linear release , Every Epoch distribution 3835616DYDX, Every Epoch At 28 God ,Epoch After about 7 Genius can receive the previous Epoch Reward .

Reward according to the transaction fee . Transaction costs come from dYdX Every transaction in , stay 30 Trading volume within days is less than 100 Ten thousand dollars, not counting DYDX In case of position discount , The handling charge ratio of hanging order and eating order is 0.05% and 0.1%;30 Daily trading volume is greater than or equal to 5000 In the case of ten thousand dollars , It can achieve zero handling fee for pending transaction . If you don't consider transaction incentives and governance token pledge ,dYdX The transaction fee of is higher than that of centralized exchanges such as currency security .

Reward according to the position . When a user is dYdX When holding a position in a contract , There must be other users holding positions in the opposite direction , So futures trading is also a zero sum game . The positions held will be charged or paid a certain capital fee according to the premium of futures every hour . Incentive based on open positions is conducive to users' long-term interest in dYdX Hold a position in .

The transaction reward will be based on the user's experience in the Epoch The proportion of trading scores obtained within the period shall be allocated , The transaction score of each user will be based on this Epoch Calculate the payment fee and the average open position within , The formula is as follows . Although the handling fee paid in the calculation of transaction score is different from the weight of average open position , But when the fee paid and the open position increase in the same proportion , The trading score will also increase according to this proportion .

 Derivatives trading Liquidity provider incentives

Used to reward liquidity providers who arrange orders at both ends of the market price , Considering the time 、 Depth at both ends 、 Bid ask spread 、 Reward for market participation .

This part of the reward is DYDX Of the total 7.5%, Also about 5 Linear release over a period of years , Every Epoch distribution 1150685DYDX.

Users in a Epoch The reward within the is determined according to the share proportion , Record a data point every minute , The calculation formula is as follows :

 Derivatives trading Liquidity module

In order to attract market makers to actively participate dYdX Transactions ,dYdX Allow approved market makers to borrow from the agreement in a unsecured and interest free manner . The first approved market makers are Wintermute、Amber Group、Wootrade (Kronos)、Sixtant、DAT Trading.

The loan of the market maker comes from the loan pledged by the user in the liquidity module USDC, Pledge here USDC A total of users can be assigned DYDX Of the total 2.5%, Also around 5 Release... In a year's time .

If the pledgor wants to be present Epoch Withdraw the deposit at the end , It needs to be in the current Epoch At least... Before the end 14 Day request extraction USDC, Otherwise, it will automatically enter the next Epoch.

It should be noted that , pledge USDC Possibility of principal loss for users . If the borrower defaults , The liquidity pool smart contract will provide the pledgor with the right of recourse against the borrower , But there is no guarantee of repayment .

dYdX All user behaviors in the protocol are encouraged , Including transactions 、 Hold positions 、 Provide liquidity 、 pledge USDC、 Market makers borrow . stay dYdX After announcing the distribution of governance tokens , By 8 month 30 Japan , The total lock up volume of the agreement increased to 4.29 Billion dollars , The current month has risen 136%. and dYdX The liquidity in is enough for ordinary investors to trade , Not even weaker than many centralized exchanges .

 Derivatives trading Perpetual Protocol

Perpetual Protocol It has been running normally for more than half a year , The relevant part of its transaction is xDai On ,Perpetual Protocol It once occupied the largest share of decentralized derivatives trading volume 80% above . At present ,Perpetual Potocol v2 Will combine Uniswap V3, stay Arbitrum Go online .Perpetual Both versions of focus on solving the liquidity problem in derivatives trading .

Perpetual Protocol V1

Whether it's a traditional order book , Or with DeFi Popular AMM Form of decentralized exchange (DEX), Market makers are needed to provide liquidity for transactions . It's just AMM in , The liquidity provider only needs to deposit at least two tokens into the liquidity pool , Liquidity of transactions can be met without active management . Liquidity providers need to have capital , And need to bear the risk of impermanent loss . And in leveraged derivatives trading , With the fluctuation of currency price , The risk of providing liquidity to users will also increase exponentially .

Perpetual Protocol Build a virtual liquidity market maker vAMM, Without the involvement of market makers , To ensure the liquidity of the transaction , Without a real market maker, there is no impermanent loss .

Perpetual Protocol Of vAMM And regular AMM equally , Use x*y=k Constant product formula . But with AMM Different ,vAMM There is no need for investors to provide real liquidity , Users' funds are stored in smart contracts that manage collateral .Perpetual Define a through virtual k value , To determine the liquidity of the transaction , But also to ensure that within a reasonable range . if k It's too small , Transactions are less liquid , The sliding point of user transactions may be large , Affect the trading experience ; if k Overvalued , Arbitragers may need more money to keep prices consistent .

The user's counterparty is vAMM In itself , Users always use USDC Participate in , Finally take away USDC. Futures trading is a zero sum game , Everyone's profits come from other people's losses , adopt vAMM The model calculates everyone's income .

Perpetual Protocol V2 (Curie)

Perpetual Protocol Of V2 The version is named Curie( Curie ), In Ethereum layer 2 network Arbitrum Upper Department .Curie Will use Uniswap V3 Centralized liquidity pool and execution of transactions in its perpetual contracts , Every transaction takes place between opposing counterparties , The protocol will be more scalable 、 Liquidity aggregation 、 Free market creation, etc . According to the official introduction ,Curie It will be implemented in four stages :

  • Main network startup , stay Arbitrum Upper use Uniswap V3 Focus on liquidity and market maker strategies .
  • Limit order and liquidity mining .
  • Include USDC Multi asset mortgage including .
  • adopt Uniswap V3 Create a private market without a license .

