Proposal: yFutures - Utilize an auction-based system for YFI buying instead of market buy thereby creating YFI Futures

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Summary:

Instead of market buying YFI as suggested in banteg, et al, utilize an auction system in which purchases can be made from the open market, thereby increasing liquidity for YFI and not disrupting normal trading quantities should institutional / bulge bracket transactions need to occur.

This also solves the issue of end users psychological hesitance in buying YFI (due to price), futures index would be 1/10th of the spot YFI price (see graph below)

Abstract:

Pick a continuous time period (e.g. some governance epoch, or as proposed in my other proposal for fees, a ‘roll over date’ see, ‘Dynamic Surcharge Fees’, for which the treasury/yearn commits to purchasing ‘X’ number of YFI (where X is dependent upon some % of allocation of the budget).

Motivation:

This creates the market perception similar to that of an ‘earnings call season’, whereby traders will take positions. This improves liquidity and price discovery as well.

Specification:

github/yfutures

TL:DR: use kee3pr bots e.g. turbokeeper to run the auctioning or liquidation engine for the auction. Can be extended to utilize gnosis oba solver which computes off chain for example order book auctions.

A naiive (re: hacky) representation of what a constructed, panama-style, futures index for YFI would look like: https://sambacha.github.io/yfi-futures/

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Poll:

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This is not a binary decision, both market buy and auction-buy systems can co-exist, I am in the process of collecting the approximate data points necessary, which also brings up a good point: yearn should also commit some money to providing data for strategies as a public good, this process of collecting, refining, transforming data to be used in backtesting will be repeated. And I am not talking about dune analytics, that does not provide the level of clarity to be able to discern actionable insights for multi-million AUM strategies , but its a good low bar to tell whats trash and whats feasible.