code.vegaprotocol.io/vega@v0.79.0/core/integration/features/liquidity-provision/0044-LIME-088.feature

Feature: Test LP SLA Bond penalty on change of SLA market parameter: price range

  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 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 |
    And the liquidity monitoring parameters:
      | name               | triggering ratio | time window | scaling factor |
      | lqm-params         | 1.0              | 20s         | 1              |  
    #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 |
      | 0.5         | 0.3                          | 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     |

    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: If a liquidity provider has `fraction_of_time_on_book` = `0.3`, `market.liquidity.commitmentMinTimeFraction = 0.6`, `market.liquidity.sla.nonPerformanceBondPenaltySlope = 0.7`, `market.liquidity.sla.nonPerformanceBondPenaltyMax = 0.6`and the market parameter change `market.liquidity.commitmentMinTimeFraction = 0.3` is enacted during the epoch then at the end of the current epoch LP will have their bond slashed. If the LP has `fraction_of_time_on_book` = `0.3` at the end of the next epoch, they are meeting their commitment and will not forfeit any of their bond stake. (0044-LIME-088)
    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 "1" blocks

    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 "7" 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    |

    When the network moves ahead "4" blocks

    #fraction_of_time_on_book=0.3
    #0.7 * (1 - 0.3 / 0.6) = 0.35, so bond penalty for lp1 should be 0.35*4000=1400; 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 | 1400   | USD   |
      | lp2  | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 2400   | USD   |

    Then the markets are updated:
      | id        | risk model            | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params |
      | ETH/MAR22 | log-normal-risk-model | price-monitoring | default-eth-for-future | 1e0                    | 0                         | SLA-23     |
    Then the network moves ahead "1" epochs

    #once market parameter 'price range' has been updated from 0.6 to 0.3, lp1 is fulfilling SLA duty, and should get penalty
    # bond penalty for lp2 should be 0.6*1600=960
    Then the following transfers should happen:
      | from | to     | from account      | to account             | market id | amount | asset |
      | lp2  | market | ACCOUNT_TYPE_BOND | ACCOUNT_TYPE_INSURANCE | ETH/MAR22 | 960    | USD   |