temp

vegaprotocol · Apr 18, 2024 · cc8c4f0 · cc8c4f0
1 parent 8c04763
commit cc8c4f0
Show file tree

Hide file tree

Showing 29 changed files with 701 additions and 585 deletions.
diff --git a/.env b/.env
@@ -1,4 +1,4 @@
-VEGA_SIM_VEGA_TAG=1d53ad7f2b6b6bb8215b8994c9f5f91418599a8b
+VEGA_SIM_VEGA_TAG=10995-liquidation-range
 VEGA_SIM_CONSOLE_TAG=develop
 VEGA_DEFAULT_KEY_NAME='Key 1'
 VEGA_SIM_NETWORKS_INTERNAL_TAG=main

diff --git a/poetry.lock b/poetry.lock
diff --git a/pyproject.toml b/pyproject.toml
@@ -53,7 +53,7 @@ Jinja2 = "*"
 nbmake = "*"
 matplotlib = "*"
 pytest-xdist = "*"
-vegapy = {git = "https://github.com/cdummett/vegapy/", branch="develop"}
+vegapy = {git = "https://github.com/cdummett/vegapy/", branch="feat/liquidation-slippage-range"}
 
 
 [build-system]

diff --git a/vega_sim/api/governance.py b/vega_sim/api/governance.py
@@ -228,6 +228,7 @@ def __propose_market(
                 disposal_fraction="1",
                 full_disposal_size=1000000000,
                 max_fraction_consumed="0.5",
+                disposal_slippage_range="0.5",
             ),
             mark_price_configuration=vega_protos.markets.CompositePriceConfiguration(
                 composite_price_type=vega_protos.markets.COMPOSITE_PRICE_TYPE_LAST_TRADE,

diff --git a/vega_sim/api/market.py b/vega_sim/api/market.py
@@ -633,6 +633,7 @@ class LiquidationStrategy(Config):
             "disposal_fraction": 0.1,
             "full_disposal_size": 0,
             "max_fraction_consumed": 0.1,
+            "disposal_slippage_range": 0.5,
         }
     }
 
@@ -643,13 +644,15 @@ def load(self, opt: Optional[str] = None):
         self.disposal_fraction = config["disposal_fraction"]
         self.full_disposal_size = config["full_disposal_size"]
         self.max_fraction_consumed = config["max_fraction_consumed"]
+        self.disposal_slippage_range = config["disposal_slippage_range"]
 
     def build(self):
         return build.markets.liquidation_strategy(
             disposal_time_step=self.disposal_time_step,
             disposal_fraction=self.disposal_fraction,
             full_disposal_size=self.full_disposal_size,
             max_fraction_consumed=self.max_fraction_consumed,
+            disposal_slippage_range=self.disposal_slippage_range,
         )
 
 

diff --git a/vega_sim/builders/markets.py b/vega_sim/builders/markets.py
@@ -182,12 +182,14 @@ def liquidation_strategy(
     disposal_fraction: float,
     full_disposal_size: float,
     max_fraction_consumed: float,
+    disposal_slippage_range: float,
 ) -> vega_protos.markets.LiquidationStrategy:
     return vega_protos.markets.LiquidationStrategy(
         disposal_time_step=int(disposal_time_step),
         disposal_fraction=str(disposal_fraction),
         full_disposal_size=num_to_padded_int(full_disposal_size, 1),
         max_fraction_consumed=str(max_fraction_consumed),
+        disposal_slippage_range=str(disposal_slippage_range),
     )
 
 

diff --git a/vega_sim/configs/mainnet/BTCUSDT.py b/vega_sim/configs/mainnet/BTCUSDT.py
@@ -174,6 +174,7 @@
             "disposalFraction": "1",
             "fullDisposalSize": "1000000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "decayWeight": "1",

diff --git a/vega_sim/configs/mainnet/EGLPUSDT.py b/vega_sim/configs/mainnet/EGLPUSDT.py
@@ -516,6 +516,7 @@
             "disposalFraction": "0.1",
             "fullDisposalSize": "10000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "compositePriceType": "COMPOSITE_PRICE_TYPE_LAST_TRADE",

diff --git a/vega_sim/configs/mainnet/ETHUSDT.py b/vega_sim/configs/mainnet/ETHUSDT.py
@@ -174,6 +174,7 @@
             "disposalFraction": "1",
             "fullDisposalSize": "1000000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "decayWeight": "1",

diff --git a/vega_sim/configs/mainnet/INJUSDT.py b/vega_sim/configs/mainnet/INJUSDT.py
@@ -174,6 +174,7 @@
             "disposalFraction": "1",
             "fullDisposalSize": "1000000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "decayWeight": "1",

diff --git a/vega_sim/configs/mainnet/LDOUSDT.py b/vega_sim/configs/mainnet/LDOUSDT.py
@@ -174,6 +174,7 @@
             "disposalFraction": "1",
             "fullDisposalSize": "1000000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "decayWeight": "1",

diff --git a/vega_sim/configs/mainnet/SNXUSDT.py b/vega_sim/configs/mainnet/SNXUSDT.py
@@ -174,6 +174,7 @@
             "disposalFraction": "1",
             "fullDisposalSize": "1000000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "decayWeight": "1",

diff --git a/vega_sim/configs/mainnet/SOLUSDT.py b/vega_sim/configs/mainnet/SOLUSDT.py
@@ -177,6 +177,7 @@
             "disposalFraction": "1",
             "fullDisposalSize": "1000000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "decayWeight": "1",

diff --git a/vega_sim/configs/research/ESHRUSDT.py b/vega_sim/configs/research/ESHRUSDT.py
@@ -507,6 +507,7 @@
             "disposalFraction": "0.1",
             "fullDisposalSize": "10000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.2",
         },
         "liquidityFeeSettings": {"method": "METHOD_MARGINAL_COST"},
         "liquidityMonitoringParameters": {

diff --git a/vega_sim/configs/research/HLPUSDT.py b/vega_sim/configs/research/HLPUSDT.py
@@ -507,6 +507,7 @@
             "disposalFraction": "0.1",
             "fullDisposalSize": "10000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.2",
         },
         "liquidityFeeSettings": {"method": "METHOD_MARGINAL_COST"},
         "liquidityMonitoringParameters": {

diff --git a/vega_sim/configs/research/future/BTCUSDT.py b/vega_sim/configs/research/future/BTCUSDT.py
@@ -118,6 +118,7 @@
             "disposalFraction": "1",
             "fullDisposalSize": "1000000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "compositePriceType": "COMPOSITE_PRICE_TYPE_LAST_TRADE",

diff --git a/vega_sim/configs/research/future/ETHUSDT.py b/vega_sim/configs/research/future/ETHUSDT.py
@@ -118,6 +118,7 @@
             "disposalFraction": "1",
             "fullDisposalSize": "1000000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "compositePriceType": "COMPOSITE_PRICE_TYPE_LAST_TRADE",

diff --git a/vega_sim/configs/research/perpetual/BTCUSDT.py b/vega_sim/configs/research/perpetual/BTCUSDT.py
@@ -174,6 +174,7 @@
             "disposalFraction": "1",
             "fullDisposalSize": "1000000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "decayWeight": "1",

diff --git a/vega_sim/configs/research/perpetual/ETHUSDT.py b/vega_sim/configs/research/perpetual/ETHUSDT.py
@@ -174,6 +174,7 @@
             "disposalFraction": "1",
             "fullDisposalSize": "1000000",
             "maxFractionConsumed": "0.1",
+            "disposalSlippageRange": "0.03",
         },
         "markPriceConfiguration": {
             "decayWeight": "1",