Synthetix Best Execution Pricing Calibration

Calibrates the parameters ( $u$ ) of the function below to fit a specified slippage curve, as described in SIP-272 :

$$ G(x,y) = 2 \frac{\frac{2}{3} u_0 (|x| ^ {3/2} - |y|^ {3/2} ) + \frac{1}{2} u_1 (|x|^2 - |y|^2)}{|x|-|y|} $$

To Setup

CREATE FOLDER FOR A PROJECT

$ mkdir sip_272
$ cd sip_272
$ git clone git@github.com:kaleb-keny/synthetix_slippage_calibration_sip_272.git

Input Slippage Data - Target

The input csv file under here takes the following form:

trade_amount	uni_slippage	cex_slippage
25000.00	0.00	0.00
75000.00	0.67	0.96
125000.00	1.34	1.80
175000.00	2.02	2.14
225000.00	2.69	2.38
275000.00	3.37	2.96
325000.00	4.03	3.16
375000.00	4.72	3.51
425000.00	5.37	3.78
475000.00	6.07	4.09

• trade_amount represents the amount traded in a given direction
• uni_slippage and cex_slippage represents the slippage in bp incurred from executing a given trade

Install docker

Refer to docker documentation for installation of docker

Launch model

$ docker build --tag sip_272 .
$ docker run -v$(pwd)/output:/app/output --name sip_272 sip_272

Output Parameters

The output folder consists of 3 files

• The function coefficients calibrated
• The numerical output of applying the end-state models on trade_amount
• A graphical display of the fits

Copyright

Copyright and related rights waived via CC0.