code.vegaprotocol.io/vega@v0.79.0/core/integration/features/fees/amend-fees.feature

Feature: Fees when amend trades


  Background:
    Given the fees configuration named "fees-config-1":
      | maker fee | infrastructure fee |
      | 0.005     | 0.002              |
    And the price monitoring named "price-monitoring":
      | horizon | probability | auction extension |
      | 1       | 0.99        | 3                 |
    And the simple risk model named "simple-risk-model-1":
      | long | short | max move up | min move down | probability of trading |
      | 0.2  | 0.1   | 100         | -100          | 0.1                    |

    And the markets:
      | id        | quote name | asset | risk model          | margin calculator         | auction duration | fees          | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params      |
      | ETH/DEC21 | ETH        | ETH   | simple-risk-model-1 | default-margin-calculator | 2                | fees-config-1 | price-monitoring | default-eth-for-future | 0.25                   | 0                         | default-futures |
    And the following network parameters are set:
      | name                                    | value |
      | network.markPriceUpdateMaximumFrequency | 0s    |
      | limits.markets.maxPeggedOrders          | 2     |

  # this test requires me to be a bit more fresh to fix
  @Fees
  Scenario: Testing fees in continuous trading with one trade
    # setup accounts
    Given the parties deposit on asset's general account the following amount:
      | party    | asset | amount    |
      | aux1     | ETH   | 100000000 |
      | aux2     | ETH   | 100000000 |
      | trader3a | ETH   | 10000     |
      | trader3b | ETH   | 10000     |
      | trader4  | ETH   | 10000     |
      | trader5  | ETH   | 100000000 |

    When the parties submit the following liquidity provision:
      | id  | party | market id | commitment amount | fee   | lp type    |
      | lp1 | aux1  | ETH/DEC21 | 10000             | 0.001 | submission |
      | lp1 | aux1  | ETH/DEC21 | 10000             | 0.001 | submission |
    And the parties place the following pegged iceberg orders:
      | party | market id | peak size | minimum visible size | side | pegged reference | volume     | offset |
      | aux1 | ETH/DEC21 | 10 | 1 | buy  | BID | 10 | 10 |
      | aux1 | ETH/DEC21 | 10 | 1 | sell | ASK | 10 | 10 |
    And the parties place the following orders:
      | party | market id | side | volume | price | resulting trades | type       | tif     |
      | aux1  | ETH/DEC21 | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
      | aux2  | ETH/DEC21 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
      | aux1  | ETH/DEC21 | buy  | 1      | 920   | 0                | TYPE_LIMIT | TIF_GTC |
      | aux2  | ETH/DEC21 | sell | 1      | 1080  | 0                | TYPE_LIMIT | TIF_GTC |
    Then the opening auction period ends for market "ETH/DEC21"
    And the market data for the market "ETH/DEC21" should be:
      | mark price | trading mode            |
      | 1000       | TRADING_MODE_CONTINUOUS |

    And the order book should have the following volumes for market "ETH/DEC21":
      | side | price | volume |
      | sell | 1080  | 1      |
      | buy  | 920   | 1      |
      | buy  | 910   | 10     |
      | sell | 1090  | 10     |

    When the parties place the following orders with ticks:
      | party    | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | trader3a | ETH/DEC21 | buy  | 2      | 1002  | 0                | TYPE_LIMIT | TIF_GTC | t3a-b3-02 |
      | trader3b | ETH/DEC21 | buy  | 1      | 1002  | 0                | TYPE_LIMIT | TIF_GTC | t3b-b1-02 |
      | trader4  | ETH/DEC21 | sell | 4      | 1002  | 2                | TYPE_LIMIT | TIF_GTC | t4-s4-02  |
#| trader5  | ETH/DEC21 | sell | 1      | 2002  | 0                | TYPE_LIMIT | TIF_GTC | t5-s4-02  |
#| trader5  | ETH/DEC21 | buy  | 1      | 101   | 0                | TYPE_LIMIT | TIF_GTC | t5-b1-02  |

    Then the market data for the market "ETH/DEC21" should be:
      | mark price | trading mode            |
      | 1002       | TRADING_MODE_CONTINUOUS |

    And the following trades should be executed:
      | buyer    | price | size | seller  |
      | trader3a | 1002  | 2    | trader4 |
      | trader3b | 1002  | 1    | trader4 |

# For trader3a-
# trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 2 * 1002 = 2004
# infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 2004 = 4.008 = 5 (rounded up to nearest whole value)
# maker_fee =  fee_factor[maker]  * trade_value_for_fee_purposes = 0.005 * 2004 = 10.02 = 11 (rounded up to nearest whole value)
# liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 2004 = 2.004 = 3 (rounded up to nearest whole value)

