code.vegaprotocol.io/vega@v0.79.0/core/integration/features/liquidity-provision/lp-distressed-closeout-pdp.feature (about) 1 Feature: Replicate LP getting distressed during continuous trading, and after leaving an auction 2 3 Background: 4 Given the following network parameters are set: 5 | name | value | 6 | market.liquidity.bondPenaltyParameter | 1 | 7 | network.markPriceUpdateMaximumFrequency | 0s | 8 | limits.markets.maxPeggedOrders | 2 | 9 | validators.epoch.length | 5s | 10 And the liquidity monitoring parameters: 11 | name | triggering ratio | time window | scaling factor | 12 | lqm-params | 0.1 | 24h | 1 | 13 And the average block duration is "1" 14 And the simple risk model named "simple-risk-model-1": 15 | long | short | max move up | min move down | probability of trading | 16 | 0.1 | 0.1 | 60 | 50 | 0.2 | 17 And the fees configuration named "fees-config-1": 18 | maker fee | infrastructure fee | 19 | 0.004 | 0.001 | 20 And the price monitoring named "price-monitoring-1": 21 | horizon | probability | auction extension | 22 | 1 | 0.99 | 5 | 23 And the liquidity sla params named "SLA": 24 | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor | 25 | 0.01 | 0.5 | 1 | 1.0 | 26 And the markets: 27 | 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 | position decimal places | 28 | ETH/DEC21 | ETH | ETH | lqm-params | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.1 | 0 | SLA | 2 | 29 And the following network parameters are set: 30 | name | value | 31 | market.liquidity.providersFeeCalculationTimeStep | 5s | 32 And the parties deposit on asset's general account the following amount: 33 | party | asset | amount | 34 | party0 | ETH | 1721 | 35 | party1 | ETH | 100000000 | 36 | party2 | ETH | 100000000 | 37 | party3 | ETH | 100000000 | 38 | party4 | ETH | 1000000000 | 39 | party5 | ETH | 1000000000 | 40 | party6 | ETH | 1000000000 | 41 And the parties submit the following liquidity provision: 42 | id | party | market id | commitment amount | fee | lp type | 43 | lp1 | party0 | ETH/DEC21 | 1000 | 0.001 | submission | 44 | lp1 | party0 | ETH/DEC21 | 1000 | 0.001 | amendment | 45 And the parties place the following pegged iceberg orders: 46 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 47 | party0 | ETH/DEC21 | 200 | 100 | sell | MID | 600 | 1 | 48 And the parties place the following orders: 49 | party | market id | side | volume | price | resulting trades | type | tif | 50 | party1 | ETH/DEC21 | buy | 100000 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 51 | party1 | ETH/DEC21 | buy | 1000 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 52 | party2 | ETH/DEC21 | sell | 100000 | 1100 | 0 | TYPE_LIMIT | TIF_GTC | 53 | party2 | ETH/DEC21 | sell | 1000 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 54 55 @Liquidation 56 Scenario: 001, LP gets distressed during continuous trading (0042-LIQF-014) 57 When the opening auction period ends for market "ETH/DEC21" 58 And the auction ends with a traded volume of "1000" at a price of "1000" 59 Then the market data for the market "ETH/DEC21" should be: 60 | mark price | trading mode | target stake | supplied stake | open interest | best static bid price | static mid price | best static offer price | 61 | 1000 | TRADING_MODE_CONTINUOUS | 1000 | 1000 | 1000 | 900 | 1000 | 1100 | 62 And the parties should have the following account balances: 63 | party | asset | market id | margin | general | bond | 64 | party0 | ETH | ETH/DEC21 | 720 | 1 | 1000 | 65 66 # Now let's trade with LP to increase their margin 67 When the parties place the following orders with ticks: 68 | party | market id | side | volume | price | resulting trades | type | tif | 69 | party3 | ETH/DEC21 | buy | 600 | 1010 | 1 | TYPE_LIMIT | TIF_GTC | 70 Then the following trades should be executed: 71 | buyer | price | size | seller | 72 | party3 | 1001 | 600 | party0 | 73 And the parties should have the following profit and loss: 74 | party | volume | unrealised pnl | realised pnl | 75 | party0 | -600 | 0 | 0 | 76 # LP margin requirement increased, had to dip in to bond account to top up the margin 77 And the parties should have the following account balances: 78 | party | asset | market id | margin | general | bond | 79 | party0 | ETH | ETH/DEC21 | 658 | 0 | 0 | 80 And the market data for the market "ETH/DEC21" should be: 81 | mark price | trading mode | target stake | supplied stake | open interest | best static bid price | static mid price | best static offer