code.vegaprotocol.io/vega@v0.79.0/core/integration/features/mark-price/0009-MRKP-002.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 | 0s    |
     6      And the liquidity monitoring parameters:
     7        | name       | triggering ratio | time window | scaling factor |
     8        | lqm-params | 0.00             | 24h         | 1e-9           |
     9      And the simple risk model named "simple-risk-model":
    10        | long | short | max move up | min move down | probability of trading |
    11        | 0.1  | 0.1   | 100         | -100          | 0.2                    |
    12      And the markets:
    13        | 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 |
    14        | 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 | last trade | 0.1          | 0.5         | 0           | 0.1,0.2,0.3,0.6 | 3h0m0s,2s,24h0m0s,1h25m0s  |
    15  
    16    Scenario: 001 when network.markPriceUpdateMaximumFrequency=0s
    17      Given the parties deposit on asset's general account the following amount:
    18        | party            | asset | amount       |
    19        | buySideProvider  | USD   | 100000000000 |
    20        | sellSideProvider | USD   | 100000000000 |
    21        | party            | USD   | 48050        |
    22      And the parties place the following orders:
    23        | party            | market id | side | volume | price  | resulting trades | type       | tif     | reference    |
    24        | buySideProvider  | ETH/FEB23 | buy  | 10     | 14900  | 0                | TYPE_LIMIT | TIF_GTC |              |
    25        | buySideProvider  | ETH/FEB23 | buy  | 1      | 15000  | 0                | TYPE_LIMIT | TIF_GTC |              |
    26        | buySideProvider  | ETH/FEB23 | buy  | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |              |
    27        | party            | ETH/FEB23 | sell | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |              |
    28        | party            | ETH/FEB23 | sell | 2      | 15902  | 0                | TYPE_LIMIT | TIF_GTC | party-sell-2 |
    29        | party            | ETH/FEB23 | sell | 1      | 15904  | 0                | TYPE_LIMIT | TIF_GTC | party-sell-3 |
    30        | sellSideProvider | ETH/FEB23 | sell | 1      | 100000 | 0                | TYPE_LIMIT | TIF_GTC |              |
    31        | sellSideProvider | ETH/FEB23 | sell | 10     | 100100 | 0                | TYPE_LIMIT | TIF_GTC |              |
    32  
    33      # AC 0009-MRKP-002 0009-MRKP-003 when network.markPriceUpdateMaximumFrequency=0s
    34      When the network moves ahead "2" blocks
    35      # Check mark-price matches the specification
    36      Then the mark price should be "15900" for the market "ETH/FEB23"
    37  
    38      And the parties should have the following margin levels:
    39        | party | market id | maintenance | margin mode  |
    40        | party | ETH/FEB23 | 21465       | cross margin |
    41      #margin = 3*15900*(0.25)+3*0.1*15900 + 3*0.1*15900=21465
    42  
    43      Then the parties should have the following account balances:
    44        | party | asset | market id | margin | general |
    45        | party | USD   | ETH/FEB23 | 25758  | 22292   |
    46  
    47      And the parties place the following orders:
    48        | party           | market id | side | volume | price | resulting trades | type       | tif     | reference |
    49        | buySideProvider | ETH/FEB23 | buy  | 2      | 15902 | 1                | TYPE_LIMIT | TIF_GTC |           |
    50  
    51      Then the mark price should be "15900" for the market "ETH/FEB23"
    52      When the network moves ahead "1" blocks
    53      Then the mark price should be "15902" for the market "ETH/FEB23"
    54  
    55      And the parties place the following orders:
    56        | party           | market id | side | volume | price | resulting trades | type       | tif     | reference |
    57        | buySideProvider | ETH/FEB23 | buy  | 1      | 15904 | 1                | TYPE_LIMIT | TIF_GTC |           |
    58  
    59      Then the mark price should be "15902" for the market "ETH/FEB23"
    60      When the network moves ahead "1" blocks
    61      Then the mark price should be "15904" for the market "ETH/FEB23"