code.vegaprotocol.io/vega@v0.79.0/core/integration/features/mark-price/0009-MRKP-132.feature (about)

     1  Feature: Test setting of mark price from oracles with one getting stale (AC 0009-MRKP-132)
     2      Background:
     3          Given the following network parameters are set:
     4              | name                                    | value |
     5              | network.markPriceUpdateMaximumFrequency | 1s    |
     6          And the liquidity monitoring parameters:
     7              | name       | triggering ratio | time window | scaling factor |
     8              | lqm-params | 0.00             | 24h         | 1e-9           |
     9          And the simple risk model named "simple-risk-model":
    10              | long | short | max move up | min move down | probability of trading |
    11              | 0.1  | 0.1   | 100         | -100          | 0.2                    |
    12  
    13          # this is just an example of setting up oracles
    14          And the composite price oracles from "0xCAFECAFE1":
    15              | name    | price property   | price type   | price decimals |
    16              | oracle1 | price1.USD.value | TYPE_INTEGER | 0              |
    17              | oracle2 | price2.USD.value | TYPE_INTEGER | 0              |
    18              | oracle3 | price3.USD.value | TYPE_INTEGER | 0              |           
    19  
    20          And the markets:
    21              | 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 | oracle1 | oracle2 | oracle3 |
    22              | 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           | 0           | 0,0,1,1,1,0    | 0s,0s,0s,0s,0s,0s          | oracle1 | oracle2 | oracle3 |
    23  
    24      Scenario: 001 check mark price using weight average
    25          Given the parties deposit on asset's general account the following amount:
    26              | party            | asset | amount       |
    27              | buySideProvider  | USD   | 100000000000 |
    28              | sellSideProvider | USD   | 100000000000 |
    29              | party            | 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  | 10     | 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 | 2      | 16000  | 0                | TYPE_LIMIT | TIF_GTC | sell-7    |
    41              | sellSideProvider | ETH/FEB23 | sell | 4      | 16020  | 0                | TYPE_LIMIT | TIF_GTC | sell-8    |
    42              | sellSideProvider | ETH/FEB23 | sell | 1      | 100000 | 0                | TYPE_LIMIT | TIF_GTC |           |
    43  
    44          # AC 0009-MRKP-012
    45          When the network moves ahead "2" blocks
    46          Then the mark price should be "15900" for the market "ETH/FEB23"
    47  
    48          And the parties place the following orders:
    49              | party           | market id | side | volume | price | resulting trades | type       | tif     | reference |
    50              | buySideProvider | ETH/FEB23 | buy  | 2      | 15920 | 1                | TYPE_LIMIT | TIF_GTC |           |
    51  
    52          When the network moves ahead "1" blocks
    53          Then the mark price should be "15900" for the market "ETH/FEB23"
    54  
    55          And the parties place the following orders:
    56              | party           | market id | side | volume | price | resulting trades | type       | tif     | reference |
    57              | buySideProvider | ETH/FEB23 | buy  | 1      | 15940 | 1                | TYPE_LIMIT | TIF_GTC |           |
    58  
    59          When the network moves ahead "1" blocks
    60          Then the mark price should be "15900" for the market "ETH/FEB23"
    61  
    62          When the network moves ahead "2" blocks
    63          Then the mark price should be "15900" for the market "ETH/FEB23"
    64  
    65          # example of pushing oracle prices
    66          Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
    67              | name             | value | time offset |
    68              | price1.USD.value | 16000 | -1s         |
    69              | price2.USD.value | 15900 | -1s         |
    70              | price3.USD.value | 15940 | -1s         |
    71  
    72  
    73          When the network moves ahead "1" blocks
    74          Then the mark price should be "15946" for the market "ETH/FEB23"
    75  
    76          Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
    77              | name             | value | time offset |
    78              | price1.USD.value | 16000 | -1s         |
    79              | price2.USD.value | 17000 | -1s         |
    80  
    81          When the network moves ahead "1" blocks
    82          Then the mark price should be "16500" for the market "ETH/FEB23"