code.vegaprotocol.io/vega@v0.79.0/core/integration/features/capped-futures/0016-PFUT-020.feature (about) 1 Feature: Settle capped futures market with a price within correct range 2 3 Background: 4 Given time is updated to "2019-11-30T00:00:00Z" 5 And the average block duration is "1" 6 7 And the oracle spec for settlement data filtering data from "0xCAFECAFE1" named "ethDec21Oracle": 8 | property | type | binding | 9 | prices.ETH.value | TYPE_INTEGER | settlement data | 10 11 And the oracle spec for trading termination filtering data from "0xCAFECAFE1" named "ethDec21Oracle": 12 | property | type | binding | 13 | trading.terminated | TYPE_BOOLEAN | trading termination | 14 15 And the settlement data decimals for the oracle named "ethDec21Oracle" is given in "0" decimal places 16 17 And the oracle spec for settlement data filtering data from "0xCAFECAFE2" named "ethDec22Oracle": 18 | property | type | binding | 19 | prices.ETH.value | TYPE_INTEGER | settlement data | 20 21 And the oracle spec for trading termination filtering data from "0xCAFECAFE2" named "ethDec22Oracle": 22 | property | type | binding | 23 | trading.terminated | TYPE_BOOLEAN | trading termination | 24 25 And the settlement data decimals for the oracle named "ethDec21Oracle" is given in "0" decimal places 26 27 And the oracle spec for settlement data filtering data from "0xCAFECAFE3" named "ethDec23Oracle": 28 | property | type | binding | 29 | prices.ETH.value | TYPE_INTEGER | settlement data | 30 31 And the oracle spec for trading termination filtering data from "0xCAFECAFE3" named "ethDec23Oracle": 32 | property | type | binding | 33 | trading.terminated | TYPE_BOOLEAN | trading termination | 34 35 And the settlement data decimals for the oracle named "ethDec21Oracle" is given in "0" decimal places 36 37 And the following network parameters are set: 38 | name | value | 39 | market.auction.minimumDuration | 1 | 40 | network.markPriceUpdateMaximumFrequency | 0s | 41 | market.liquidity.successorLaunchWindowLength | 1s | 42 | limits.markets.maxPeggedOrders | 4 | 43 44 And the fees configuration named "fees-config-1": 45 | maker fee | infrastructure fee | 46 | 0.005 | 0.02 | 47 And the price monitoring named "price-monitoring-1": 48 | horizon | probability | auction extension | 49 | 1 | 0.99 | 300 | 50 And the simple risk model named "simple-risk-model-1": 51 | long | short | max move up | min move down | probability of trading | 52 | 0.2 | 0.1 | 100 | -100 | 0.1 | 53 54 And the markets: 55 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | max price cap | fully collateralised | binary | 56 | ETH/DEC21 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | ethDec21Oracle | 0.25 | 0 | default-futures | 1500 | false | true | 57 | ETH/DEC22 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | ethDec22Oracle | 0.25 | 0 | default-futures | 1500 | false | true | 58 | ETH/DEC23 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | ethDec23Oracle | 0.25 | 0 | default-futures | 1500 | false | true | 59 60 @SLABug @NoPerp @Capped 61 Scenario: 0016-PFUT-020: When `max_price` is specified, the `binary_settlement` flag is set to `true` and the final settlement price candidate received from the oracle is greater than `0` and less than `max_price` the value gets ignored, next a value of `0` comes in from the settlement oracle and market settles correctly. 