Except for cross margin 、 Reduce the agreement's reliance on insurance funds 、 Create an unlicensed trading market 、 In addition to improving the advantages of handling fees and profit sharing ,Curie Several strategies are also provided to improve the liquidity of transactions .

Curie Your transaction will be directly Uniswap V3 In the implementation of ,Uniswap V3 Centralized liquidity will solve AMM The problem of liquidity dispersion in . although Perpetual Protocol V1 The version uses vAMM, But liquidity is still scattered throughout the range . And in the Uniswap V3 in , Liquidity is usually concentrated near market prices , While improving capital efficiency , Increase the liquidity of transactions , Reduce slip points .

Liquidity providers will be able to leverage (Leveraged LPs), Market makers can be in Uniswap V3 Provide enlarged liquidity on . For mature market makers with liquidity strategies , This will further amplify revenue .

establish Perpetual Economic system fund , introduce Charm、dHEDGE、Lemma etc. , Help improve liquidity . Such as Charm Finance Ben is Uniswap V3 Automatic liquidity Manager ,Charm Will work with Perpetual Protocol cooperation , by Perpetual Our liquidity providers build liquidity vaults (Alpha Vault). Market makers just need to USDC Deposit in Charm Our liquidity vault , You can start earning transaction fees .

Perpetual Protocol V1 adopt vAMM, There is no need for real market making funds , To ensure the liquidity of the transaction .V2 Version and Uniswap V3 Deep binding , leverage LPs Further amplify the income of market makers , But the requirements for market makers are also higher , A proactive management strategy is needed .


MCDEX Founder Liu Jie is summing up from V2 Version of the experience learned when it comes to :“ Take liquidity as the first principle of financial products , Everything revolves around how to improve liquidity . This is liquidity in a broad sense , Derivatives include high capital efficiency , Good trading experience , Little friction , Low liquidity costs .” In the design MCDEX V3 when ,MCDEX Thinking about how to get more liquidity by improving capital efficiency and the expected return of liquidity providers .

Liquidity strategy

MCDEX V3 AMM Pricing through index price and risk exposure , The average transaction price of the transaction will be determined by the number of transactions according to the formula 、 The index price provided by the Oracle 、 Sliding point parameters 、AMM Positions held 、 The margin of the flow pool is determined by these parameters .

By introducing index prices ,AMM The price of will follow the market according to the price provided by the oracle , Reduce the participation of arbitragers . This can reduce arbitrage opportunities , Avoid unnecessary losses to liquidity providers . This is related to DODO Some of the mechanisms are similar .

Allow multiple AMMs Share the same liquidity , Multiple using the same collateral AMMs You can use a liquidity pool , To maximize the benefits of liquidity providers .

Liquidity is concentrated near the index price ,V3 AMM The function flattens the curve near the exponential price , While improving the user experience , Maximize capital efficiency , So that the funds of liquidity providers can focus on meeting the trading needs near the index price . As shown in the figure below , By 9 month 2 Japan ,MCDEX V3 AMM Has been deployed to Arbitrum One Main Internet , The liquidity gathered at the opening is higher than other adjacent prices .

 Derivatives trading Risk control and return

V3 AMM Introduced in Operator Role ,Operator Is the creator of a perpetual contract , Manage various risk parameters according to the authorization of the liquidity provider , To increase the income of liquidity providers , Reduce the risk .

By controlling risk parameters , To adjust AMM The risk of the transaction . send AMM Transactions with increased risk exposure will be restrained , Facing greater slip points 、 A bigger spread 、 More transaction costs 、 Smaller maximum position , And lower AMM Risk exposed transactions enjoy price and cost advantages .

AMM Is the counterparty of most traders , Must hold the opposite position to most people . If most users do more ,AMM Short , Then the bull pays the short ; If most users are short ,AMM Do more , Then the bears pay the Bulls the capital fee .

The main income of liquidity providers comes from price spread 、 Payment of capital expenses 、 Transaction fees and other income ,AMM Adjust the pricing by following the index price mentioned above 、 Shared mobility 、 Liquidity aggregation and adjusted spread 、 Capital cost 、 Transaction costs and other parameters , To reduce the risk of liquidity providers , Increase revenue .

MCDEX V3 AMM The main innovation of is based on the index price , The transaction price can be adjusted without the participation of arbitragers , At the same time, the liquidity in the agreement is concentrated near the index price , Introduced Operator Parameter management , Reduce the risk of liquidity providers , Maximize the benefits .


dYdX、Perpetual Protocol V2、MCDEX V3 Have optimized the liquidity , They are all deployed on the Ethereum layer 2 protocol , In order to meet the low cost and rapid confirmation required by the exchange .

dYdX As an order book DEX The representative of the , The transaction in the agreement will last for five years 、 All links such as liquidity provision are subject to token incentive , At the end of Epoch0 Stage , This incentive may exceed the cost of the transaction .

Perpetual Protocol V2 Then with Uniswap V3 Do deep binding , And with Charm And other active liquidity management agreements , Providing liquidity also allows leverage , Amplify the benefits of liquidity providers , However, active strategies are needed to adjust the position .

MCDEX V3 AMM Through the liquidity strategy , Concentrate the liquidity at the opening , and Let the trading price follow the market price through the Oracle , Plus various parameter adjustments , To increase the income of liquidity providers .

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