code.vegaprotocol.io/vega@v0.79.0/core/integration/features/liquidity-provision/0044-LIME-014.feature

Feature: Test LP SLA Bond penalty;

  Background:

    Given the margin calculator named "margin-calculator-1":
      | search factor | initial factor | release factor |
      | 1.2           | 1.5            | 1.7            |
    Given the log normal risk model named "log-normal-risk-model":
      | risk aversion | tau | mu | r | sigma |
      | 0.000001      | 0.1 | 0  | 0 | 1.0   |
    And the liquidity monitoring parameters:
      | name               | triggering ratio | time window | scaling factor |
      | lqm-params         | 1.0              | 20s         | 1              |  
    And the following network parameters are set:
      | name                                          | value |
      | market.value.windowLength                     | 60s   |
      | network.markPriceUpdateMaximumFrequency       | 0s    |
      | limits.markets.maxPeggedOrders                | 6     |
      | market.auction.minimumDuration                | 1     |
      | market.fee.factors.infrastructureFee          | 0.001 |
      | market.fee.factors.makerFee                   | 0.004 |
    #risk factor short:3.5569036
    #risk factor long:0.801225765
    And the following assets are registered:
      | id  | decimal places |
      | USD | 0              |
    And the fees configuration named "fees-config-1":
      | maker fee | infrastructure fee |
      | 0.0004    | 0.001              |
    And the price monitoring named "price-monitoring":
      | horizon | probability | auction extension |
      | 3600    | 0.99        | 3                 |

    And the liquidity sla params named "SLA-22":
      | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
      | 0.5         | 0.6                          | 1                             | 1.0                    |
    And the liquidity sla params named "SLA-23":
      | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
      | 0           | 0.6                          | 1                             | 1.0                    |

    And the markets:
      | 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 |
      | 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     |
      | ETH/MAR23 | USD        | USD   | lqm-params           | log-normal-risk-model | margin-calculator-1 | 2                | fees-config-1 | price-monitoring | default-eth-for-future | 1e0                    | 0                         | SLA-23     |

    And the following network parameters are set:
      | name                                                  | value |
      | market.liquidity.bondPenaltyParameter | 0.2 |
      | validators.epoch.length                               | 5s    |
      | market.liquidity.stakeToCcyVolume | 1 |
      | market.liquidity.successorLaunchWindowLength          | 1h    |
      | market.liquidity.sla.nonPerformanceBondPenaltySlope | 0.7 |
      | market.liquidity.sla.nonPerformanceBondPenaltyMax   | 0.6 |
      | validators.epoch.length                               | 10s   |
      | market.liquidity.earlyExitPenalty | 0.25 |

    Given the average block duration is "1"
  @Now
  Scenario: 001: lp1 and lp2 on the market ETH/MAR22, 0044-LIME-014, 0044-LIME-015
    Given the parties deposit on asset's general account the following amount:
      | party  | asset | amount |
      | lp1    | USD   | 100000 |
      | lp2    | USD   | 100000 |
      | party1 | USD   | 100000 |
      | party2 | USD   | 100000 |
      | party3 | USD   | 100000 |

    And the parties submit the following liquidity provision:
      | id   | party | market id | commitment amount | fee   | lp type    |
      | lp_1 | lp1   | ETH/MAR22 | 4000              | 0.02  | submission |
      | lp_2 | lp2   | ETH/MAR22 | 4000              | 0.015 | submission |

    When the network moves ahead "4" blocks
    And the parties place the following pegged iceberg orders:
      | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | reference |
      | lp1   | ETH/MAR22 | 12        | 1                    | buy  | BID              | 12     | 20     | lp-b-1    |
      | lp1   | ETH/MAR22 | 12        | 1                    | sell | ASK              | 12     | 20     | lp-s-1    |

    Then the parties place the following orders:
      | party  | market id | side | volume | price | resulting trades | type       | tif     |
      | party1 | ETH/MAR22 | buy  | 10     | 900   | 0                | TYPE_LIMIT | TIF_GTC |
      | party1 | ETH/MAR22 | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
      | party2 | ETH/MAR22 | sell | 10     | 1100  | 0                | TYPE_LIMIT | TIF_GTC |
      | party2 | ETH/MAR22 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |

    Then the opening auction period ends for market "ETH/MAR22"
    And the following trades should be executed:
      | buyer  | price | size | seller |
      | party1 | 1000  | 1    | party2 |

    And the market data for the market "ETH/MAR22" should be:
      | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest |
      | 1000       | TRADING_MODE_CONTINUOUS | 3600    | 973       | 1027      | 3556         | 8000           | 1             |
    # target_stake = mark_price x max_oi x target_stake_scaling_factor x rf = 1000 x 1 x 1 x 3.5569036 =3556
    And the liquidity fee factor should be "0.015" for the market "ETH/MAR22"

    When the network moves ahead "3" blocks
    Then the parties cancel the following orders:
      | party | reference |
      | lp1   | lp-b-1    |
      | lp1   | lp-s-1    |
    When the network moves ahead "7" blocks
    #fraction_of_time_on_book=0.375
    #0.7 * (1 - 0.375 / 0.6) = 0.2625, so bond penalty for lp1 should be 0.2625*4000=1050; bond penalty for lp2 should be 0.6*4000=2400
    Then the following transfers should happen:
      | from | to     | from account      | to account             | market id | amount | asset |
      | lp1  | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 1050   | USD   |
      | lp2  | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 2400   | USD   |

    And the parties should have the following account balances:
      | party | asset | market id | margin | general | bond |
      | lp1   | USD   | ETH/MAR22 | 0      | 96000   | 2950 |
      | lp2   | USD   | ETH/MAR22 | 0      | 96000   | 1600 |
    And the market data for the market "ETH/MAR22" should be:
      | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest |
      | 1000       | TRADING_MODE_CONTINUOUS | 3600    | 973       | 1027      | 3556         | 4550           | 1             |

#if commitment min time fraction is 0, then LP will not get SLA bond penalty for not supplying volume on the book, nor liquidity fee
    Given the liquidity sla params named "updated-sla-params":
      | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
      | 1           | 0                            | 2                             | 1                      |
    And the markets are updated:
      | id        | sla params         | linear slippage factor | quadratic slippage factor |
      | ETH/MAR22 | updated-sla-params | 1e-3                   | 0                         |

    And the network moves ahead "1" epochs
    And the market data for the market "ETH/MAR22" should be:
      | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest |
      | 1000       | TRADING_MODE_CONTINUOUS | 3600    | 973       | 1027      | 3556         | 1820           | 1             |

    Then the following transfers should happen:
      | from | to     | from account      | to account             | market id | amount | asset |
      | lp1  | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 1770   | USD   |
      | lp2  | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 960    | USD   |

    And the insurance pool balance should be "6180" for the market "ETH/MAR22"