code.vegaprotocol.io/vega@v0.79.0/core/integration/features/amm/0090-VAMM-004.feature (about)

     1  Feature: Test vAMM submission works as expected (invalid submission)
     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 | 0.1   |
    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      And the price monitoring named "price-monitoring":
    43        | horizon | probability | auction extension |
    44        | 3600    | 0.95        | 3                 |
    45  
    46      And the liquidity sla params named "SLA-22":
    47        | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
    48        | 0.5         | 0.6                          | 1                             | 1.0                    |
    49  
    50      And the markets:
    51        | 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 |
    52        | ETH/MAR22 | USD        | USD   | lqm-params           | log-normal-risk-model | margin-calculator-1 | 2                | fees-config-1 | price-monitoring | default-eth-for-future | 1e0                    | 0                         | SLA-22     |
    53  
    54    @VAMM
    55    Scenario: 0090-VAMM-004: When market.amm.minCommitmentQuantum is 1, mid price of the market 100, a user with 100 USDT is unable to create a vAMM with commitment 1000, and any other combination of settings.
    56      Given the parties deposit on asset's general account the following amount:
    57        | party  | asset | amount |
    58        | lp1    | USD   | 100000 |
    59        | lp2    | USD   | 100000 |
    60        | lp3    | USD   | 100000 |
    61        | party1 | USD   | 100000 |
    62        | party2 | USD   | 100000 |
    63        | party3 | USD   | 100000 |
    64        | vamm1  | USD   | 100000 |
    65  
    66      When the parties submit the following liquidity provision:
    67        | id   | party | market id | commitment amount | fee   | lp type    |
    68        | lp_1 | lp1   | ETH/MAR22 | 600               | 0.02  | submission |
    69        | lp_2 | lp2   | ETH/MAR22 | 400               | 0.015 | submission |
    70      Then the network moves ahead "4" blocks
    71      And the current epoch is "0"
    72  
    73      And the parties place the following orders:
    74        | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
    75        | party3 | ETH/MAR22 | buy  | 10     | 85    | 0                | TYPE_LIMIT | TIF_GTC |           |
    76        | party1 | ETH/MAR22 | buy  | 10     | 90    | 0                | TYPE_LIMIT | TIF_GTC |           |
    77        | party1 | ETH/MAR22 | buy  | 1      | 100   | 0                | TYPE_LIMIT | TIF_GTC |           |
    78        | party2 | ETH/MAR22 | sell | 10     | 110   | 0                | TYPE_LIMIT | TIF_GTC |           |
    79        | party2 | ETH/MAR22 | sell | 1      | 100   | 0                | TYPE_LIMIT | TIF_GTC |           |
    80        | party3 | ETH/MAR22 | sell | 1      | 120   | 0                | TYPE_LIMIT | TIF_GTC |           |
    81        | lp1    | ETH/MAR22 | buy  | 10     | 95    | 0                | TYPE_LIMIT | TIF_GTC | lp1-b     |
    82        | lp1    | ETH/MAR22 | sell | 10     | 105   | 0                | TYPE_LIMIT | TIF_GTC | lp1-s     |
    83      When the opening auction period ends for market "ETH/MAR22"
    84      Then the following trades should be executed:
    85        | buyer  | price | size | seller |
    86        | party1 | 100   | 1    | party2 |
    87  
    88      And the market data for the market "ETH/MAR22" should be:
    89        | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest | ref price | mid price | static mid price |
    90        | 100        | TRADING_MODE_CONTINUOUS | 3600    | 94        | 106       | 39           | 1000           | 1             | 100       | 100       | 100              |
    91      # Try all submissions from AC's 0090-VAMM-001 through 0090-VAMM-003, add some more for good measure
    92      When the parties submit the following AMM:
    93        | party | market id | amount | slippage | base | lower bound | upper bound | lower leverage | upper leverage | error                                    | proposed fee |
    94        | vamm1 | ETH/MAR22 | 200000 | 0.1      | 100  | 90          | 110         | 4              | 4              | not enough collateral in general account | 0.01         |
    95  
    96      When the parties submit the following AMM:
    97        | party | market id | amount | slippage | base | lower bound | lower leverage | error                                    | proposed fee |
    98        | vamm1 | ETH/MAR22 | 200000 | 0.1      | 90   | 85          | 0.25           | not enough collateral in general account | 0.01         |
    99  
   100      When the parties submit the following AMM:
   101        | party | market id | amount | slippage | base | upper bound | upper leverage | error                                    | proposed fee |
   102        | vamm1 | ETH/MAR22 | 200000 | 0.1      | 110  | 150         | 0.25           | not enough collateral in general account | 0.01         |
   103  
   104      When the parties submit the following AMM:
   105        | party | market id | amount | slippage | base | lower bound | lower leverage | error                                    | proposed fee |
   106        | vamm1 | ETH/MAR22 | 200000 | 0.01     | 110  | 99          | 0.1            | not enough collateral in general account | 0.01         |
   107  
   108      When the parties submit the following AMM:
   109        | party | market id | amount | slippage | base | upper bound | upper leverage | error                                    | proposed fee |
   110        | vamm1 | ETH/MAR22 | 200000 | 0.01     | 90   | 101         | 0.02           | not enough collateral in general account | 0.01         |
   111  
   112      When the parties submit the following AMM:
   113        | party | market id | amount | slippage | base | lower bound | upper bound | lower leverage | upper leverage | error                                    | proposed fee |
   114        | vamm1 | ETH/MAR22 | 200000 | 0.001    | 101  | 95          | 105         | 0.01           | 0.01           | not enough collateral in general account | 0.01         |