code.vegaprotocol.io/vega@v0.79.0/core/integration/features/verified/Margin-Levels.feature

Feature: Check the margin scaling levels (maintenance, search, initial, release) are correctly applied to the maintenance margin that is calculated by the risk model

  Background:
    Given the log normal risk model named "log-normal-risk-model-1":
      | risk aversion | tau | mu | r | sigma |
      | 0.000001      | 0.1 | 0  | 0 | 1.0   |
    #risk factor short = 3.55690359157934000
    #risk factor long = 0.801225765
    And the margin calculator named "margin-calculator-0":
      | search factor | initial factor | release factor |
      | 1.2           | 1.5            | 2              |
    And the margin calculator named "margin-calculator-1":
      | search factor | initial factor | release factor |
      | 1.5           | 2              | 3              |

    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 | BTC | USD | log-normal-risk-model-1 | margin-calculator-1 | 1 | default-none | default-none | default-eth-for-future | 1e0 | 0 | default-futures |
      | ETH/DEC20 | BTC | USD | log-normal-risk-model-1 | margin-calculator-0 | 1 | default-none | default-none | default-eth-for-future | 1e0 | 0 | default-futures |
    And the following network parameters are set:
      | name                                    | value |
      | market.auction.minimumDuration          | 1     |
      | network.markPriceUpdateMaximumFrequency | 0s    |
      | limits.markets.maxPeggedOrders          | 4     |

  @SLABug
  Scenario: 0010-MARG-015,0010-MARG-016,0010-MARG-017
    Given the parties deposit on asset's general account the following amount:
      | party       | asset | amount        |
      | auxiliary1  | USD   | 1000000000000 |
      | auxiliary2  | USD   | 1000000000000 |
      | auxiliary10 | USD   | 1000000000000 |
      | auxiliary20 | USD   | 1000000000000 |
      | trader2     | USD   | 10000         |
      | trader3     | USD   | 9000          |
      | trader20    | USD   | 10000         |
      | trader30    | USD   | 9000          |
      | lprov       | USD   | 1000000000000 |

    When the parties submit the following liquidity provision:
      | id  | party | market id | commitment amount | fee   | lp type    |
      | lp1 | lprov | ETH/DEC19 | 100000            | 0.001 | submission |
      | lp1 | lprov | ETH/DEC19 | 100000            | 0.001 | amendmend  |
      | lp0 | lprov | ETH/DEC20 | 100000            | 0.001 | submission |
      | lp0 | lprov | ETH/DEC20 | 100000            | 0.001 | amendmend  |

    # place auxiliary orders so we always have best bid and best offer as to not trigger the liquidity auction
    # trading happens at the end of the open auction period
    Then the parties place the following orders:
      | party      | market id | side | volume | price | resulting trades | type       | tif     |
      | auxiliary2 | ETH/DEC19 | buy  | 5      | 5     | 0                | TYPE_LIMIT | TIF_GTC |
      | auxiliary1 | ETH/DEC19 | sell | 10     | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
      | auxiliary2 | ETH/DEC19 | buy  | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC |
      | auxiliary1 | ETH/DEC19 | sell | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC |
      | auxiliary2 | ETH/DEC20 | buy  | 5      | 5     | 0                | TYPE_LIMIT | TIF_GTC |
      | auxiliary1 | ETH/DEC20 | sell | 10     | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
      | auxiliary2 | ETH/DEC20 | buy  | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC |
      | auxiliary1 | ETH/DEC20 | sell | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC |
      | lprov      | ETH/DEC19 | sell | 100    | 1005  | 0                | TYPE_LIMIT | TIF_GTC |
      | lprov      | ETH/DEC19 | buy  | 100000 | 1     | 0                | TYPE_LIMIT | TIF_GTC |
      | lprov      | ETH/DEC20 | sell | 100    | 1005  | 0                | TYPE_LIMIT | TIF_GTC |
      | lprov      | ETH/DEC20 | buy  | 100000 | 1     | 0                | TYPE_LIMIT | TIF_GTC |

    When the network moves ahead "2" blocks
    #When the opening auction period ends for market "ETH/DEC19"
    #When the opening auction period ends for market "ETH/DEC20"
    Then the mark price should be "10" for the market "ETH/DEC19"
    And the mark price should be "10" for the market "ETH/DEC20"

