code.vegaprotocol.io/vega@v0.79.0/core/integration/features/mark-price/0009-MRKP-116.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      And the perpetual oracles from "0xCAFECAFE1":
     7        | 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 |
     8        | perp-oracle | USD   | perp.ETH.value      | TYPE_INTEGER    | perp.funding.cue  | TYPE_TIMESTAMP | 0.5                   | 0.05          | 0.1               | 0.9               | ETH        | 18                  |
     9      And the liquidity monitoring parameters:
    10        | name       | triggering ratio | time window | scaling factor |
    11        | lqm-params | 0.00             | 24h         | 1e-9           |
    12      And the simple risk model named "simple-risk-model":
    13        | long | short | max move up | min move down | probability of trading |
    14        | 0.1  | 0.1   | 100         | -100          | 0.2                    |
    15      And the markets:
    16        | 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 |
    17        | 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            | 0           | 0           | 1,0,0,0        | 5s,5s,24h0m0s,1h25m0s      | future      |
    18        | 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            | 0           | 0           | 1,0,0,0        | 5s,5s,24h0m0s,1h25m0s      | perp        |
    19  
    20    Scenario: 001 check mark price using weight average
    21      Given the parties deposit on asset's general account the following amount:
    22        | party             | asset | amount       |
    23        | buySideProvider   | USD   | 100000000000 |
    24        | sellSideProvider  | USD   | 100000000000 |
    25        | party             | USD   | 48050        |
    26        | buySideProvider1  | USD   | 100000000000 |
    27        | sellSideProvider1 | USD   | 100000000000 |
    28        | party1            | 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      | 100000 | 0                | TYPE_LIMIT | TIF_GTC |           |
    37        | buySideProvider1  | ETH/FEB22 | buy  | 10     | 14900  | 0                | TYPE_LIMIT | TIF_GTC |           |
    38        | buySideProvider1  | ETH/FEB22 | buy  | 1      | 15000  | 0                | TYPE_LIMIT | TIF_GTC |           |
    39        | buySideProvider1  | ETH/FEB22 | buy  | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |           |
    40        | party1            | ETH/FEB22 | sell | 3      | 15900  | 0                | TYPE_LIMIT | TIF_GTC |           |
    41        | sellSideProvider1 | ETH/FEB22 | sell | 2      | 15920  | 0                | TYPE_LIMIT | TIF_GTC | sell-2    |
    42        | sellSideProvider1 | ETH/FEB22 | sell | 1      | 100000 | 0                | TYPE_LIMIT | TIF_GTC |           |
    43  
    44      # AC 0009-MRKP-116, 0009-MRKP-117
    45      When the network moves ahead "2" blocks
    46      Then the mark price should be "15900" for the market "ETH/FEB23"
    47      Then the mark price should be "15900" for the market "ETH/FEB22"
    48      And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/FEB23"
    49      And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/FEB22"
    50  
    51      And the parties place the following orders:
    52        | party            | market id | side | volume | price | resulting trades | type       | tif     | reference |
    53        | buySideProvider  | ETH/FEB23 | buy  | 2      | 15920 | 1                | TYPE_LIMIT | TIF_GTC |           |
    54        | buySideProvider1 | ETH/FEB22 | buy  | 2      | 15920 | 1                | TYPE_LIMIT | TIF_GTC |           |
    55  
    56      When the network moves ahead "1" blocks
    57      Then the mark price should be "15900" for the market "ETH/FEB23"
    58      Then the mark price should be "15900" for the market "ETH/FEB22"
    59      When the network moves ahead "8" blocks
    60      Then the mark price should be "15900" for the market "ETH/FEB23"
    61      Then the mark price should be "15900" for the market "ETH/FEB22"
    62  
    63