code.vegaprotocol.io/vega@v0.79.0/core/integration/features/pap/0097-PAPU-026.feature (about)

     1  Feature: If a volume snapshot is triggered and then before the next auction, another volume snapshot is triggered, the program should release all funds previously earmarked before re-calculating how many tokens to earmark for it's next auction. (0097-PAPU-026).
     2      Background:
     3          Given the log normal risk model named "log-normal-risk-model":
     4              | risk aversion | tau | mu | r | sigma |
     5              | 0.000001      | 0.1 | 0  | 0 | 1.0   |
     6          And the following network parameters are set:
     7              | name                                    | value |
     8              | market.value.windowLength               | 60s   |
     9              | network.markPriceUpdateMaximumFrequency | 0s    |
    10              | limits.markets.maxPeggedOrders          | 6     |
    11              | market.auction.minimumDuration          | 1     |
    12              | market.fee.factors.infrastructureFee    | 0.001 |
    13              | market.fee.factors.makerFee             | 0.004 |
    14              | spam.protection.max.stopOrdersPerMarket | 5     |
    15              | validators.epoch.length                 | 60m   |
    16          And the liquidity monitoring parameters:
    17              | name       | triggering ratio | time window | scaling factor |
    18              | lqm-params | 1.0              | 20s         | 1              |
    19          And the fees configuration named "fees-config-1":
    20              | maker fee | infrastructure fee |
    21              | 0.0004    | 0.001              |
    22          And the price monitoring named "price-monitoring":
    23              | horizon | probability | auction extension |
    24              | 3600    | 0.99        | 30                |
    25          And the liquidity sla params named "SLA-22":
    26              | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
    27              | 0.5         | 0.6                          | 1                             | 1.0                    |
    28          And the following network parameters are set:
    29              | name                           | value |
    30              | limits.markets.maxPeggedOrders | 2     |
    31          And the following assets are registered:
    32              | id  | decimal places |
    33              | ETH | 0              |
    34  
    35          And the spot markets:
    36              | id      | name    | base asset | quote asset | liquidity monitoring | risk model            | auction duration | fees          | price monitoring | sla params |
    37              | BTC/ETH | BTC/ETH | BTC        | ETH         | lqm-params           | log-normal-risk-model | 2                | fees-config-1 | price-monitoring | SLA-22     |
    38  
    39          Given the parties deposit on asset's general account the following amount:
    40              | party  | asset | amount     |
    41              | party1 | ETH   | 1000000000 |
    42              | party2 | ETH   | 1000000000 |
    43              | party3 | ETH   | 1000000000 |
    44              | party1 | BTC   | 1000000000 |
    45              | party3 | BTC   | 1000000000 |
    46              | lpprov | ETH   | 1000000000 |
    47              | lpprov | BTC   | 1000000000 |
    48  
    49          When the parties submit the following liquidity provision:
    50              | id  | party  | market id | commitment amount | fee | lp type    |
    51              | lp1 | lpprov | BTC/ETH   | 937000            | 0.1 | submission |
    52              | lp1 | lpprov | BTC/ETH   | 937000            | 0.1 | submission |
    53          And the parties place the following pegged iceberg orders:
    54              | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
    55              | lpprov | BTC/ETH   | 2         | 1                    | buy  | MID              | 50     | 100    |
    56              | lpprov | BTC/ETH   | 2         | 1                    | sell | MID              | 50     | 100    |
    57  
    58          # place orders and generate trades - slippage 100
    59          And the parties place the following orders:
    60              | party  | market id | side | volume | price   | resulting trades | type       | tif     | reference |
    61              | party2 | BTC/ETH   | buy  | 1      | 950000  | 0                | TYPE_LIMIT | TIF_GTC | t2-b-1    |
    62              | party1 | BTC/ETH   | buy  | 1      | 1000000 | 0                | TYPE_LIMIT | TIF_GFA | t1-b-1    |
