code.vegaprotocol.io/vega@v0.79.0/core/integration/features/mark-price/0009-MRKP-001.feature (about)

     1  Feature: Test setting of mark price
     2    Background:
     3      Given the following network parameters are set:
     4        | name                                    | value |
     5        | network.markPriceUpdateMaximumFrequency | 4s    |
     6      And the perpetual oracles from "0xCAFECAFE1":
     7        | name        | asset | settlement property | settlement type | schedule property | schedule type  | margin funding factor | interest rate | clamp lower bound | clamp upper bound | quote name | settlement decimals |
     8        | perp-oracle | USD   | perp.ETH.value      | TYPE_INTEGER    | perp.funding.cue  | TYPE_TIMESTAMP | 0.5                   | 0.05          | 0.1               | 0.9               | ETH        | 18                  |
     9      And the liquidity monitoring parameters:
    10        | name       | triggering ratio | time window | scaling factor |
    11        | lqm-params | 0.00             | 24h         | 1e-9           |
    12      And the simple risk model named "simple-risk-model":
    13        | long | short | max move up | min move down | probability of trading |
    14        | 0.1  | 0.1   | 100         | -100          | 0.2                    |
    15      And the markets:
    16        | 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      | price type | decay weight | decay power | cash amount | source weights | source staleness tolerance | market type |
    17        | ETH/FEB23 | ETH        | USD   | lqm-params           | simple-risk-model | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures | weight     | 0.1          | 0.5         | 500000      | 0,1,0,0        | 3h0m0s,2s,24h0m0s,1h25m0s  | future      |
    18        | ETH/FEB22 | ETH        | USD   | lqm-params           | simple-risk-model | default-margin-calculator | 1                | default-none | default-none     | perp-oracle            | 0.25                   | 0                         | default-futures | weight     | 0.1          | 0.5         | 500000      | 0,1,0,0        | 3h0m0s,2s,24h0m0s,1h25m0s  | perp        |
    19  
    20    Scenario: when mark price methodology hasn't provided a price at the point of uncrossing the opening auction (0009-MRKP-001,0009-MRKP-003)
    21      Given the parties deposit on asset's general account the following amount:
    22        | party             | asset | amount       |
    23        | buySideProvider   | USD   | 100000000000 |
    24        | sellSideProvider  | USD   | 100000000000 |
    25        | party             | USD   | 48050        |
    26        | buySideProvider1  | USD   | 100000000000 |
    27        | sellSideProvider1 | USD   | 100000000000 |
    28        | party1            | USD   | 48050        |
    29      And the parties place the following orders:
    30        | party             | market id | side | volume | price  | resulting trades | type       | tif     | reference    |
    31        | buySideProvider   | ETH/FEB23 | buy  | 1      | 14000  | 0                | TYPE_LIMIT | TIF_GTC |              |
    32        | buySideProvider   | ETH/FEB23 | buy  | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |              |
    33        | party             | ETH/FEB23 | sell | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |              |
    34        | party             | ETH/FEB23 | sell | 2      | 15902  | 0                | TYPE_LIMIT | TIF_GTC | party-sell-2 |
    35        | sellSideProvider  | ETH/FEB23 | sell | 1      | 100000 | 0                | TYPE_LIMIT | TIF_GTC |              |
    36        | buySideProvider1  | ETH/FEB22 | buy  | 1      | 14000  | 0                | TYPE_LIMIT | TIF_GTC |              |
    37        | buySideProvider1  | ETH/FEB22 | buy  | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |              |
    38        | party1            | ETH/FEB22 | sell | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |              |
    39        | party1            | ETH/FEB22 | sell | 2      | 15902  | 0                | TYPE_LIMIT | TIF_GTC | party-sell-3 |
    40        | sellSideProvider1 | ETH/FEB22 | sell | 1      | 100000 | 0                | TYPE_LIMIT | TIF_GTC |              |
    41  
    42      When the network moves ahead "1" blocks
    43      Then the mark price should be "0" for the market "ETH/FEB23"
    44      And the trading mode should be "TRADING_MODE_OPENING_AUCTION" for the market "ETH/FEB23"
    45      Then the mark price should be "0" for the market "ETH/FEB22"
    46      And the trading mode should be "TRADING_MODE_OPENING_AUCTION" for the market "ETH/FEB22"
    47  
    48      When the network moves ahead "1" blocks
    49      Then the mark price should be "15900" for the market "ETH/FEB23"
    50      Then the mark price should be "15900" for the market "ETH/FEB22"
    51  
    52