code.vegaprotocol.io/vega@v0.79.0/core/integration/features/verified/0015-INSR-insurance_pool_balance_test.feature

Feature: Test closeout type 1: margin >= cost of closeout

  @PanicDebug
  Scenario: case 1 (using simple risk model) from https://docs.google.com/spreadsheets/d/1CIPH0aQmIKj6YeFW9ApP_l-jwB4OcsNQ/edit#gid=1555964910 (0015-INSR-001, 0015-INSR-003, 0018-RSKM-001, 0018-RSKM-003, 0010-MARG-004, 0010-MARG-005, 0010-MARG-006, 0010-MARG-007, 0010-MARG-008. 0010-MARG-009)
    Given the simple risk model named "simple-risk-model-1":
      | long | short | max move up | min move down | probability of trading |
      | 1    | 2     | 100         | -100          | 0.1                    |

    And the margin calculator named "margin-calculator-1":
      | search factor | initial factor | release factor |
      | 1.3           | 1.5            | 2              |

    And the markets:
      | id        | quote name | asset | risk model          | margin calculator   | auction duration | fees         | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params      |
      | ETH/DEC19 | USD        | USD   | simple-risk-model-1 | margin-calculator-1 | 1                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures |
    And the following network parameters are set:
      | name                                    | value |
      | market.auction.minimumDuration          | 1     |
      | network.markPriceUpdateMaximumFrequency | 0s    |
      | limits.markets.maxPeggedOrders          | 2     |

    Given the insurance pool balance should be "0" for the market "ETH/DEC19"
    Given the initial insurance pool balance is "15000" for all the markets
    Given the parties deposit on asset's general account the following amount:
      | party            | asset | amount     |
      | sellSideProvider | USD   | 1000000000 |
      | buySideProvider  | USD   | 1000000000 |
      | party1           | USD   | 30000      |
      | party2           | USD   | 50000000   |
      | party3           | USD   | 30500      |
      | aux1             | USD   | 1000000000 |
      | aux2             | USD   | 1000000000 |
      | lpprov           | USD   | 1000000000 |

    When the parties submit the following liquidity provision:
      | id  | party  | market id | commitment amount | fee | lp type    |
      | lp1 | lpprov | ETH/DEC19 | 90000             | 0.1 | submission |
      | lp1 | lpprov | ETH/DEC19 | 90000             | 0.1 | submission |
    When the parties place the following orders:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | lpprov | ETH/DEC19 | buy  | 1286   | 70    | 0                | TYPE_LIMIT | TIF_GTC | peg-1     |
      | lpprov | ETH/DEC19 | sell | 563    | 160   | 0                | TYPE_LIMIT | TIF_GTC | peg-2     |
 
    # setup order book
    When the parties place the following orders:
      | party            | market id | side | volume | price | resulting trades | type       | tif     | reference       |
      | sellSideProvider | ETH/DEC19 | sell | 1000   | 150   | 0                | TYPE_LIMIT | TIF_GTC | sell-provider-1 |
      | aux1             | ETH/DEC19 | sell | 1      | 300   | 0                | TYPE_LIMIT | TIF_GTC | aux-s-1         |
      | aux1             | ETH/DEC19 | sell | 1      | 100   | 0                | TYPE_LIMIT | TIF_GTC | aux-s-2         |
      | aux2             | ETH/DEC19 | buy  | 1      | 100   | 0                | TYPE_LIMIT | TIF_GTC | aux-b-2         |
      | buySideProvider  | ETH/DEC19 | buy  | 1000   | 80    | 0                | TYPE_LIMIT | TIF_GTC | buy-provider-1  |
      | aux2             | ETH/DEC19 | buy  | 1      | 20    | 0                | TYPE_LIMIT | TIF_GTC | aux-b-1         |
    Then the parties should have the following account balances:
      | party            | asset | market id | margin | general   |
      | aux1             | USD   | ETH/DEC19 | 1200   | 999998800 |
      | aux2             | USD   | ETH/DEC19 | 300    | 999999700 |
      | sellSideProvider | USD   | ETH/DEC19 | 450000 | 999550000 |
      | buySideProvider  | USD   | ETH/DEC19 | 150000 | 999850000 |

    Then the opening auction period ends for market "ETH/DEC19"
    And the mark price should be "100" for the market "ETH/DEC19"
    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"

