code.vegaprotocol.io/vega@v0.79.0/core/integration/features/verified/risk-parameters-sigma-test.feature

Feature: test risk model parameter sigma
  Background:

    Given the log normal risk model named "log-normal-risk-model-53":
      | risk aversion | tau | mu | r | sigma |
      | 0.000001      | 0.1 | 0  | 0 | 50    |
    #risk factor short:999999.0000000
    #risk factor long:1
    Given the log normal risk model named "log-normal-risk-model-54":
      | risk aversion | tau | mu | r | sigma |
      | 0.000001      | 0.1 | 0  | 0 | 53    |
    #risk factor short:999999.0000000
    #risk factor long:1
    Given the log normal risk model named "log-normal-risk-model-0":
      | 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 margin calculator named "margin-calculator-1":
      | search factor | initial factor | release factor |
      | 1.2           | 1.5            | 1.7            |
    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 |
      | 43200   | 0.99        | 300               |
    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/MAR53 | ETH        | USD   | log-normal-risk-model-53 | margin-calculator-1 | 1                | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.25                   | 0                         | default-futures |
      | ETH/MAR54 | ETH        | USD   | log-normal-risk-model-54 | margin-calculator-1 | 1                | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.25                   | 0                         | default-futures |
      | ETH/MAR0  | ETH        | USD   | log-normal-risk-model-0  | margin-calculator-1 | 1                | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.25                   | 0                         | default-futures |
    And the parties deposit on asset's general account the following amount:
      | party  | asset | amount                      |
      | party0 | USD   | 500000000000000000000000000 |
      | party1 | USD   | 5000000000                  |
      | party2 | USD   | 5000000000                  |
      | party3 | USD   | 5000000000                  |
    And the following network parameters are set:
      | name                                    | value |
      | network.markPriceUpdateMaximumFrequency | 0s    |
      | limits.markets.maxPeggedOrders          | 2     |

  @Now
  Scenario: 001, test market ETH/MAR53(sigma=50),

    Given the liquidity monitoring parameters:
      | name               | triggering ratio | time window | scaling factor |
      | updated-lqm-params | 0.1              | 24h         | 1              |
    When the markets are updated:
      | id        | liquidity monitoring | linear slippage factor | quadratic slippage factor |
      | ETH/MAR53 | updated-lqm-params   | 0.25                   | 0                         |
    And the following network parameters are set:
      | name                                  | value |
      | market.liquidity.bondPenaltyParameter | 0.2   |

    And the average block duration is "1"

    And the parties submit the following liquidity provision:
      | id  | party  | market id | commitment amount | fee   | lp type    |
      | lp1 | party0 | ETH/MAR53 | 100000000         | 0.001 | submission |
      | lp1 | party0 | ETH/MAR53 | 100000000         | 0.001 | amendment  |
    When the parties place the following orders:
      | party  | market id | side | volume    | price | resulting trades | type       | tif     | reference |
      | party0 | ETH/MAR53 | buy  | 100000000 | 1     | 0                | TYPE_LIMIT | TIF_GTC | peg-1     |
      | party0 | ETH/MAR53 | sell | 5000000   | 20    | 0                | TYPE_LIMIT | TIF_GTC | peg-2     |

    And the parties place the following orders:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference   |
      | party1 | ETH/MAR53 | buy  | 10     | 9     | 0                | TYPE_LIMIT | TIF_GTC | buy-ref-11  |
      | party1 | ETH/MAR53 | buy  | 1      | 10    | 0                | TYPE_LIMIT | TIF_GTC | buy-ref-12  |
      | party2 | ETH/MAR53 | sell | 1      | 10    | 0                | TYPE_LIMIT | TIF_GTC | sell-ref-13 |
      | party2 | ETH/MAR53 | sell | 10     | 11    | 0                | TYPE_LIMIT | TIF_GTC | sell-ref-14 |

    When the opening auction period ends for market "ETH/MAR53"
    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/MAR53"
    # And the network moves ahead "1" blocks

    And the market data for the market "ETH/MAR53" should be:
      | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest |
      | 10         | TRADING_MODE_CONTINUOUS | 43200   | 1         | 211       | 9999990      | 100000000      | 1             |
    # target_stake = mark_price x max_oi x target_stake_scaling_factor x rf_short = 10 x 1 x 1 x 999999.00000000000 =9999990

