Vault Parameters
Last updated
Last updated
The vault parameters calculate the Liquidity Positions chosen by the vault. It must be adjusted on-chain.
These parameters allow liquidity to be managed with 1 click.
A liquidity manager with a higher risk appetite usually want to concentrate more liquidity to get better performance*, but this will be at the expense of higher Capital Loss and poor liquidity if tokens trades out of range.
*performance relates to the increase in Fees Income and Capital Efficiency
Liquidity Managers should be aware of these trade-offs when changing the Vault Parameters.
when a vault, the following approach can be used to set the vault's Strategy Parameters:
The table below summarises all the vault's parameters:
Vault Name
Name of the ERC20 token representing the vault shares.
NA
Vault Symbol
The letters representing 1 unit of the vault's shares
NA
Pool Address
Address of the Uniswap V3 pool managed by the vault
NA
Vault Manager
The wallet address that can change the vault's parameters
setManager()
Max Capacity
The maximum number of vault shares that can be minted
setMaxTotalSupply
Full Range liquidity %
The maximum % of total liquidity deposited into full-range
setFullRangeWeight()
Base-Order Width
The width of the range order used to collect fees and increase capital efficiency
setBaseThreshold()
Limit-Order Width
The width of the range order used to minimise Capital Loss
setLimitThreshold()
Rebalance Period
The minimum time that must elapse before the vault can chose a new position.
setPeriod()
TWAP Duration
The time period over which the average price within a pool is calculated
setTwapDuration()
TWAP Deviation
The vault will not chose a new position if the spot price differs from the average price by more than the TWAP Deviation.
setMaxTwapDeviation()
Minimum Tick Movement
The vault will not chose a new position at rebalance if the price moved by less than the Minimum Tick Movement
setMinTickMove()
Information parameters contains the on-chain records that uniquely identifies a vault. They do not affect how liquidity is being managed. The parameters are:
Governance parameters contain the on-chain records that identifies the vault manager, the fees charged by the vault manager, and who can rebalance the vault. The parameters are:
The Strategy Parameters concentrates liquidity, protect against Capital Loss, and ensure tokens are tradable in all market conditions.
The Strategy Parameters are set once, and the vault will automatically pick a new range each time rebalancing takes place. Everything happens on-chain, providing full transparency on how liquidity is being managed.
The parameters are:
If the vault is a project's main source of liquidity, always allocate some liquidity to full range to guarantee price discovery.
This is the maximum number of vault shares that can be minted to depositors. By default, the value is set to infinite (ie an uncapped vault), but it can be changed to create a
An existing vault manager can appoint a at any time, but before the appointment can take effect, the new new manager must accept the responsibility.
Vault manager can set a fee for managing the vault, as a % of Fee Income from Uniswap. They can collect the fees by calling .
When takes place, the vault will chose new positions by withdrawing all its liquidity from the Uniswap pool, and re-deposit it according to the ranges chosen by the Strategy Parameters.
The Strategy Parameters use mean reversion to concentrate liquidity, and is one of the safest and most widely used to manage liquidity.
For all , up to 30% of liquidity will be in Full-Range to ensure the vault will work in all market conditions. This value can be changed by the vault manager at any time.
The main role of the base order is to collect fees when the price moves, and Charm's front-end will how this is achieved.
The base-oder width is measured in and is . When rebalancing takes place, the vault will create a new position with a lower price of (Spot Price* - B) and an upper price of (Spot Price* + B), which means the vault will capture fees if the market price moves -(1-1.0001^-B)% below the Spot Price, or +(1+1.0001^B)% above it. For example:
*As determined when the vault choses new positions during .
The main role of the limit order is to reduce Capital Loss, by attempting a f inventory ratio when the price consolidates. Alpha Vault's front-end will how this is achieved.
The limit-order width is also measured in , and is . When rebalancing takes place, it takes whatever liquidity is left after placing the Full-Range order and the Base-Order, and places it in a new range order ( the 'Limit Order') immediately above or below the spot price - ie either in [Spot price* - L, Spot Price] or [Sport price, Spot price + L], depending on which inventory is left.
*As determined when the vault choses new positions during
The rebalance period is the minimum time since the previous rebalance, before the vault can be again. It determines how often the vault choses a new range as the spot price moves. It is measured in seconds, but converted to hours on Alpha Vault's front-end.
In general, wider ranges will require less rebalancing, and shorter ranges require more, as illustrated by the .
The vaults created using Alpha Vaults are very secure, with since launching in May 2021.
One of the key security component is the check, which prevents price manipulation, MEV extraction, and front running during . It uses the following parameters:
The TWAP Duration can be increased for extra security, but the vault may when it should.
The TWAP Deviation can be increased for extra security, but the vault may when it should.