code.vegaprotocol.io/vega@v0.79.0/core/integration/features/liquidity-provision/mid-price-issue-amend.feature (about) 1 Feature: Replicate unexpected margin issues - no mid price pegs 2 3 Background: 4 Given the following assets are registered: 5 | id | decimal places | 6 | DAI | 5 | 7 Given the liquidity monitoring parameters: 8 | name | triggering ratio | time window | scaling factor | 9 | lqm-params | 1.0 | 20s | 10.0 | 10 And the log normal risk model named "dai-lognormal-risk": 11 | risk aversion | tau | mu | r | sigma | 12 | 0.00001 | 0.000114077 | 0 | 0 | 0.41 | 13 And the markets: 14 | id | quote name | asset | liquidity monitoring | risk model | margin calculator | auction duration | fees | price monitoring | data source config | decimal places | linear slippage factor | quadratic slippage factor | sla params | 15 | DAI/DEC22 | DAI | DAI | lqm-params | dai-lognormal-risk | default-margin-calculator | 1 | default-none | default-none | default-eth-for-future | 5 | 0.25 | 0 | default-futures | 16 And the following network parameters are set: 17 | name | value | 18 | market.auction.minimumDuration | 1 | 19 | network.markPriceUpdateMaximumFrequency | 0s | 20 | limits.markets.maxPeggedOrders | 2 | 21 22 @MidPrice @LPAmend 23 Scenario: Changing orders copying the script 24 Given the parties deposit on asset's general account the following amount: 25 | party | asset | amount | 26 | party1 | DAI | 110000000000 | 27 | party2 | DAI | 110000000000 | 28 29 And the parties submit the following liquidity provision: 30 | id | party | market id | commitment amount | fee | reference | lp type | 31 | lp1 | party1 | DAI/DEC22 | 10000000000 | 0.01 | lp-1 | submission | 32 | lp1 | party1 | DAI/DEC22 | 10000000000 | 0.01 | lp-1 | submission | 33 And the parties place the following pegged iceberg orders: 34 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 35 | party1 | DAI/DEC22 | 3 | 1 | buy | MID | 3 | 10000000 | 36 | party1 | DAI/DEC22 | 2 | 1 | sell | MID | 1 | 10000000 | 37 38 When the parties place the following orders: 39 | party | market id | side | volume | price | resulting trades | type | tif | reference | 40 | party2 | DAI/DEC22 | buy | 1 | 800000000 | 0 | TYPE_LIMIT | TIF_GTC | party2-1 | 41 | party2 | DAI/DEC22 | buy | 1 | 3500000000 | 0 | TYPE_LIMIT | TIF_GTC | party2-2 | 42 | party1 | DAI/DEC22 | sell | 1 | 3500000000 | 0 | TYPE_LIMIT | TIF_GTC | party1-1 | 43 | party1 | DAI/DEC22 | sell | 1 | 8200000000 | 0 | TYPE_LIMIT | TIF_GTC | party1-2 | 44 45 And the opening auction period ends for market "DAI/DEC22" 46 Then the following trades should be executed: 47 | buyer | price | size | seller | 48 | party2 | 3500000000 | 1 | party1 | 49 And the market data for the market "DAI/DEC22" should be: 50 | mark price | best static bid price | static mid price | best static offer price | 51 | 3500000000 | 800000000 | 4500000000 | 8200000000 | 52 And the order book should have the following volumes for market "DAI/DEC22": 53 | side | price | volume | 54 | sell | 8200000000 | 1 | 55 | sell | 4510000000 | 1 | 56 | buy | 4490000000 | 3 | 57 | buy | 800000000 | 1 | 58 59 ## Now raise best bid price 60 When the parties place the following orders with ticks: 61 | party | market id | side | volume | price | resulting trades | type | tif | reference | 62 | party2 | DAI/DEC22 | buy | 1 | 810000000 | 0 | TYPE_LIMIT | TIF_GTC | party1-b | 63 Then the market data for the market "DAI/DEC22" should be: 64 | mark price | best static bid price | static mid price | best static offer price | 65 | 3500000000 | 810000000 | 4505000000 | 8200000000 | 66 And the order book should have the following volumes for market "DAI/DEC22": 67 | side | price | volume | 68 | sell | 8200000000 | 1 | 69 | sell | 4515000000 | 1 | 70 | sell | 4510000000 | 0 | 71 | buy | 4495000000 | 3 | 72 | buy | 4490000000 | 0 | 73 | buy | 810000000 | 1 | 74 | buy | 800000000 | 1 | 75 76 # Expecting no change as LP amend had no changes compared to the submission and the market composition hasn't change too 77 When the parties submit the following liquidity provision: 78 | id | party | market id | commitment amount | fee | reference | lp type | 79 | lp1 | party1 | DAI/DEC22 | 10000000000 | 0.01 | lp-1 | amendment | 80 | lp1 | party1 | DAI/DEC22 | 10000000000 | 0.01 | lp-1 | amendment | 81 Then the market data for the market "DAI/DEC22" should be: 82 | mark price | best static bid price | static mid price | best static offer price | 83 | 3500000000 | 810000000 | 4505000000 | 8200000000 | 84 And the order book should have the following volumes for market "DAI/DEC22": 85 | side | price | volume | 86 | sell | 8200000000 | 1 | 87 | sell | 4515000000 | 1 | 88 | sell | 4510000000 | 0 | 89 | buy | 4495000000 | 3 | 90 | buy | 4490000000 | 0 | 91 | buy | 810000000 | 1 | 92 | buy | 800000000 | 1 | 93 94 When the parties cancel the following orders: 95 | party | reference | 96 | party2 | party2-1 | 97 Then the market data for the market "DAI/DEC22" should be: 98 | mark price | best static bid price | static mid price | best static offer price | 99 | 3500000000 | 810000000 | 4505000000 | 8200000000 | 100 # expecting no change to LP orders as pegs haven't moved to do cancellation (order with reference part2-1 wasn't a best bid at that stage) 101 And the order book should have the following volumes for market "DAI/DEC22": 102 | side | price | volume | 103 | sell | 8200000000 | 1 | 104 | sell | 4515000000 | 1 | 105 | sell | 4510000000 | 0 | 106 | buy | 4495000000 | 3 | 107 | buy | 4490000000 | 0 | 108 | buy | 810000000 | 1 | 109 | buy | 800000000 | 0 | 110 111 When the parties place the following orders with ticks: 112 | party | market id | side | volume | price | resulting trades | type | tif | reference | 113 | party2 | DAI/DEC22 | sell | 1 | 8190000000 | 0 | TYPE_LIMIT | TIF_GTC | party2-b | 114 Then the market data for the market "DAI/DEC22" should be: 115 | mark price | best static bid price | static mid price | best static offer price | 116 | 3500000000 | 810000000 | 4500000000 | 8190000000 | 117 # LP orders change as the mid price changed 118 119 And the order book should have the following volumes for market "DAI/DEC22": 120 | side | price | volume | 121 | sell | 8200000000 | 1 | 122 | sell | 4510000000 | 1 | 123 | sell | 4515000000 | 0 | 124 | buy | 4495000000 | 0 | 125 | buy | 4490000000 | 3 | 126 | buy | 810000000 | 1 | 127 128 # Null amend should not change anything 129 When the parties submit the following liquidity provision: 130 | id | party | market id | commitment amount | fee | reference | lp type | 131 | lp1 | party1 | DAI/DEC22 | 10000000000 | 0.01 | lp-1 | amendment | 132 | lp1 | party1 | DAI/DEC22 | 10000000000 | 0.01 | lp-1 | amendment | 133 Then the market data for the market "DAI/DEC22" should be: 134 | mark price | best static bid price | static mid price | best static offer price | 135 | 3500000000 | 810000000 | 4500000000 | 8190000000 | 136 And the order book should have the following volumes for market "DAI/DEC22": 137 | side | price | volume | 138 | sell | 8200000000 | 1 | 139 | sell | 8190000000 | 1 | 140 | sell | 4510000000 | 1 | 141 | sell | 4515000000 | 0 | 142 | buy | 4495000000 | 0 | 143 | buy | 4490000000 | 3 | 144 | buy | 810000000 | 1 | 145 146 When the parties cancel the following orders: 147 | party | reference | 148 | party1 | party1-2 | 149 Then the market data for the market "DAI/DEC22" should be: 150 | mark price | best static bid price | static mid price | best static offer price | 151 | 3500000000 | 810000000 | 4500000000 | 8190000000 | 152 # Pegged order prices unchanged as MID hasn't changed, volume unchanged as cancelling the limit order has no impact on pegged iceberg orders. 