code.vegaprotocol.io/vega@v0.79.0/core/products/products_test.go

// Copyright (C) 2023 Gobalsky Labs Limited
//
// This program is free software: you can redistribute it and/or modify
// it under the terms of the GNU Affero General Public License as
// published by the Free Software Foundation, either version 3 of the
// License, or (at your option) any later version.
//
// This program is distributed in the hope that it will be useful,
// but WITHOUT ANY WARRANTY; without even the implied warranty of
// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
// GNU Affero General Public License for more details.
//
// You should have received a copy of the GNU Affero General Public License
// along with this program.  If not, see <http://www.gnu.org/licenses/>.

package products_test

import (
	"context"
	"testing"

	"code.vegaprotocol.io/vega/core/datasource"
	dstypes "code.vegaprotocol.io/vega/core/datasource/common"
	"code.vegaprotocol.io/vega/core/datasource/external/signedoracle"
	"code.vegaprotocol.io/vega/core/datasource/spec"
	"code.vegaprotocol.io/vega/core/products"
	"code.vegaprotocol.io/vega/core/products/mocks"
	"code.vegaprotocol.io/vega/core/types"
	tmocks "code.vegaprotocol.io/vega/core/vegatime/mocks"
	"code.vegaprotocol.io/vega/libs/num"
	"code.vegaprotocol.io/vega/logging"
	datapb "code.vegaprotocol.io/vega/protos/vega/data/v1"

	"github.com/golang/mock/gomock"
	"github.com/stretchr/testify/assert"
	"github.com/stretchr/testify/require"
)

const SettlementAssetStr = "Ethereum/Ether"

func getValidInstrumentProto() *types.Instrument {
	return &types.Instrument{
		ID:   "Crypto/BTCUSD/Futures/Dec19",
		Code: "FX:BTCUSD/DEC19",
		Name: "December 2019 BTC vs USD future",
		Metadata: &types.InstrumentMetadata{
			Tags: []string{
				"asset_class:fx/crypto",
				"product:futures",
			},
		},
		Product: &types.InstrumentFuture{
			Future: &types.Future{
				QuoteName:       "USD",
				SettlementAsset: SettlementAssetStr,
				DataSourceSpecForSettlementData: &datasource.Spec{
					Data: datasource.NewDefinition(
						datasource.ContentTypeOracle,
					).SetOracleConfig(
						&signedoracle.SpecConfiguration{
							Signers: []*dstypes.Signer{
								dstypes.CreateSignerFromString("0xDEADBEEF", dstypes.SignerTypePubKey),
							},
							Filters: []*dstypes.SpecFilter{
								{
									Key: &dstypes.SpecPropertyKey{
										Name: "prices.ETH.value",
										Type: datapb.PropertyKey_TYPE_INTEGER,
									},
									Conditions: []*dstypes.SpecCondition{},
								},
							},
						},
					),
				},
				DataSourceSpecForTradingTermination: &datasource.Spec{
					Data: datasource.NewDefinition(
						datasource.ContentTypeOracle,
					).SetOracleConfig(
						&signedoracle.SpecConfiguration{
							Signers: []*dstypes.Signer{
								dstypes.CreateSignerFromString("0xDEADBEEF", dstypes.SignerTypePubKey),
							},
							Filters: []*dstypes.SpecFilter{
								{
									Key: &dstypes.SpecPropertyKey{
										Name: "trading.terminated",
										Type: datapb.PropertyKey_TYPE_BOOLEAN,
									},
									Conditions: []*dstypes.SpecCondition{},
								},
							},
						},
					),
				},
				DataSourceSpecBinding: &datasource.SpecBindingForFuture{
					SettlementDataProperty:     "prices.ETH.value",
					TradingTerminationProperty: "trading.terminated",
				},
			},
		},
	}
}

func TestFutureSettlement(t *testing.T) {
	ctx := context.Background()
	ctrl := gomock.NewController(t)
	oe := mocks.NewMockOracleEngine(ctrl)
	broker := mocks.NewMockBroker(ctrl)
	ts := tmocks.NewMockTimeService(ctrl)

	sid1 := spec.SubscriptionID(1)
	oe.EXPECT().Unsubscribe(ctx, sid1).AnyTimes()
	oe.EXPECT().
		Subscribe(ctx, gomock.Any(), gomock.Any()).
		Times(2).
		Return(sid1, func(ctx context.Context, sid spec.SubscriptionID) {
			oe.Unsubscribe(ctx, sid)
		}, nil)

	proto := getValidInstrumentProto()

	prodSpec := proto.Product
	require.NotNil(t, prodSpec)
	prod, err := products.New(ctx, logging.NewTestLogger(), prodSpec, "", ts, oe, broker, 1)

	// Cast back into a future so we can call future specific functions
	f, ok := prod.(*products.Future)
	require.True(t, ok)
	require.NotNil(t, prod)
	require.NoError(t, err)

	// Check the assert string is correct
	assert.Equal(t, SettlementAssetStr, prod.GetAsset())

	// Future values are the same as the mark price
	given := num.NewUint(1000)
	value, err := prod.Value(given)
	assert.NoError(t, err)
	assert.EqualValues(t, given.String(), value.String())

	params := []struct {
		entryPrice     uint64
		settlementData uint64
		position       int64
		result         int64
	}{
		{100, 200, 10, 1000},  // (200-100)*10 == 1000
		{200, 100, 10, 1000},  // (100-200)*10 == 1000
		{100, 200, -10, 1000}, // (200-100)*-10 == 1000
		{200, 100, -10, 1000}, // (100-200)*-10 == 1000
	}

	for _, param := range params {
		n := &num.Numeric{}
		n.SetUint(num.NewUint(param.settlementData))
		// Use debug function to update the settlement data as if from a Oracle
		f.SetSettlementData(ctx, "prices.ETH.value", n)
		ep := num.NewUint(param.entryPrice)
		fa, _, _, err := prod.Settle(ep, n.Uint(), num.DecimalFromInt64(param.position))
		assert.NoError(t, err)
		assert.EqualValues(t, param.result, fa.Amount.Uint64())
	}
}