code.vegaprotocol.io/vega@v0.79.0/core/integration/features/mark-price/0009-MRKP-028.feature

Feature: Test setting of mark price
  Background:
    Given the following network parameters are set:
      | name                                    | value |
      | network.markPriceUpdateMaximumFrequency | 4s    |

    And the perpetual oracles from "0xCAFECAFE1":
      | 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 |
      | perp-oracle | USD   | perp.ETH.value      | TYPE_INTEGER    | perp.funding.cue  | TYPE_TIMESTAMP | 0.5                   | 0.05          | 0.1               | 0.9               | ETH        | 18                  |
    And the liquidity monitoring parameters:
      | name       | triggering ratio | time window | scaling factor |
      | lqm-params | 0.00             | 24h         | 1e-9           |
    And the simple risk model named "simple-risk-model":
      | long | short | max move up | min move down | probability of trading |
      | 0.1  | 0.1   | 100         | -100          | 0.2                    |
    And the markets:
      | 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 |
      | 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           | 50000000    | 1,1,0,0        | 8s,5s,24h0m0s,1h25m0s      | future      |
      | 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     | 1            | 1           | 50000000    | 1,1,0,0        | 8s,5s,24h0m0s,1h25m0s      | perp        |

  Scenario: 001 check mark price using weight average
    Given the parties deposit on asset's general account the following amount:
      | party             | asset | amount       |
      | buySideProvider   | USD   | 100000000000 |
      | sellSideProvider  | USD   | 100000000000 |
      | party             | USD   | 48050        |
      | buySideProvider1  | USD   | 100000000000 |
      | sellSideProvider1 | USD   | 100000000000 |
      | party1            | USD   | 48050        |
    And the parties place the following orders:
      | party             | market id | side | volume | price  | resulting trades | type       | tif     | reference |
      | buySideProvider   | ETH/FEB23 | buy  | 5      | 14900  | 0                | TYPE_LIMIT | TIF_GTC |           |
      | buySideProvider   | ETH/FEB23 | buy  | 1      | 15000  | 0                | TYPE_LIMIT | TIF_GTC |           |
      | buySideProvider   | ETH/FEB23 | buy  | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |           |
      | party             | ETH/FEB23 | sell | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |           |
      | sellSideProvider  | ETH/FEB23 | sell | 2      | 15920  | 0                | TYPE_LIMIT | TIF_GTC | sell-2    |
      | sellSideProvider  | ETH/FEB23 | sell | 1      | 15940  | 0                | TYPE_LIMIT | TIF_GTC | sell-3    |
      | sellSideProvider  | ETH/FEB23 | sell | 3      | 15960  | 0                | TYPE_LIMIT | TIF_GTC | sell-4    |
      | sellSideProvider  | ETH/FEB23 | sell | 5      | 15990  | 0                | TYPE_LIMIT | TIF_GTC | sell-5    |
      | sellSideProvider  | ETH/FEB23 | sell | 1      | 100000 | 0                | TYPE_LIMIT | TIF_GTC |           |
      | buySideProvider1  | ETH/FEB22 | buy  | 5      | 14900  | 0                | TYPE_LIMIT | TIF_GTC |           |
      | buySideProvider1  | ETH/FEB22 | buy  | 1      | 15000  | 0                | TYPE_LIMIT | TIF_GTC |           |
      | buySideProvider1  | ETH/FEB22 | buy  | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |           |
      | party1            | ETH/FEB22 | sell | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |           |
      | sellSideProvider1 | ETH/FEB22 | sell | 2      | 15920  | 0                | TYPE_LIMIT | TIF_GTC | sell-2    |
      | sellSideProvider1 | ETH/FEB22 | sell | 1      | 15940  | 0                | TYPE_LIMIT | TIF_GTC | sell-3    |
      | sellSideProvider1 | ETH/FEB22 | sell | 3      | 15960  | 0                | TYPE_LIMIT | TIF_GTC | sell-4    |
      | sellSideProvider1 | ETH/FEB22 | sell | 5      | 15990  | 0                | TYPE_LIMIT | TIF_GTC | sell-5    |
      | sellSideProvider1 | ETH/FEB22 | sell | 1      | 100000 | 0                | TYPE_LIMIT | TIF_GTC |           |

    # AC 0009-MRKP-028,0009-MRKP-029
    When the network moves ahead "2" blocks
    Then the mark price should be "15900" for the market "ETH/FEB23"
    Then the mark price should be "15900" for the market "ETH/FEB22"

    And the parties place the following orders:
      | party            | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | buySideProvider  | ETH/FEB23 | buy  | 2      | 15920 | 1                | TYPE_LIMIT | TIF_GTC |           |
      | buySideProvider1 | ETH/FEB22 | buy  | 2      | 15920 | 1                | TYPE_LIMIT | TIF_GTC |           |
    When the network moves ahead "1" blocks
    Then the mark price should be "15900" for the market "ETH/FEB23"
    Then the mark price should be "15900" for the market "ETH/FEB22"

    And the parties place the following orders:
      | party            | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | buySideProvider  | ETH/FEB23 | buy  | 1      | 15940 | 1                | TYPE_LIMIT | TIF_GTC |           |
      | buySideProvider1 | ETH/FEB22 | buy  | 1      | 15940 | 1                | TYPE_LIMIT | TIF_GTC |           |
    When the network moves ahead "1" blocks
    Then the mark price should be "15900" for the market "ETH/FEB23"
    Then the mark price should be "15900" for the market "ETH/FEB22"

    And the parties place the following orders:
      | party            | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | buySideProvider  | ETH/FEB23 | buy  | 3      | 15960 | 1                | TYPE_LIMIT | TIF_GTC |           |
      | buySideProvider1 | ETH/FEB22 | buy  | 3      | 15960 | 1                | TYPE_LIMIT | TIF_GTC |           |
    When the network moves ahead "1" blocks
    Then the mark price should be "15900" for the market "ETH/FEB23"
    Then the mark price should be "15900" for the market "ETH/FEB22"

    And the parties place the following orders:
      | party            | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | buySideProvider  | ETH/FEB23 | buy  | 5      | 15990 | 1                | TYPE_LIMIT | TIF_GTC |           |
      | buySideProvider1 | ETH/FEB22 | buy  | 5      | 15990 | 1                | TYPE_LIMIT | TIF_GTC |           |
    When the network moves ahead "1" blocks
    Then the mark price should be "15900" for the market "ETH/FEB23"
    Then the mark price should be "15900" for the market "ETH/FEB22"

    #decay weight is 1, so with time weight, mark price is: (15920*2*0+15940*1*0.25+15960*3*0.5+15990*5*0.75)/11=15979
    #median of (15900, 15979)=15939
    When the network moves ahead "1" blocks
    Then the mark price should be "15939" for the market "ETH/FEB23"
    Then the mark price should be "15939" for the market "ETH/FEB22"

    #AC 0009-MRKP-020,0009-MRKP-021
    #book mark price is stale, and we only have trade mark price available
    When the network moves ahead "4" blocks
    Then the mark price should be "15979" for the market "ETH/FEB23"
    Then the mark price should be "15979" for the market "ETH/FEB22"