code.vegaprotocol.io/vega@v0.79.0/core/integration/features/liquidity-provision/0044-LIME-013.feature (about) 1 Feature: Check not penalty if time on book amount is high enough 2 3 # If a liquidity provider has fraction_of_time_on_book >= market.liquidity.committmentMinTimeFraction, 4 # no penalty will be taken from their bond account (0044-LIME-013) 5 6 Background: 7 8 Given the following network parameters are set: 9 | name | value | 10 | market.liquidity.bondPenaltyParameter | 1 | 11 | network.markPriceUpdateMaximumFrequency | 0s | 12 | limits.markets.maxPeggedOrders | 2 | 13 | validators.epoch.length | 5s | 14 | market.liquidity.earlyExitPenalty | 0.25 | 15 | market.liquidity.stakeToCcyVolume | 1.0 | 16 | market.liquidity.sla.nonPerformanceBondPenaltySlope | 0.19 | 17 | market.liquidity.sla.nonPerformanceBondPenaltyMax | 1 | 18 And the liquidity monitoring parameters: 19 | name | triggering ratio | time window | scaling factor | 20 | lqm-params | 0.10 | 24h | 1 | 21 22 And the average block duration is "1" 23 And the simple risk model named "simple-risk-model-1": 24 | long | short | max move up | min move down | probability of trading | 25 | 0.1 | 0.1 | 60 | 50 | 0.2 | 26 And the fees configuration named "fees-config-1": 27 | maker fee | infrastructure fee | 28 | 0.004 | 0.001 | 29 And the price monitoring named "price-monitoring-1": 30 | horizon | probability | auction extension | 31 | 1 | 0.99 | 5 | 32 And the liquidity sla params named "SLA": 33 | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor | 34 | 0.01 | 0.5 | 1 | 1.0 | 35 And the markets: 36 | 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 | 37 | ETH/DEC21 | ETH | ETH | lqm-params | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.5 | 0 | SLA | 38 And the following network parameters are set: 39 | name | value | 40 | market.liquidity.providersFeeCalculationTimeStep | 5s | 41 42 And the parties deposit on asset's general account the following amount: 43 | party | asset | amount | 44 | party1 | ETH | 100000000 | 45 | party3 | ETH | 100000000 | 46 | party4 | ETH | 100000000 | 47 And the parties submit the following liquidity provision: 48 | id | party | market id | commitment amount | fee | lp type | 49 | lp1 | party1 | ETH/DEC21 | 1000 | 0.001 | submission | 50 And the parties place the following orders: 51 | party | market id | side | volume | price | resulting trades | type | tif | reference | 52 | party3 | ETH/DEC21 | buy | 1000 | 900 | 0 | TYPE_LIMIT | TIF_GTC | p3b1 | 53 | party3 | ETH/DEC21 | buy | 10 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | p3b2 | 54 | party4 | ETH/DEC21 | sell | 1000 | 1100 | 0 | TYPE_LIMIT | TIF_GTC | p4s1 | 55 | party4 | ETH/DEC21 | sell | 10 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | p4s2 | 56 | party1 | ETH/DEC21 | buy | 20000 | 999 | 0 | TYPE_LIMIT | TIF_GTC | party1-order1 | 57 | party1 | ETH/DEC21 | sell | 20000 | 1001 | 0 | TYPE_LIMIT | TIF_GTC | party1-order2 | 58 59 Scenario: 001, LP gets no penalty for 3/5 blocks of LP provision (0044-LIME-013) 60 When the opening auction period ends for market "ETH/DEC21" 61 And the auction ends with a traded volume of "10" at a price of "1000" 62 Then the market data for the market "ETH/DEC21" should be: 63 | mark price | trading mode | target stake | supplied stake | open interest | best static bid price | static mid price | best static offer price | 64 | 1000 | TRADING_MODE_CONTINUOUS | 1000 | 1000 | 10 | 999 | 1000 | 1001 | 65 66 And the parties should have the following account balances: 67 | party | asset | market id | margin | general | bond | 68 | party1 | ETH | ETH/DEC21 | 2402400 | 97596600 | 1000 | 69 70 # Move forward an epoch and make sure the accounts do not change as we have 5/5 blocks covered 71 When the network moves ahead "7" blocks 72 Then the liquidity provisions should have the following states: 73 | id | party | market | commitment amount | status | 74 | lp1 | party1 | ETH/DEC21 | 1000 | STATUS_ACTIVE | 75 And the parties should have the following account balances: 76 | party | asset | market id | margin | general | bond | 77 | party1 | ETH | ETH/DEC21 | 2402400 | 97596600 | 1000 | 78 And the insurance pool balance should be "0" for the market "ETH/DEC21" 79 80 # Move forward 6 blocks and then cancel the commitment covering order 81 When the network moves ahead "6" blocks 82 # Cancel the order so we are no longer covering our commitment 83 Then the parties cancel the following orders: 84 | party | reference | 85 | party1 | party1-order1 | 86 | party1 | party1-order2 | 87 88 # Move forward 1 block to end the epoch and make sure we still do not get punished as we covered 4/5 blocks (0.8 coverage > 0.5 required) 89 When the network moves ahead "1" blocks 90 And the parties should have the following account balances: 91 | party | asset | market id | margin | general | bond | 92 | party1 | ETH | ETH/DEC21 | 0 | 99999000 | 1000 | 93 And the insurance pool balance should be "0" for the market "ETH/DEC21" 94 95 # Now move forward 7 more blocks to complete another epoch and to show we do get punished 96 When the network moves ahead "7" blocks 97 Then the market data for the market "ETH/DEC21" should be: 98 | mark price | trading mode | target stake | supplied stake | open interest | best static bid price | static mid price | best static offer price | 99 | 1000 | TRADING_MODE_CONTINUOUS | 1000 | 810 | 10 | 900 | 1000 | 1100 | 100 And the parties should have the following account balances: 101 | party | asset | market id | margin | general | bond | 102 | party1 | ETH | ETH/DEC21 | 0 | 99999000 | 810 | 103 And the insurance pool balance should be "190" for the market "ETH/DEC21" 104