    # setup trader2 position to be ready to takeover trader3's position once trader3 is closed out
    When the parties place the following orders with ticks:
      | party    | market id | side | volume | price | resulting trades | type       | tif     | reference   |
      | trader2  | ETH/DEC19 | buy  | 40     | 50    | 0                | TYPE_LIMIT | TIF_GTC | buy-order-3 |
      | trader20 | ETH/DEC20 | buy  | 40     | 50    | 0                | TYPE_LIMIT | TIF_GTC | buy-order-4 |

    And the parties should have the following margin levels:
      | party    | market id | maintenance | search | initial | release |
      | trader2  | ETH/DEC19 | 321         | 481    | 642     | 963     |
      | trader20 | ETH/DEC20 | 321         | 385    | 481     | 642     |

    # margin level = OrderSize*MarkPrice*RF = 40*10*0.801225765=321

    Then the parties should have the following account balances:
      | party    | asset | market id | margin | general |
      | trader2  | USD   | ETH/DEC19 | 642    | 9358    |
      | trader20 | USD   | ETH/DEC20 | 481    | 9519    |

    When the parties place the following orders with ticks:
      | party       | market id | side | volume | price | resulting trades | type       | tif     | reference   |
      | auxiliary1  | ETH/DEC19 | sell | 40     | 50    | 1                | TYPE_LIMIT | TIF_GTC | buy-order-5 |
      | auxiliary10 | ETH/DEC20 | sell | 40     | 50    | 1                | TYPE_LIMIT | TIF_GTC | buy-order-6 |

    Then the parties should have the following profit and loss:
      | party    | volume | unrealised pnl | realised pnl |
      | trader2  | 40     | 0              | 0            |
      | trader20 | 40     | 0              | 0            |

    Then the order book should have the following volumes for market "ETH/DEC19":
      | side | price | volume |
      | sell | 1005  | 100    |
      | sell | 1000  | 10     |
      | buy  | 5     | 5      |
      | buy  | 1     | 100000 |

    Then the order book should have the following volumes for market "ETH/DEC20":
      | side | price | volume |
      | sell | 1005  | 100    |
      | sell | 1000  | 10     |
      | buy  | 5     | 5      |
      | buy  | 1     | 100000 |

    # check margin initial level
    # trader2 and trader20 have open position of 40 now
    And the parties should have the following margin levels:
      | party    | market id | maintenance | search | initial | release |
      | trader2  | ETH/DEC19 | 3602        | 5403   | 7204    | 10806   |
      | trader20 | ETH/DEC20 | 3602        | 4322   | 5403    | 7204    |
#maintenance_margin_trader2: 40*(50-5)+40*50*0.801225765=3402

    Then the parties should have the following account balances:
      | party    | asset | market id | margin | general |
      | trader2  | USD   | ETH/DEC19 | 7204   | 2796    |
      | trader20 | USD   | ETH/DEC20 | 5403   | 4597    |

    # move mark price from 50 to 20, MTM, hence cash flow beween margin and general account for trader2 and trader20
    When the parties place the following orders with ticks:
      | party       | market id | side | volume | price | resulting trades | type       | tif     | reference    |
      | auxiliary1  | ETH/DEC19 | buy  | 1      | 20    | 0                | TYPE_LIMIT | TIF_GTC | buy-order-4  |
      | auxiliary10 | ETH/DEC19 | sell | 1      | 20    | 1                | TYPE_LIMIT | TIF_GTC | sell-order-4 |
      | auxiliary1  | ETH/DEC20 | buy  | 1      | 20    | 0                | TYPE_LIMIT | TIF_GTC | buy-order-5  |
      | auxiliary10 | ETH/DEC20 | sell | 1      | 20    | 1                | TYPE_LIMIT | TIF_GTC | sell-order-5 |

    Then the parties should have the following profit and loss:
      | party    | volume | unrealised pnl | realised pnl |
      | trader2  | 40     | -1200          | 0            |
      | trader20 | 40     | -1200          | 0            |

    And the parties should have the following margin levels:
      | party    | market id | maintenance | search | initial | release |
      | trader2  | ETH/DEC19 | 1441        | 2161   | 2882    | 4323    |
      | trader20 | ETH/DEC20 | 1441        | 1729   | 2161    | 2882    |

    Then the parties should have the following account balances:
      | party    | asset | market id | margin | general |
      | trader2  | USD   | ETH/DEC19 | 2882   | 5918    |
      | trader20 | USD   | ETH/DEC20 | 2161   | 6639    |

