code.vegaprotocol.io/vega@v0.79.0/core/integration/features/verified/Negative-Position-Decimal-Places.feature

Feature: test negative PDP (position decimal places)
    Background:
        Given the following network parameters are set:
            | name                                    | value |
            | market.liquidity.bondPenaltyParameter   | 0.2   |
            | network.markPriceUpdateMaximumFrequency | 0s    |
            | limits.markets.maxPeggedOrders          | 4     |
        Given the liquidity monitoring parameters:
            | name       | triggering ratio | time window | scaling factor |
            | lqm-params | 0.10             | 24h         | 1.0            |

        And the following assets are registered:
            | id  | decimal places |
            | ETH | 5              |
            | USD | 2              |
        And the average block duration is "1"
        And 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: 3.5569036
        #risk factor long: 0.801225765

        And the fees configuration named "fees-config-1":
            | maker fee | infrastructure fee |
            | 0.004     | 0.001              |
        And the price monitoring named "price-monitoring-1":
            | horizon | probability | auction extension |
            | 360000  | 0.99        | 300               |
        And the liquidity sla params named "SLA-1":
            | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
            | 0.99        | 0.5                          | 1                             | 1.0                    |
        And the liquidity sla params named "SLA-2":
            | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
            | 0.000001    | 0.5                          | 1                             | 1.0                    |
        And the markets:
            | id        | quote name | asset | liquidity monitoring | risk model              | margin calculator         | auction duration | fees          | price monitoring   | data source config     | decimal places | position decimal places | linear slippage factor | quadratic slippage factor | sla params |
            | USD/DEC22 | USD        | ETH   | lqm-params           | log-normal-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | default-eth-for-future | 5              | -1                      | 0.25                   | 0                         | SLA-1      |
            | USD/DEC23 | USD        | ETH   | lqm-params           | log-normal-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | default-eth-for-future | 2              | -2                      | 0.25                   | 0                         | SLA-2      |
        And the parties deposit on asset's general account the following amount:
            | party  | asset | amount    |
            | party0 | ETH   | 5000000   |
            | party1 | ETH   | 100000000 |
            | party2 | ETH   | 100000000 |
            | party3 | ETH   | 100000000 |
            | lpprov | ETH   | 100000000 |

    @Now
    Scenario: 001, test negative PDP when trading mode is auction (0019-MCAL-010)

        When  the parties submit the following liquidity provision:
            | id  | party  | market id | commitment amount | fee   | lp type    |
            | lp7 | party0 | USD/DEC22 | 1000              | 0.001 | submission |
            | lp7 | party0 | USD/DEC22 | 1000              | 0.001 | amendment  |
            | lp6 | lpprov | USD/DEC22 | 4000              | 0.001 | submission |
            | lp6 | lpprov | USD/DEC22 | 4000              | 0.001 | amendment  |
        And the parties place the following pegged iceberg orders:
            | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
            | party0 | USD/DEC22 | 11        | 1                    | sell | ASK              | 11     | 20     |
            | party0 | USD/DEC22 | 11        | 1                    | buy  | BID              | 11     | 20     |
            | lpprov | USD/DEC22 | 4         | 1                    | sell | ASK              | 4      | 20     |
            | lpprov | USD/DEC22 | 4         | 1                    | buy  | BID              | 4      | 20     |

        And the parties place the following orders:
            | party  | market id | side | volume | price | resulting trades | type       | tif     | reference   |
            | party1 | USD/DEC22 | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | buy-ref-2a  |
            | party2 | USD/DEC22 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | sell-ref-3a |
            | party0 | USD/DEC22 | buy  | 1      | 900   | 0                | TYPE_LIMIT | TIF_GTC | buy-ref-1a  |
            | party0 | USD/DEC22 | sell | 1      | 1100  | 0                | TYPE_LIMIT | TIF_GTC | sell-ref-4a |