    # party 1 place an order + we check margins
    When the parties place the following orders with ticks:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | party1 | ETH/DEC19 | sell | 100    | 100   | 0                | TYPE_LIMIT | TIF_GTC | ref-1     |

    And the parties should have the following account balances:
      | party  | asset | market id | margin | general |
      | party1 | USD   | ETH/DEC19 | 30000  | 0       |
    Then the parties should have the following margin levels:
      | party  | market id | maintenance | initial |
      | party1 | ETH/DEC19 | 20000       | 30000   |
    # margin_party1 = 100*100*2=20000

    # all general acc balance goes to margin account for the order, 'party1' should have 100*100*3
    # in the margin account as its Position*Markprice*Initialfactor

    # then party2 places an order, this trades with party1 and we calculate the margins again
    When the parties place the following orders with ticks:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | party2 | ETH/DEC19 | buy  | 100    | 100   | 1                | TYPE_LIMIT | TIF_GTC | ref-1     |

    And the mark price should be "100" for the market "ETH/DEC19"
    And the insurance pool balance should be "15000" for the market "ETH/DEC19"

    #check margin account and margin level
    # And the parties should have the following account balances:
      | party  | asset | market id | margin | general  |
      | party1 | USD   | ETH/DEC19 | 30000  | 0        |
      | party2 | USD   | ETH/DEC19 | 30000  | 49969000 |
    Then the parties should have the following margin levels:
      | party  | market id | maintenance |
      | party1 | ETH/DEC19 | 22500       |
      | party2 | ETH/DEC19 | 12500       |

    Then the order book should have the following volumes for market "ETH/DEC19":
      | side | price | volume |
      | sell | 300   | 1      |
      | sell | 150   | 1000   |
      | sell | 160   | 563    |
      | buy  | 80    | 1000   |
      | buy  | 70    | 1286   |
      | buy  | 20    | 1      |

    When the parties place the following orders with ticks:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | party2 | ETH/DEC19 | buy  | 1      | 126   | 0                | TYPE_LIMIT | TIF_GTC | ref-1-xxx |

    Then the parties cancel the following orders:
      | party  | reference |
      | lpprov | peg-1     |

    Then the parties place the following orders:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | lpprov | ETH/DEC19 | buy  | 776    | 116   | 0                | TYPE_LIMIT | TIF_GTC | peg-3     |

    # Margin account balance brought up to new initial level as order is placed (despite all balance being above search level)
    And the parties should have the following account balances:
      | party  | asset | market id | margin | general  |
      | party1 | USD   | ETH/DEC19 | 30000  | 0        |
      | party2 | USD   | ETH/DEC19 | 18900  | 49980100 |
    # New margin level calculated after placing an order
    Then the parties should have the following margin levels:
      | party  | market id | maintenance |
      | party1 | ETH/DEC19 | 22500       |
      | party2 | ETH/DEC19 | 12600       |

    Then the order book should have the following volumes for market "ETH/DEC19":
      | side | price | volume |
      | sell | 300   | 1      |
      | sell | 160   | 563    |
      | sell | 150   | 1000   |
      | buy  | 126   | 1      |
      | buy  | 116   | 776    |
      | buy  | 80    | 1000   |
      | buy  | 20    | 1      |

    When the parties place the following orders with ticks:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | party3 | ETH/DEC19 | sell | 1      | 126   | 1                | TYPE_LIMIT | TIF_GTC | ref-1-xxx |
    And the network moves ahead "1" blocks
    Then the mark price should be "126" for the market "ETH/DEC19"
    And the insurance pool balance should be "38500" for the market "ETH/DEC19"

    Then the parties cancel the following orders:
      | party  | reference |
      | lpprov | peg-3     |

    Then the parties place the following orders:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | lpprov | ETH/DEC19 | buy  | 2286   | 70    | 0                | TYPE_LIMIT | TIF_GTC | peg-5     |

    Then the order book should have the following volumes for market "ETH/DEC19":
      | side | price | volume |
      | sell | 300   | 1      |
      | sell | 160   | 563    |
      | sell | 150   | 900    |
      | buy  | 80    | 1000   |
      | buy  | 70    | 2286   |
      | buy  | 20    | 1      |