# check margin release level
# MTM process will reduce (50-20)*40=1200 from general account
# for trader2: MTM brings margin account from 3204 to 2204 which is above release level, so margin account has been set to initial level: 1282
# for trader 20: MTM brings margin account from 2403 to 1203 which is below release level, so margin account is kept at 1203

    When the parties place the following orders with ticks:
      | party       | market id | side | volume | price | resulting trades | type       | tif     | reference    |
      | trader2     | ETH/DEC19 | sell | 40     | 50    | 0                | TYPE_LIMIT | TIF_GTC | sell-order-6 |
      | trader20    | ETH/DEC20 | sell | 40     | 50    | 0                | TYPE_LIMIT | TIF_GTC | sell-order-6 |
      | auxiliary1  | ETH/DEC19 | buy  | 40     | 50    | 1                | TYPE_LIMIT | TIF_GTC | buy-order-6  |
      | auxiliary10 | ETH/DEC20 | buy  | 40     | 50    | 1                | TYPE_LIMIT | TIF_GTC | buy-order-6  |

    Then the parties should have the following profit and loss:
      | party    | volume | unrealised pnl | realised pnl |
      | trader2  | 0      | 0              | 0            |
      | trader20 | 0      | 0              | 0            |

    And the parties should have the following margin levels:
      | party    | market id | maintenance | search | initial | release |
      | trader2  | ETH/DEC19 | 0           | 0      | 0       | 0       |
      | trader20 | ETH/DEC20 | 0           | 0      | 0       | 0       |

    Then the parties should have the following account balances:
      | party    | asset | market id | margin | general |
      | trader2  | USD   | ETH/DEC19 | 0      | 10000   |
      | trader20 | USD   | ETH/DEC20 | 0      | 10000   |

    When the parties place the following orders with ticks:
      | party       | market id | side | volume | price | resulting trades | type       | tif     | reference    |
      | trader2     | ETH/DEC19 | sell | 20     | 50    | 0                | TYPE_LIMIT | TIF_GTC | sell-order-6 |
      | trader20    | ETH/DEC20 | sell | 20     | 50    | 0                | TYPE_LIMIT | TIF_GTC | sell-order-6 |
      | auxiliary1  | ETH/DEC19 | buy  | 20     | 50    | 1                | TYPE_LIMIT | TIF_GTC | buy-order-6  |
      | auxiliary10 | ETH/DEC20 | buy  | 20     | 50    | 1                | TYPE_LIMIT | TIF_GTC | buy-order-6  |

    Then the parties should have the following profit and loss:
      | party    | volume | unrealised pnl | realised pnl |
      | trader2  | -20 | 0 | 0 |
      | trader20 | -20 | 0 | 0 |

    And the parties should have the following margin levels:
      | party    | market id | maintenance | search | initial | release |
      | trader2  | ETH/DEC19 | 4557        | 6835   | 9114    | 13671   |
      | trader20 | ETH/DEC20 | 4557        | 5468   | 6835    | 9114    |

    Then the parties should have the following account balances:
      | party    | asset | market id | margin | general |
      | trader2  | USD   | ETH/DEC19 | 7114   | 2886    |
      | trader20 | USD   | ETH/DEC20 | 6835   | 3165    |

  @Liquidation
  Scenario: Assure initial margin requirement must be met
    Given the parties deposit on asset's general account the following amount:
      | party      | asset | amount        |
      | lprov      | USD   | 1000000000000 |
      | auxiliary1 | USD   | 1000000000000 |
      | auxiliary2 | USD   | 1000000000000 |
      | trader1    | USD   | 711           |
      | trader2    | USD   | 712           |
      | trader3    | USD   | 321           |
      | trader4    | USD   | 40            |
    And the parties submit the following liquidity provision:
      | id  | party | market id | commitment amount | fee  | lp type    |
      | lp1 | lprov | ETH/DEC19 | 100000            | 0.00 | submission |
      | lp1 | lprov | ETH/DEC19 | 100000            | 0.00 | amendmend  |
    And the parties place the following pegged iceberg orders:
      | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
      | lprov | ETH/DEC19 | 2         | 1                    | sell | ASK              | 100    | 55     |
      | lprov | ETH/DEC19 | 2         | 1                    | buy  | BID              | 100    | 55     |
    And the parties place the following orders:
      | party      | market id | side | volume | price | resulting trades | type       | tif     | reference  |
      | auxiliary2 | ETH/DEC19 | buy  | 5      | 5     | 0                | TYPE_LIMIT | TIF_GTC | aux-b-5    |
      | auxiliary1 | ETH/DEC19 | sell | 10     | 15    | 0                | TYPE_LIMIT | TIF_GTC | aux-s-1000 |
      | auxiliary2 | ETH/DEC19 | buy  | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC | aux-b-1    |
      | auxiliary1 | ETH/DEC19 | sell | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC | aux-s-1    |

