code.vegaprotocol.io/vega@v0.79.0/core/integration/features/mark-price/0009-MRKP-026.feature (about)

     1  Feature: Mark price calculation on auction exit
     2  
     3    Background:
     4      Given the average block duration is "1"
     5      Given the following network parameters are set:
     6        | name                                    | value |
     7        | network.markPriceUpdateMaximumFrequency | 5s    |
     8      And the liquidity monitoring parameters:
     9        | name       | triggering ratio | time window | scaling factor |
    10        | lqm-params | 0.00             | 24h         | 1e-9           |
    11      And the simple risk model named "simple-risk-model":
    12        | long | short | max move up | min move down | probability of trading |
    13        | 0.1  | 0.1   | 100         | -100          | 0.2                    |
    14      And the price monitoring named "price-monitoring":
    15        | horizon | probability | auction extension |
    16        | 60      | 0.99        | 10                |
    17      And the markets:
    18        | 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 |
    19        | ETH/FEB23 | ETH        | USD   | lqm-params           | simple-risk-model | default-margin-calculator | 1                | default-none | price-monitoring | default-eth-for-future | 0.25                   | 0                         | default-futures | weight     | 0            | 0           | 100         | 0,1,0          | 1m0s,1m0s,1m0s             |
    20  
    21    Scenario: Order book price set to indicative price during auctions and mark price calcualted on auction exit (0009-MRKP-024)(0009-MRKP-025)(0009-MRKP-026)(0009-MRKP-027)
    22      Given the parties deposit on asset's general account the following amount:
    23        | party            | asset | amount       |
    24        | buySideProvider  | USD   | 100000000000 |
    25        | sellSideProvider | USD   | 100000000000 |
    26        | aux1             | USD   | 100000000000 |
    27        | aux2             | USD   | 100000000000 |
    28      And the parties place the following orders:
    29        | party            | market id | side | volume | price | resulting trades | type       | tif     | reference |
    30        | buySideProvider  | ETH/FEB23 | buy  | 10     | 14970 | 0                | TYPE_LIMIT | TIF_GTC | bestBid   |
    31        | aux1             | ETH/FEB23 | buy  | 1      | 15000 | 0                | TYPE_LIMIT | TIF_GTC |           |
    32        | aux2             | ETH/FEB23 | sell | 1      | 15000 | 0                | TYPE_LIMIT | TIF_GTC |           |
    33        | sellSideProvider | ETH/FEB23 | sell | 10     | 15090 | 0                | TYPE_LIMIT | TIF_GTC | bestAsk   |
    34      When the opening auction period ends for market "ETH/FEB23"
    35      # the book price at auction uncrossing should be set to the price of the uncrossing trade
    36      Then the mark price should be "15000" for the market "ETH/FEB23"
    37  
    38      When the network moves ahead "6" blocks
    39      Then the mark price should be "15030" for the market "ETH/FEB23"
    40  
    41      Given the market data for the market "ETH/FEB23" should be:
    42        | mark price | trading mode            | horizon | ref price | min bound | max bound |
    43        | 15030      | TRADING_MODE_CONTINUOUS | 60      | 15000     | 14900     | 15100     |
    44      And the parties amend the following orders:
    45        | party            | reference | price | size delta | tif     |
    46        | sellSideProvider | bestAsk   | 15190 | 0          | TIF_GTC |
    47        | buySideProvider  | bestBid   | 15070 | 0          | TIF_GTC |
    48      And the parties place the following orders:
    49        | party | market id | side | volume | price | resulting trades | type       | tif     | reference  |
    50        | aux1  | ETH/FEB23 | buy  | 1      | 15125 | 0                | TYPE_LIMIT | TIF_GTC | auctionBid |
    51        | aux2  | ETH/FEB23 | sell | 1      | 15125 | 0                | TYPE_LIMIT | TIF_GTC | auctionAsk |
    52      When the network moves ahead "10" blocks
    53      Then the market data for the market "ETH/FEB23" should be:
    54        | mark price | trading mode                    |
    55        | 15030      | TRADING_MODE_MONITORING_AUCTION |
    56      Given the parties amend the following orders:
    57        | party | reference  | price | size delta | tif     |
    58        | aux1  | auctionBid | 15100 | 0          | TIF_GTC |
    59        | aux2  | auctionAsk | 15100 | 0          | TIF_GTC |
    60      When the network moves ahead "1" blocks
    61      Then the market data for the market "ETH/FEB23" should be:
    62        | mark price | trading mode            |
    63        | 15100      | TRADING_MODE_CONTINUOUS |
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