    Then the order book should have the following volumes for market "ETH/MAR53":
      | side | price | volume    |
      | sell | 20    | 5000000   |
      | sell | 11    | 10        |
      | buy  | 9     | 10        |
      | buy  | 1     | 100000000 |

    And the parties should have the following account balances:
      | party  | asset | market id | margin         | general                     | bond      |
      | party0 | USD   | ETH/MAR53 | 74999925000000 | 499999999999924999975000000 | 100000000 |
      | party1 | USD   | ETH/MAR53 | 150            | 4999999850                  |           |
      | party2 | USD   | ETH/MAR53 | 179999820      | 4820000180                  |           |

    # mentainance margin level for LP: 10*22580646*999999=2.258e14
    # initial  margin level for LP: 10*22580646*999999 *1.5=3.38e14

    And the parties should have the following margin levels:
      | party  | market id | maintenance    | search         | initial        | release        |
      | party0 | ETH/MAR53 | 49999950000000 | 59999940000000 | 74999925000000 | 84999915000000 |

  @Now
  Scenario: 002, test market ETH/MAR0 (kind of "normal" risk parameters setting),

    Given the liquidity monitoring parameters:
      | name               | triggering ratio | time window | scaling factor |
      | updated-lqm-params | 0.1              | 24h         | 1              |
    When the markets are updated:
      | id       | liquidity monitoring | linear slippage factor | quadratic slippage factor |
      | ETH/MAR0 | updated-lqm-params   | 0.25                   | 0                         |
    And the following network parameters are set:
      | name                                    | value |
      | market.liquidity.bondPenaltyParameter | 0.2   |

    And the average block duration is "1"

    And the parties submit the following liquidity provision:
      | id  | party  | market id | commitment amount | fee   | lp type    |
      | lp1 | party0 | ETH/MAR0  | 10000000          | 0.001 | submission |
      | lp1 | party0 | ETH/MAR0  | 10000000          | 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 | ETH/MAR0 | 500 | 1 | sell | ASK | 500 | 1 |
      | party0 | ETH/MAR0 | 500 | 1 | buy  | BID | 500 | 1 |
 
    And the parties place the following orders:
      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference   |
      | party1 | ETH/MAR0  | buy  | 10     | 90    | 0                | TYPE_LIMIT | TIF_GTC | buy-ref-11  |
      | party1 | ETH/MAR0  | buy  | 1      | 100   | 0                | TYPE_LIMIT | TIF_GTC | buy-ref-12  |
      | party2 | ETH/MAR0  | sell | 1      | 100   | 0                | TYPE_LIMIT | TIF_GTC | sell-ref-13 |
      | party2 | ETH/MAR0  | sell | 10     | 110   | 0                | TYPE_LIMIT | TIF_GTC | sell-ref-14 |

    When the opening auction period ends for market "ETH/MAR0"
    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/MAR0"

    And the market data for the market "ETH/MAR0" should be:
      | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest |
      | 100        | TRADING_MODE_CONTINUOUS | 43200   | 91        | 109       | 355          | 10000000       | 1             |
    # target_stake = mark_price x max_oi x target_stake_scaling_factor x rf_short = 1 x 100 x 1 x 3.5569036 =355

    Then the order book should have the following volumes for market "ETH/MAR0":
      | side | price | volume |
      | sell | 110   | 10     |
      | sell | 111 | 500 |
      | buy  | 89  | 500 |
      | buy  | 90  | 10  |

    And the parties should have the following account balances:
      | party  | asset | market id | margin   | general                     | bond     |
      | party0 | USD | ETH/MAR0 | 266769 | 499999999999999999989733231 | 10000000 |
      | party1 | USD   | ETH/MAR0  | 1201     | 4999998799                  |          |
      | party2 | USD   | ETH/MAR0  | 6403     | 4999993597                  |          |

    And the parties should have the following margin levels:
      | party  | market id | maintenance | search   | initial  | release  |
      | party0 | ETH/MAR0 | 177846 | 213415 | 266769 | 302338 |