    When the opening auction period ends for market "ETH/DEC19"
    Then the market data for the market "ETH/DEC19" should be:
      | mark price | trading mode            | open interest |
      | 10         | TRADING_MODE_CONTINUOUS | 10            |

    When the parties place the following orders:
      | party   | market id | side | volume | price | resulting trades | type       | tif     | error               |
      | trader1 | ETH/DEC19 | sell | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC | margin check failed |
      | trader2 | ETH/DEC19 | sell | 1      | 10    | 0                | TYPE_LIMIT | TIF_GTC |                     |

    When the parties deposit on asset's general account the following amount:
      | party   | asset | amount |
      | trader1 | USD   | 1      |
    And the parties place the following orders:
      | party   | market id | side | volume | price | resulting trades | type       | tif     |
      | trader1 | ETH/DEC19 | sell | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC |
      | trader2 | ETH/DEC19 | sell | 9      | 10    | 0                | TYPE_LIMIT | TIF_GTC |
    # both parties end up with same margin levels and account balances
    Then the parties should have the following margin levels:
      | party   | market id | maintenance | search | initial | release |
      | trader1 | ETH/DEC19 | 356         | 534    | 712     | 1068    |
      | trader2 | ETH/DEC19 | 356         | 534    | 712     | 1068    |
    And the parties should have the following account balances:
      | party   | asset | market id | margin | general |
      | trader1 | USD   | ETH/DEC19 | 712    | 0       |
      | trader2 | USD   | ETH/DEC19 | 712    | 0       |

    When the parties place the following orders:
      | party   | market id | side | volume | price | resulting trades | type       | tif     | error               |
      | trader3 | ETH/DEC19 | buy  | 20     | 15    | 0                | TYPE_LIMIT | TIF_FOK | margin check failed |

    When the parties deposit on asset's general account the following amount:
      | party   | asset | amount |
      | trader3 | USD   | 41     |
    And the parties place the following orders:
      | party   | market id | side | volume | price | resulting trades | type       | tif     |
      | trader3 | ETH/DEC19 | buy  | 20     | 15    | 3                | TYPE_LIMIT | TIF_FOK |
    # trader2 maintenance margin = 10 * 10 * 3.556903591 = 356
    # trader3 maintenance margin = 20 * 10 * 0.801225765 = 161
    Then the parties should have the following margin levels:
      | party   | market id | maintenance | search | initial | release |
      | trader1 | ETH/DEC19 | 356         | 534    | 712     | 1068    |
      | trader2 | ETH/DEC19 | 356         | 534    | 712     | 1068    |
      | trader3 | ETH/DEC19 | 161         | 241    | 322     | 483     |
    And the parties should have the following account balances:
      | party   | asset | market id | margin | general |
      | trader1 | USD   | ETH/DEC19 | 712    | 0       |
      | trader2 | USD   | ETH/DEC19 | 712    | 0       |
      | trader3 | USD   | ETH/DEC19 | 322    | 40      |

    When the network moves ahead "1" blocks
    Then debug trades
    Then the parties should have the following profit and loss:
      | party   | volume | unrealised pnl | realised pnl |
      | trader1 | -10    | 0              | 0            |
      | trader2 | -10    | 0              | 0            |
      | trader3 | 20     | 0              | 0            |

    # both parties end up with same margin levels and account balances
    And the parties should have the following margin levels:
      | party   | market id | maintenance | search | initial | release |
      | trader1 | ETH/DEC19 | 456         | 684    | 912     | 1368    |
      | trader2 | ETH/DEC19 | 456         | 684    | 912     | 1368    |
      | trader3 | ETH/DEC19 | 361         | 541    | 722     | 1083    |
    And the parties should have the following account balances:
      | party   | asset | market id | margin | general |
      | trader1 | USD   | ETH/DEC19 | 712    | 0       |
      | trader2 | USD   | ETH/DEC19 | 712    | 0       |
      | trader3 | USD   | ETH/DEC19 | 362    | 0       |

