code.vegaprotocol.io/vega@v0.79.0/core/integration/features/amm/0042-LIQF-107.feature (about) 1 Feature: Test vAMM implied commitment is working as expected 2 3 Background: 4 Given the average block duration is "1" 5 And the margin calculator named "margin-calculator-1": 6 | search factor | initial factor | release factor | 7 | 1.2 | 1.5 | 1.7 | 8 And the log normal risk model named "log-normal-risk-model": 9 | risk aversion | tau | mu | r | sigma | 10 | 0.001 | 0.0011407711613050422 | 0 | 0.9 | 3.0 | 11 And the liquidity monitoring parameters: 12 | name | triggering ratio | time window | scaling factor | 13 | lqm-params | 1.00 | 20s | 1 | 14 15 And the following network parameters are set: 16 | name | value | 17 | market.value.windowLength | 60s | 18 | network.markPriceUpdateMaximumFrequency | 0s | 19 | limits.markets.maxPeggedOrders | 6 | 20 | market.auction.minimumDuration | 1 | 21 | market.fee.factors.infrastructureFee | 0.001 | 22 | market.fee.factors.makerFee | 0.004 | 23 | spam.protection.max.stopOrdersPerMarket | 5 | 24 | market.liquidity.equityLikeShareFeeFraction | 1 | 25 | market.amm.minCommitmentQuantum | 1 | 26 | market.liquidity.bondPenaltyParameter | 0.2 | 27 | market.liquidity.stakeToCcyVolume | 1 | 28 | market.liquidity.successorLaunchWindowLength | 1h | 29 | market.liquidity.sla.nonPerformanceBondPenaltySlope | 0 | 30 | market.liquidity.sla.nonPerformanceBondPenaltyMax | 0.6 | 31 | validators.epoch.length | 10s | 32 | market.liquidity.earlyExitPenalty | 0.25 | 33 | market.liquidity.maximumLiquidityFeeFactorLevel | 0.25 | 34 #risk factor short:3.5569036 35 #risk factor long:0.801225765 36 And the following assets are registered: 37 | id | decimal places | 38 | USD | 0 | 39 And the fees configuration named "fees-config-1": 40 | maker fee | infrastructure fee | 41 | 0.0004 | 0.001 | 42 43 And the liquidity sla params named "SLA-22": 44 | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor | 45 | 0.05 | 0.6 | 1 | 1.0 | 46 47 And the markets: 48 | id | quote name | asset | liquidity monitoring | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 49 | ETH/MAR22 | USD | USD | lqm-params | log-normal-risk-model | margin-calculator-1 | 2 | fees-config-1 | default-none | default-eth-for-future | 1e0 | 0 | SLA-22 | 50 51 Given the parties deposit on asset's general account the following amount: 52 | party | asset | amount | 53 | lp1 | USD | 1000000 | 54 | lp2 | USD | 1000000 | 55 | lp3 | USD | 1000000 | 56 | party1 | USD | 1000000 | 57 | party2 | USD | 1000000 | 58 | party3 | USD | 1000000 | 59 | party4 | USD | 1000000 | 60 | party5 | USD | 1000000 | 61 | vamm1 | USD | 1000000 | 62 | vamm2 | USD | 1000000 | 63 64 When the parties submit the following liquidity provision: 65 | id | party | market id | commitment amount | fee | lp type | 66 | lp_1 | lp1 | ETH/MAR22 | 100000 | 0.02 | submission | 67 | lp_2 | lp2 | ETH/MAR22 | 100000 | 0.02 | submission | 68 69 And the parties place the following orders: 70 | party | market id | side | volume | price | resulting trades | type | tif | reference | 71 | lp1 | ETH/MAR22 | buy | 20 | 40 | 0 | TYPE_LIMIT | TIF_GTC | lp1-b | 72 | party1 | ETH/MAR22 | buy | 1 | 100 | 0 | TYPE_LIMIT | TIF_GTC | | 73 | party2 | ETH/MAR22 | sell | 1 | 100 | 0 | TYPE_LIMIT | TIF_GTC | | 74 | lp1 | ETH/MAR22 | sell | 20 | 160 | 0 | TYPE_LIMIT | TIF_GTC | lp1-s | 75 76 When the opening auction period ends for market "ETH/MAR22" 77 Then the following trades should be executed: 78 | buyer | price | size | seller | 79 | party1 | 100 | 1 | party2 | 80 81 Then the network moves ahead "1" blocks 82 And the current epoch is "0" 83 84 @VAMM 85 Scenario: 0042-LIQF-107: a vAMM which was active on the market throughout the epoch but with an active range which never overlapped with the SLA range is counted with an implied commitment of `0`. 86 87 # make a one sided AMM away from everything 88 When the parties submit the following AMM: 89 | party | market id | amount | slippage | base | upper bound | proposed fee | error | 90 | vamm1 | ETH/MAR22 | 100000 | 0.5 | 120 | 121 | 0.03 | | 91 Then the AMM pool status should be: 92 | party | market id | amount | status | base | upper bound | 93 | vamm1 | ETH/MAR22 | 100000 | STATUS_ACTIVE | 120 | 121 | 94 Then the network moves ahead "1" blocks 95 96 Then the network moves ahead "1" epochs 97 98 # place some orders around 100 99 And the parties place the following orders: 100 | party | market id | side | volume | price | resulting trades | type | tif | reference | 101 | party1 | ETH/MAR22 | buy | 10 | 99 | 0 | TYPE_LIMIT | TIF_GTC | lp1-b | 102 | party1 | ETH/MAR22 | buy | 10 | 100 | 0 | TYPE_LIMIT | TIF_GTC | lp1-b | 103 | party2 | ETH/MAR22 | sell | 10 | 100 | 1 | TYPE_LIMIT | TIF_GTC | | 104 | party2 | ETH/MAR22 | sell | 10 | 101 | 0 | TYPE_LIMIT | TIF_GTC | | 105 106 Then the network moves ahead "1" epochs 107 108 And the following transfers should happen: 109 | type | from | to | from account | to account | market id | amount | asset | 110 | TRANSFER_TYPE_LIQUIDITY_FEE_ALLOCATE | market | lp1 | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | ETH/MAR22 | 10 | USD | 111 | TRANSFER_TYPE_LIQUIDITY_FEE_ALLOCATE | market | lp2 | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | ETH/MAR22 | 10 | USD | 112 113 # the ELS of the two LPs should be 0.5 implying that the AMM should have 0 share 114 And the liquidity provider fee shares for the market "ETH/MAR22" should be: 115 | party | equity like share | virtual stake | average entry valuation | 116 | lp1 | 0.5 | 100000.0000000000000000 | 100000 | 117 | lp2 | 0.5 | 100000.0000000000000000 | 200000 |