code.vegaprotocol.io/vega@v0.79.0/core/integration/features/settlement/0053-PERP-funding-rate-modifiers.feature (about)

     1  Feature: Test internal and external twap calculation
     2  
     3      Background:
     4          # epoch time is 1602806400
     5          Given time is updated to "2020-10-16T00:00:00Z"
     6          And the perpetual oracles from "0xCAFECAFE1":
     7              | name        | asset | settlement property | settlement type | schedule property | schedule type  | funding rate scaling factor | quote name | settlement decimals |
     8              | perp-oracle | USD   | perp.ETH.value      | TYPE_INTEGER    | perp.funding.cue  | TYPE_TIMESTAMP | 2.5                         | ETH        | 18                  |
     9  
    10          And the perpetual oracles from "0xCAFECAFE1":
    11              | name        | asset | settlement property | settlement type | schedule property | schedule type   | funding rate lower bound | funding rate upper bound | quote name | settlement decimals |
    12              | perp-oracle2 | USD   | perp.ETH.value      | TYPE_INTEGER    | perp.funding.cue  | TYPE_TIMESTAMP | -0.005                   | 0.005                    | ETH        | 18                  |
    13  
    14          And the liquidity sla params named "SLA":
    15              | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
    16              | 100.0       | 0.5                          | 1                             | 1.0                    |
    17          And the price monitoring named "my-price-monitoring":
    18              | horizon | probability | auction extension |
    19              | 43200   | 0.9999999   | 120               |
    20          And the log normal risk model named "my-log-normal-risk-model":
    21              | risk aversion | tau                    | mu | r     | sigma |
    22              | 0.000001      | 0.00011407711613050422 | 0  | 0.016 | 0.8   |
    23          And the markets:
    24              | id        | quote name | asset | risk model               | margin calculator         | auction duration | fees         | price monitoring    | data source config | linear slippage factor | quadratic slippage factor | position decimal places | market type | sla params |
    25              | ETH/DEC19 | ETH        | USD   | my-log-normal-risk-model | default-margin-calculator | 120              | default-none | my-price-monitoring | perp-oracle        | 0.25                   | 0                         | -3                      | perp        | SLA        |
    26          And the following network parameters are set:
    27              | name                                    | value |
    28              | network.markPriceUpdateMaximumFrequency | 0s    |
    29          And the average block duration is "1"
    30          When the parties deposit on asset's general account the following amount:
    31              | party  | asset | amount       |
    32              | party1 | USD   | 100000000000 |
    33              | party2 | USD   | 100000000000 |
    34              | party3 | USD   | 100000000000 |
    35              | aux    | USD   | 100000000000 |
    36              | aux2   | USD   | 100000000000 |
    37              | lpprov | USD   | 100000000000 |
    38          Then the parties submit the following liquidity provision:
    39              | id  | party  | market id | commitment amount | fee   | lp type    |
    40              | lp1 | lpprov | ETH/DEC19 | 100000            | 0.001 | submission |
    41          # move market to continuous
    42          And the parties place the following orders:
    43              | party  | market id | side | volume | price   | resulting trades | type       | tif     |
    44              | aux2   | ETH/DEC19 | buy  | 1      | 1       | 0                | TYPE_LIMIT | TIF_GTC |
    45              | lpprov | ETH/DEC19 | buy  | 100000 | 1       | 0                | TYPE_LIMIT | TIF_GTC |
    46              | aux2   | ETH/DEC19 | buy  | 1      | 1000    | 0                | TYPE_LIMIT | TIF_GTC |
    47              | aux    | ETH/DEC19 | sell | 1      | 1000    | 0                | TYPE_LIMIT | TIF_GTC |
    48              | aux    | ETH/DEC19 | sell | 1      | 3500    | 0                | TYPE_LIMIT | TIF_GTC |
    49              | lpprov | ETH/DEC19 | sell | 100000 | 3500    | 0                | TYPE_LIMIT | TIF_GTC |
    50          And the market data for the market "ETH/DEC19" should be:
    51              | target stake  | supplied stake |
    52              | 431500         | 100000         |
    53          And the opening auction period ends for market "ETH/DEC19"
    54  
    55      @Perpetual @funding-rate
    56      Scenario: 0053-PERP-029,  0053-PERP-030 Funding rate modified by perpetual parameters
    57          Given the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"
    58          And time is updated to "2020-10-16T00:05:00Z"
    59          When the parties place the following orders:
    60              | party  | market id | side | volume | price | resulting trades | type       | tif     |
    61              | party1 | ETH/DEC19 | buy  | 1      | 990    | 0                | TYPE_LIMIT | TIF_GTC |
    62              | party2 | ETH/DEC19 | sell | 1      | 990    | 1                | TYPE_LIMIT | TIF_GTC |
    63          Then time is updated to "2020-10-16T00:10:00Z"
    64  
    65          # 1602806400 + 120s = 1602807000
    66          # funding period is ended with perp.funding.cue
    67          And the oracles broadcast data with block time signed with "0xCAFECAFE1":
    68              | name             | value                  | time offset |
    69              | perp.ETH.value   | 1000000000000000000000 | -1s         |
    70              | perp.funding.cue | 1602807000             | 0s          |
    71          And the mark price should be "990" for the market "ETH/DEC19"
    72  
    73          # 0053-PERP-029 funding rate will be 2.5 times what it would normally be given funding-rate-scaling-factor
    74          Then the product data for the market "ETH/DEC19" should be:
    75              | internal twap | external twap  | funding payment | funding rate |
    76              | 990           | 1000           | -25             | -0.025       |
    77  
    78          # update to the perp spec with the lower bound on the funding rate
    79          And the markets are updated:
    80            | id        | data source config | linear slippage factor | quadratic slippage factor |
    81            | ETH/DEC19 | perp-oracle2       | 1e-3                   | 0                         |
    82  
    83          Then time is updated to "2020-10-16T00:10:01Z"
    84  
    85          # 0053-PERP-030 funding rate will be snapped to -0.005 since it should *really* be -0.01, but thats lower than funding-rate-lower-bound
    86          Then the product data for the market "ETH/DEC19" should be:
    87              | internal twap | external twap  | funding payment | funding rate |
    88              | 990           | 1000           | -5              | -0.005       |
    89          
    90  
    91  
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