đ§Maker Points
Definitions
Term | Definition |
---|---|
Maker Score | Dynamic score for each Maker based on quality of quotes and recent maker volume (as measured by Quote Quality and Maker Volume Score) |
Maker Point Share | Determines the share of the Maker from the total points allocated to the instrument within a small timeframe. It is calculated as the share of a Maker score from the total score of all Makers |
Quote Quality | Dynamic USD value calculated for each Maker to assess the quality of provided liquidity. It is calculated as the exponential moving average of Sample Quote Quality |
Maker Volume Score | Dynamic score that takes into account recent maker volume of the wallet and decays exponentially over time |
Volume weight | Power weight assigned to the maker volume in the Maker score formula. The remaining weight is assigned to the quote quality |
For each instrument, each wallet is assigned a dynamic Maker Score which is calculated as the (power) weighted product of the Quote Quality and the Maker Volume Score :
where is a pre-defined weight parameter. It is equal to :
80% for Tier 1
70% for Tier 2
Calculating the Quote Quality
Term | Definition |
---|---|
Quote Quality | Dynamic USD value calculated for each Maker to assess the quality of provided liquidity. It is calculated as the exponential moving average of Sample Quote Quality |
Sample Quote Quality | Minimum of Sample Bid and Ask Quality |
Sample Bid/Ask Quality | USD value that assesses the equality of quotes on the bid and ask side depending on the quote sizes and their distance from mid-price (order depth) |
Scaling factor | Factor used to scale the order size down exponentially depending on its depth |
For a wallet with a number of open buy and sell orders on a given instrument, Sample Quote Quality is calculated as
i.e. is a weighted average between the min and the max of the and
where : which incentivizes two-sided quoting
where the Order Depth is calculated as the distance from mid-price (average between the best bid and best ask on the market) expressed in bps :
i.e. each order is weighted with an exponential term that penalises distance from mid-price.
Example
The following example is based on an assumed
Order Depth (bps) | Scaling |
---|---|
0.5 | 86% |
1 | 74% |
5 | 22% |
10 | 5% |
The first chart below shows an example snapshot of a walletâs open orders as well as the scaling function for different price levels. In line with the definitions above, the scaling function is :
After applying the scaling to each of the orders, the chart below shows the Adjusted Order Sizes, i.e. :
Summing up Adjusted Order Size by side gives the Sample Bid and Ask Quote Quality illustrated in the chart below :
Assuming , a Sample Quote Quality is then determined at this sample timestamp :
The Quote Quality is a moving average of Sample Quote Quality. This chart shows an example of the variations in the Quote Quality from a illustrative data set of Sample Bid/Ask Quality (assuming here a 20% weight on the latest measurement)
i.e. for consecutive update timestamps and (where ) :
Orders will be subject to a Maximum spread (e.g. 20bps) : Orders with a higher depth than the maximum spread will be discounted from the Quote Quality calculation
Calculating the Maker Volume Score
Term | Definition |
---|---|
Maker Volume Score | Dynamic score that takes into account recent maker volume of the wallet and decays exponentially over time |
Decay factor | The factor by which the maker volume score decays exponentially over time |
The scoring mechanism defines a dynamic score that increases by recent maker volume and decays exponentially over time.
For a given market, the maker volume score is calculated as follows :
where time is expressed in days.
A common way to think about exponential decay is in terms of half-life, which quantifies how fast the decay is occurring. The half-life is the time required for the decaying quantity to be reduced to half its initial value :
Example
In Tier 1 pool, the maker volume score has a half-life of 30 minutes i.e. a daily decay factor of 33.27 ()
Decay Factor = 33.27 : i.e. In the absence of maker volume from wallets, the score decays by over time. This means that :
The score drops by over 1 minute and
The score drops by over 1 hour
Time | Maker | Volume (USD) |
---|---|---|
00:00:00 | Alice | 10,000 |
00:20:00 | Bob | 20,000 |
00:40:00 | Alice | 5,000 |
01:00:00 | Charlie | 15,000 |
02:00:00 | Alice | 5,000 |
03:00:00 | Bob | 8,000 |
Calculating the Maker Score and Point Shares
Term | Definition |
---|---|
Maker Score | Dynamic score for each Maker based on quality of quotes and recent maker volume (as measured by Quote Quality and Maker Volume Score) |
MakerPoint Share | Determines the share of the Maker from the total points allocated to the instrument within a small timeframe. It is calculated as the share of a Maker score from the total score of all Makers |
The Maker Score and Maker Point Share for a given Maker are calculated as follows :
where Volume Weight is equal to :
80% for Tier 1
70% for Tier 2
Using the example of Maker Volume Scores above, and an assumption that the Quote Quality for each of the 3 wallets has been constant over the whole timeframe and has been equal to 10,000, the Maker Score is obtained as the weighted product of the Quote Quality and Maker Volume Score :
Using the above Maker Scores, the following chart shows the Point Share of each liquidity provider over time:
Taking a further assumption that the Maker share for ETH-USD-PERP from the Tier 1 pool is a constant 50%, the total hourly number of points allocated to this market for the Maker program is :
Total weekly allocation is 1â000â000 points. This is equivalent to an hourly allocation of 1â000â000 / (7 x 24) ~ 5â952.4 points
80% of this hourly allocation is available to Tier 1 pool, i.e. ~4â761.9 points
30% of the hourly Tier 1 allocation is available to the Tier 1 Maker program, i.e. ~1â428.6 points
50% of this hourly Tier 1 Maker allocation goes to ETH-USD-PERP, i.e. ~714.29 points
Therefore, 714.29 points is the total hourly number of points available to ETH-USD-PERP Makers.
From the Point Share which corresponds to the rate of accruing points, the cumulative points for each wallet (accumulated points since time 0) have been derived.
Note that Alice earns 238 points between 0:00:00 and 0:20:00 (i.e. a the rate of 714.29 points per hour) since the point share of this wallet was 100%. After Bobâs trade and score increase, Alice points share dropped to ~36% which decrease the rate of earning points of Alice to 0.36 * 714.29 ~ 257.1 point per hour.
Below the total points distributed across wallets. Points are distributed at the rate of ~714.28 points per hour :
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