        Then the market data for the market "USD/DEC22" should be:
            | target stake | supplied stake |
            | 35569        | 5000           |
        And the parties should have the following account balances:
            | party  | asset | market id | margin | general  | bond |
            | party0 | ETH   | USD/DEC22 | 46951  | 4952049  | 1000 |
            | party1 | ETH   | USD/DEC22 | 9609   | 99990391 |      |
            | party2 | ETH   | USD/DEC22 | 42684  | 99957316 |      |

        # target stake= vol * mark price * rf = 1*10*1000*3.5569036*10 = 35569
        When the opening auction period ends for market "USD/DEC22"
        And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "USD/DEC22"
        And the mark price should be "1000" for the market "USD/DEC22"

        Then the parties should have the following account balances:
            | party  | asset | market id | margin | general  | bond |
            | party0 | ETH   | USD/DEC22 | 512194 | 4486806  | 1000 |
            | party1 | ETH   | USD/DEC22 | 12609  | 99987391 |      |
            | party2 | ETH   | USD/DEC22 | 42684  | 99957316 |      |

        And the parties should have the following margin levels:
            | party  | market id | maintenance |
            | party0 | USD/DEC22 | 426829      |
            | party1 | USD/DEC22 | 10508       |
            | party2 | USD/DEC22 | 38070       |

    @Now
    Scenario: 002, test negative PDP when trading mode is continuous (0003-MTMK-014, 0019-MCAL-010, 0029-FEES-014)
        Given the parties submit the following liquidity provision:
            | id  | party  | market id | commitment amount | fee   | lp type    |
            | lp2 | party0 | USD/DEC22 | 35569             | 0.001 | submission |

        And the parties place the following pegged iceberg orders:
            | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
            | party0 | USD/DEC22 | 2         | 1                    | sell | ASK              | 500    | 20     |
            | party0 | USD/DEC22 | 2         | 1                    | buy  | BID              | 500    | 20     |

        # LP places limit orders which oversupply liquidity
        And the parties place the following orders:
            | party  | market id | side | volume | price | type       | tif     |
            | party0 | USD/DEC22 | sell | 1481   | 13    | TYPE_LIMIT | TIF_GTC |
            | party0 | USD/DEC22 | buy  | 1206   | 8     | TYPE_LIMIT | TIF_GTC |

        And the parties place the following orders:
            | party  | market id | side | volume | price | resulting trades | type       | tif     | reference  |
            | party1 | USD/DEC22 | buy  | 5      | 8     | 0                | TYPE_LIMIT | TIF_GTC | buy-ref-1  |
            | party1 | USD/DEC22 | buy  | 1      | 9     | 0                | TYPE_LIMIT | TIF_GTC | buy-ref-1  |
            | party1 | USD/DEC22 | buy  | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC | buy-ref-2  |
            | party2 | USD/DEC22 | sell | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC | sell-ref-3 |
            | party2 | USD/DEC22 | sell | 1      | 10    | 0                | TYPE_LIMIT | TIF_GTC | sell-ref-1 |
            | party2 | USD/DEC22 | sell | 5      | 11    | 0                | TYPE_LIMIT | TIF_GTC | sell-ref-2 |

        When the opening auction period ends for market "USD/DEC22"
        Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "USD/DEC22"
        And the auction ends with a traded volume of "10" at a price of "10"

        And the market data for the market "USD/DEC22" should be:
            | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest |
            | 10         | TRADING_MODE_CONTINUOUS | 360000  | 8         | 13        | 3556         | 35569          | 10            |
        # target stake = 10*10*10*3.5569036=3556



        And the parties should have the following account balances:
            | party  | asset | market id | margin | general  | bond  |
            | party0 | ETH   | USD/DEC22 | 821773 | 4142658  | 35569 |
            | party1 | ETH   | USD/DEC22 | 1838   | 99998162 |       |
            | party2 | ETH   | USD/DEC22 | 7042   | 99992958 |       |

        And the parties should have the following margin levels:
            | party  | market id | maintenance |
            | party0 | USD/DEC22 | 704623      |
            | party1 | USD/DEC22 | 1532        |
            | party2 | USD/DEC22 | 5942        |

