code.vegaprotocol.io/vega@v0.79.0/core/integration/features/liquidity-provision/mid-price-issue.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             |  
    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
    23    Scenario: Mid price works as expected
    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        | party3 | DAI   | 110000000000 |
    29  
    30      And the parties submit the following liquidity provision:
    31        | id  | party  | market id | commitment amount | fee  | reference | lp type    |
    32        | lp1 | party1 | DAI/DEC22 | 20000000000       | 0.01 | lp-1      | submission |
    33        | lp1 | party1 | DAI/DEC22 | 20000000000       | 0.01 | lp-1      | submission |
    34      And the parties place the following pegged iceberg orders:
    35        | party  | market id | peak size | minimum visible size | side | pegged reference | volume     | offset |
    36        | party1 | DAI/DEC22 | 5         | 3                    | buy  | MID              | 5          | 10     |
    37        | party1 | DAI/DEC22 | 5         | 3                    | sell | MID              | 5          | 10     |
    38  
    39      When the parties place the following orders:
    40        | party  | market id | side | volume | price      | resulting trades | type       | tif     | reference |
    41        | party2 | DAI/DEC22 | buy  | 1      | 800000000  | 0                | TYPE_LIMIT | TIF_GTC | party2-1  |
    42        | party2 | DAI/DEC22 | buy  | 1      | 3500000000 | 0                | TYPE_LIMIT | TIF_GTC | party2-2  |
    43        | party3 | DAI/DEC22 | sell | 1      | 3500000000 | 0                | TYPE_LIMIT | TIF_GTC | party3-1  |
    44        | party3 | DAI/DEC22 | sell | 1      | 8200000000 | 0                | TYPE_LIMIT | TIF_GTC | party3-2  |
    45  
    46      And the opening auction period ends for market "DAI/DEC22"
    47      Then the following trades should be executed:
    48        | buyer  | price      | size | seller |
    49        | party2 | 3500000000 | 1    | party3 |
    50      And the market data for the market "DAI/DEC22" should be:
    51        | mark price | best static bid price | static mid price | best static offer price |
    52        | 3500000000 | 800000000             | 4500000000       | 8200000000              |
    53      And the order book should have the following volumes for market "DAI/DEC22":
    54        | side | price      | volume |
    55        | sell | 8200000000 | 1      |
    56        | sell | 4500000010 | 5      |
    57        | buy  | 4499999990 | 5      |
    58        | buy  | 800000000  | 1      |