feat: implement disposalSlippageRange into vega-market-sim (#661)

* feat: update vega ad4121e * fix: missing arg in update market
vegaprotocol · Apr 19, 2024 · ee8e18b · ee8e18b
1 parent 8c04763
commit ee8e18b
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Showing 32 changed files with 702 additions and 585 deletions.
diff --git a/.env b/.env
@@ -1,4 +1,4 @@
-VEGA_SIM_VEGA_TAG=1d53ad7f2b6b6bb8215b8994c9f5f91418599a8b
+VEGA_SIM_VEGA_TAG=ad4121e3704035e1229629de972fda628c82b5d4
 VEGA_SIM_CONSOLE_TAG=develop
 VEGA_DEFAULT_KEY_NAME='Key 1'
 VEGA_SIM_NETWORKS_INTERNAL_TAG=main

diff --git a/Jenkinsfile b/Jenkinsfile
@@ -14,7 +14,7 @@ pipeline {
         disableConcurrentBuilds(abortPrevious: true)
     }
     parameters {
-        string( name: 'VEGA_VERSION', defaultValue: '1d53ad7f2b6b6bb8215b8994c9f5f91418599a8b',
+        string( name: 'VEGA_VERSION', defaultValue: 'ad4121e3704035e1229629de972fda628c82b5d4',
                 description: 'Git branch, tag or hash of the vegaprotocol/vega repository')
         string( name: 'VEGACAPSULE_VERSION', defaultValue: 'main',
                 description: 'Git branch, tag or hash of the vegaprotocol/vegacapsule repository')

diff --git a/poetry.lock b/poetry.lock
diff --git a/requirements-dev.txt b/requirements-dev.txt
@@ -97,7 +97,7 @@ traitlets==5.14.2 ; python_version >= "3.9" and python_version < "3.12"
 typing-extensions==4.10.0 ; python_version >= "3.9" and python_version < "3.11"
 tzdata==2024.1 ; python_version >= "3.9" and python_version < "3.12"
 urllib3==2.2.1 ; python_version >= "3.9" and python_version < "3.12"
-vegapy @ git+https://github.com/cdummett/vegapy/@fab6f82ad9e19f529d73f640bba65b2ad31f8ac8 ; python_version >= "3.9" and python_version < "3.12"
+vegapy @ git+https://github.com/cdummett/vegapy/@dbfc21c0a6102cebd770d2d34b6a6fe5e4767f3c ; python_version >= "3.9" and python_version < "3.12"
 wcwidth==0.2.13 ; python_version >= "3.9" and python_version < "3.12"
 websocket==0.2.1 ; python_version >= "3.9" and python_version < "3.12"
 websockets==12.0 ; python_version >= "3.9" and python_version < "3.12"

diff --git a/requirements-learning.txt b/requirements-learning.txt
@@ -130,7 +130,7 @@ triton==2.2.0 ; platform_system == "Linux" and platform_machine == "x86_64" and
 typing-extensions==4.10.0 ; python_version >= "3.9" and python_version < "3.12"
 tzdata==2024.1 ; python_version >= "3.9" and python_version < "3.12"
 urllib3==2.2.1 ; python_version >= "3.9" and python_version < "3.12"
-vegapy @ git+https://github.com/cdummett/vegapy/@fab6f82ad9e19f529d73f640bba65b2ad31f8ac8 ; python_version >= "3.9" and python_version < "3.12"
+vegapy @ git+https://github.com/cdummett/vegapy/@dbfc21c0a6102cebd770d2d34b6a6fe5e4767f3c ; python_version >= "3.9" and python_version < "3.12"
 wcwidth==0.2.13 ; python_version >= "3.9" and python_version < "3.12"
 websocket==0.2.1 ; python_version >= "3.9" and python_version < "3.12"
 websockets==12.0 ; python_version >= "3.9" and python_version < "3.12"

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",