Add BSIP 34: Always Trigger Margin Call When Call Price Above Or At Price Feed

bsip-0034.md

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+    BSIP: 0034
+    Title: Always Trigger Margin Call When Call Price Above Or At Price Feed
+    Author: Abit More <https://github.com/abitmore>
+    Status: Draft
+    Type: Protocol
+    Created: 2018-02-18
+    Discussion: https://github.com/bitshares/bitshares-core/issues/606
+    Replaces: -
+    Worker: To be done
+
+# Abstract
+
+To avoid ambiguity, in this article, all prices are in terms of
+`debt asset / collateral asset`, aka how much debt asset per collateral
+asset. A bid is an order to buy collateral asset with debt asset.
+
+Generally, a short position may be margin called when its collateral ratio is
+below or equal to maintenance collateral ratio (MCR).
+
+However, to calculate collateral ratio, a fair collateral price is needed.
+
+In BitShares, there are two data sources can be used to decide the fair
+collateral price:
+* the internal market
+* the price feeds
+
+Currently, both data sources are used. Specifically, collateral price is decided
+as the higher one between the highest bid price on the internal market and the
+median price feed. That said, when a short position's collateral ratio has
+fallen to below or equal to MCR according to median price feed (in this case,
+call price of the short position is above or equal to median price feed), if
+there is a bid on the market with high price, the short position won't be margin
+called.
+
+This mechanism has led to certain confusion and anger among market participants.
+* there are often orders with overlapping price on the book but didn't fill
+* there are often short positions selling collaterals with low prices, but
+  traders are unable to buy at those prices
+* it often causes borrowers to sell collaterals at a low price when have chances
+  to sell at higher price
+* market manipulators / arbitrage traders have more chances to force borrowers
+  to sell collaterals at lower price
+
+This BSIP proposes a new behavior to improve the situation: derive the fair
+collateral price only from price feeds.
+
+# Motivation
+
+Make the exchange system easier to understand and more user-friendly.
+
+# Rationale
+
+Since price feeds are provided by a set of chosen producers, the median price
+feed is usually considered trustworthy. On the other hand, instant market
+price is not as reliable, especially for the markets with poor depth, so it's
+a rather limited supplement for calculating collateral price. Depth of internal
+markets could be greatly improved in the future, however price feed producers
+can always adjust their algorithm to include internal market data.
+
+At this moment, changing the rule to only use median price feed will clear away
+the confusion the end users may have, while still keeping the derived collateral
+price fair to an extent.
+
+After this change is done, placing a new limit order will no longer trigger a
+margin call, cancelling a limit order or expiring a limit order will no longer
+trigger a margin call as well, that means we don't need to check for new margin
+calls nor black swan events in those scenarios, so we'll gain a side benefit on
+performance.
+
+# Specifications
+
+In `check_call_orders(...)` function of `database` class, when matching a call
+order with a limit order, there is a check:
+`if( match_price > ~call_itr->call_price )`, when the result is `true`,
+processing will be ended and `margin_called` will be returned.
+Need to skip the check and the following `return` action.
+
+In `do_apply(...)` function of `limit_order_cancel_evaluator` class, and
+similar code blocks after a limit order object is removed, no longer need to
+call `check_call_orders(...)` function of `database` class.
+
+# Discussion
+
+[to be added if any]
+
+# Summary for Shareholders
+
+[to be added if any]
+
+# Copyright
+
+This document is placed in the public domain.
+
+# See Also
+
+* https://github.com/bitshares/bitshares-core/issues/606
+* https://bitsharestalk.org/index.php?topic=25926.0