153 And the order book should have the following volumes for market "DAI/DEC22": 154 | side | price | volume | 155 | sell | 8200000000 | 0 | 156 | sell | 8190000000 | 1 | 157 | sell | 4510000000 | 1 | 158 | sell | 4515000000 | 0 | 159 | buy | 4495000000 | 0 | 160 | buy | 4490000000 | 3 | 161 | buy | 810000000 | 1 | 162 163 @MidPrice @LPAmend 164 Scenario: Changing orders copying the script 165 Given the parties deposit on asset's general account the following amount: 166 | party | asset | amount | 167 | party1 | DAI | 110000000000 | 168 | party2 | DAI | 110000000000 | 169 170 And the parties submit the following liquidity provision: 171 | id | party | market id | commitment amount | fee | reference | lp type | 172 | lp1 | party1 | DAI/DEC22 | 10000000000 | 0.01 | lp-1 | submission | 173 | lp1 | party1 | DAI/DEC22 | 10000000000 | 0.01 | lp-1 | submission | 174 And the parties place the following pegged iceberg orders: 175 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 176 | party1 | DAI/DEC22 | 3 | 1 | buy | MID | 3 | 10000000 | 177 | party1 | DAI/DEC22 | 2 | 1 | sell | MID | 1 | 10000000 | 178 179 When the parties place the following orders: 180 | party | market id | side | volume | price | resulting trades | type | tif | reference | 181 | party2 | DAI/DEC22 | buy | 1 | 800000000 | 0 | TYPE_LIMIT | TIF_GTC | party2-1 | 182 | party2 | DAI/DEC22 | buy | 1 | 3500000000 | 0 | TYPE_LIMIT | TIF_GTC | party2-2 | 183 | party1 | DAI/DEC22 | sell | 1 | 3500000000 | 0 | TYPE_LIMIT | TIF_GTC | party1-1 | 184 | party1 | DAI/DEC22 | sell | 1 | 8200000000 | 0 | TYPE_LIMIT | TIF_GTC | party1-2 | 185 186 And the opening auction period ends for market "DAI/DEC22" 187 Then the following trades should be executed: 188 | buyer | price | size | seller | 189 | party2 | 3500000000 | 1 | party1 | 190 And the market data for the market "DAI/DEC22" should be: 191 | mark price | best static bid price | static mid price | best static offer price | 192 | 3500000000 | 800000000 | 4500000000 | 8200000000 | 193 And the order book should have the following volumes for market "DAI/DEC22": 194 | side | price | volume | 195 | sell | 8200000000 | 1 | 196 | sell | 4510000000 | 1 | 197 | buy | 4490000000 | 3 | 198 | buy | 800000000 | 1 | 199 200 When the parties amend the following orders: 201 | party | reference | price | size delta | tif | 202 | party2 | party2-1 | 810000000 | 0 | TIF_GTC | 203 Then the market data for the market "DAI/DEC22" should be: 204 | mark price | best static bid price | static mid price | best static offer price | 205 | 3500000000 | 810000000 | 4505000000 | 8200000000 | 206 And the order book should have the following volumes for market "DAI/DEC22": 207 | side | price | volume | 208 | sell | 8200000000 | 1 | 209 | sell | 4515000000 | 1 | 210 | sell | 4510000000 | 0 | 211 | buy | 4495000000 | 3 | 212 | buy | 4490000000 | 0 | 213 | buy | 810000000 | 1 | 214 | buy | 800000000 | 0 | 215 216 When the parties amend the following orders: 217 | party | reference | price | size delta | tif | 218 | party1 | party1-2 | 8190000000 | 0 | TIF_GTC | 219 Then the market data for the market "DAI/DEC22" should be: 220 | mark price | best static bid price | static mid price | best static offer price | 221 | 3500000000 | 810000000 | 4500000000 | 8190000000 | 222 And the order book should have the following volumes for market "DAI/DEC22": 223 | side | price | volume | 224 | sell | 8200000000 | 0 | 225 | sell | 8190000000 | 1 | 226 | sell | 4515000000 | 0 | 227 | sell | 4510000000 | 1 | 228 | buy | 4495000000 | 0 | 229 | buy | 4490000000 | 3 | 230 | buy | 810000000 | 1 | 231 | buy | 800000000 | 0 |