62 Given the initial insurance pool balance is "10000" for all the markets 63 And the parties deposit on asset's general account the following amount: 64 | party | asset | amount | 65 | party1 | ETH | 10000 | 66 | party2 | ETH | 1000 | 67 | party3 | ETH | 5000 | 68 | aux1 | ETH | 100000 | 69 | aux2 | ETH | 100000 | 70 | party-lp | ETH | 100000000 | 71 72 And the parties submit the following liquidity provision: 73 | id | party | market id | commitment amount | fee | lp type | 74 | lp1 | party-lp | ETH/DEC21 | 300000 | 0 | submission | 75 | lp2 | party-lp | ETH/DEC22 | 300000 | 0 | submission | 76 | lp3 | party-lp | ETH/DEC23 | 300000 | 0 | submission | 77 And the parties place the following pegged iceberg orders: 78 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 79 | party-lp | ETH/DEC21 | 6000 | 3000 | buy | BID | 18000 | 10 | 80 | party-lp | ETH/DEC21 | 6000 | 3000 | sell | ASK | 18000 | 10 | 81 | party-lp | ETH/DEC22 | 6000 | 3000 | buy | BID | 18000 | 10 | 82 | party-lp | ETH/DEC22 | 6000 | 3000 | sell | ASK | 18000 | 10 | 83 | party-lp | ETH/DEC23 | 6000 | 3000 | buy | BID | 18000 | 10 | 84 | party-lp | ETH/DEC23 | 6000 | 3000 | sell | ASK | 18000 | 10 | 85 86 When the parties place the following orders: 87 | party | market id | side | volume | price | resulting trades | type | tif | reference | 88 | aux1 | ETH/DEC21 | buy | 2 | 999 | 0 | TYPE_LIMIT | TIF_GTC | ref-5 | 89 | aux2 | ETH/DEC21 | sell | 2 | 1001 | 0 | TYPE_LIMIT | TIF_GTC | ref-6 | 90 | aux1 | ETH/DEC21 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | ref-7 | 91 | aux2 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | ref-8 | 92 | aux1 | ETH/DEC22 | buy | 2 | 999 | 0 | TYPE_LIMIT | TIF_GTC | ref-5 | 93 | aux2 | ETH/DEC22 | sell | 2 | 1001 | 0 | TYPE_LIMIT | TIF_GTC | ref-6 | 94 | aux1 | ETH/DEC22 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | ref-7 | 95 | aux2 | ETH/DEC22 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | ref-8 | 96 | aux1 | ETH/DEC23 | buy | 2 | 999 | 0 | TYPE_LIMIT | TIF_GTC | ref-5 | 97 | aux2 | ETH/DEC23 | sell | 2 | 1001 | 0 | TYPE_LIMIT | TIF_GTC | ref-6 | 98 | aux1 | ETH/DEC23 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | ref-7 | 99 | aux2 | ETH/DEC23 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | ref-8 | 100 And the network moves ahead "2" blocks 101 102 Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC21" 103 Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC22" 104 Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC23" 105 And the market state should be "STATE_ACTIVE" for the market "ETH/DEC21" 106 And the market state should be "STATE_ACTIVE" for the market "ETH/DEC22" 107 And the market state should be "STATE_ACTIVE" for the market "ETH/DEC23" 108 109 Then the network moves ahead "2" blocks 110 111 # The market considered here ("ETH/DEC19") relies on "0xCAFECAFE" oracle, checking that broadcasting events from "0xCAFECAFE1" should have no effect on it apart from insurance pool transfer 112 And the oracles broadcast data signed with "0xCAFECAFE1": 113 | name | value | 114 | trading.terminated | true | 115 And the oracles broadcast data signed with "0xCAFECAFE2": 116 | name | value | 117 | trading.terminated | true | 118 And the oracles broadcast data signed with "0xCAFECAFE3": 119 | name | value | 120 | trading.terminated | true | 121 And the network moves ahead "2" blocks 122 123 Then the market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC21" 124 Then the market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC22" 125 Then the market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC23" 126 127 When the oracles broadcast data signed with "0xCAFECAFE1": 128 | name | value | 129 | prices.ETH.value | 0 | 130 When the oracles broadcast data signed with "0xCAFECAFE2": 131 | name | value | 132 | prices.ETH.value | 100 | 133 When the oracles broadcast data signed with "0xCAFECAFE3": 134 | name | value | 135 | prices.ETH.value | 1500 | 136 137 And the network moves ahead "2" blocks 138 139 Then the last market state should be "STATE_SETTLED" for the market "ETH/DEC21" 140 Then the last market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC22" 141 Then the last market state should be "STATE_SETTLED" for the market "ETH/DEC23" 142