        #risk factor short: 3.5569036
        #risk factor long: 0.801225765
        # Margin_maintenance_party0 = max((1481+500)*10*3.5569036*10,1206*10*0.801225765*10)=704623
        And the following trades should be executed:
            | buyer  | price | size | seller |
            | party1 | 10    | 10   | party2 |

        Then the parties should have the following profit and loss:
            | party  | volume | unrealised pnl | realised pnl |
            | party1 | 10     | 0              | 0            |
            | party2 | -10    | 0              | 0            |

        Then the order book should have the following volumes for market "USD/DEC22":
            | side | price | volume |
            | sell | 13    | 1481   |
            | sell | 11    | 5      |
            | sell | 10    | 1      |
            | buy  | 9     | 1      |
            | buy  | 8     | 1211   |

        And the parties place the following orders with ticks:
            | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
            | party3 | USD/DEC22 | sell | 1      | 9     | 1                | TYPE_LIMIT | TIF_GTC | buy-ref-3 |

        And the following trades should be executed:
            | seller | price | size | buyer  |
            | party3 | 9     | 1    | party1 |

        # trade_value_for_fee_purposes for party3: size_of_trade * price_of_trade = 1*10 * 9 = 90
        # infrastructure_fee = fee_factor[infrastructure] * trade_value_for_fee_purposes = 0.001 * 90 = 0.09 =1 (rounded up to nearest whole value)
        # maker_fee =  fee_factor[maker]  * trade_value_for_fee_purposes = 0.004 * 90 = 0.36 =1 (rounded up to nearest whole value)
        # liquidity_fee = fee_factor[liquidity] * trade_value_for_fee_purposes = 0.001 * 90= 0.09 =1 (rounded up to nearest whole value)

        And the following transfers should happen:
            | from   | to     | from account            | to account                       | market id | amount | asset |
            | party3 | market | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_FEES_MAKER          | USD/DEC22 | 1      | ETH   |
            | party3 |        | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_FEES_INFRASTRUCTURE |           | 1      | ETH   |
            | market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL             | USD/DEC22 | 1      | ETH   |

        Then the parties should have the following profit and loss:
            | party  | volume | unrealised pnl | realised pnl |
            | party1 | 11     | -100           | 0            |
            | party2 | -10    | 100            | 0            |
            | party3 | -1     | 0              | 0            |
            | party0 | 0      | 0              | 0            |

        #MTM with price change from 10 to 9, party1 has long position of volume 10, price 10 ->9, MTM -1*10*10*1=-100; party2 has short position of volume 10, price 10 ->9, MTM 10*10*1=100;
        And the parties should have the following account balances:
            | party  | asset | market id | margin | general  | bond  |
            | party0 | ETH   | USD/DEC22 | 821773 | 4142658  | 35569 |
            | party1 | ETH   | USD/DEC22 | 1738   | 99998163 |       |
            | party2 | ETH   | USD/DEC22 | 7142   | 99992958 |       |
        # Margin_maintenance_party0 = max(1481*10*3.5569036*9,1206*10*0.801225765*9)=474100
        And the parties should have the following margin levels:
            | party  | market id | maintenance |
            | party0 | USD/DEC22 | 634161      |
            | party1 | USD/DEC22 | 1401        |
            | party2 | USD/DEC22 | 5347        |

        #party3 place order at price 8 to change the mark price again
        And the parties place the following orders with ticks:
            | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
            | party3 | USD/DEC22 | sell | 1      | 8     | 1                | TYPE_LIMIT | TIF_GTC | buy-ref-3 |

        And the following trades should be executed:
            | seller | price | size | buyer  |
            | party3 | 9     | 1    | party1 |

        And the market data for the market "USD/DEC22" should be:
            | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest |
            | 8          | TRADING_MODE_CONTINUOUS | 360000  | 8         | 13        | 3414         | 35569          | 12            |

        Then the parties should have the following profit and loss:
            | party  | volume | unrealised pnl | realised pnl |
            | party1 | 11     | -210           | 0            |
            | party2 | -10    | 200            | 0            |
            | party3 | -2     | 10             | 0            |
            | party0 | 1      | 0              | 0            |