    # Margin account balance not updated following a trade (above search)
    Then the parties should have the following margin levels:
      | party  | market id | maintenance |
      | party2 | ETH/DEC19 | 15908       |

    # MTM win transfer
    Then the following transfers should happen:
      | from   | to     | from account            | to account          | market id | amount | asset |
      | market | party2 | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN | ETH/DEC19 | 2600   | USD   |

    Then the order book should have the following volumes for market "ETH/DEC19":
      | side | price | volume |
      | sell | 150   | 900    |
      | sell | 300   | 1      |
      | buy  | 80    | 1000   |
      | buy  | 20    | 1      |

    Then the mark price should be "126" for the market "ETH/DEC19"
    And the insurance pool balance should be "38500" for the market "ETH/DEC19"

    Then the parties should have the following account balances:
      | party            | asset | market id | margin | general   |
      | party1           | USD   | ETH/DEC19 | 0      | 0         |
      | party2           | USD   | ETH/DEC19 | 21500  | 49980100  |
      | party3           | USD   | ETH/DEC19 | 426    | 30061     |

    Then the parties should have the following margin levels:
      #check margin account and margin level
      | party  | market id | maintenance |
      | party1 | ETH/DEC19 | 0           |
      | party2 | ETH/DEC19 | 15908       |
      | party3 | ETH/DEC19 | 284         |

    And the cumulated balance for all accounts should be worth "5050075500"
    And the insurance pool balance should be "38500" for the market "ETH/DEC19"

    # order book volume change
    Then the parties cancel the following orders:
      | party            | reference       |
      | sellSideProvider | sell-provider-1 |
      | buySideProvider  | buy-provider-1  |

    When the parties place the following orders with ticks:
      | party            | market id | side | volume | price | resulting trades | type       | tif     | reference       |
      | sellSideProvider | ETH/DEC19 | sell | 1000   | 500   | 0                | TYPE_LIMIT | TIF_GTC | sell-provider-2 |
      | buySideProvider  | ETH/DEC19 | buy  | 1000   | 20    | 0                | TYPE_LIMIT | TIF_GTC | buy-provider-2  |

    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"

    #check margin account and margin level
    And the parties should have the following account balances:
      | party  | asset | market id | margin | general  |
      | party2 | USD   | ETH/DEC19 | 21500  | 49980100 |
      | party3 | USD   | ETH/DEC19 | 426    | 30061    |
    Then the parties should have the following margin levels:
      | party  | market id | maintenance |
      | party3 | ETH/DEC19 | 284         |
      | party2 | ETH/DEC19 | 15908       |

    When the parties place the following orders with ticks:
      | party  | market id | side | volume | price | resulting trades | type       | tif     |
      | party2 | ETH/DEC19 | buy  | 50     | 30    | 0                | TYPE_LIMIT | TIF_GTC |

    #check margin account and margin level
    And the parties should have the following account balances:
      | party  | asset | market id | margin | general  |
      | party2 | USD   | ETH/DEC19 | 33312  | 49968288 |
      | party3 | USD   | ETH/DEC19 | 426    | 30061    |

    Then the parties should have the following margin levels:
      | party  | market id | maintenance |
      | party2 | ETH/DEC19 | 22208       |
      | party3 | ETH/DEC19 | 284         |

    When the parties place the following orders with ticks:
      | party  | market id | side | volume | price | resulting trades | type       | tif     |
      | party3 | ETH/DEC19 | sell | 50     | 30    | 1                | TYPE_LIMIT | TIF_GTC |
    And the insurance pool balance should be "38500" for the market "ETH/DEC19"
    Then the mark price should be "70" for the market "ETH/DEC19"
      # Then the order book should have the following volumes for market "ETH/DEC19":
      | side | price | volume |
      | sell | 500   | 1000   |
      | sell | 300   | 1      |
      | buy  | 20    | 1001   |

    Then the parties should have the following profit and loss:
      | party  | volume | unrealised pnl | realised pnl |
      | party3 | -51    | 56             | 0            |

    #check margin account and margin level
    And the parties should have the following account balances:
      | party  | asset | market id | margin | general  |
      | party2 | USD   | ETH/DEC19 | 18507  | 49977437 |
      | party3 | USD   | ETH/DEC19 | 12049  | 18144    |

    Then the parties should have the following margin levels:
      | party  | market id | maintenance |
      | party2 | ETH/DEC19 | 12338       |
      | party3 | ETH/DEC19 | 8033        |

