code.vegaprotocol.io/vega@v0.79.0/core/integration/features/mark-price/0009-MRKP-032.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 7 And the perpetual oracles from "0xCAFECAFE1": 8 | 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 | 9 | perp-oracle | USD | perp.ETH.value | TYPE_INTEGER | perp.funding.cue | TYPE_TIMESTAMP | 0.5 | 0.05 | 0.1 | 0.9 | ETH | 18 | 10 And the liquidity monitoring parameters: 11 | name | triggering ratio | time window | scaling factor | 12 | lqm-params | 0.00 | 24h | 1e-9 | 13 And the simple risk model named "simple-risk-model": 14 | long | short | max move up | min move down | probability of trading | 15 | 0.1 | 0.1 | 100 | -100 | 0.2 | 16 And the markets: 17 | 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 | 18 | 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 | median | 1 | 1 | 100 | 1,1,0,0 | 8s,5s,24h0m0s,1h25m0s | future | 19 | ETH/FEB22 | ETH | USD | lqm-params | simple-risk-model | default-margin-calculator | 1 | default-none | default-none | perp-oracle | 0.25 | 0 | default-futures | median | 1 | 1 | 100 | 1,1,0,0 | 8s,5s,24h0m0s,1h25m0s | perp | 20 21 Scenario: 001 check mark price using median price type 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 | party | USD | 48050 | 27 | buySideProvider1 | USD | 100000000000 | 28 | sellSideProvider1 | USD | 100000000000 | 29 | party1 | USD | 48050 | 30 And the parties place the following orders: 31 | party | market id | side | volume | price | resulting trades | type | tif | reference | 32 | buySideProvider | ETH/FEB23 | buy | 5 | 14900 | 0 | TYPE_LIMIT | TIF_GTC | | 33 | buySideProvider | ETH/FEB23 | buy | 1 | 15000 | 0 | TYPE_LIMIT | TIF_GTC | | 34 | buySideProvider | ETH/FEB23 | buy | 3 | 15900 | 0 | TYPE_LIMIT | TIF_GTC | | 35 | party | ETH/FEB23 | sell | 3 | 15900 | 0 | TYPE_LIMIT | TIF_GTC | | 36 | sellSideProvider | ETH/FEB23 | sell | 2 | 15920 | 0 | TYPE_LIMIT | TIF_GTC | sell-2 | 37 | sellSideProvider | ETH/FEB23 | sell | 1 | 15940 | 0 | TYPE_LIMIT | TIF_GTC | sell-3 | 38 | sellSideProvider | ETH/FEB23 | sell | 3 | 15960 | 0 | TYPE_LIMIT | TIF_GTC | sell-4 | 39 | sellSideProvider | ETH/FEB23 | sell | 5 | 15990 | 0 | TYPE_LIMIT | TIF_GTC | sell-5 | 40 | sellSideProvider | ETH/FEB23 | sell | 1 | 100000 | 0 | TYPE_LIMIT | TIF_GTC | | 41 | buySideProvider1 | ETH/FEB22 | buy | 5 | 14900 | 0 | TYPE_LIMIT | TIF_GTC | | 42 | buySideProvider1 | ETH/FEB22 | buy | 1 | 15000 | 0 | TYPE_LIMIT | TIF_GTC | | 43 | buySideProvider1 | ETH/FEB22 | buy | 3 | 15900 | 0 | TYPE_LIMIT | TIF_GTC | | 44 | party1 | ETH/FEB22 | sell | 3 | 15900 | 0 | TYPE_LIMIT | TIF_GTC | | 45 | sellSideProvider1 | ETH/FEB22 | sell | 2 | 15920 | 0 | TYPE_LIMIT | TIF_GTC | sell-2 | 46 | sellSideProvider1 | ETH/FEB22 | sell | 1 | 15940 | 0 | TYPE_LIMIT | TIF_GTC | sell-3 | 47 | sellSideProvider1 | ETH/FEB22 | sell | 3 | 15960 | 0 | TYPE_LIMIT | TIF_GTC | sell-4 | 48 | sellSideProvider1 | ETH/FEB22 | sell | 5 | 15990 | 0 | TYPE_LIMIT | TIF_GTC | sell-5 | 49 | sellSideProvider1 | ETH/FEB22 | sell | 1 | 100000 | 0 | TYPE_LIMIT | TIF_GTC | | 50 51 # AC 0009-MRKP-032,0009-MRKP-033 52 When the network moves ahead "2" blocks 53 Then the mark price should be "15900" for the market "ETH/FEB23" 54 Then the mark price should be "15900" for the market "ETH/FEB22" 55 56 And the parties place the following orders: 57 | party | market id | side | volume | price | resulting trades | type | tif | reference | 58 | buySideProvider | ETH/FEB23 | buy | 2 | 15920 | 1 | TYPE_LIMIT | TIF_GTC | | 59 | buySideProvider1 | ETH/FEB22 | buy | 2 | 15920 | 1 | TYPE_LIMIT | TIF_GTC | | 60 When the network moves ahead "1" blocks 61 Then the mark price should be "15900" for the market "ETH/FEB23" 62 Then the mark price should be "15900" for the market "ETH/FEB22" 63 64 And the parties place the following orders: 65 | party | market id | side | volume | price | resulting trades | type | tif | reference | 66 | buySideProvider | ETH/FEB23 | buy | 1 | 15940 | 1 | TYPE_LIMIT | TIF_GTC | | 67 | buySideProvider1 | ETH/FEB22 | buy | 1 | 15940 | 1 | TYPE_LIMIT | TIF_GTC | | 68 69 When the network moves ahead "4" blocks 70 #book price: (15480*3+15470)/4 = 15,477.5 71 #trade price: 15940 72 #median of the two: 15708 73 Then the mark price should be "15708" for the market "ETH/FEB23" 74 Then the mark price should be "15708" for the market "ETH/FEB22" 75 76