code.vegaprotocol.io/vega@v0.79.0/core/integration/features/amm/0090-VAMM-022.feature (about) 1 Feature: Test vAMM cancellation without position works 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 | 0.1 | 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-022: If a vAMM is cancelled and set in Reduce-Only mode when it currently has no position then all funds are released after the next mark to market. 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 | 106 | 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 92 # trade to move the mark price to 105 93 When the parties place the following orders: 94 | party | market id | side | volume | price | resulting trades | type | tif | reference | 95 | party1 | ETH/MAR22 | buy | 10 | 105 | 0 | TYPE_LIMIT | TIF_GTC | | 96 | party2 | ETH/MAR22 | sell | 10 | 105 | 1 | TYPE_LIMIT | TIF_GTC | | 97 98 # Now submit our vAMM, no trades should happen 99 Then the parties submit the following AMM: 100 | party | market id | amount | slippage | base | lower bound | upper bound | lower leverage | upper leverage | proposed fee | 101 | vamm1 | ETH/MAR22 | 100000 | 0.1 | 100 | 85 | 150 | 0.25 | 0.25 | 0.01 | 102 Then the AMM pool status should be: 103 | party | market id | amount | status | base | lower bound | upper bound | lower leverage | upper leverage | 104 | vamm1 | ETH/MAR22 | 100000 | STATUS_ACTIVE | 100 | 85 | 150 | 0.25 | 0.25 | 105 106 And set the following AMM sub account aliases: 107 | party | market id | alias | 108 | vamm1 | ETH/MAR22 | vamm1-acc | 109 And the following transfers should happen: 110 | from | from account | to | to account | market id | amount | asset | is amm | type | 111 | vamm1 | ACCOUNT_TYPE_GENERAL | vamm1-acc | ACCOUNT_TYPE_GENERAL | | 100000 | USD | true | TRANSFER_TYPE_AMM_LOW | 112 And the parties should have the following account balances: 113 | party | asset | market id | general | margin | is amm | 114 | vamm1 | USD | | 0 | | | 115 | vamm1-acc | USD | ETH/MAR22 | 100000 | | true | 116 117 # Now cancel with reduce-only 118 When the parties cancel the following AMM: 119 | party | market id | method | 120 | vamm1 | ETH/MAR22 | METHOD_REDUCE_ONLY | 121 Then the AMM pool status should be: 122 | party | market id | amount | status | base | lower bound | upper bound | lower leverage | upper leverage | 123 | vamm1 | ETH/MAR22 | 100000 | STATUS_REDUCE_ONLY | 100 | 85 | 150 | 0.25 | 0.25 | 124 # Balance is not yet released 125 And the parties should have the following account balances: 126 | party | asset | market id | general | margin | is amm | 127 | vamm1 | USD | | 0 | | | 128 | vamm1-acc | USD | ETH/MAR22 | 100000 | | true | 129 130 # Now trigger a MTM settlement, this is when we see the status updated to cancelled and the funds get released. 131 When the network moves ahead "1" blocks 132 Then the AMM pool status should be: 133 | party | market id | amount | status | base | lower bound | upper bound | lower leverage | upper leverage | 134 | vamm1 | ETH/MAR22 | 100000 | STATUS_CANCELLED | 100 | 85 | 150 | 0.25 | 0.25 | 135 Then the following transfers should happen: 136 | from | from account | to | to account | market id | amount | asset | is amm | type | 137 | vamm1-acc | ACCOUNT_TYPE_GENERAL | vamm1 | ACCOUNT_TYPE_GENERAL | | 100000 | USD | true | TRANSFER_TYPE_AMM_RELEASE | 138 And the parties should have the following account balances: 139 | party | asset | market id | general | margin | is amm | 140 | vamm1 | USD | | 100000 | | | 141 | vamm1-acc | USD | ETH/MAR22 | 0 | | true |