    Then the order book should have the following volumes for market "ETH/DEC19":
      | side | price | volume |
      | sell | 500   | 1000   |
      | sell | 300   | 1      |

  Scenario: case 2 using lognomal risk model (0015-INSR-003, 0010-MARG-009, 0010-MARG-010, 0010-MARG-011)
    Given the log normal risk model named "lognormal-risk-model-fish":
      | risk aversion | tau  | mu | r   | sigma |
      | 0.001         | 0.01 | 0  | 0.0 | 1.2   |
#calculated risk factor long: 0.336895684; risk factor short: 0.4878731

    And the price monitoring named "price-monitoring-1":
      | horizon | probability | auction extension |
      | 1       | 0.99999999  | 300               |

    And the margin calculator named "margin-calculator-1":
      | search factor | initial factor | release factor |
      | 1.2           | 1.5            | 2              |

    And the markets:
      | id        | quote name | asset | risk model                | margin calculator   | auction duration | fees         | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params      |
      | ETH/DEC19 | ETH        | USD   | lognormal-risk-model-fish | margin-calculator-1 | 1                | default-none | default-none     | default-eth-for-future | 0.001                  | 0                         | default-futures |

    And the following network parameters are set:
      | name                                    | value |
      | market.auction.minimumDuration          | 1     |
      | network.markPriceUpdateMaximumFrequency | 0s    |
      | limits.markets.maxPeggedOrders          | 2     |

    # setup accounts
    Given the parties deposit on asset's general account the following amount:
      | party            | asset | amount     |
      | sellSideProvider | USD   | 1000000000 |
      | buySideProvider  | USD   | 1000000000 |
      | party1           | USD   | 30000      |
      | party2           | USD   | 50000000   |
      | party3           | USD   | 30000      |
      | aux1             | USD   | 1000000000 |
      | aux2             | USD   | 1000000000 |
      | lpprov           | USD   | 1000000000 |

    When the parties submit the following liquidity provision:
      | id  | party  | market id | commitment amount | fee | lp type    |
      | lp1 | lpprov | ETH/DEC19 | 90000             | 0.1 | submission |
      | lp1 | lpprov | ETH/DEC19 | 90000             | 0.1 | submission |
    And the parties place the following pegged iceberg orders:
      | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
      | lpprov | ETH/DEC19 | 2280      | 1                    | buy  | BID              | 2280   | 10     |
      | lpprov | ETH/DEC19 | 400       | 1                    | sell | ASK              | 400    | 10     |
    #And the cumulated balance for all accounts should be worth "4050075000"
    # setup order book
    When the parties place the following orders with ticks:
      | party            | market id | side | volume | price | resulting trades | type       | tif     | reference       |
      | sellSideProvider | ETH/DEC19 | sell | 1000   | 150   | 0                | TYPE_LIMIT | TIF_GTC | sell-provider-1 |
      | aux1             | ETH/DEC19 | sell | 1      | 100   | 0                | TYPE_LIMIT | TIF_GTC | aux-s-2         |
      | aux2             | ETH/DEC19 | buy  | 1      | 100   | 0                | TYPE_LIMIT | TIF_GTC | aux-b-2         |
      | party2           | ETH/DEC19 | buy  | 100    | 80    | 0                | TYPE_LIMIT | TIF_GTC | party2-b-1      |
      | buySideProvider  | ETH/DEC19 | buy  | 1000   | 70    | 0                | TYPE_LIMIT | TIF_GTC | buy-provider-1  |

    Then the opening auction period ends for market "ETH/DEC19"
    And the mark price should be "100" for the market "ETH/DEC19"
    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"

    When the parties place the following orders with ticks:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference  |
      | party1 | ETH/DEC19 | sell | 100    | 120   | 0                | TYPE_LIMIT | TIF_GTC | party1-s-1 |

    # party1 margin account: MarginInitialFactor x MaintenanceMarginLevel = 4879*1.5=7318
    Then the parties should have the following account balances:
      | party  | asset | market id | margin | general |
      | party1 | USD   | ETH/DEC19 | 7318   | 22682   |