    # For trader3b -
    # trade_value_for_fee_purposes = size_of_trade * price_of_trade = 1 * 1002 = 1002
    # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 1002 = 2.004 = 3 (rounded up to nearest whole value)
    # maker_fee =  fee_factor[maker]  * trade_value_for_fee_purposes = 0.005 * 1002 = 5.01 = 6 (rounded up to nearest whole value)
    # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 1002 = 1.002 = 2 (rounded up to nearest whole value)
    And the following transfers should happen:
      | from    | to       | from account            | to account                       | market id | amount | asset |
      | trader4 | market   | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_FEES_MAKER          | ETH/DEC21 | 11     | ETH   |
      | trader4 | market   | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_FEES_MAKER          | ETH/DEC21 | 6      | ETH   |
      | trader4 |          | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_FEES_INFRASTRUCTURE |           | 8      | ETH   |
      | market  | trader3a | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL             | ETH/DEC21 | 11     | ETH   |
      | market  | trader3b | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL             | ETH/DEC21 | 6      | ETH   |

    # total_fee = maker_fee + infrastructure_fee + liquidity_fee =  11 + 6 + 8 = 25

    When the parties place the following orders with ticks:
      | party    | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | trader3a | ETH/DEC21 | buy  | 2      | 1001  | 0                | TYPE_LIMIT | TIF_GTC | t3a-b2-01 |
      | trader4  | ETH/DEC21 | sell | 4      | 1003  | 0                | TYPE_LIMIT | TIF_GTC | t4-s4-03  |

    # ensure orders are on the book
    And the order book should have the following volumes for market "ETH/DEC21":
      | side | price | volume |
      | sell | 1080  | 1      |
      | buy  | 1001  | 2      |
      | buy  | 920   | 1      |
      | buy  | 991   | 10     |
      | sell | 1012  | 10     |
      | sell | 1002  | 1      |
      | sell | 1003  | 4      |

    When the parties amend the following orders:
      | party   | reference | price | size delta | tif     |
      | trader4 | t4-s4-03  | 1002  | 0          | TIF_GTC |
    Then the market data for the market "ETH/DEC21" should be:
      | mark price | trading mode            |
      | 1002       | TRADING_MODE_CONTINUOUS |
    And the order book should have the following volumes for market "ETH/DEC21":
      | side | price | volume |
      | sell | 1080  | 1      |
      | buy  | 1001  | 2      |
      | buy  | 920   | 1      |
      | buy  | 991   | 10     |
      | sell | 1012  | 10     |
      | sell | 1002  | 5      |

    When the parties amend the following orders:
      | party   | reference | price | size delta | tif     |
      | trader4 | t4-s4-03  | 1001  | 0          | TIF_GTC |
    Then the market data for the market "ETH/DEC21" should be:
      | mark price | last traded price | trading mode            |
      | 1002       | 1001              | TRADING_MODE_CONTINUOUS |
    And the following trades should be executed:
      | buyer    | price | size | seller  |
      | trader3a | 1001  | 2    | trader4 |

    When the parties place the following orders:
      | party    | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | trader3b | ETH/DEC21 | buy  | 3      | 1002  | 2                | TYPE_LIMIT | TIF_GTC | t3b-b3-02 |
    Then the market data for the market "ETH/DEC21" should be:
      | mark price | trading mode            |
      | 1002       | TRADING_MODE_CONTINUOUS |
    And the following trades should be executed:
      | buyer    | price | size | seller  |
      | trader3b | 1001  | 2    | trader4 |
      | trader3b | 1002  | 1    | trader4 |

  Scenario: Testing fees get collected when amended order trades
    Given the parties deposit on asset's general account the following amount:
      | party    | asset | amount    |
      | aux1     | ETH   | 100000000 |
      | aux2     | ETH   | 100000000 |
      | trader3a | ETH   | 10000     |
      | trader3b | ETH   | 10000     |
      | trader4  | ETH   | 1550      |
      | lpprov   | ETH   | 100000000 |
    And the markets are updated:
      | id          | linear slippage factor |
      | ETH/DEC21   | 0                      |
    When the parties place the following orders:
      | party | market id | side | volume | price | resulting trades | type       | tif     |
      | aux1  | ETH/DEC21 | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
      | aux2  | ETH/DEC21 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
      | aux1  | ETH/DEC21 | buy  | 1      | 920   | 0                | TYPE_LIMIT | TIF_GTC |
      | aux2  | ETH/DEC21 | sell | 1      | 1080  | 0                | TYPE_LIMIT | TIF_GTC |
    And the parties submit the following liquidity provision:
      | id  | party  | market id | commitment amount | fee | lp type    |
      | lp1 | lpprov | ETH/DEC21 | 90000             | 0.1 | submission |
      | lp1 | lpprov | ETH/DEC21 | 90000             | 0.1 | submission |
    And the parties place the following pegged iceberg orders:
      | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
      | lpprov | ETH/DEC21 | 2         | 1                    | buy  | BID              | 50     | 100    |
      | lpprov | ETH/DEC21 | 2         | 1                    | sell | ASK              | 50     | 100    |
    When the opening auction period ends for market "ETH/DEC21"
    Then the market data for the market "ETH/DEC21" should be:
      | mark price | trading mode            |
      | 1000       | TRADING_MODE_CONTINUOUS |

