code.vegaprotocol.io/vega@v0.79.0/core/integration/features/verified/0029-FEES-trading_fees.feature (about) 1 Feature: Fees calculations 2 3 Background: 4 Given the following network parameters are set: 5 | name | value | 6 | network.markPriceUpdateMaximumFrequency | 0s | 7 | limits.markets.maxPeggedOrders | 4 | 8 | market.liquidity.providersFeeCalculationTimeStep | 10s | 9 10 Given the fees configuration named "fees-config-1": 11 | maker fee | infrastructure fee | 12 | 0.005 | 0.002 | 13 14 And the price monitoring named "price-monitoring": 15 | horizon | probability | auction extension | 16 | 1 | 0.99 | 3 | 17 18 And the price monitoring named "price-monitoring-1": 19 | horizon | probability | auction extension | 20 | 1 | 0.99 | 300 | 21 22 And the simple risk model named "simple-risk-model-1": 23 | long | short | max move up | min move down | probability of trading | 24 | 0.2 | 0.1 | 100 | -100 | 0.1 | 25 26 And the log normal risk model named "log-normal-risk-model-1": 27 | risk aversion | tau | mu | r | sigma | 28 | 0.000001 | 0.1 | 0 | 1.4 | -1 | 29 30 Given the liquidity monitoring parameters: 31 | name | triggering ratio | time window | scaling factor | 32 | lqm-params | 1.0 | 24h | 1.0 | 33 34 And the liquidity sla params named "SLA": 35 | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor | 36 | 1.0 | 0.5 | 1 | 1.0 | 37 38 39 Scenario: S001, Testing fees in continuous trading with one trade and no liquidity providers (0029-FEES-001) 40 41 And the markets: 42 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 43 | ETH/DEC21 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 0.1 | 0 | default-futures | 44 Given the parties deposit on asset's general account the following amount: 45 | party | asset | amount | 46 | aux1 | ETH | 100000000 | 47 | aux2 | ETH | 100000000 | 48 | trader3 | ETH | 10000 | 49 | trader4 | ETH | 10000 | 50 | lpprov | ETH | 100000000 | 51 52 When the parties submit the following liquidity provision: 53 | id | party | market id | commitment amount | fee | lp type | 54 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 55 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 56 When the parties place the following orders: 57 | party | market id | side | volume | price | resulting trades | type | tif | reference | 58 | lpprov | ETH/DEC21 | buy | 100 | 890 | 0 | TYPE_LIMIT | TIF_GTC | peg-1 | 59 | lpprov | ETH/DEC21 | sell | 100 | 1110 | 0 | TYPE_LIMIT | TIF_GTC | peg-2 | 60 Then the parties place the following orders: 61 | party | market id | side | volume | price | resulting trades | type | tif | 62 | aux1 | ETH/DEC21 | buy | 10 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 63 | aux2 | ETH/DEC21 | sell | 10 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 64 | aux1 | ETH/DEC21 | buy | 1 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 65 | aux2 | ETH/DEC21 | sell | 1 | 1100 | 0 | TYPE_LIMIT | TIF_GTC | 66 67 Then the opening auction period ends for market "ETH/DEC21" 68 And the market data for the market "ETH/DEC21" should be: 69 | mark price | trading mode | 70 | 1000 | TRADING_MODE_CONTINUOUS | 71 When the parties place the following orders with ticks: 72 | party | market id | side | volume | price | resulting trades | type | tif | 73 | trader3 | ETH/DEC21 | buy | 3 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 74 75 # margin_maitenance_trader3 = 3*1000*0.2=600 76 # margin_initial_trader3 = 600*1.2=720 77 78 Then the parties should have the following account balances: 79 | party | asset | market id | margin | general | 80 | trader3 | ETH | ETH/DEC21 | 720 | 9280 | 81 82 And the accumulated infrastructure fees should be "0" for the asset "ETH" 83 And the accumulated liquidity fees should be "0" for the market "ETH/DEC21" 84 85 Then the parties place the following orders with ticks: 86 | party | market id | side | volume | price | resulting trades | type | tif | 87 | trader4 | ETH/DEC21 | sell | 4 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | 88 89 And the market data for the market "ETH/DEC21" should be: 90 | mark price | trading mode | 91 | 1002 | TRADING_MODE_CONTINUOUS | 92 93 Then the following trades should be executed: 94 | buyer | price | size | seller | aggressor side | 95 | trader3 | 1002 | 3 | trader4 | sell | 96 97 Then the order book should have the following volumes for market "ETH/DEC21": 98 | side | price | volume | 99 | buy | 890 | 100 | 100 | buy | 900 | 1 | 101 | sell | 1100 | 1 | 102 | sell | 1110 | 100 | 103 104 # trade_value_for_fee_purposes = size_of_trade * price_of_trade = 3 *1002 = 3006 105 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 3006 = 6.012 = 7 (rounded up to nearest whole value) 106 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 3006 = 15.030 = 16 (rounded up to nearest whole value) 107 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.1 * 3006 = 301 108 109 And the following transfers should happen: 110 | from | to | from account | to account | market id | amount | asset | 111 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 16 | ETH | 112 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 7 | ETH | 113 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 301 | ETH | 114 | market | trader3 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 16 | ETH | 115 116 # total_fee = infrastructure_fee + maker_fee + liquidity_fee = 7 + 16 + 0 = 23 117 And the accumulated infrastructure fees should be "7" for the asset "ETH" 118 And the accumulated liquidity fees should be "301" for the market "ETH/DEC21" 119 120 Scenario: S002, Testing fees in continuous trading with two trades and no liquidity providers (0029-FEES-001, 0029-FEES-003, 0029-FEES-006) 121 And the markets: 122 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 123 | ETH/DEC21 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 0.1 | 0 | default-futures | 124 Given the parties deposit on asset's general account the following amount: 125 | party | asset | amount | 126 | aux1 | ETH | 100000000 | 127 | aux2 | ETH | 100000000 | 128 | trader3a | ETH | 10000 | 129 | trader3b | ETH | 10000 | 130 | trader4 | ETH | 10000 | 131 | lpprov | ETH | 100000000 | 132 133 When the parties submit the following liquidity provision: 134 | id | party | market id | commitment amount | fee | lp type | 135 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 136 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 137 When the parties place the following orders: 138 | party | market id | side | volume | price | resulting trades | type | tif | reference | 139 | lpprov | ETH/DEC21 | buy | 100 | 890 | 0 | TYPE_LIMIT | TIF_GTC | peg-1 | 140 | lpprov | ETH/DEC21 | sell | 100 | 1110 | 0 | TYPE_LIMIT | TIF_GTC | peg-2 | 141 142 Then the parties place the following orders: 143 | party | market id | side | volume | price | resulting trades | type | tif | 144 | aux1 | ETH/DEC21 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 145 | aux2 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 146 | aux1 | ETH/DEC21 | buy | 1 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 147 | aux2 | ETH/DEC21 | sell | 1 | 1100 | 0 | TYPE_LIMIT | TIF_GTC | 148 149 Then the opening auction period ends for market "ETH/DEC21" 150 And the market data for the market "ETH/DEC21" should be: 151 | mark price | trading mode | 152 | 1000 | TRADING_MODE_CONTINUOUS | 153 When the parties place the following orders with ticks: 154 | party | market id | side | volume | price | resulting trades | type | tif | 155 | trader3a | ETH/DEC21 | buy | 2 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 156 | trader3b | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 157 158 Then the parties should have the following account balances: 159 | party | asset | market id | margin | general | 160 | trader3a | ETH | ETH/DEC21 | 480 | 9520 | 161 | trader3b | ETH | ETH/DEC21 | 240 | 9760 | 162 163 And the accumulated liquidity fees should be "0" for the market "ETH/DEC21" 164 And the accumulated infrastructure fees should be "0" for the asset "ETH" 165 166 Then the parties place the following orders with ticks: 167 | party | market id | side | volume | price | resulting trades | type | tif | 168 | trader4 | ETH/DEC21 | sell | 4 | 1002 | 2 | TYPE_LIMIT | TIF_GTC | 169 170 Then the market data for the market "ETH/DEC21" should be: 171 | mark price | trading mode | 172 | 1002 | TRADING_MODE_CONTINUOUS | 173 174 Then the following trades should be executed: 175 | buyer | price | size | seller | aggressor side | 176 | trader3a | 1002 | 2 | trader4 | sell | 177 | trader3b | 1002 | 1 | trader4 | sell | 178 179 # For trader3a- 180 # trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 2 * 1002 = 2004 181 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 2004 = 4.008 = 5 (rounded up to nearest whole value) 182 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 2004 = 10.02 = 11 (rounded up to nearest whole value) 183 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0 * 3006 = 0 184 185 # For trader3b - 186 # trade_value_for_fee_purposes = size_of_trade * price_of_trade = 1 * 1002 = 1002 187 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 1002 = 2.004 = 3 (rounded up to nearest whole value) 188 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 1002 = 5.01 = 6 (rounded up to nearest whole value) 189 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.1 * 3006 = 302 190 191 And the following transfers should happen: 192 | from | to | from account | to account | market id | amount | asset | 193 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 11 | ETH | 194 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 6 | ETH | 195 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 8 | ETH | 196 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 302 | ETH | 197 | market | trader3a | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 11 | ETH | 198 | market | trader3b | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 6 | ETH | 199 200 