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Taoshi Documentation

Roadmap Update, Realistic Position Management and Cost Model Refinement, December 2024

This roadmap update provides more details on phases three and four detailed here. It outlines a plan to overhaul the position sizing mechanics and improve the quality of our data long term.

Our goal is to more realistically model positions and fees, allowing signals to closely translate to real exchanges. Reducing this friction will enable copy traders to easily make more informed and profitable decisions from the outputs of the network. The current version of PTN uses a weight (“leverage”) based system to represent positions and orders, which enables us to assess the exposure of miners but does not represent any information about the true size of an order. We want to capture this position sizing information, which will allow us to accurately model real exchange fees, including transaction cost and cost of leverage.

Real position sizing will translate each position and order into a dollar amount, which can be used to calculate leverage and margin used.

The following features will be built before rolling out a transitional period to allow miners to adjust to the new system.

Phase One: New Position Mechanics

Target: Dec-Jan 2025

Objective

We will implement new positional mechanics to better mirror trading on real exchanges. This will reduce friction when translating signals for copy traders, and more accurately model fees.

Phase 1A: Dollar Amount Order and Positions

Target: Dec 2024

Details
  • Order sizes will no longer be specified as a leverage (weight). Instead, orders will be specified with a discrete quantity. Leverage will become optional, and represent a usage of borrowed funds rather than portfolio weight allocation. If no leverage is specified, no margin is used.
  • Positions will no longer have net leverage. Instead, positions will track a size and cost basis for each order. Returns will be calculated in terms of dollar amounts, and will be based on the total position value including unrealized returns.

Phase 1B: Portfolio, Margins, and Leverage

Target: Dec-Jan 2025

Details
  • Dollar amount positions will be used to track leverage and margins.
  • The portfolio will begin with an initial cash value of $100K.
  • Portfolio will track a max borrowing capacity and margin balance.
  • Isolated margin will be used to begin with, with cross margin across assets coming later.

Phase 1C: Buy and Sell Mechanics

Target: Mid Jan 2025

Details
  • Buy and sell operations will account for quantity, leverage, margin, and cost basis.
  • Each asset will be limited to a single open position, and size will be tracked in net position mode which captures a single side at a time.
  • Leverage may be used to borrow funds and increase the size of an order.
  • Each position will track it’s cost basis per order, which will be used to determine PnL.

Phase 1D: Monitoring Unrealized Returns, Liquidation

Target: Mid Jan 2025

Details
  • Unrealized returns for open positions will be monitored to determine the available margin.
  • A position which falls below the forced liquidation level will be automatically closed, and realized PnL will be calculated.
  • We will apply price smoothing to determine the accurate mark price for liquidation.

Phase Two: Handling Different Asset Classes

Target: Jan 2025

Objective

Each asset class comes with its own unique constraints for data sourcing and mechanics. The minimum size for each asset, as well as the way that cost bases are handled, are different. We will source data from Binance and Oanda in addition to Polygon.

Phase 2A: Crypto Perpetual Futures

Target: Jan 2025

Details
  • Selling will be done using a weighted average cost basis. The average cost of all lots is used when calculating PnL.
  • Data to be obtained from Binance.

Phase 2B: Forex Spot, Equity Spot

Target: Jan 2025

Details
  • Selling will be done using a FIFO cost basis. The oldest lot is sold first when calculating PnL.
  • Data to be obtained from Polygon and Oanda.

Phase Three: Transitional Period for Miners

Target: Q1 2025

Objective

We will provide miners with advanced notice in order to smoothly transition to the new dollar amount system. Miners can begin to use the new system once the order mechanics and asset data are in place. During this transition period, orders submitted using the current format will be translated into the new format and mechanics.

Details
  • Existing closed positions, returns, and scoring will be preserved as is.
  • Existing open positions will be closed.
  • Orders will continue to be accepted with the current format, but will utilize a translation layer to translate them into the new format. For the best results, we highly recommend miners to begin using the new order format once it is rolled out.

Phase Four: Market Impact (Slippage) Model

Target: Feb 2025

Objective

We will improve the quality of our underlying data to more accurately model the cost of transactions and cost of carrying capital on all supported asset classes.

Details
  • Realistic bid-ask data will be sourced for transaction costs.
  • Slippage for each order will be calculated and used to determine the actual average execution price, and build a market impact model.
  • We will focus on translating our trades to specific exchanges, sourcing data from them to ensure quality of transfer for the strategy.

Phase Five: Further Improvements

Target: Q1 2025

Objective

Further refinements and QoL improvements will be made in order to improve the performance of PTN.

Details
  • Enable multiple positions per asset and track position sizes in hedged mode, allowing miners to hedge their positions.
  • Introduction of cross margin across a miner’s portfolio.
  • The miner’s initial portfolio size can vary, and will be used to apply a scoring scaling factor. Larger portfolios will have more advantageous scoring. These will likely accompany collateral, with larger portfolios requiring larger amounts of collateral.

Implementation Process

Each phase will follow our established rollout process:

  1. Proposal and Review: Initial technical specification and community discussion
  2. Community Feedback: Ongoing assessment and adjustment based on network participant input
  3. Testing and Validation: Comprehensive testing of new features
  4. Staged Implementation: Careful rollout with continuous monitoring

We encourage all network participants to review these proposed changes and provide feedback through our usual communication channels. Your input is crucial in ensuring these improvements serve the entire community effectively.