    When the parties place the following orders with ticks:
      | party    | market id | side | volume | price | resulting trades | type       | tif     |
      | trader3a | ETH/DEC21 | buy  | 2      | 1002  | 0                | TYPE_LIMIT | TIF_GTC |
      | trader3b | ETH/DEC21 | buy  | 1      | 1002  | 0                | TYPE_LIMIT | TIF_GTC |
      | trader4  | ETH/DEC21 | sell | 4      | 1002  | 2                | TYPE_LIMIT | TIF_GTC |

    Then the market data for the market "ETH/DEC21" should be:
      | mark price | trading mode            |
      | 1002       | TRADING_MODE_CONTINUOUS |

    And the following trades should be executed:
      | buyer    | price | size | seller  |
      | trader3a | 1002  | 2    | trader4 |
      | trader3b | 1002  | 1    | trader4 |

# For trader3a-
# trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 2 * 1002 = 2004
# infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 2004 = 4.008 = 5 (rounded up to nearest whole value)
# maker_fee =  fee_factor[maker]  * trade_value_for_fee_purposes = 0.005 * 2004 = 10.02 = 11 (rounded up to nearest whole value)
# liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 2004 = 2.004 = 3 (rounded up to nearest whole value)

# For trader3b -
# trade_value_for_fee_purposes = size_of_trade * price_of_trade = 1 * 1002 = 1002
# infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 1002 = 2.004 = 3 (rounded up to nearest whole value)
# maker_fee =  fee_factor[maker]  * trade_value_for_fee_purposes = 0.005 * 1002 = 5.01 = 6 (rounded up to nearest whole value)
# liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 1002 = 1.002 = 2 (rounded up to nearest whole value)

    And the following transfers should happen:
      | from    | to       | from account            | to account                       | market id | amount | asset |
      | trader4 | market   | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_FEES_MAKER          | ETH/DEC21 | 11     | ETH   |
      | trader4 | market   | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_FEES_MAKER          | ETH/DEC21 | 6      | ETH   |
      | trader4 |          | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_FEES_INFRASTRUCTURE |           | 8      | ETH   |
      | market  | trader3a | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL             | ETH/DEC21 | 11     | ETH   |
      | market  | trader3b | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL             | ETH/DEC21 | 6      | ETH   |

# total_fee = maker_fee + infrastructure_fee + liquidity_fee =  11 + 6 + 8 = 25
    # Placing second set of orders
    When the parties place the following orders with ticks:
      | party    | market id | side | volume | price | resulting trades | type       | tif     | reference      |
      | trader3a | ETH/DEC21 | buy  | 2      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | trader3a-buy-1 |
      | trader4  | ETH/DEC21 | sell | 4      | 1002  | 0                | TYPE_LIMIT | TIF_GTC | trader4-sell-2 |


    # reducing size
    And the parties amend the following orders:
      | party   | reference      | price | size delta | tif     |
      | trader4 | trader4-sell-2 | 1000  | 0          | TIF_GTC |
    Then the network moves ahead "1" blocks

    # matching the order now
    And the following trades should be executed:
      | buyer    | price | size | seller  |
      | trader3a | 1000  | 2    | trader4 |

    # checking if continuous mode still exists
    And the market data for the market "ETH/DEC21" should be:
      | mark price | trading mode            |
      | 1000       | TRADING_MODE_CONTINUOUS |


    And the following transfers should happen:
      | from    | to       | from account            | to account                       | market id | amount | asset |
      | trader4 | market   | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_FEES_MAKER          | ETH/DEC21 | 10     | ETH   |
      | trader4 |          | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_FEES_INFRASTRUCTURE |           | 4      | ETH   |
      | market  | trader3a | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL             | ETH/DEC21 | 10     | ETH   |