    # party1 maintenance margin level: position*(mark_price*risk_factor_short+slippage_per_unit) + OrderVolume x Mark_price x risk_factor_short  = 100 x 100 x 0.4878731  is about 4879
    Then the parties should have the following margin levels:
      | party  | market id | maintenance | search | initial | release |
      | party1 | ETH/DEC19 | 4879        | 5854   | 7318    | 9758    |

    # party1 place more order volume 300
    When the parties place the following orders with ticks:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference  |
      | party1 | ETH/DEC19 | sell | 300    | 120   | 0                | TYPE_LIMIT | TIF_GTC | party1-s-1 |

    # party1 maintenance margin level: position*(mark_price*risk_factor_short+slippage_per_unit) + OrderVolume x Mark_price x risk_factor_short  = 100 x 400 x 0.4878731  is about 19515
    Then the parties should have the following account balances:
      | party  | asset | market id | margin | general |
      | party1 | USD   | ETH/DEC19 | 29272  | 728     |

    Then the parties should have the following margin levels:
      | party  | market id | maintenance | search | initial | release |
      | party1 | ETH/DEC19 | 19515       | 23418  | 29272   | 39030   |

    And the order book should have the following volumes for market "ETH/DEC19":
      | side | price | volume |
      | sell | 150   | 1000   |
      | sell | 120   | 400    |
      | buy  | 80    | 100    |
      | buy | 70 | 3280 |

    And the mark price should be "100" for the market "ETH/DEC19"
    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"

    #########################################
    #MTM closeout party1
    When the parties place the following orders with ticks:
      | party | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | aux1  | ETH/DEC19 | sell | 1      | 110   | 0                | TYPE_LIMIT | TIF_GTC | ref-4     |
      | aux2  | ETH/DEC19 | buy  | 1      | 110   | 1                | TYPE_LIMIT | TIF_GTC | ref-5     |

    # margin on order should be mark_price x volume x rf = 110 x 400 x 0.4878731 = 21466
    # margin account is above maintenance level, so it stays at 29272
    Then the parties should have the following account balances:
      | party  | asset | market id | margin | general |
      | party1 | USD   | ETH/DEC19 | 29272  | 728     |
    Then the parties should have the following margin levels:
      | party  | market id | maintenance | search | initial | release |
      | party1 | ETH/DEC19 | 21467       | 25760  | 32200   | 42934   |

    And the mark price should be "110" for the market "ETH/DEC19"
    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"

    When the parties place the following orders with ticks:
      | party | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | aux1  | ETH/DEC19 | buy  | 1      | 119   | 0                | TYPE_LIMIT | TIF_GTC | ref-4     |
      | aux2  | ETH/DEC19 | sell | 1      | 119   | 1                | TYPE_LIMIT | TIF_GTC | ref-2     |

    And the mark price should be "119" for the market "ETH/DEC19"
    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"

    And the order book should have the following volumes for market "ETH/DEC19":
      | side | price | volume |
      | sell | 150   | 1000   |
      | sell | 120   | 400    |
      | buy  | 80    | 100    |
      | buy | 70 | 3280 |

    # margin on order should be mark_price x volume x rf = 119 x 400 x 0.4878731 = 23223
    # margin account is above maintenance level, so it stays at 29272
    Then the parties should have the following account balances:
      | party  | asset | market id | margin | general |
      | party1 | USD   | ETH/DEC19 | 29272  | 728     |

    Then the parties should have the following margin levels:
      | party  | market id | maintenance | search | initial | release |
      | party1 | ETH/DEC19 | 23223       | 27867  | 34834   | 46446   |

    Then the parties should have the following profit and loss:
      | party  | volume | unrealised pnl | realised pnl |
      | party1 | 0      | 0              | 0            |

    When the parties place the following orders with ticks:
      | party | market id | side | volume | price | resulting trades | type       | tif     | reference |
      | aux1  | ETH/DEC19 | sell | 1      | 120   | 0                | TYPE_LIMIT | TIF_GTC | ref-4     |
      | aux2  | ETH/DEC19 | buy  | 1      | 120   | 1                | TYPE_LIMIT | TIF_GTC | ref-2     |

    Then the parties should have the following account balances:
      | party  | asset | market id | margin | general |
      | party1 | USD   | ETH/DEC19 | 29272  | 728     |
    Then the parties should have the following margin levels:
      | party  | market id | maintenance |
      | party1 | ETH/DEC19 | 23419       |