[GIP-33] Update WBTC oracle

Summary

Gearbox is currently using the Chainlink’s BTC/USD price oracle as a price reference to WBTC.

It is proposed for Gearbox to implement a new oracle that would compose the Chainlink feeds for WBTC/BTC and BTC/USD into WBTC/USD price feed.

Motivation

Gearbox is currently using BTC/USD price feed for WBTC because the WBTC/BTC price feed is less precise (being updated every 2%).

However, recent crunch in WBTC liquidity, coupled with crypto twitter FUD, give rise to concerns about temporary or permanent depegging of WBTC/BTC price. Even a temporary depegging, given it is bigger than the liquidation penalty, would prevent liquidations from happening, and in extreme scenarios could give rise to bad debt.

Liquidity data

DeFi Llama shows a decrease of around 20% in WBTC total supply since the beginning of the month WBTC: TVL and Stats - DefiLlama

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Our dashboard shows a decrease of 20% in the amount of WBTC liquidity one can sell with 4% slippage since Nov 18th. (The historical data from that date is available here Risk DAO | risk management dashboard).

Solution

Update WBTC/USD price feed from Chainlink to composite oracle (WBTC/BTC) / (BTC/USD), where each value is taken from Chainlink oracle. While this solution might be less accurate on average, it would be more accurate in the extreme scenario that WBTC depegs.

The new oracle can use the same code as the one from GIP-28, with potentially some change in variable names.