code.vegaprotocol.io/vega@v0.79.0/core/integration/features/mark-price/0009-MRKP-124.feature (about) 1 Feature: Test book mark price 2 Background: 3 Given the average block duration is "1" 4 Given the following network parameters are set: 5 | name | value | 6 | network.markPriceUpdateMaximumFrequency | 4s | 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 | weight | 0.5 | 2 | 50000 | 0,1,0,0 | 6s,4s,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 | weight | 0.5 | 2 | 50000 | 0,1,0,0 | 6s,4s,24h0m0s,1h25m0s | perp | 20 21 Scenario: 001 check mark price using order price with cash amount 50000 USD 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 | 32 | buySideProvider | ETH/FEB23 | buy | 20 | 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 | 15950 | 0 | TYPE_LIMIT | TIF_GTC | 37 | sellSideProvider | ETH/FEB23 | sell | 20 | 20000 | 0 | TYPE_LIMIT | TIF_GTC | 38 | buySideProvider1 | ETH/FEB22 | buy | 20 | 14900 | 0 | TYPE_LIMIT | TIF_GTC | 39 | buySideProvider1 | ETH/FEB22 | buy | 1 | 15000 | 0 | TYPE_LIMIT | TIF_GTC | 40 | buySideProvider1 | ETH/FEB22 | buy | 3 | 15900 | 0 | TYPE_LIMIT | TIF_GTC | 41 | party1 | ETH/FEB22 | sell | 3 | 15900 | 0 | TYPE_LIMIT | TIF_GTC | 42 | sellSideProvider1 | ETH/FEB22 | sell | 2 | 15950 | 0 | TYPE_LIMIT | TIF_GTC | 43 | sellSideProvider1 | ETH/FEB22 | sell | 20 | 20000 | 0 | TYPE_LIMIT | TIF_GTC | 44 45 #AC 0009-MRKP-124, 0009-MRKP-125 46 When the network moves ahead "2" blocks 47 Then the mark price should be "15900" for the market "ETH/FEB23" 48 And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/FEB23" 49 Then the mark price should be "15900" for the market "ETH/FEB22" 50 And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/FEB22" 51 52 When the network moves ahead "2" blocks 53 Then the mark price should be "15900" for the market "ETH/FEB23" 54 55 When the network moves ahead "1" blocks 56 Then the mark price should be "15900" for the market "ETH/FEB23" 57 58 When the network moves ahead "1" blocks 59 Then the mark price should be "15900" for the market "ETH/FEB23" 60 61 #N=50000/(0.1+0.25)/1.2=119047.6 62 #V_sell = 119047.6/15950=7 63 #V_buy = 119047.6/15000=7 64 #p_book_buy=(15000+14900*6)/7=14914.28571 65 #p_book_sell=(15950*2+20000*5)/7=18842.85714 66 #p_book=1/2*(p_book_buy+p_book_sell)=16878 67 68 When the network moves ahead "1" blocks 69 Then the mark price should be "16878" for the market "ETH/FEB23" 70 Then the mark price should be "16878" for the market "ETH/FEB22" 71 72 When the network moves ahead "4" blocks 73 Then the mark price should be "16878" for the market "ETH/FEB23" 74 Then the mark price should be "16878" for the market "ETH/FEB22" 75 76 #0009-MRKP-126, 0009-MRKP-127 77 And the parties place the following orders: 78 | party | market id | side | volume | price | resulting trades | type | tif | reference | 79 | buySideProvider | ETH/FEB23 | buy | 1 | 15950 | 1 | TYPE_LIMIT | TIF_GTC | | 80 | buySideProvider1 | ETH/FEB22 | buy | 1 | 15950 | 1 | TYPE_LIMIT | TIF_GTC | | 81 82 When the network moves ahead "2" blocks 83 Then the mark price should be "16878" for the market "ETH/FEB23" 84 Then the mark price should be "16878" for the market "ETH/FEB22" 85 86 When the network moves ahead "2" blocks 87 Then the mark price should be "17094" for the market "ETH/FEB23" 88 Then the mark price should be "17094" for the market "ETH/FEB22" 89 90 91 92 93