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feat: update thresholds based on new data
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xenide committed Aug 16, 2024
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Expand Up @@ -71,28 +71,30 @@ V1.0
- Refer to this spreadsheet for detailed [calculations](https://docs.google.com/spreadsheets/d/1oAn8ghqK1MThrgOcHUl8nP_ATTpnlmMqnDtqBXxeHJs/edit#gid=0)

- `ReservoirPair::maxChangeRate`
- The rates proposed below are derived from most violent price change over a 1-year lookback period from August 2024.
- BTC-ETH pair
- Fixed at 0.0005e18 (5bp/s)
- Implies that:
- Fixed at 0.0012e18 (12 bp/s)
- This rate implies that:
- price can change 3% in 1 minute if swapped once per minute
- price can change 6.09% in 2 minute if swapped once per minute
- Price can change 34.39% in 10 minutes if swapped once per minute
- compared to 30% in 10 minutes if swapped only once per 10 minutes
- compared to 34.97% in 10 minutes if swapped once per second
- In the most violent run
- BTC-USDC pair
- Fixed at 0.0007 (7 bp/s)
- ETH-USDC pair
- Fixed at 0.0005e18 (5bp/s)
- Fixed at 0.0014e18 (14 bp/s)
- Stable Pairs
- Fixed at ...
- Fixed at 0.0001e18 (1 bp/s)

- TWAP Period
- BTC-ETH pair
- 15 min
- ETH-USDC pair
- 15 min
- 15 min for all pairs

- Max price change within one trade
- team intuits it should be set somewhere between 1-3%
- Volatile Pairs
- 2%
- Stable Pairs
- 0.1%

## Contributing

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