    63              | party3 | BTC/ETH   | sell | 1      | 1000000 | 0                | TYPE_LIMIT | TIF_GTC | t2-s-1    |
    64  
    65          When the opening auction period ends for market "BTC/ETH"
    66  
    67          And the following trades should be executed:
    68              | buyer  | price   | size | seller |
    69              | party1 | 1000000 | 1    | party3 |
    70          And the mark price should be "1000000" for the market "BTC/ETH"
    71  
    72          And the composite price oracles from "0xCAFECAFE2":
    73              | name         | price property   | price type   | price decimals |
    74              | price_oracle | prices.ETH.value | TYPE_INTEGER | 0              |
    75  
    76          And the time triggers oracle spec is:
    77              | name                      | initial    | every |
    78              | auction_schedule          | 1727136001 | 20    |
    79              | auction_vol_snap_schedule | 1727136000 | 10    |
    80  
    81          And the average block duration is "1"
    82  
    83          And the parties deposit on asset's general account the following amount:
    84              | party                                                            | asset | amount |
    85              | f0b40ebdc5b92cf2cf82ff5d0c3f94085d23d5ec2d37d0b929e177c6d4d37e4c | BTC   | 50000  |
    86          Given time is updated to "2024-09-24T00:00:00Z"
    87          And the parties submit the following one off transfers:
    88              | id | from                                                             | from_account_type    | to                                                               | to_account_type            | asset | amount | delivery_time        |
    89              | 1  | f0b40ebdc5b92cf2cf82ff5d0c3f94085d23d5ec2d37d0b929e177c6d4d37e4c | ACCOUNT_TYPE_GENERAL | 0000000000000000000000000000000000000000000000000000000000000000 | ACCOUNT_TYPE_BUY_BACK_FEES | BTC   | 5000   | 2024-09-23T00:00:00Z |
    90  
    91          And the buy back fees balance should be "5000" for the asset "BTC"
    92  
    93      Scenario: (0097-PAPU-026)
    94          When the protocol automated purchase is defined as:
    95              | id    | from | from account type          | to account type               | market id | price oracle | price oracle staleness tolerance | oracle offset factor | auction schedule oracle | auction volume snapshot schedule oracle | auction duration | minimum auction size | maximum auction size | expiry timestamp |
    96              | 12345 | BTC  | ACCOUNT_TYPE_BUY_BACK_FEES | ACCOUNT_TYPE_NETWORK_TREASURY | BTC/ETH   | price_oracle | 60s                              | 1.01                 | auction_schedule        | auction_vol_snap_schedule               | 60s              | 100                  | 6000                 | 0                |
    97  
    98          And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/ETH"
    99  
   100          # minimum auction size is 5001 and there is only 5000 in the account so nothing gets earmarked
   101          And the network moves ahead "10" blocks
   102          Then the automated purchase program for market "BTC/ETH" should have a snapshot balance of "5000"
   103  
   104          # transfer 100 more BTC to the buy back account so that for the next round of auction we have enough funds
   105          And the parties submit the following one off transfers:
   106              | id | from                                                             | from_account_type    | to                                                               | to_account_type            | asset | amount | delivery_time        |
   107              | 2  | f0b40ebdc5b92cf2cf82ff5d0c3f94085d23d5ec2d37d0b929e177c6d4d37e4c | ACCOUNT_TYPE_GENERAL | 0000000000000000000000000000000000000000000000000000000000000000 | ACCOUNT_TYPE_BUY_BACK_FEES | BTC   | 100    | 2024-09-23T00:00:00Z |
   108  
   109          Then the oracles broadcast data with block time signed with "0xCAFECAFE2":
   110              | name             | value   | time offset |
   111              | prices.ETH.value | 1000000 | -1s         |
   112  
   113          And the network moves ahead "20" blocks
   114          Then the automated purchase program for market "BTC/ETH" should have a snapshot balance of "5100"
   115  
   116          # we enter a pap auction
   117          And the trading mode should be "TRADING_MODE_PROTOCOL_AUTOMATED_PURCHASE_AUCTION" for the market "BTC/ETH"
   118  
   119          And the order book should have the following volumes for market "BTC/ETH":
   120              | side | price   | volume |
   121              | sell | 1010000 | 5100   |