price | 82 | 1001 | TRADING_MODE_CONTINUOUS | 1601 | 1000 | 1600 | 900 | 1000 | 1100 | 83 84 # Raise mark price so that the LP gets liquidated 85 When the parties place the following orders with ticks: 86 | party | market id | side | volume | price | resulting trades | type | tif | 87 | party5 | ETH/DEC21 | buy | 100 | 1055 | 0 | TYPE_LIMIT | TIF_GTC | 88 | party4 | ETH/DEC21 | sell | 100 | 1055 | 1 | TYPE_LIMIT | TIF_FOK | 89 Then the market data for the market "ETH/DEC21" should be: 90 | mark price | trading mode | open interest | 91 | 1055 | TRADING_MODE_CONTINUOUS | 1700 | 92 And the parties should have the following account balances: 93 | party | asset | market id | margin | general | bond | 94 | party0 | ETH | ETH/DEC21 | 0 | 0 | 0 | 95 And the parties should have the following margin levels: 96 | party | market id | maintenance | 97 | party0 | ETH/DEC21 | 0 | 98 99 When the network moves ahead "7" blocks 100 Then the liquidity provisions should have the following states: 101 | id | party | market | commitment amount | status | 102 | lp1 | party0 | ETH/DEC21 | 1000 | STATUS_CANCELLED | 103 And the insurance pool balance should be "1422" for the market "ETH/DEC21" 104 105 @Liquidation 106 Scenario: 002, LP gets distressed after auction 107 When the parties submit the following liquidity provision: 108 | id | party | market id | commitment amount | fee | lp type | 109 | lp2 | party6 | ETH/DEC21 | 1000 | 0.001 | submission | 110 | lp2 | party6 | ETH/DEC21 | 1000 | 0.001 | | 111 And the parties place the following pegged iceberg orders: 112 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 113 | party6 | ETH/DEC21 | 200 | 100 | buy | MID | 60000 | 100 | 114 | party6 | ETH/DEC21 | 200 | 100 | sell | MID | 60000 | 100 | 115 And the opening auction period ends for market "ETH/DEC21" 116 Then the auction ends with a traded volume of "1000" at a price of "1000" 117 And the market data for the market "ETH/DEC21" should be: 118 | mark price | trading mode | target stake | supplied stake | open interest | best static bid price | static mid price | best static offer price | 119 | 1000 | TRADING_MODE_CONTINUOUS | 1000 | 2000 | 1000 | 900 | 1000 | 1100 | 120 And the parties should have the following account balances: 121 | party | asset | market id | margin | general | bond | 122 | party0 | ETH | ETH/DEC21 | 720 | 1 | 1000 | 123 124 # Now let's trade with LP1 to increase their margin 125 When the parties place the following orders with ticks: 126 | party | market id | side | volume | price | resulting trades | type | tif | 127 | party3 | ETH/DEC21 | buy | 600 | 1010 | 1 | TYPE_LIMIT | TIF_GTC | 128 Then the following trades should be executed: 129 | buyer | price | size | seller | 130 | party3 | 1001 | 600 | party0 | 131 And the parties should have the following profit and loss: 132 | party | volume | unrealised pnl | realised pnl | 133 | party0 | -600 | 0 | 0 | 134 # LP1 margin requirement increased, had to dip in to bond account to top up the margin 135 And the parties should have the following account balances: 136 | party | asset | market id | margin | general | bond | 137 | party0 | ETH | ETH/DEC21 | 658 | 0 | 0 | 138 And the market data for the market "ETH/DEC21" should be: 139 | mark price | trading mode | target stake | supplied stake | open interest | best static bid price | static mid price | best static offer price | horizon | min bound | max bound | 140 | 1001 | TRADING_MODE_CONTINUOUS | 1601 | 2000 | 1600 | 900 | 1000 | 1100 | 1 | 950 | 1060 | 141 142 # Generate a trade outwith price monitoring bounds so that LP1 gets liquidated upon auction uncrossing 143 When the parties place the following orders with ticks: 144 | party | market id | side | volume | price | resulting trades | type | tif | 145 | party5 | ETH/DEC21 | buy | 100 | 1061 | 0 | TYPE_LIMIT | TIF_GTC | 146 | party4 | ETH/DEC21 | sell | 100 | 1061 | 0 | TYPE_LIMIT | TIF_GTC | 147 Then the market data for the market "ETH/DEC21" should be: 148 | mark price | trading mode | open interest | 149 | 1001 | TRADING_MODE_MONITORING_AUCTION | 1600 | 150 And the parties should have the following account balances: 151 | party | asset | market id | margin | general | bond | 152 | party0 | ETH | ETH/DEC21 | 658 | 0 | 0 | 153 And the parties should have the following margin levels: 154 | party | market id | maintenance | 155 | party0 | ETH/DEC21 | 1202 | 156 157 When the network moves ahead "7" blocks 158 Then the market data for the market "ETH/DEC21" should be: 159 | mark price | trading mode | auction trigger | target stake | supplied stake | open interest | 160 | 1061 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 1803 | 1000 | 1700 | 161 And the parties should have the following account balances: 162 | party | asset | market id | margin | general | bond | 163 | party0 | ETH | ETH/DEC21 | 0 | 3 | 0 | 164 And the parties should have the following margin levels: 165 | party | market id | maintenance | 166 | party0 | ETH/DEC21 | 0 | 167 And the liquidity provisions should have the following states: 168 | id | party | market | commitment amount | status | 169 | lp1 | party0 | ETH/DEC21 | 1000 | STATUS_CANCELLED | 170 And the insurance pool balance should be "1111" for the market "ETH/DEC21" 171 172 @Liquidation 173 Scenario: 003, 2 LPs on the market, LP1 gets distressed and closed-out during continuous trading (0042-LIQF-014) 174 When the parties submit the following liquidity provision: 175 | id | party | market id | commitment amount | fee | lp type | 176 | lp2 | party6 | ETH/DEC21 | 1000 | 0.001 | submission | 177 | lp2 | party6 | ETH/DEC21 | 1000 | 0.001 | | 178 And the parties place the following pegged iceberg orders: 179 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 180 | party6 | ETH/DEC21 | 200 | 100 | buy | MID | 60000 | 100 | 181 | party6 | ETH/DEC21 | 200 | 100 | sell | MID | 60000 | 100 | 182 And the opening auction period ends for market "ETH/DEC21" 183 Then the auction ends with a traded volume of "1000" at a price of "1000" 184 And the market data for the market "ETH/DEC21" should be: 185 | mark price | trading mode | target stake | supplied stake | open interest | best static bid price | static mid price | best static offer price | 186 | 1000 | TRADING_MODE_CONTINUOUS | 1000 | 2000 | 1000 | 900 | 1000 | 1100 | 187 And the parties should have the following account balances: 188 | party | asset | market id | margin | general | bond | 189 | party0 | ETH | ETH/DEC21 | 720 | 1 | 1000 | 190 191 # Now let's trade with LP1 to increase their margin 192 When the parties place the following orders with ticks: 193 | party | market id | side | volume | price | resulting trades | type | tif | 194 | party3 | ETH/DEC21 | buy | 600 | 1010 | 1 | TYPE_LIMIT | TIF_GTC | 195 Then the following trades should be executed: 196 | buyer | price | size | seller | 197 | party3 | 1001 | 600 | party0 | 198 And the parties should have the following profit and loss: 199 | party | volume | unrealised pnl | realised pnl | 200 | party0 | -600 | 0 | 0 | 201 # LP1 margin requirement increased, had to dip in to bond account to top up the margin 202 And the parties should have the following account balances: 203 | party | asset | market id | margin | general | bond | 204 | party0 | ETH | ETH/DEC21 | 658 | 0 | 0 | 205 And the market data for the market "ETH/DEC21" should be: 206 | mark price | trading mode | target stake | supplied stake | open interest | best static bid price | static mid price | best static offer price | 207 | 1001 | TRADING_MODE_CONTINUOUS | 1601 | 2000 | 1600 | 900 | 1000 | 1100 | 208 209 # Raise mark price so that the LP1 gets liquidated 210 When the parties place the following orders with ticks: 211 | party | market id | side | volume | price | resulting trades | type | tif | 212 | party5 | ETH/DEC21 | buy | 100 | 1055 | 0 | TYPE_LIMIT | TIF_GTC | 213 | party4 | ETH/DEC21 | sell | 100 | 1055 | 1 | TYPE_LIMIT | TIF_FOK | 214 Then the market data for the market "ETH/DEC21" should be: 215 | mark price | trading mode | open interest | 216 | 1055 | TRADING_MODE_CONTINUOUS | 1700 | 217 And the parties should have the following account balances: 218 | party | asset | market id | margin | general | bond | 219 | party0 | ETH | ETH/DEC21 | 0 | 0 | 0 | 220 And the parties should have the following margin levels: 221 | party | market id | maintenance | 222 | party0 | ETH/DEC21 | 0 | 223 224 When the network moves ahead "7" blocks 225 Then the liquidity provisions should have the following states: 226 | id | party | market | commitment amount | status | 227 | lp1 | party0 | ETH/DEC21 | 1000 | STATUS_CANCELLED | 228 And the market data for the market "ETH/DEC21" should be: 229 | mark price | trading mode | auction trigger | target stake | supplied stake | open interest | 230 | 1055 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 1793 | 1000 | 1700 | 231 And the insurance pool balance should be "1422" for the market "ETH/DEC21"