code.vegaprotocol.io/vega@v0.79.0/core/integration/features/verified/0019-MCAL-margin_calculator-verified_margins_case3.feature

Feature: CASE-3: Trader submits long order that will trade - new formula & zero side of order book (0019-MCAL-001, 0019-MCAL-002)

  Background:

    Given the following network parameters are set:
      | name                                    | value |
      | market.auction.minimumDuration          | 1     |
      | network.markPriceUpdateMaximumFrequency | 0s    |
      | limits.markets.maxPeggedOrders          | 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        | ETH   | default-simple-risk-model | default-overkill-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 1e0                    | 0                         | default-futures |
    And the parties deposit on asset's general account the following amount:
      | party      | asset | amount     |
      | party1     | ETH   | 1000000000 |
      | sellSideMM | ETH   | 2000000000 |
      | buySideMM  | ETH   | 2000000000 |
      | aux        | ETH   | 1000000000 |
      | aux2       | ETH   | 1000000000 |
      | lpprov     | ETH   | 1000000000 |

    When the parties submit the following liquidity provision:
      | id  | party  | market id | commitment amount | fee | lp type    |
      | lp1 | lpprov | ETH/DEC19 | 900000000         | 0.1 | submission |
      | lp1 | lpprov | ETH/DEC19 | 900000000         | 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 | 600 | 1 | buy  | BID | 600 | 10 |
      | lpprov | ETH/DEC19 | 600 | 1 | sell | ASK | 600 | 10 |
 
    # place auxiliary orders so we always have best bid and best offer as to not trigger the liquidity auction
    Then the parties place the following orders:
      | party | market id | side | volume | price    | resulting trades | type       | tif     | reference      |
      | aux   | ETH/DEC19 | buy  | 1      | 7900000  | 0                | TYPE_LIMIT | TIF_GTC | cancel-me-buy  |
      | aux   | ETH/DEC19 | sell | 1      | 25000000 | 0                | TYPE_LIMIT | TIF_GTC | cancel-me-sell |
      | aux   | ETH/DEC19 | buy  | 1      | 10300000 | 0                | TYPE_LIMIT | TIF_GTC | aux-b-1        |
      | aux2  | ETH/DEC19 | sell | 1      | 10300000 | 0                | TYPE_LIMIT | TIF_GTC | aux-s-1        |
    Then the opening auction period ends for market "ETH/DEC19"
    And the mark price should be "10300000" for the market "ETH/DEC19"
    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"

    # setting mark price
    And the parties place the following orders:
      | party      | market id | side | volume | price    | resulting trades | type       | tif     | reference |
      | sellSideMM | ETH/DEC19 | sell | 1      | 10300000 | 0                | TYPE_LIMIT | TIF_GTC | ref-1     |
      | buySideMM  | ETH/DEC19 | buy  | 1      | 10300000 | 1                | TYPE_LIMIT | TIF_GTC | ref-2     |

    # setting order book
    And the parties place the following orders:
      | party      | market id | side | volume | price    | resulting trades | type       | tif     | reference |
      | sellSideMM | ETH/DEC19 | sell | 11     | 14000000 | 0                | TYPE_LIMIT | TIF_GTC | ref-1     |
      | sellSideMM | ETH/DEC19 | sell | 100    | 25000000 | 0                | TYPE_LIMIT | TIF_GTC | ref-2     |
      | sellSideMM | ETH/DEC19 | sell | 2      | 11200000 | 0                | TYPE_LIMIT | TIF_GTC | ref-3     |

    Then the parties cancel the following orders:
      | party | reference      |
      | aux   | cancel-me-sell |

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

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

    # placing test order
    When the parties place the following orders with ticks:
      | party  | market id | side | volume | price    | resulting trades | type       | tif     | reference |
      | party1 | ETH/DEC19 | buy  | 13     | 15000000 | 2                | TYPE_LIMIT | TIF_GTC | ref-1     |
    And "party1" should have general account balance of "114360000" for asset "ETH"
    And the following trades should be executed:
      | buyer  | price    | size | seller     |
      | party1 | 11200000 | 2    | sellSideMM |
      | party1 | 14000000 | 11   | sellSideMM |

    Then the following transfers should happen:
      | from   | to     | from account            | to account          | market id | amount  | asset |
      | market | party1 | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN | ETH/DEC19 | 5600000 | ETH   |

    Then the parties should have the following account balances:
      | party  | asset | market id | margin    | general   |
      | party1 | ETH | ETH/DEC19 | 873600000 | 114360000 |
    And the parties should have the following margin levels:
      | party  | market id | maintenance | search    | initial   | release    |
      | party1 | ETH/DEC19 | 218400000   | 698880000 | 873600000 | 1092000000 |
    And the parties should have the following profit and loss:
      | party  | volume | unrealised pnl | realised pnl |
      | party1 | 13     | 5600000        | 0            |

    # ANOTHER TRADE HAPPENING (BY A DIFFERENT PARTY)
    # updating mark price to 160
    When the parties place the following orders with ticks:
      | party      | market id | side | volume | price    | resulting trades | type       | tif     | reference |
      | sellSideMM | ETH/DEC19 | sell | 1      | 16000000 | 0                | TYPE_LIMIT | TIF_GTC | ref-1     |
      | buySideMM  | ETH/DEC19 | buy  | 1      | 16000000 | 1                | TYPE_LIMIT | TIF_GTC | ref-2     |

    And the following transfers should happen:
      | from   | to     | from account            | to account          | market id | amount   | asset |
      | market | party1 | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN | ETH/DEC19 | 26000000 | ETH   |

    Then the parties should have the following account balances:
      | party  | asset | market id | margin    | general   |
      | party1 | ETH | ETH/DEC19 | 899600000 | 114360000 |
    And the parties should have the following margin levels:
      | party  | market id | maintenance | search    | initial   | release    |
      | party1 | ETH/DEC19 | 249600000   | 798720000 | 998400000 | 1248000000 |
    And the parties should have the following profit and loss:
      | party  | volume | unrealised pnl | realised pnl |
      | party1 | 13     | 31600000       | 0            |

    # CLOSEOUT ATTEMPT (FAILED, no buy-side in order book) BY TRADER
    When the parties place the following orders with ticks:
      | party  | market id | side | volume | price   | resulting trades | type       | tif     |
      | party1 | ETH/DEC19 | sell | 13     | 8000000 | 0                | TYPE_LIMIT | TIF_GTC |
    Then the parties should have the following account balances:
      | party  | asset | market id | margin    | general   |
      | party1 | ETH | ETH/DEC19 | 899600000 | 114360000 |
    And the parties should have the following margin levels:
      | party  | market id | maintenance | search    | initial   | release    |
      | party1 | ETH/DEC19 | 249600000   | 798720000 | 998400000 | 1248000000 |
    And the parties should have the following profit and loss:
      | party  | volume | unrealised pnl | realised pnl |
      | party1 | 13     | 31600000       | 0            |