code.vegaprotocol.io/vega@v0.79.0/core/integration/features/amm/0090-VAMM-092.feature (about) 1 Feature: check VAMM when SLA bond penalty is due 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 | 1000 | 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 43 And the liquidity sla params named "SLA-22": 44 | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor | 45 | 0.5 | 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 Scenario: set up AMM 52 Given the parties deposit on asset's general account the following amount: 53 | party | asset | amount | 54 | lp1 | USD | 1000000 | 55 | lp2 | USD | 1000000 | 56 | lp3 | USD | 1000000 | 57 | party1 | USD | 1000000 | 58 | party2 | USD | 1000000 | 59 | party3 | USD | 1000000 | 60 | party4 | USD | 1000000 | 61 | party5 | USD | 1000000 | 62 | vamm1 | USD | 30000 | 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 | 600 | 0.02 | submission | 67 | lp_2 | lp2 | ETH/MAR22 | 400 | 0.015 | submission | 68 Then the network moves ahead "4" blocks 69 And the current epoch is "0" 70 71 And the parties place the following orders: 72 | party | market id | side | volume | price | resulting trades | type | tif | reference | 73 | lp1 | ETH/MAR22 | buy | 20 | 40 | 0 | TYPE_LIMIT | TIF_GTC | lp1-b | 74 | party1 | ETH/MAR22 | buy | 1 | 100 | 0 | TYPE_LIMIT | TIF_GTC | | 75 | party2 | ETH/MAR22 | sell | 1 | 100 | 0 | TYPE_LIMIT | TIF_GTC | | 76 | lp1 | ETH/MAR22 | sell | 10 | 160 | 0 | TYPE_LIMIT | TIF_GTC | lp1-s | 77 When the opening auction period ends for market "ETH/MAR22" 78 Then the following trades should be executed: 79 | buyer | price | size | seller | 80 | party1 | 100 | 1 | party2 | 81 82 And the market data for the market "ETH/MAR22" should be: 83 | mark price | trading mode | target stake | supplied stake | open interest | ref price | mid price | static mid price | 84 | 100 | TRADING_MODE_CONTINUOUS | 39 | 1000 | 1 | 100 | 100 | 100 | 85 When the parties submit the following AMM: 86 | party | market id | amount | slippage | base | lower bound | upper bound | lower leverage | upper leverage | proposed fee | 87 | vamm1 | ETH/MAR22 | 30000 | 0.1 | 100 | 85 | 150 | 4 | 4 | 0.01 | 88 Then the AMM pool status should be: 89 | party | market id | amount | status | base | lower bound | upper bound | lower leverage | upper leverage | 90 | vamm1 | ETH/MAR22 | 30000 | STATUS_ACTIVE | 100 | 85 | 150 | 4 | 4 | 91 92 And set the following AMM sub account aliases: 93 | party | market id | alias | 94 | vamm1 | ETH/MAR22 | vamm1-id | 95 And the following transfers should happen: 96 | from | from account | to | to account | market id | amount | asset | is amm | type | 97 | vamm1 | ACCOUNT_TYPE_GENERAL | vamm1-id | ACCOUNT_TYPE_GENERAL | | 30000 | USD | true | TRANSFER_TYPE_AMM_LOW | 98 99 Then the parties should have the following account balances: 100 | party | asset | market id | general | 101 | 137112507e25d3845a56c47db15d8ced0f28daa8498a0fd52648969c4b296aba | USD | ETH/MAR22 | 30000 | 102 103 Then the parties should have the following account balances: 104 | party | asset | market id | margin | general | bond | 105 | lp1 | USD | ETH/MAR22 | 960 | 998440 | 600 | 106 | lp2 | USD | ETH/MAR22 | 0 | 999600 | 400 | 107 | 137112507e25d3845a56c47db15d8ced0f28daa8498a0fd52648969c4b296aba | USD | ETH/MAR22 | 0 | 30000 | | 108 109 Then the network moves ahead "8" blocks 110 111 Then the parties should have the following account balances: 112 | party | asset | market id | margin | general | bond | 113 | lp1 | USD | ETH/MAR22 | 960 | 998440 | 540 | 114 | lp2 | USD | ETH/MAR22 | 0 | 999600 | 360 | 115 | 137112507e25d3845a56c47db15d8ced0f28daa8498a0fd52648969c4b296aba | USD | ETH/MAR22 | 0 | 30000 | | 116 117 #0042-LIQF-092:All vAMMs active on a market at the end of an epoch receive SLA bonus rebalancing payments with `0` penalty fraction. 118 #both lp1 and lp2 got SLA penalty while vamm1 did not 119 Then the following transfers should happen: 120 | from | to | from account | to account | market id | amount | asset | 121 | lp1 | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 60 | USD | 122 | lp2 | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 40 | USD | 123 124 Then the network moves ahead "8" blocks 125 126 When the parties cancel the following AMM: 127 | party | market id | method | 128 | vamm1 | ETH/MAR22 | METHOD_IMMEDIATE | 129 130 Then the parties should have the following account balances: 131 | party | asset | market id | general | 132 | vamm1 | USD | ETH/MAR22 | 30000 | 133 134 Then the network moves ahead "4" blocks 135 #0042-LIQF-093:A vAMM active on a market during an epoch, which was cancelled prior to the end of an epoch, receives SLA bonus rebalancing payments with `0` penalty fraction. 136 #both lp1 and lp2 got SLA penalty while vamm1 did not, and asset has been released from alias back to vamm1 137 Then the following transfers should happen: 138 | from | to | from account | to account | market id | amount | asset | 139 | lp1 | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 54 | USD | 140 | lp2 | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 36 | USD | 141 142 When the parties place the following orders: 143 | party | market id | side | volume | price | resulting trades | type | tif | 144 | party4 | ETH/MAR22 | buy | 4 | 120 | 0 | TYPE_LIMIT | TIF_GTC | 145 146 #0042-LIQF-094:A vAMMs cancelled in a previous epoch does not receive anything and is not considered during SLA rebalancing at the end of an epoch 147 Then the network moves ahead "12" blocks 148 149 Then the following transfers should happen: 150 | from | to | from account | to account | market id | amount | asset | 151 | lp1 | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 48 | USD | 152 | lp2 | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 32 | USD | 153 154 Then the parties should have the following account balances: 155 | party | asset | market id | general | 156 | vamm1 | USD | ETH/MAR22 | 30000 | 157