code.vegaprotocol.io/vega@v0.79.0/core/integration/features/mark-price/0009-MRKP-016.feature (about)

     1  Feature: It is possible to configure a cash settled futures market to use an oracle source for the mark price (0009-MRKP-016) and a perps market (with the oracle source different to that used for the external price in the perps market) (0009-MRKP-017)
     2      Background:
     3          Given the following network parameters are set:
     4              | name                                    | value |
     5              | network.markPriceUpdateMaximumFrequency | 1s    |
     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  
    13          # this is just an example of setting up oracles
    14          And the composite price oracles from "0xCAFECAFE1":
    15              | name    | price property   | price type   | price decimals |
    16              | oracle1 | price1.USD.value | TYPE_INTEGER | 0              |
    17              | oracle2 | price2.USD.value | TYPE_INTEGER | 0              |
    18  
    19          And the markets:
    20              | 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 | oracle1 |
    21              | 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     | 1            | 1           | 0           | 0,0,1,0        | 0s,0s,10s,0s               | oracle1 |
    22  
    23      Scenario: 001 check mark with oracle
    24          Given the parties deposit on asset's general account the following amount:
    25              | party            | asset | amount       |
    26              | buySideProvider  | USD   | 100000000000 |
    27              | sellSideProvider | USD   | 100000000000 |
    28              | party            | 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  | 10     | 14900  | 0                | TYPE_LIMIT | TIF_GTC |           |
    32              | buySideProvider  | ETH/FEB23 | buy  | 1      | 15000  | 0                | TYPE_LIMIT | TIF_GTC |           |
    33              | buySideProvider  | ETH/FEB23 | buy  | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |           |
    34              | party            | ETH/FEB23 | sell | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |           |
    35              | sellSideProvider | ETH/FEB23 | sell | 2      | 15920  | 0                | TYPE_LIMIT | TIF_GTC | sell-2    |
    36              | sellSideProvider | ETH/FEB23 | sell | 1      | 15940  | 0                | TYPE_LIMIT | TIF_GTC | sell-3    |
    37              | sellSideProvider | ETH/FEB23 | sell | 3      | 15960  | 0                | TYPE_LIMIT | TIF_GTC | sell-4    |
    38              | sellSideProvider | ETH/FEB23 | sell | 5      | 15990  | 0                | TYPE_LIMIT | TIF_GTC | sell-5    |
    39              | sellSideProvider | ETH/FEB23 | sell | 2      | 16000  | 0                | TYPE_LIMIT | TIF_GTC | sell-7    |
    40              | sellSideProvider | ETH/FEB23 | sell | 4      | 16020  | 0                | TYPE_LIMIT | TIF_GTC | sell-8    |
    41              | sellSideProvider | ETH/FEB23 | sell | 1      | 100000 | 0                | TYPE_LIMIT | TIF_GTC |           |
    42  
    43          When the network moves ahead "2" blocks
    44          Then the mark price should be "15900" for the market "ETH/FEB23"
    45  
    46          And the parties place the following orders:
    47              | party           | market id | side | volume | price | resulting trades | type       | tif     | reference |
    48              | buySideProvider | ETH/FEB23 | buy  | 2      | 15920 | 1                | TYPE_LIMIT | TIF_GTC |           |
    49  
    50          When the network moves ahead "1" blocks
    51          Then the mark price should be "15900" for the market "ETH/FEB23"
    52  
    53          And the parties place the following orders:
    54              | party           | market id | side | volume | price | resulting trades | type       | tif     | reference |
    55              | buySideProvider | ETH/FEB23 | buy  | 1      | 15940 | 1                | TYPE_LIMIT | TIF_GTC |           |
    56  
    57          When the network moves ahead "1" blocks
    58          Then the mark price should be "15900" for the market "ETH/FEB23"
    59  
    60          When the network moves ahead "2" blocks
    61          Then the mark price should be "15900" for the market "ETH/FEB23"
    62  
    63          # pushing price from oracle
    64          Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
    65              | name             | value | time offset |
    66              | price1.USD.value | 16000 | -1s         |
    67  
    68          When the network moves ahead "1" blocks
    69          # only the first oracle has ticked so mark price is set fully from oracle1
    70          Then the mark price should be "16000" for the market "ETH/FEB23"
    71  
    72          # update oracle price
    73          Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
    74              | name             | value | time offset |
    75              | price1.USD.value | 15000 | -1s         |
    76  
    77          When the network moves ahead "2" blocks
    78          Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
    79              | name             | value | time offset |
    80              | price1.USD.value | 15000 | -1s         |
    81  
    82          When the network moves ahead "1" blocks
    83          Then the mark price should be "15000" for the market "ETH/FEB23"