And the accumulated infrastructure fees should be "8" for the asset "ETH" 201 And the accumulated liquidity fees should be "302" for the market "ETH/DEC21" 202 203 @WhutBug 204 Scenario: S003, Testing fees in continuous trading with two trades and one liquidity providers with 10 and 0 s liquidity fee distribution timestep (0029-FEES-004,0029-FEES-006) 205 206 And the markets: 207 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 208 | ETH/DEC21 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 1e0 | 0 | default-futures | 209 210 Given the parties deposit on asset's general account the following amount: 211 | party | asset | amount | 212 | aux1 | ETH | 100000000 | 213 | aux2 | ETH | 100000000 | 214 | trader3a | ETH | 10000 | 215 | trader3b | ETH | 10000 | 216 | trader4 | ETH | 10000 | 217 218 Then the parties place the following orders: 219 | party | market id | side | volume | price | resulting trades | type | tif | 220 | aux1 | ETH/DEC21 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 221 | aux2 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 222 | aux1 | ETH/DEC21 | buy | 1 | 920 | 0 | TYPE_LIMIT | TIF_GTC | 223 | aux2 | ETH/DEC21 | sell | 1 | 1080 | 0 | TYPE_LIMIT | TIF_GTC | 224 225 Given the parties submit the following liquidity provision: 226 | id | party | market id | commitment amount | fee | lp type | 227 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | submission | 228 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 229 When the parties place the following orders: 230 | party | market id | side | volume | price | resulting trades | type | tif | reference | 231 | aux1 | ETH/DEC21 | buy | 10 | 910 | 0 | TYPE_LIMIT | TIF_GTC | peg-1 | 232 | aux1 | ETH/DEC21 | sell | 10 | 1090 | 0 | TYPE_LIMIT | TIF_GTC | peg-2 | 233 Then the opening auction period ends for market "ETH/DEC21" 234 And the market data for the market "ETH/DEC21" should be: 235 | mark price | trading mode | 236 | 1000 | TRADING_MODE_CONTINUOUS | 237 238 And the order book should have the following volumes for market "ETH/DEC21": 239 | side | price | volume | 240 | buy | 910 | 10 | 241 | buy | 920 | 1 | 242 | sell | 1080 | 1 | 243 | sell | 1090 | 10 | 244 245 When the parties place the following orders with ticks: 246 | party | market id | side | volume | price | resulting trades | type | tif | 247 | trader3a | ETH/DEC21 | buy | 2 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 248 | trader3b | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 249 | trader4 | ETH/DEC21 | sell | 4 | 1002 | 2 | TYPE_LIMIT | TIF_GTC | 250 251 And the liquidity fee factor should be "0.001" for the market "ETH/DEC21" 252 And the accumulated liquidity fees should be "5" for the market "ETH/DEC21" 253 254 Then the market data for the market "ETH/DEC21" should be: 255 | mark price | trading mode | 256 | 1002 | TRADING_MODE_CONTINUOUS | 257 258 # For trader3a- 259 # trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 2 * 1002 = 2004 260 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 2004 = 4.008 = 5 (rounded up to nearest whole value) 261 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 2004 = 10.02 = 11 (rounded up to nearest whole value) 262 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 2004 = 2.004 = 3 (rounded up to nearest whole value) 263 264 # For trader3b - 265 # trade_value_for_fee_purposes = size_of_trade * price_of_trade = 1 * 1002 = 1002 266 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 1002 = 2.004 = 3 (rounded up to nearest whole value) 267 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 1002 = 5.01 = 6 (rounded up to nearest whole value) 268 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 1002 = 1.002 = 2 (rounded up to nearest whole value) 269 270 Then the following trades should be executed: 271 | buyer | price | size | seller | aggressor side | buyer fee | seller fee | seller infrastructure fee | seller maker fee | seller liquidity fee | 272 | trader3a | 1002 | 2 | trader4 | sell | 0 | 19 | 5 | 11 | 3 | 273 | trader3b | 1002 | 1 | trader4 | sell | 0 | 11 | 3 | 6 | 2 | 274 275 And the following transfers should happen: 276 | from | to | from account | to account | market id | amount | asset | 277 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 11 | ETH | 278 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 6 | ETH | 279 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 8 | ETH | 280 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 5 | ETH | 281 | market | trader3a | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 11 | ETH | 282 | market | trader3b | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 6 | ETH | 283 284 # total_fee = infrastructure_fee + maker_fee + liquidity_fee = 8 + 11 + 6 + 0 = 25 285 286 And the accumulated infrastructure fees should be "8" for the asset "ETH" 287 And the accumulated liquidity fees should be "5" for the market "ETH/DEC21" 288 289 When the network moves ahead "11" blocks 290 291 And the following transfers should happen: 292 | from | to | from account | to account | market id | amount | asset | 293 | market | aux1 | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | ETH/DEC21 | 5 | ETH | 294 295 296 @WhutMargin 297 Scenario: S005, Testing fees get collected when amended order trades (0029-FEES-005) 298 And the markets: 299 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 300 | ETH/DEC21 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 0.1 | 0 | default-futures | 301 302 Given the parties deposit on asset's general account the following amount: 303 | party | asset | amount | 304 | aux1 | ETH | 100000000 | 305 | aux2 | ETH | 100000000 | 306 | trader3a | ETH | 10000 | 307 | trader3b | ETH | 10000 | 308 | trader4 | ETH | 5000 | 309 | lpprov | ETH | 100000000 | 310 311 When the parties submit the following liquidity provision: 312 | id | party | market id | commitment amount | fee | lp type | 313 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 314 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 315 And the parties place the following pegged iceberg orders: 316 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 317 | lpprov | ETH/DEC21 | 50 | 1 | buy | BID | 50 | 10 | 318 | lpprov | ETH/DEC21 | 50 | 1 | sell | ASK | 50 | 10 | 319 320 Then the parties place the following orders: 321 | party | market id | side | volume | price | resulting trades | type | tif | 322 | aux1 | ETH/DEC21 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 323 | aux2 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 324 | aux1 | ETH/DEC21 | buy | 1 | 920 | 0 | TYPE_LIMIT | TIF_GTC | 325 | aux2 | ETH/DEC21 | sell | 1 | 1080 | 0 | TYPE_LIMIT | TIF_GTC | 326 327 Then the opening auction period ends for market "ETH/DEC21" 328 And the market data for the market "ETH/DEC21" should be: 329 | mark price | trading mode | 330 | 1000 | TRADING_MODE_CONTINUOUS | 331 332 When the parties place the following orders with ticks: 333 | party | market id | side | volume | price | resulting trades | type | tif | 334 | trader3a | ETH/DEC21 | buy | 2 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 335 | trader3b | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 336 | trader4 | ETH/DEC21 | sell | 4 | 1002 | 2 | TYPE_LIMIT | TIF_GTC | 337 338 Then the market data for the market "ETH/DEC21" should be: 339 | mark price | trading mode | 340 | 1002 | TRADING_MODE_CONTINUOUS | 341 342 Then the following trades should be executed: 343 | buyer | price | size | seller | 344 | trader3a | 1002 | 2 | trader4 | 345 | trader3b | 1002 | 1 | trader4 | 346 347 # For trader3a- 348 # trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 2 * 1002 = 2004 349 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 2004 = 4.008 = 5 (rounded up to nearest whole value) 350 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 2004 = 10.02 = 11 (rounded up to nearest whole value) 351 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 2004 = 2.004 = 3 (rounded up to nearest whole value) 352 353 # For trader3b - 354 # trade_value_for_fee_purposes = size_of_trade * price_of_trade = 1 * 1002 = 1002 355 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 1002 = 2.004 = 3 (rounded up to nearest whole value) 356 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 1002 = 5.01 = 6 (rounded up to nearest whole value) 357 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 1002 = 1.002 = 2 (rounded up to nearest whole value) 358 359 And the following transfers should happen: 360 | from | to | from account | to account | market id | amount | asset | 361 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 11 | ETH | 362 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 6 | ETH | 363 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 8 | ETH | 364 | market | trader3a | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 11 | ETH | 365 | market | trader3b | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 6 | ETH | 366 367 # total_fee = maker_fee + infrastructure_fee + liquidity_fee = 11 + 6 + 8 = 25 368 369 # Placing second set of orders 370 When the parties place the following orders with ticks: 371 | party | market id | side | volume | price | resulting trades | type | tif | reference | 372 | trader3a | ETH/DEC21 | buy | 2 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | trader3a-buy-1 | 373 | trader4 | ETH/DEC21 | sell | 4 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | trader4-sell-2 | 374 375 # reducing size 376 And the parties amend the following orders: 377 | party | reference | price | size delta | tif | 378 | trader4 | trader4-sell-2 | 1000 | 0 | TIF_GTC | 379 380 # matching the order now 381 Then the following trades should be executed: 382 | buyer | price | size | seller | 383 | trader3a | 1000 | 2 | trader4 | 384 385 # checking if continuous mode still exists 386 Then the market data for the market "ETH/DEC21" should be: 387 | mark price | last traded price | trading mode | 388 | 1002 | 1000 | TRADING_MODE_CONTINUOUS | 389 390 And the following transfers should happen: 391 | from | to | from account | to account | market id | amount | asset | 392 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 10 | ETH | 393 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 4 | ETH | 394 | market | trader3a | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 10 | ETH | 395 396 @WhutMargin 397 Scenario: S006, Testing fees in continuous trading with insufficient balance in their general account but margin covers the fees (0029-FEES-008) 398 399 And the markets: 400 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 401 | ETH/DEC21 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 0.1 | 0 | default-futures | 402 Given the parties deposit on asset's general account the following amount: 403 | party | asset | amount | 404 | aux1 | ETH | 100000000 | 405 | aux2 | ETH | 100000000 | 406 | trader3 | ETH | 10000000 | 407 | trader4 | ETH | 30000 | 408 | lpprov | ETH | 100000000 | 409 410 When the parties submit the following liquidity provision: 411 | id | party | market id | commitment amount | fee | lp type | 412 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 413 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 414 415 Then the parties place the following orders: 416 | party | market id | side | volume | price | resulting trades | type | tif | 417 | aux1 | ETH/DEC21 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 418 | aux2 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 419 | aux1 | ETH/DEC21 | buy | 300 | 920 | 0 | TYPE_LIMIT | TIF_GTC | 420 | aux2 | ETH/DEC21 | sell | 300 | 1080 | 0 | TYPE_LIMIT | TIF_GTC | 421 422 Then the opening auction period ends for market "ETH/DEC21" 423 And the market data for the market "ETH/DEC21" should be: 424 | mark price | trading mode | target stake | supplied stake | 425 | 1000 | TRADING_MODE_CONTINUOUS | 2000 | 90000000 | 426 427 Then the order book should have the following volumes for market "ETH/DEC21": 428 | side | price | volume | 429 | buy | 910 | 0 | 430 | buy | 920 | 300 | 431 | sell | 1080 | 300 | 432 | sell | 1090 | 0 | 433 434 When the parties place the following orders with ticks: 435 | party | market id | side | volume | price | resulting trades | type | tif | 436 | trader3 | ETH/DEC21 | buy | 100 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 437 | trader4 | ETH/DEC21 | sell | 100 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | 438 439 Then the market data for the market "ETH/DEC21" should be: 440 | mark price | trading mode | 441 | 1002 | TRADING_MODE_CONTINUOUS | 442 443 #fee paid by trader4: 100*1002*(0.1+0.005+0.002)=10722 444 Then the following trades should be executed: 445 | buyer | price | size | seller | 446 | trader3 | 1002 | 100 | trader4 | 447 448 When the parties place the following orders with ticks: 449 | party | market id | side | volume | price | resulting trades | type | tif | reference | 450 | trader3 | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | trader3-buy-1 | 451 | aux1 | ETH/DEC21 | sell | 1 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | aux1-sell-2 | 452 453 And the following transfers should happen: 454 | from | to | from account | to account | market id | amount | asset | 455 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 501 | ETH | 456 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 10020 | ETH | 457 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | ETH/DEC21 | 201 | ETH | 458 | aux1 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 6 | ETH | 459 | aux1 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 101 | ETH | 460 | aux1 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | ETH/DEC21 | 3 | ETH | 461 462 # For axu1 - 463 # trade_value_for_fee_purposes = size_of_trade * price_of_trade = 1 * 1002 = 1002 464 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 1002 = 2.004 = 3 (rounded up to nearest whole value) 465 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 1002 = 5.01 = 6 (rounded up to nearest whole value) 466 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.1 * 1002 = 101 (rounded up to nearest whole value) 467 468 Then the market data for the market "ETH/DEC21" should be: 469 | mark price | last traded price | trading mode | 470 | 1002 | 1002 | TRADING_MODE_CONTINUOUS | 471 And the following trades should be executed: 472 | buyer | price | size | seller | 473 | trader3 | 1002 | 1 | aux1 | 474 475 Scenario: S007, Testing fees to confirm fees are collected first and then margin (0029-FEES-002, 0029-FEES-008) 476 And the markets: 477 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 478 | ETH/DEC21 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 0.1 | 0 | default-futures | 479 480 Given the parties deposit on asset's general account the following amount: 481 | party | asset | amount | 482 | aux1 | ETH | 100000000 | 483 | aux2 | ETH | 100000000 | 484 | trader3 | ETH | 10000000 | 485 | trader4 | ETH | 214 | 486 | lpprov | ETH | 100000000 | 487 488 When the parties submit the following liquidity provision: 489 | id | party | market id | commitment amount | fee | lp type | 490 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 491 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 492 493 And the parties place the following pegged iceberg orders: 494 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 495 | lpprov | ETH/DEC21 | 50 | 1 | buy | BID | 50 | 10 | 496 | lpprov | ETH/DEC21 | 50 | 1 | sell | ASK | 50 | 10 | 497 498 Then the parties place the following orders: 499 | party | market id | side | volume | price | resulting trades | type | tif | 500 | aux1 | ETH/DEC21 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 501 | aux2 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 502 | aux1 | ETH/DEC21 | buy | 1 | 920 | 0 | TYPE_LIMIT | TIF_GTC | 503 | aux2 | ETH/DEC21 | sell | 1 | 1080 | 0 | TYPE_LIMIT | TIF_GTC | 504 505 Then the opening auction period ends for market "ETH/DEC21" 506 And the market data for the market "ETH/DEC21" should be: 507 | mark price | trading mode | 508 | 1000 | TRADING_MODE_CONTINUOUS | 509 510 When the parties place the following orders with ticks: 511 | party | market id | side | volume | price | resulting trades | type | tif | reference | 512 | trader3 | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | trader3-buy-1 | 513 | trader4 | ETH/DEC21 | sell | 1 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | trader4-sell-2 | 514 515 And the following transfers should happen: 516 | from | to | from account | to account | market id | amount | asset | 517 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 6 | ETH | 518 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 85 | ETH | 519 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | ETH/DEC21 | 3 | ETH | 520 | market | trader3 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 6 | ETH | 521 #trader4 got closed out after paying liquidity fee 522 Then the parties should have the following margin levels: 523 | party | market id | maintenance | search | initial | release | 524 | trader4 | ETH/DEC21 | 0 | 0 | 0 | 0 | 525 526 Scenario: S008, Testing fees in continuous trading when insufficient balance in their general and margin account with LP, then the trade does not execute (0029-FEES-007，0029-FEES-008) 527 And the markets: 528 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 529 | ETH/DEC21 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 1e0 | 0 | default-futures | 530 531 Given the average block duration is "1" 532 533 Given the parties deposit on asset's general account the following amount: 534 | party | asset | amount | 535 | aux1 | ETH | 100000000 | 536 | aux2 | ETH | 100000000 | 537 | trader3 | ETH | 10000000 | 538 | trader4 | ETH | 189 | 539 540 When the parties submit the following liquidity provision: 541 | id | party | market id | commitment amount | fee | lp type | 542 | lp1 | aux1 | ETH/DEC21 | 9000 | 0.1 | submission | 543 | lp1 | aux1 | ETH/DEC21 | 9000 | 0.1 | amendment | 544 When the parties place the following orders: 545 | party | market id | side | volume | price | resulting trades | type | tif | reference | 546 | aux1 | ETH/DEC21 | buy | 1 | 910 | 0 | TYPE_LIMIT | TIF_GTC | peg-1 | 547 | aux1 | ETH/DEC21 | sell | 10 | 1090 | 0 | TYPE_LIMIT | TIF_GTC | peg-2 | 548 549 Then the parties place the following orders: 550 | party | market id | side | volume | price | resulting trades | type | tif | 551 | aux1 | ETH/DEC21 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 552 | aux2 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 553 | aux1 | ETH/DEC21 | buy | 10 | 920 | 0 | TYPE_LIMIT | TIF_GTC | 554 | aux2 | ETH/DEC21 | sell | 10 | 1080 | 0 | TYPE_LIMIT | TIF_GTC | 555 556 Then the opening auction period ends for market "ETH/DEC21" 557 And the market data for the market "ETH/DEC21" should be: 558 | mark price | trading mode | 559 | 1000 | TRADING_MODE_CONTINUOUS | 560 561 And the order book should have the following volumes for market "ETH/DEC21": 562 | side | price | volume | 563 | buy | 910 | 1 | 564 | buy | 920 | 10 | 565 | sell | 1080 | 10 | 566 | sell | 1090 | 10 | 567 568 When the parties place the following orders with ticks: 569 | party | market id | side | volume | price | resulting trades | type | tif | reference | 570 | trader3 | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | trader3-buy-1 | 571 | trader4 | ETH/DEC21 | sell | 1 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | trader4-sell-2 | 572 573 Then the market data for the market "ETH/DEC21" should be: 574 | mark price | trading mode | 575 | 1002 | TRADING_MODE_CONTINUOUS | 576 577 Then the following trades should be executed: 578 | buyer | price | size | seller | 579 | trader3 | 1002 | 1 | trader4 | 580 581 And the following transfers should happen: 582 | from | to | from account | to account | market id | amount | asset | 583 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 