    # party places a limit order that would reduce its exposure once it fills
    When the parties place the following orders with ticks:
      | party   | market id | side | volume | price | resulting trades | type       | tif     |
      | trader3 | ETH/DEC19 | sell | 1      | 10    | 0                | TYPE_LIMIT | TIF_GTC |
    Then the parties should have the following margin levels:
      | party   | market id | maintenance | initial |
      | trader3 | ETH/DEC19 | 361         | 722     |

    When the parties place the following orders with ticks:
      | party      | market id | side | volume | price | resulting trades | type       | tif     |
      | auxiliary2 | ETH/DEC19 | buy  | 2      | 10    | 1                | TYPE_LIMIT | TIF_GTC |
    Then the parties should have the following profit and loss:
      | party   | volume | unrealised pnl | realised pnl |
      | trader3 | 19     | 0              | 0            |
    And the parties should have the following margin levels:
      | party   | market id | maintenance | initial |
      | trader3 | ETH/DEC19 | 343         | 686     |

    When the parties place the following orders with ticks:
      | party   | market id | side | volume | price | resulting trades | type       | tif     |
      | trader3 | ETH/DEC19 | sell | 18     | 10    | 1                | TYPE_LIMIT | TIF_GTC |
    Then the parties should have the following profit and loss:
      | party   | volume | unrealised pnl | realised pnl |
      | trader3 | 18     | 0              | 0            |
    And the parties should have the following margin levels:
      | party   | market id | maintenance | initial |
      | trader3 | ETH/DEC19 | 325         | 650     |

    # position is long so extra buy order not allowed to skip margin check
    When the parties place the following orders with ticks:
      | party   | market id | side | volume | price | resulting trades | type       | tif     | error               |
      | trader3 | ETH/DEC19 | buy  | 1      | 10    | 0                | TYPE_LIMIT | TIF_GTC | margin check failed |

    # position would get flipped if order got filled
    When the parties place the following orders with ticks:
      | party   | market id | side | volume | price | resulting trades | type        | tif     | error               |
      | trader3 | ETH/DEC19 | sell | 19     | 0     | 0                | TYPE_MARKET | TIF_FOK | margin check failed |

    When the parties place the following orders with ticks:
      | party   | market id | side | volume | price | resulting trades | type        | tif     |
      | trader3 | ETH/DEC19 | sell | 1      | 0     | 1                | TYPE_MARKET | TIF_FOK |
    Then the parties should have the following profit and loss:
      | party   | volume | unrealised pnl | realised pnl |
      | trader3 | 17     | -85            | -5           |
    And the parties should have the following margin levels:
      | party   | market id | maintenance | initial |
      | trader3 | ETH/DEC19 | 154         | 308     |

    And the parties place the following orders:
      | party      | market id | side | volume | price | resulting trades | type       | tif     | reference  |
      | auxiliary2 | ETH/DEC19 | buy  | 5      | 5     | 0                | TYPE_LIMIT | TIF_GTC | aux-b-5    |
      | auxiliary1 | ETH/DEC19 | sell | 10     | 15    | 0                | TYPE_LIMIT | TIF_GTC | aux-s-1000 |

    When the parties place the following orders with ticks:
      | party      | market id | side | volume | price | resulting trades | type        | tif     |
      | trader3    | ETH/DEC19 | sell | 17     | 0     | 0                | TYPE_MARKET | TIF_FOK |
      | auxiliary2 | ETH/DEC19 | buy  | 20     | 10    | 1                | TYPE_LIMIT  | TIF_GTC |
    Then the parties should have the following profit and loss:
      | party   | volume | unrealised pnl | realised pnl |
      | trader3 | 0      | 0              | -5           |
    And the parties should have the following margin levels:
      | party   | market id | maintenance | initial |
      | trader3 | ETH/DEC19 | 0           | 0       |
    And the parties should have the following account balances:
      | party   | asset | market id | margin | general |
      | trader3 | USD   | ETH/DEC19 | 0      | 357     |

    And the market data for the market "ETH/DEC19" should be:
      | mark price | trading mode            | auction trigger             | target stake | supplied stake | open interest |
      | 10         | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 10670        | 100000         | 30            |