Implement price negotiation Keeper wirth Vendor

[sadhbh-c0d3]

1. Off-chain (scope of this story)

• User submits Index quote request
• Keeper receives Index quote request
• Keeper asks Vendor(s) (one or more) to provide quote(s)
• Vendor replies with Index quote and new Market Data (price, slope, liquidity) for assets that need on-chain submission
• Keeper picks one of the Vendors based on Index quote and market data quality
• Use signs
• Keeper submits onchain: order + new market data

(*) Vendor needs to sign the quote + market data so that Keeper trusts Vendor.

2. On-chain

• New market data is updated
• New Index quote is computed
• New Index order is recorded, and processed with Instant Fill up to MaxOrderSize
• Any remainder of the order over MaxOrderSize is relayed for deferred batch processing

3. Each Vendor has their own Market:

• On-chain relationship: [Vendor] 1 --- 1 [Market]
• Order is submitted pointing to specific Vendor
• Order is matched against Market of that Vendor

4. Rebalancing Markets

• Should we need to move assets from one Vendor to another, we'd be reflecting that by updating two on-chain Markets.

5. Assets Under Management (AUM)

• Find out how we can track AUM per user / index / vendor

[sadhbh-c0d3]

[sadhbh-c0d3]

• Keeper should receive user's order
• Keeper should ask Vendor prices of assets passing a list of assets (not index, Vendor MUST NOT know index, only assets)
• Vendor needs to read on-chain market data using IFactor:: getMarketData()
• Vendor needs to compute difference between on-chain market data and real-time market data, and reply to Keeper with SUBSET of only market data that is significantly stale (*)
• Market data should be replied from Vendor to Keeper,
• Keeper should submit market data using IFactor:: submitMarketData()
• Keeper should submit order using IFactor:: submitBuyOrder() (this will return executed quantity)

(*) use some price/liquidity threshold, and timeout period