6 | ETH | 584 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | ETH/DEC21 | 3 | ETH | 585 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 60 | ETH | 586 | trader4 | market | ACCOUNT_TYPE_MARGIN | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 41 | ETH | 587 | market | trader3 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 6 | ETH | 588 589 Then the parties should have the following margin levels: 590 | party | market id | maintenance | search | initial | release | 591 | trader4 | ETH/DEC21 | 0 | 0 | 0 | 0 | 592 593 And the liquidity fee factor should be "0.1" for the market "ETH/DEC21" 594 And the accumulated liquidity fees should be "171" for the market "ETH/DEC21" 595 596 When the network moves ahead "11" blocks 597 598 And the following transfers should happen: 599 | from | to | from account | to account | market id | amount | asset | 600 | market | aux1 | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | ETH/DEC21 | 171 | ETH | 601 602 Scenario:S009, Testing fees in auctions session with each side of a trade debited 1/2 IF & LP (0029-FEES-006, 0029-FEES-008) 603 604 And the markets: 605 | 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 | 606 | ETH/DEC21 | ETH | ETH | lqm-params | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.25 | 0 | SLA | 607 608 # setup accounts 609 When the parties deposit on asset's general account the following amount: 610 | party | asset | amount | 611 | aux1 | ETH | 100000000 | 612 | aux2 | ETH | 100000000 | 613 | trader3a | ETH | 10000 | 614 | trader4 | ETH | 10000 | 615 616 Then the parties place the following orders: 617 | party | market id | side | volume | price | resulting trades | type | tif | 618 | aux1 | ETH/DEC21 | buy | 1 | 500 | 0 | TYPE_LIMIT | TIF_GTC | 619 | aux2 | ETH/DEC21 | sell | 1 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | 620 | trader3a | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 621 | trader4 | ETH/DEC21 | sell | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 622 623 Given the parties submit the following liquidity provision: 624 | id | party | market id | commitment amount | fee | lp type | 625 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | submission | 626 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | amendment | 627 And the parties place the following pegged iceberg orders: 628 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 629 | aux1 | ETH/DEC21 | 50 | 1 | buy | BID | 50 | 10 | 630 | aux1 | ETH/DEC21 | 50 | 1 | sell | ASK | 50 | 10 | 631 632 Then the opening auction period ends for market "ETH/DEC21" 633 And the market data for the market "ETH/DEC21" should be: 634 | mark price | trading mode | target stake | supplied stake | 635 | 1002 | TRADING_MODE_CONTINUOUS | 200 | 200 | 636 Then the following trades should be executed: 637 | buyer | price | size | seller | 638 | trader3a | 1002 | 1 | trader4 | 639 640 #Scenario:S010, Triggering Liquidity auction (0029-FEES-006) 641 642 When the parties place the following orders with ticks: 643 | party | market id | side | volume | price | resulting trades | type | tif | 644 | trader3a | ETH/DEC21 | buy | 3 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 645 | trader4 | ETH/DEC21 | sell | 3 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | 646 647 Then the following trades should be executed: 648 | buyer | price | size | seller | 649 | trader3a | 1002 | 3 | trader4 | 650 651 # fees during normal trading 652 And the following transfers should happen: 653 | from | to | from account | to account | market id | amount | asset | 654 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 7 | ETH | 655 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 4 | ETH | 656 657 # now place orders during auction 658 When the parties place the following orders with ticks: 659 | party | market id | side | volume | price | resulting trades | type | tif | 660 | trader3a | ETH/DEC21 | buy | 3 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 661 | trader4 | ETH/DEC21 | sell | 3 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | 662 663 Given the parties submit the following liquidity provision: 664 | id | party | market id | commitment amount | fee | lp type | 665 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 666 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 667 And the parties place the following pegged iceberg orders: 668 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 669 | aux1 | ETH/DEC21 | 2 | 1 | buy | BID | 1 | 10 | 670 | aux1 | ETH/DEC21 | 2 | 1 | sell | ASK | 1 | 10 | 671 672 # leave auction 673 When the network moves ahead "2" blocks 674 Then the following trades should be executed: 675 | buyer | price | size | seller | 676 | trader3a | 1002 | 3 | trader4 | 677 678 # For trader3a & 4- Sharing IF and LP 679 # trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 3 * 1002= 3006 680 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 3006 = 6.012 = 7(rounded up) 681 # maker_fee = 0 in auction 682 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 3006 = 3.006 = 4 (rounded up) 683 And the following transfers should happen: 684 | from | to | from account | to account | market id | amount | asset | 685 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 7 | ETH | 686 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 4 | ETH | 687 688 And the market data for the market "ETH/DEC21" should be: 689 | mark price | trading mode | horizon | min bound | max bound | target stake | supplied stake | open interest | 690 | 1002 | TRADING_MODE_CONTINUOUS | 1 | 903 | 1101 | 1402 | 10000 | 7 | 691 692 Then the parties place the following orders with ticks: 693 | party | market id | side | volume | price | resulting trades | type | tif | 694 | trader3a | ETH/DEC21 | buy | 1 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 695 | trader4 | ETH/DEC21 | sell | 1 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 696 697 Then the market data for the market "ETH/DEC21" should be: 698 | trading mode | auction trigger | 699 | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE | 700 701 Then the network moves ahead "301" blocks 702 703 Then the following trades should be executed: 704 | buyer | price | size | seller | 705 | trader3a | 900 | 1 | trader4 | 706 707 # For trader3a & 4- Sharing IF and LP 708 # trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 1 * 900 = 900 709 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 900 = 1.800 = 2(rounded up) 710 # maker_fee = 0 in auction 711 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 900 = 0.900 = 1 (rounded up) 712 713 And the following transfers should happen: 714 | from | to | from account | to account | market id | amount | asset | 715 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 1 | ETH | 716 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 1 | ETH | 717 | trader3a | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 1 | ETH | 718 | trader3a | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 1 | ETH | 719 720 Then the market data for the market "ETH/DEC21" should be: 721 | trading mode | auction trigger | 722 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 723 724 Scenario: S011, Testing fees in Liquidity auction session trading with insufficient balance in their general account but margin covers the fees (0029-FEES-006) 725 726 Given the average block duration is "1" 727 728 And the markets: 729 | 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 | 730 | ETH/DEC21 | ETH | ETH | lqm-params | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | default-eth-for-future | 1e0 | 0 | SLA | 731 732 # setup accounts 733 When the parties deposit on asset's general account the following amount: 734 | party | asset | amount | 735 | aux1 | ETH | 100000000 | 736 | aux2 | ETH | 100000000 | 737 | trader3a | ETH | 5000 | 738 | trader4 | ETH | 5261 | 739 | tradera3 | ETH | 100000000 | 740 | tradera4 | ETH | 100000000 | 741 742 Then the parties place the following orders: 743 | party | market id | side | volume | price | resulting trades | type | tif | 744 | aux1 | ETH/DEC21 | buy | 1 | 500 | 0 | TYPE_LIMIT | TIF_GTC | 745 | aux2 | ETH/DEC21 | sell | 1 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | 746 | trader3a | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 747 | trader4 | ETH/DEC21 | sell | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 748 749 Given the parties submit the following liquidity provision: 750 | id | party | market id | commitment amount | fee | lp type | 751 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | submission | 752 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | amendment | 753 And the parties place the following pegged iceberg orders: 754 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 755 | aux1 | ETH/DEC21 | 2 | 1 | buy | BID | 1 | 10 | 756 | aux1 | ETH/DEC21 | 2 | 1 | sell | ASK | 1 | 10 | 757 758 And the opening auction period ends for market "ETH/DEC21" 759 760 # Scenario: S012, Triggering Liquidity auction (0029-FEES-006) 761 762 When the parties place the following orders with ticks: 763 | party | market id | side | volume | price | resulting trades | type | tif | 764 | tradera3 | ETH/DEC21 | buy | 3 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 765 | tradera4 | ETH/DEC21 | sell | 3 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | 766 Then the following trades should be executed: 767 | buyer | price | size | seller | 768 | tradera3 | 1002 | 3 | tradera4 | 769 770 When the network moves ahead "1" blocks 771 772 When the parties place the following orders with ticks: 773 | party | market id | side | volume | price | resulting trades | type | tif | 774 | trader3a | ETH/DEC21 | buy | 3 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 775 | trader4 | ETH/DEC21 | sell | 3 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | 776 777 And the parties submit the following liquidity provision: 778 | id | party | market id | commitment amount | fee | lp type | 779 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 780 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 781 And the parties place the following pegged iceberg orders: 782 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 783 | aux1 | ETH/DEC21 | 2 | 1 | buy | BID | 1 | 10 | 784 | aux1 | ETH/DEC21 | 2 | 1 | sell | ASK | 1 | 10 | 785 786 Then the network moves ahead "2" blocks 787 788 789 # For trader3a & 4- Sharing IF and LP 790 # trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 3 * 1002= 3006 791 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 3006 = 6.012 = 7(rounded up) 792 # maker_fee = 0 in auction 793 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 3006 = 3.006 = 4 (rounded up) 794 795 And the following transfers should happen: 796 | from | to | from account | to account | market id | amount | asset | 797 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 7 | ETH | 798 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 4 | ETH | 799 800 Then the parties should have the following margin levels: 801 | party | market id | maintenance | initial | 802 | trader4 | ETH/DEC21 | 4409 | 5290 | 803 804 Then the parties should have the following account balances: 805 | party | asset | market id | margin | general | 806 | trader3a | ETH | ETH/DEC21 | 5016 | 0 | 807 | trader4 | ETH | ETH/DEC21 | 5234 | 0 | 808 809 Then the market data for the market "ETH/DEC21" should be: 810 | trading mode | auction trigger | 811 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 812 813 Scenario: S013, Testing fees in Price auction session trading with insufficient balance in their general account but margin covers the fees (0029-FEES-008) 814 815 And the average block duration is "1" 816 817 And the markets: 818 | 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 | 819 | ETH/DEC21 | ETH | ETH | lqm-params | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | default-eth-for-future | 1e0 | 0 | SLA | 820 821 # setup accounts 822 When the parties deposit on asset's general account the following amount: 823 | party | asset | amount | 824 | aux1 | ETH | 100000000 | 825 | aux2 | ETH | 100000000 | 826 | trader3a | ETH | 5000 | 827 | trader4 | ETH | 2656 | 828 829 Then the parties place the following orders: 830 | party | market id | side | volume | price | resulting trades | type | tif | 831 | aux1 | ETH/DEC21 | buy | 1 | 500 | 0 | TYPE_LIMIT | TIF_GTC | 832 | aux2 | ETH/DEC21 | sell | 1 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | 833 | trader3a | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 834 | trader4 | ETH/DEC21 | sell | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 835 836 Given the parties submit the following liquidity provision: 837 | id | party | market id | commitment amount | fee | lp type | 838 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | submission | 839 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | amendment | 840 And the parties place the following pegged iceberg orders: 841 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 842 | aux1 | ETH/DEC21 | 2 | 1 | buy | BID | 1 | 10 | 843 | aux1 | ETH/DEC21 | 2 | 1 | sell | ASK | 1 | 10 | 844 Then the opening auction period ends for market "ETH/DEC21" 845 846 Given the parties submit the following liquidity provision: 847 | id | party | market id | commitment amount | fee | lp type | 848 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 849 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 850 And the parties place the following pegged iceberg orders: 851 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 852 | aux1 | ETH/DEC21 | 2 | 1 | buy | BID | 1 | 10 | 853 | aux1 | ETH/DEC21 | 2 | 1 | sell | ASK | 1 | 10 | 854 And the market data for the market "ETH/DEC21" should be: 855 | mark price | trading mode | horizon | min bound | max bound | target stake | supplied stake | open interest | 856 | 1002 | TRADING_MODE_CONTINUOUS | 1 | 903 | 1101 | 200 | 10000 | 1 | 857 858 Then the parties place the following orders with ticks: 859 | party | market id | side | volume | price | resulting trades | type | tif | 860 | trader3a | ETH/DEC21 | buy | 1 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 861 | trader4 | ETH/DEC21 | sell | 1 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 862 863 Then the market data for the market "ETH/DEC21" should be: 864 | trading mode | auction trigger | 865 | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE | 866 867 Then the network moves ahead "301" blocks 868 869 Then the following trades should be executed: 870 | buyer | price | size | seller | 871 | trader3a | 900 | 1 | trader4 | 872 873 # For trader3a & 4- Sharing IF and LP 874 # trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 1 * 900 = 900 875 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 900 = 1.800 = 2(rounded up) 876 # maker_fee = 0 in auction 877 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 900 = 0.900 = 1 (rounded up) 878 879 And the following transfers should happen: 880 | from | to | from account | to account | market id | amount | asset | 881 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 1 | ETH | 882 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 1 | ETH | 883 | trader3a | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 1 | ETH | 884 | trader3a | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 1 | ETH | 885 886 Then the market data for the market "ETH/DEC21" should be: 887 | trading mode | auction trigger | 888 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 889 890 @Liquidation 891 Scenario: S014, Testing fees in Liquidity auction session trading with insufficient balance in their general and margin account, then the trade still goes ahead, (0029-FEES-008) 892 893 Given the average block duration is "1" 894 895 And the fees configuration named "fees-config-1": 896 | maker fee | infrastructure fee | 897 | 0.005 | 2 | 898 899 And the markets: 900 | 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 | 901 | ETH/DEC21 | ETH | ETH | lqm-params | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.996 | 0 | SLA | 902 903 # setup accounts 904 When the parties deposit on asset's general account the following amount: 905 | party | asset | amount | 906 | aux1 | ETH | 100000000 | 907 | aux2 | ETH | 100000000 | 908 | trader3a | ETH | 5273 | 909 | trader4 | ETH | 6032 | 910 | trader5 | ETH | 100000000 | 911 | trader6 | ETH | 100000000 | 912 913 Then the parties place the following orders: 914 | party | market id | side | volume | price | resulting trades | type | tif | 915 | aux1 | ETH/DEC21 | buy | 1 | 500 | 0 | TYPE_LIMIT | TIF_GTC | 916 | aux2 | ETH/DEC21 | sell | 1 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | 917 | trader3a | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 918 | trader4 | ETH/DEC21 | sell | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 919 920 Given the parties submit the following liquidity provision: 921 | id | party | market id | commitment amount | fee | lp type | 922 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | submission | 923 And the parties place the following pegged iceberg orders: 924 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 925 | aux1 | ETH/DEC21 | 2 | 1 | buy | BID | 1 | 10 | 926 | aux1 | ETH/DEC21 | 2 | 1 | sell | ASK | 1 | 10 | 927 928 When the opening auction period ends for market "ETH/DEC21" 929 930 #Scenario: S015, Triggering Liquidity auction (0029-FEES-008) 931 932 Then the parties place the following orders: 933 | party | market id | side | volume | price | resulting trades | type | tif | 934 | trader5 | ETH/DEC21 | buy | 3 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 935 | trader6 | ETH/DEC21 | sell | 3 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | 936 And the following trades should be executed: 937 | buyer | price | size | seller | 938 | trader5 | 1002 | 3 | trader6 | 939 940 When the network moves ahead "1" blocks 941 And the parties submit the following liquidity provision: 942 | id | party | market id | commitment amount | fee | lp type | 943 | lp1 | aux1 | ETH/DEC21 | 20000 | 0.001 | amendment | 944 And the parties place the following orders: 945 | party | market id | side | volume | price | resulting trades | type | tif | reference | 946 | trader3a | ETH/DEC21 | buy | 3 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | t3a-buy | 947 | trader4 | ETH/DEC21 | sell | 3 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | t4-sell | 948 949 When the network moves ahead "2" blocks 950 Then the market data for the market "ETH/DEC21" should be: 951 | trading mode | auction trigger | 952 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 953 954 And the following trades should be executed: 955 | buyer | price | size | seller | 956 | trader3a | 1002 | 3 | trader4 | 957 958 # For trader3a & 4- Sharing IF and LP 959 # trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 3 * 1002= 3006 960 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 2 * 3006 961 # maker_fee = 0 in auction 962 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 3006 = 3.006 = 4 (rounded up) 963 964 And the following transfers should happen: 965 | from | to | from account | to account | market id | amount | asset | 966 | trader4 | market | ACCOUNT_TYPE_MARGIN | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 4 | ETH | 967 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 4338 | ETH | 968 969 Then the parties should have the following margin levels: 970 | party | market id | maintenance | initial | 971 | trader4 | ETH/DEC21 | 0 | 0 | 972 973 Then the parties should have the following account balances: 974 | party | asset | market id | margin | general | 975 | trader3a | ETH | ETH/DEC21 | 5289 | 0 | 976 | trader4 | ETH | ETH/DEC21 | 0 | 0 | 977 978 Then the market data for the market "ETH/DEC21" should be: 979 | trading mode | auction trigger | 980 