To ensure that Vega markets can be quoted in standardised units but also support a wide variety of trader types and needs, in must be possible to submit orders and therefore hold positions with fractional sizes. For example in a BTCUSD market one might take out a position equivalent to 0.02 BTC.
Although prior versions of the specs have not specified a data type, the initial implementation of the Vega protocol accepts only integer sized positions.
The solution to this is to:
- Introduce a new market framework parameter for all markets known as
Position Decimal Placesthat specifies the precision allowable on that market. - Convert at API boundaries OR instruct clients to do so by dividing outputs and multiplying inputs by
10^PDPwhere PDP is the configured position decimal places for the market. - Wherever notional sizes, margins, fees, valuations, etc. are calculated in the core, to also ensure the input quantity if divided by
10^PDP. This may be done centrally e.g. for positions so that trading/position management are dealing with integer sizes but fees, margins, valuation calculations use the "true" position size.
Specs affected by this change (Note: in many cases the implementation may not change):
- All proposed markets will have a decimal places property available via the API (0052-FPOS-001). For product spot: (0052-FPOS-003)
- An order created on the client with a price of
1results in an order being created with a price of1 * 10^[Market.DecimalPlaces](0052-FPOS-002). For product spot: (0052-FPOS-004) - Fees are calculated as per (0029-FEES-013)
- Mark-to-market settlement happens correctly with PDP > 0 (0003-MTMK-0015)
- Margins are correctly calculated for markets with PDP > 0 (0019-MCAL-008).
- Market framework reports position decimal places (0001-MKTF-001).