We are looking for someone with strong analytical skills - who can help us w defining parameter values for the Melon protocol but is also strong in building reference implementations (most likely Haskell, Scala or WebAssembly)
Melon funds are intended to be technology regulated funds. Meaning the code in place should prevent embezzling of Investors investments in Melon funds.
The same way you don't need an Accountant to check the balances of the Bitcoin blockchain after each trade - you should not need a Fund Administrator (entitiy enforcing rules of Regulator) when using Melon funds (ofc you always can if preferred).
All assets are held in the Melon Vault from there we can code rules into the Vault contract on how one can manage the fund.
Find a solution to the following two problems:
- Prevent buying orders at a price that is not beneficial for investors, i.e. (significantly) worse than market price.
- Prevent buying too much of a
illiquidasset, i.e. restrict volume of trades
For point 1. its fine to restrict trades according to a given true price see below.
For point 2. one solution could be analysing historical crypto data and modelling market impact to determine costs of trading out of illiquid assets and determining cost incurred by investor.
You can assume that you know the true price p_[P] for a given asset pair P that is the current price of an asset pair taken from multiple exchanges; Something similar to the CryptoCompare Methodology. See also (Best execution principle)
This was a very basic version of risk managment.
Essentially it restricted managing of the fund to only taking orders from the liquidityProvider (which was us).
So as long as the liquidityProvider provides orders at market prices the track-record of these Melon funds is real!
This solved the too main problems:
- Prevent buying at a price that is not beneficial for investors.
- Solution: Liquidity Provider always provided orders according to the
true price
- Solution: Liquidity Provider always provided orders according to the
- Prevent buying too much of a
illiquidasset- Solution: Liquidity Provider continuously provided orders for all relevant asset pairs.
- Visualising solution using R, Matlab or Ocatave if applicable
- Solution building upon: A fully consistent, minimal model for non-linear market impact
- Please use a github repository s.t. we can see how your doing
- A fully consistent, minimal model for non-linear market impact
- https://people.math.ethz.ch/~jteichma/its_talks/soner-its.pdf
- http://www.northinfo.com/documents/250.pdf
If there are any questions am v happy to help.
Wish you the best of luck!