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 981 982 @Liquidation 983 Scenario:S016, Testing fees in Price auction session trading with insufficient balance in their general and margin account, then the trade still goes ahead (0029-FEES-008) 984 985 And the average block duration is "1" 986 987 And the fees configuration named "fees-config-1": 988 | maker fee | infrastructure fee | 989 | 0.005 | 2 | 990 991 And the markets: 992 | 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 | 993 | ETH/DEC21 | ETH | ETH | lqm-params | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.5 | 0 | SLA | 994 995 # setup accounts 996 When the parties deposit on asset's general account the following amount: 997 | party | asset | amount | 998 | aux1 | ETH | 100000000 | 999 | aux2 | ETH | 100000000 | 1000 | trader3a | ETH | 3500 | 1001 | trader4 | ETH | 5500 | 1002 1003 Then the parties place the following orders: 1004 | party | market id | side | volume | price | resulting trades | type | tif | 1005 | aux1 | ETH/DEC21 | buy | 1 | 500 | 0 | TYPE_LIMIT | TIF_GTC | 1006 | aux2 | ETH/DEC21 | sell | 1 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | 1007 | trader3a | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 1008 | trader4 | ETH/DEC21 | sell | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 1009 1010 Given the parties submit the following liquidity provision: 1011 | id | party | market id | commitment amount | fee | lp type | 1012 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | submission | 1013 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | amendment | 1014 And the parties place the following pegged iceberg orders: 1015 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 1016 | aux1 | ETH/DEC21 | 2 | 1 | buy | BID | 2 | 10 | 1017 | aux1 | ETH/DEC21 | 2 | 1 | sell | ASK | 2 | 10 | 1018 Then the opening auction period ends for market "ETH/DEC21" 1019 1020 Given the parties submit the following liquidity provision: 1021 | id | party | market id | commitment amount | fee | lp type | 1022 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 1023 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 1024 And the parties place the following pegged iceberg orders: 1025 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 1026 | aux1 | ETH/DEC21 | 2 | 1 | buy | BID | 1 | 10 | 1027 | aux1 | ETH/DEC21 | 2 | 1 | sell | ASK | 1 | 10 | 1028 1029 And the market data for the market "ETH/DEC21" should be: 1030 | mark price | trading mode | horizon | min bound | max bound | target stake | supplied stake | open interest | 1031 | 1002 | TRADING_MODE_CONTINUOUS | 1 | 903 | 1101 | 200 | 10000 | 1 | 1032 1033 Then the parties place the following orders: 1034 | party | market id | side | volume | price | resulting trades | type | tif | 1035 | trader3a | ETH/DEC21 | buy | 2 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 1036 | trader4 | ETH/DEC21 | sell | 2 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 1037 1038 Then the market data for the market "ETH/DEC21" should be: 1039 | trading mode | auction trigger | 1040 | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE | 1041 1042 # Leave auction + close network position 1043 Then the network moves ahead "301" blocks 1044 1045 Then debug trades 1046 Then the following trades should be executed: 1047 | buyer | price | size | seller | 1048 | trader3a | 1002 | 1 | trader4 | 1049 | trader3a | 900 | 2 | trader4 | 1050 | network | 900 | 3 | trader3a | 1051 1052 # For trader3a & 4- Sharing IF and LP 1053 # trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 2 * 900 = 1800 1054 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 2 * 900 1055 # maker_fee = 0 in auction 1056 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 1800 = 1.8 = 2/2 = 1 1057 1058 And the following transfers should happen: 1059 | from | to | from account | to account | market id | amount | asset | 1060 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 1800 | ETH | 1061 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 1 | ETH | 1062 | trader3a | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 1800 | ETH | 1063 | trader3a | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 1 | ETH | 1064 1065 Then the market data for the market "ETH/DEC21" should be: 1066 | trading mode | auction trigger | 1067 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 1068 1069 Scenario:S017, Testing fees in Price auction session trading with insufficient balance in their general and margin account, then the trade does not go ahead (0029-FEES-008) 1070 1071 And the average block duration is "1" 1072 1073 And the fees configuration named "fees-config-1": 1074 | maker fee | infrastructure fee | 1075 | 0.005 | 2 | 1076 1077 And the markets: 1078 | 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 | 1079 | ETH/DEC21 | ETH | ETH | lqm-params | simple-risk-model-1 | default-margin-calculator | 1 | fees-config-1 | price-monitoring-1 | default-eth-for-future | 1e0 | 0 | SLA | 1080 1081 # setup accounts 1082 When the parties deposit on asset's general account the following amount: 1083 | party | asset | amount | 1084 | aux1 | ETH | 100000000 | 1085 | aux2 | ETH | 100000000 | 1086 | trader3a | ETH | 5000 | 1087 | trader4 | ETH | 7261 | 1088 # If the trader4 balance is changed to from 7261 to 7465 then the trade goes ahead as the account balance goes above maintenance level after paying fees. 1089 # | trader4 | ETH | 7465 | 1090 1091 Then the parties place the following orders: 1092 | party | market id | side | volume | price | resulting trades | type | tif | 1093 | aux1 | ETH/DEC21 | buy | 1 | 500 | 0 | TYPE_LIMIT | TIF_GTC | 1094 | aux2 | ETH/DEC21 | sell | 1 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | 1095 | trader3a | ETH/DEC21 | buy | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 1096 | trader4 | ETH/DEC21 | sell | 1 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 1097 1098 Given the parties submit the following liquidity provision: 1099 | id | party | market id | commitment amount | fee | lp type | 1100 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | submission | 1101 | lp1 | aux1 | ETH/DEC21 | 200 | 0.001 | amendment | 1102 And the parties place the following pegged iceberg orders: 1103 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 1104 | aux1 | ETH/DEC21 | 2 | 1 | buy | BID | 1 | 10 | 1105 | aux1 | ETH/DEC21 | 2 | 1 | sell | ASK | 1 | 10 | 1106 Then the opening auction period ends for market "ETH/DEC21" 1107 1108 Given the parties submit the following liquidity provision: 1109 | id | party | market id | commitment amount | fee | lp type | 1110 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 1111 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 1112 And the parties place the following pegged iceberg orders: 1113 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 1114 | aux1 | ETH/DEC21 | 2 | 1 | buy | BID | 2 | 10 | 1115 | aux1 | ETH/DEC21 | 2 | 1 | sell | ASK | 2 | 10 | 1116 1117 And the market data for the market "ETH/DEC21" should be: 1118 | mark price | trading mode | horizon | min bound | max bound | target stake | supplied stake | open interest | 1119 | 1002 | TRADING_MODE_CONTINUOUS | 1 | 903 | 1101 | 200 | 10000 | 1 | 1120 1121 Then the parties place the following orders: 1122 | party | market id | side | volume | price | resulting trades | type | tif | 1123 | trader3a | ETH/DEC21 | buy | 3 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 1124 | trader4 | ETH/DEC21 | sell | 3 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 1125 1126 Then the market data for the market "ETH/DEC21" should be: 1127 | trading mode | auction trigger | 1128 | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE | 1129 1130 Then the network moves ahead "301" blocks 1131 1132 Then the following trades should be executed: 1133 | buyer | price | size | seller | 1134 | trader3a | 900 | 3 | trader4 | 1135 1136 # For trader3a & 4- Sharing IF and LP 1137 # trade_value_for_fee_purposes for trader3a = size_of_trade * price_of_trade = 3 * 900 = 2700 1138 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 2 * 2700 1139 # maker_fee = 0 in auction 1140 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 2700 = 2.7 = 3/2 = 1.5 = 2 (rounded up) 1141 1142 And the following transfers should happen: 1143 | from | to | from account | to account | market id | amount | asset | 1144 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 2700 | ETH | 1145 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 2 | ETH | 1146 | trader3a | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 2700 | ETH | 1147 | trader3a | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 2 | ETH | 1148 1149 Then the parties should have the following margin levels: 1150 | party | market id | maintenance | initial | 1151 | trader4 | ETH/DEC21 | 3960 | 4752 | 1152 1153 Then the parties should have the following account balances: 1154 | party | asset | market id | margin | general | 1155 | trader3a | ETH | ETH/DEC21 | 0 | 0 | 1156 | trader4 | ETH | ETH/DEC21 | 4661 | 0 | 1157 1158 Then the market data for the market "ETH/DEC21" should be: 1159 | trading mode | auction trigger | 1160 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 1161 1162 @now @Liquidation 1163 Scenario: S018, Testing fees in continuous trading during position resolution (0029-FEES-001) 1164 1165 Given the fees configuration named "fees-config-1": 1166 | maker fee | infrastructure fee | 1167 | 0.005 | 0.002 | 1168 1169 And the markets: 1170 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 1171 | ETH/DEC21 | ETH | ETH | default-simple-risk-model-2 | default-overkill-margin-calculator | 2 | fees-config-1 | default-none | default-eth-for-future | 0.55 | 0 | default-futures | 1172 1173 And the parties deposit on asset's general account the following amount: 1174 | party | asset | amount | 1175 | aux1 | ETH | 1000000000000 | 1176 | aux2 | ETH | 1000000000000 | 1177 | trader3a | ETH | 10000 | 1178 | trader3b | ETH | 30000 | 1179 1180 Then the parties place the following orders: 1181 | party | market id | side | volume | price | resulting trades | type | tif | reference | 1182 | aux1 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | aux-s-1 | 1183 | aux2 | ETH/DEC21 | buy | 1 | 1 | 0 | TYPE_LIMIT | TIF_GTC | aux-b-1 | 1184 | aux1 | ETH/DEC21 | sell | 10 | 180 | 0 | TYPE_LIMIT | TIF_GTC | aux-s-2 | 1185 | aux2 | ETH/DEC21 | buy | 10 | 180 | 0 | TYPE_LIMIT | TIF_GTC | aux-b-2 | 1186 1187 Then the opening auction period ends for market "ETH/DEC21" 1188 And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC21" 1189 And the mark price should be "180" for the market "ETH/DEC21" 1190 1191 When the parties place the following orders with ticks: 1192 | party | market id | side | volume | price | resulting trades | type | tif | reference | 1193 | aux1 | ETH/DEC21 | sell | 150 | 200 | 0 | TYPE_LIMIT | TIF_GTC | sell-provider-1 | 1194 | aux2 | ETH/DEC21 | buy | 50 | 190 | 0 | TYPE_LIMIT | TIF_GTC | buy-provider-1 | 1195 | aux2 | ETH/DEC21 | buy | 350 | 180 | 0 | TYPE_LIMIT | TIF_GTC | buy-provider-2 | 1196 1197 When the parties place the following orders with ticks: 1198 | party | market id | side | volume | price | resulting trades | type | tif | reference | 1199 | trader3a | ETH/DEC21 | sell | 100 | 180 | 2 | TYPE_LIMIT | TIF_GTC | ref-1 | 1200 | trader3b | ETH/DEC21 | sell | 300 | 180 | 1 | TYPE_LIMIT | TIF_GTC | ref-2 | 1201 And the network moves ahead "1" blocks 1202 1203 Then the following trades should be executed: 1204 | buyer | price | size | seller | 1205 | aux2 | 190 | 50 | trader3a | 1206 | aux2 | 180 | 50 | trader3a | 1207 | aux2 | 180 | 300 | trader3b | 1208 1209 Then the parties should have the following margin levels: 1210 | party | market id | maintenance | 1211 | trader3b | ETH/DEC21 | 0 | 1212 | trader3a | ETH/DEC21 | 9900 | 1213 1214 When the parties place the following orders with ticks: 1215 | party | market id | side | volume | price | resulting trades | type | tif | reference | 1216 | aux1 | ETH/DEC21 | sell | 500 | 350 | 0 | TYPE_LIMIT | TIF_GTC | sell-provider-2 | 1217 1218 And the parties place the following orders with ticks: 1219 | party | market id | side | volume | price | resulting trades | type | tif | reference | 1220 | aux2 | ETH/DEC21 | buy | 1 | 300 | 0 | TYPE_LIMIT | TIF_GTC | ref-2 | 1221 | aux1 | ETH/DEC21 | sell | 1 | 300 | 1 | TYPE_LIMIT | TIF_GTC | ref-1 | 1222 1223 And the mark price should be "300" for the market "ETH/DEC21" 1224 1225 Then the parties should have the following profit and loss: 1226 | party | volume | unrealised pnl | realised pnl | 1227 | trader3a | 0 | 0 | -9870 | 1228 | trader3b | 0 | 0 | -29622 | 1229 1230 # trade_value_for_fee_purposes for party 3a = size_of_trade * price_of_trade = 50 *190 = 9500 And 50 * 180 = 9000 1231 # maker_fee for party 3a = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 9500 = 47.5 = 48 (rounded up to nearest whole value) And 0.005 * 9000 = 45 1232 # infrastructure_fee for party 3a = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 9500 = 19 And 0.002 * 9000 = 18 + 19 = 37 1233 # trade_value_for_fee_purposes for party 3b = size_of_trade * price_of_trade = 300 *180 = 54000 1234 # maker_fee for party 3b = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 54000 = 270 1235 # infrastructure_fee for party 3b = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 54000 = 108 1236 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0 1237 1238 And the following transfers should happen: 1239 | from | to | from account | to account | market id | amount | asset | 1240 | trader3a | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 48 | ETH | 1241 | trader3a | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 45 | ETH | 1242 | trader3a | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | ETH/DEC21 | 37 | ETH | 1243 | trader3b | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 270 | ETH | 1244 | trader3b | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | ETH/DEC21 | 108 | ETH | 1245 | market | aux2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 48 | ETH | 1246 | market | aux2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 45 | ETH | 1247 | market | aux2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 270 | ETH | 1248 1249 Then the parties should have the following account balances: 1250 | party | asset | market id | margin | general | 1251 | trader3a | ETH | ETH/DEC21 | 0 | 0 | 1252 | trader3b | ETH | ETH/DEC21 | 0 | 0 | 1253 1254 And the insurance pool balance should be "0" for the market "ETH/DEC21" 1255 1256 @Liquidation 1257 Scenario: S019, Testing fees in continuous trading during position resolution with insufficient balance in their general and margin account, partial or full fees does not get paid (0029-FEES-008) 1258 1259 Given the fees configuration named "fees-config-1": 1260 | maker fee | infrastructure fee | 1261 | 0.005 | 0.003 | 1262 1263 And the markets: 1264 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 1265 | ETH/DEC21 | ETH | ETH | default-simple-risk-model-2 | default-overkill-margin-calculator | 2 | fees-config-1 | default-none | default-eth-for-future | 0.55 | 0 | default-futures | 1266 1267 And the parties deposit on asset's general account the following amount: 1268 | party | asset | amount | 1269 | aux1 | ETH | 1000000000000 | 1270 | aux2 | ETH | 1000000000000 | 1271 | trader3a | ETH | 10000 | 1272 | trader3b | ETH | 30000 | 1273 1274 Then the parties place the following orders: 1275 | party | market id | side | volume | price | resulting trades | type | tif | reference | 1276 | aux1 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | aux-s-1 | 1277 | aux2 | ETH/DEC21 | buy | 1 | 1 | 0 | TYPE_LIMIT | TIF_GTC | aux-b-1 | 1278 | aux1 | ETH/DEC21 | sell | 10 | 180 | 0 | TYPE_LIMIT | TIF_GTC | aux-s-2 | 1279 | aux2 | ETH/DEC21 | buy | 10 | 180 | 0 | TYPE_LIMIT | TIF_GTC | aux-b-2 | 1280 1281 Then the opening auction period ends for market "ETH/DEC21" 1282 And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC21" 1283 And the mark price should be "180" for the market "ETH/DEC21" 1284 1285 When the parties place the following orders with ticks: 1286 | party | market id | side | volume | price | resulting trades | type | tif | reference | 1287 | aux1 | ETH/DEC21 | sell | 150 | 200 | 0 | TYPE_LIMIT | TIF_GTC | sell-provider-1 | 1288 | aux2 | ETH/DEC21 | buy | 50 | 190 | 0 | TYPE_LIMIT | TIF_GTC | buy-provider-1 | 1289 | aux2 | ETH/DEC21 | buy | 350 | 180 | 0 | TYPE_LIMIT | TIF_GTC | buy-provider-2 | 1290 1291 When the parties place the following orders with ticks: 1292 | party | market id | side | volume | price | resulting trades | type | tif | reference | 1293 | trader3a | ETH/DEC21 | sell | 100 | 180 | 2 | TYPE_LIMIT | TIF_GTC | ref-1 | 1294 | trader3b | ETH/DEC21 | sell | 300 | 180 | 1 | TYPE_LIMIT | TIF_GTC | ref-2 | 1295 And the network moves ahead "1" blocks 1296 1297 Then the following trades should be executed: 1298 | buyer | price | size | seller | 1299 | aux2 | 190 | 50 | trader3a | 1300 | aux2 | 180 | 50 | trader3a | 1301 | aux2 | 180 | 300 | trader3b | 1302 1303 Then the parties should have the following margin levels: 1304 | party | market id | maintenance | 1305 | trader3a | ETH/DEC21 | 9900 | 1306 | trader3b | ETH/DEC21 | 0 | 1307 1308 When the parties place the following orders with ticks: 1309 | party | market id | side | volume | price | resulting trades | type | tif | reference | 1310 | aux1 | ETH/DEC21 | sell | 500 | 350 | 0 | TYPE_LIMIT | TIF_GTC | sell-provider-2 | 1311 1312 And the parties place the following orders with ticks: 1313 | party | market id | side | volume | price | resulting trades | type | tif | reference | 1314 | aux2 | ETH/DEC21 | buy | 1 | 300 | 0 | TYPE_LIMIT | TIF_GTC | ref-2 | 1315 | aux1 | ETH/DEC21 | sell | 1 | 300 | 1 | TYPE_LIMIT | TIF_GTC | ref-1 | 1316 1317 And the mark price should be "300" for the market "ETH/DEC21" 1318 1319 Then the parties should have the following profit and loss: 1320 | party | volume | unrealised pnl | realised pnl | 1321 | trader3a | 0 | 0 | -9851 | 1322 | trader3b | 0 | 0 | -29568 | 1323 1324 # trade_value_for_fee_purposes for party 3a = size_of_trade * price_of_trade = 50 *190 = 9500 And 50 * 180 = 9000 1325 # maker_fee for party 3a = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 9500 = 47.5 = 48 (rounded up to nearest whole value) And 0.005 * 9000 = 45 1326 # infrastructure_fee for party 3a = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 9500 = 19 And 0.002 * 9000 = 18 + 19 = 37 1327 # trade_value_for_fee_purposes for party 3b = size_of_trade * price_of_trade = 300 *180 = 54000 1328 # maker_fee for party 3b = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 54000 = 270 1329 # infrastructure_fee for party 3b = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 54000 = 108 1330 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0 1331 1332 And the following transfers should happen: 1333 | from | to | from account | to account | market id | amount | asset | 1334 | trader3a | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 48 | ETH | 1335 | trader3a | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 45 | ETH | 1336 | trader3a | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | ETH/DEC21 | 56 | ETH | 1337 | trader3b | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 270 | ETH | 1338 | trader3b | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | ETH/DEC21 | 162 | ETH | 1339 | market | aux2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 48 | ETH | 1340 | market | aux2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 45 | ETH | 1341 | market | aux2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 270 | ETH | 1342 1343 Then the parties should have the following account balances: 1344 | party | asset | market id | margin | general | 1345 | trader3a | ETH | ETH/DEC21 | 0 | 0 | 1346 | trader3b | ETH | ETH/DEC21 | 0 | 0 | 1347 1348 And the insurance pool balance should be "0" for the market "ETH/DEC21" 1349 1350 Scenario: S020, Testing fees in continuous trading with two pegged trades and one liquidity providers (0029-FEES-002) 1351 1352 Given the average block duration is "1" 1353 And the fees configuration named "fees-config-1": 1354 | maker fee | infrastructure fee | 1355 | 0.005 | 0.002 | 1356 1357 And the markets: 1358 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 1359 | ETH/DEC21 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 0.1 | 0 | SLA | 1360 1361 # setup accounts 1362 Given the parties deposit on asset's general account the following amount: 1363 | party | asset | amount | 1364 | aux1 | ETH | 100000000 | 1365 | aux2 | ETH | 100000000 | 1366 | trader3a | ETH | 100000 | 1367 | trader4 | ETH | 100000 | 1368 1369 Then the parties place the following orders: 1370 | party | market id | side | volume | price | resulting trades | type | tif | 1371 | aux1 | ETH/DEC21 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 1372 | aux2 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 1373 | aux1 | ETH/DEC21 | buy | 1 | 920 | 0 | TYPE_LIMIT | TIF_GTC | 1374 | aux2 | ETH/DEC21 | sell | 1 | 1080 | 0 | TYPE_LIMIT | TIF_GTC | 1375 1376 Given the parties submit the following liquidity provision: 1377 | id | party | market id | commitment amount | fee | lp type | 1378 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | submission | 1379 | lp1 | aux1 | ETH/DEC21 | 10000 | 0.001 | amendment | 1380 And the parties place the following pegged iceberg orders: 1381 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 1382 | aux1 | ETH/DEC21 | 10 | 1 | buy | MID | 10 | 10 | 1383 | aux1 | ETH/DEC21 | 10 | 1 | sell | MID | 10 | 10 | 1384 1385 Then the opening auction period ends for market "ETH/DEC21" 1386 And the market data for the market "ETH/DEC21" should be: 1387 | mark price | trading mode | 1388 | 1000 | TRADING_MODE_CONTINUOUS | 1389 1390 And the order book should have the following volumes for market "ETH/DEC21": 1391 | side | price | volume | 1392 | buy | 920 | 1 | 1393 | buy | 990 | 10 | 1394 | sell | 1010 | 10 | 1395 | sell | 1080 | 1 | 1396 1397 Then the parties place the following orders with ticks: 1398 | party | market id | side | volume | price | resulting trades | type | tif | 1399 | trader3a | ETH/DEC21 | buy | 10 | 990 | 0 | TYPE_LIMIT | TIF_GTC | 1400 1401 And the market data for the market "ETH/DEC21" should be: 1402 | mark price | trading mode | 1403 | 1000 | TRADING_MODE_CONTINUOUS | 1404 1405 And the order book should have the following volumes for market "ETH/DEC21": 1406 | side | price | volume | 1407 | buy | 920 | 1 | 1408 | buy | 990 | 10 | 1409 | buy | 1025 | 10 | 1410 | sell | 1045 | 10 | 1411 | sell | 1080 | 1 | 1412 1413 Then the parties place the following orders with ticks: 1414 | party | market id | side | volume | price | resulting trades | type | tif | 1415 | trader4 | ETH/DEC21 | sell | 30 | 990 | 2 | TYPE_LIMIT | TIF_GTC | 1416 1417 Then the following trades should be executed: 1418 | buyer | price | size | seller | 1419 | trader3a | 990 | 10 | trader4 | 1420 | aux1 | 1025 | 10 | trader4 | 1421 1422 And the liquidity fee factor should be "0.001" for the market "ETH/DEC21" 1423 And the accumulated liquidity fees should be "21" for the market "ETH/DEC21" 1424 1425 Then the market data for the market "ETH/DEC21" should be: 1426 | mark price | trading mode | 1427 | 990 | TRADING_MODE_CONTINUOUS | 1428 1429 # For trader4 - 1430 1431 # trade_value_for_fee_purposes with trader3a = size_of_trade * price_of_trade = 10 * 990 = 9900 1432 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 9900 = 19.8 = 20 (rounded up to nearest whole value) 1433 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 9900 = 49.5 = 50 (rounded up to nearest whole value) 1434 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 9900 = 9.9 = 10 (rounded up to nearest whole value) 1435 1436 # trade_value_for_fee_purposes with trader4 = size_of_trade * price_of_trade = 9 * 1025 = 9225 1437 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.002 * 9255 = 18.45 = 19 (rounded up to nearest whole value) 1438 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.005 * 9255 = 46.125 = 47 (rounded up to nearest whole value) 1439 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 9255 = 9.225 = 10 (rounded up to nearest whole value) 1440 1441 And the following transfers should happen: 1442 | from | to | from account | to account | market id | amount | asset | 1443 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 50 | ETH | 1444 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 21 | ETH | 1445 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 41 | ETH | 1446 | market | trader3a | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 50 | ETH | 1447 | market | aux1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 52 | ETH | 1448 1449 # And the accumulated infrastructure fee should be "20" for the market "ETH/DEC21" 1450 And the accumulated liquidity fees should be "21" for the market "ETH/DEC21" 1451 1452 When the network moves ahead "11" blocks 1453 And the following transfers should happen: 1454 | from | to | from account | to account | market id | amount | asset | 1455 | market | aux1 | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | ETH/DEC21 | 21 | ETH | 1456 1457 Scenario: S021, Testing fees when network parameters are changed (in continuous trading with one trade and no liquidity providers) (0029-FEES-002, 0029-FEES-009) 1458 Description : Changing net params does change the fees being collected appropriately even if the market is already running 1459 1460 Given the fees configuration named "fees-config-1": 1461 | maker fee | infrastructure fee | 1462 | 0.005 | 0.002 | 1463 1464 And the markets: 1465 | id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | 1466 | ETH/DEC21 | ETH | ETH | simple-risk-model-1 | default-margin-calculator | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 0.1 | 0 | default-futures | 1467 Given the parties deposit on asset's general account the following amount: 1468 | party | asset | amount | 1469 | aux1 | ETH | 100000000 | 1470 | aux2 | ETH | 100000000 | 1471 | trader3 | ETH | 10000 | 1472 | trader4 | ETH | 10000 | 1473 | lpprov | ETH | 100000000 | 1474 1475 When the parties submit the following liquidity provision: 1476 | id | party | market id | commitment amount | fee | lp type | 1477 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 1478 | lp1 | lpprov | ETH/DEC21 | 90000000 | 0.1 | submission | 1479 And the parties place the following pegged iceberg orders: 1480 | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | 1481 | lpprov | ETH/DEC21 | 2 | 1 | buy | BID | 50 | 10 | 1482 | lpprov | ETH/DEC21 | 2 | 1 | sell | ASK | 50 | 10 | 1483 1484 Then the parties place the following orders: 1485 | party | market id | side | volume | price | resulting trades | type | tif | 1486 | aux1 | ETH/DEC21 | buy | 10 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 1487 | aux2 | ETH/DEC21 | sell | 10 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | 1488 | aux1 | ETH/DEC21 | buy | 1 | 900 | 0 | TYPE_LIMIT | TIF_GTC | 1489 | aux2 | ETH/DEC21 | sell | 1 | 1100 | 0 | TYPE_LIMIT | TIF_GTC | 1490 1491 Then the opening auction period ends for market "ETH/DEC21" 1492 And the market data for the market "ETH/DEC21" should be: 1493 | mark price | trading mode | 1494 | 1000 | TRADING_MODE_CONTINUOUS | 1495 When the parties place the following orders with ticks: 1496 | party | market id | side | volume | price | resulting trades | type | tif | 1497 | trader3 | ETH/DEC21 | buy | 3 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | 1498 1499 Then the parties should have the following account balances: 1500 | party | asset | market id | margin | general | 1501 | trader3 | ETH | ETH/DEC21 | 720 | 9280 | 1502 1503 And the accumulated liquidity fees should be "0" for the market "ETH/DEC21" 1504 And the accumulated infrastructure fees should be "0" for the asset "ETH" 1505 1506 # Changing net params fees factors 1507 And the following network parameters are set: 1508 | name | value | 1509 | market.fee.factors.makerFee | 0.05 | 1510 | market.fee.factors.infrastructureFee | 0.02 | 1511 1512 Then the parties place the following orders with ticks: 1513 | party | market id | side | volume | price | resulting trades | type | tif | 1514 | trader4 | ETH/DEC21 | sell | 4 | 1002 | 1 | TYPE_LIMIT | TIF_GTC | 1515 1516 And the market data for the market "ETH/DEC21" should be: 1517 | mark price | trading mode | 1518 | 1002 | TRADING_MODE_CONTINUOUS | 1519 1520 Then the following trades should be executed: 1521 | buyer | price | size | seller | 1522 | trader3 | 1002 | 3 | trader4 | 1523 1524 # trade_value_for_fee_purposes = size_of_trade * price_of_trade = 3 *1002 = 3006 1525 # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.02 * 3006 = 60.12 = 61 (rounded up to nearest whole value) 1526 # maker_fee = fee_factor[maker] * trade_value_for_fee_purposes = 0.05 * 3006 = 150.30 = 151 (rounded up to nearest whole value) 1527 # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0 * 3006 = 0 1528 1529 And the following transfers should happen: 1530 | from | to | from account | to account | market id | amount | asset | 1531 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | ETH/DEC21 | 151 | ETH | 1532 | trader4 | | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | | 61 | ETH | 1533 | trader4 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | ETH/DEC21 | 301 | ETH | 1534 | market | trader3 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | ETH/DEC21 | 151 | ETH | 1535 1536 # total_fee = infrastructure_fee + maker_fee + liquidity_fee = 61 + 151 + 0 = 212 1537 1538 And the accumulated infrastructure fees should be "61" for the asset "ETH" 1539 And the accumulated liquidity fees should be "301" for the market "ETH/DEC21"