        #MTM with price change from 9 to 8, party1 has long position of volume 11, price 9 ->8, MTM -1*11*10*1=-110; party2 has short position of volume 10, price 10 ->9, MTM 10*10*1=100;
        And the parties should have the following account balances:
            | party  | asset | market id | margin | general  | bond  |
            | party0 | ETH   | USD/DEC22 | 676438 | 4287994  | 35569 |
            | party1 | ETH   | USD/DEC22 | 1628   | 99998163 |       |
            | party2 | ETH   | USD/DEC22 | 5703   | 99994497 |       |
        # Margin_maintenance_party0 = max(1981*10*3.5569036*8,1206*10*0.801225765*8)=563699
        And the parties should have the following margin levels:
            | party  | market id | maintenance |
            | party0 | USD/DEC22 | 563699      |
            | party1 | USD/DEC22 | 1245        |
            | party2 | USD/DEC22 | 4753        |

    Scenario: Assure LP orders never trade on entry, even with spread of 1 tick and extremely small LP price range
        Given the parties deposit on asset's general account the following amount:
            | party  | asset | amount     |
            | party0 | ETH   | 1000000000 |
            | party1 | ETH   | 1000000000 |
            | party2 | ETH   | 10000      |
        And the parties submit the following liquidity provision:
            | id  | party  | market id | commitment amount | fee   | lp type    |
            | lp1 | party0 | USD/DEC23 | 40000000          | 0.001 | submission |

        And the parties place the following pegged iceberg orders:
            | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
            | party0 | USD/DEC23 | 39        | 1                    | sell | MID              | 39     | 1      |
            | party0 | USD/DEC23 | 45        | 1                    | buy  | MID              | 45     | 1      |
        And the parties place the following orders:
            | party  | market id | side | volume | price | resulting trades | type       | tif     |
            | party1 | USD/DEC23 | buy  | 5      | 8     | 0                | TYPE_LIMIT | TIF_GTC |
            | party1 | USD/DEC23 | buy  | 1      | 9     | 0                | TYPE_LIMIT | TIF_GTC |
            | party1 | USD/DEC23 | buy  | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC |
            | party2 | USD/DEC23 | sell | 10     | 10    | 0                | TYPE_LIMIT | TIF_GTC |
            | party2 | USD/DEC23 | sell | 1      | 10    | 0                | TYPE_LIMIT | TIF_GTC |
            | party2 | USD/DEC23 | sell | 5      | 11    | 0                | TYPE_LIMIT | TIF_GTC |

        When the opening auction period ends for market "USD/DEC23"
        Then the market data for the market "USD/DEC23" should be:
            | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest |
            | 10         | TRADING_MODE_CONTINUOUS | 360000  | 8         | 13        | 35569000     | 40000000       | 10            |

        Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "USD/DEC23"

        And the order book should have the following volumes for market "USD/DEC23":
            | side | price | volume |
            | sell | 11    | 5      |
            | sell | 10    | 40     |
            | buy  | 9     | 46     |
            | buy  | 8     | 5      |

        When the parties place the following orders with ticks:
            | party  | market id | side | volume | price | resulting trades | type       | tif     |
            | party3 | USD/DEC23 | sell | 1      | 9     | 1                | TYPE_LIMIT | TIF_GTC |
        Then the order book should have the following volumes for market "USD/DEC23":
            | side | price | volume |
            | sell | 11    | 5      |
            | sell | 10    | 40     |
            | buy  | 9     | 0      |
            | buy  | 8     | 50     |

        When the parties place the following orders with ticks:
            | party  | market id | side | volume | price | resulting trades | type       | tif     |
            | party3 | USD/DEC23 | buy  | 1      | 10    | 1                | TYPE_LIMIT | TIF_GTC |
        Then the order book should have the following volumes for market "USD/DEC23":
            | side | price | volume |
            | sell | 11    | 5      |
            | sell | 10    | 39     |
            | buy  | 8     | 5      |
        And the market data for the market "USD/DEC23" should be:
            | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest |
            | 10         | TRADING_MODE_CONTINUOUS | 360000  | 8         | 13        | 39125900     | 40000000       | 11            |