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feat: Support amending the order size by defining the target size
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@ValentinTrinque
ValentinTrinque committed Nov 7, 2023
1 parent 4f987a6 commit 022c3e2
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Showing 38 changed files with 1,145 additions and 963 deletions.
1 change: 1 addition & 0 deletions CHANGELOG.md
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Expand Up @@ -18,6 +18,7 @@
- [9955](https://github.com/vegaprotocol/vega/issues/9955) - Add data node subscription for transaction results.
- [10004](https://github.com/vegaprotocol/vega/issues/10004) Track average entry price in position engine
- [9825](https://github.com/vegaprotocol/vega/issues/9825) - Remove quadratic slippage.
- [9943](https://github.com/vegaprotocol/vega/issues/9943) - Support amending the order size by defining the target size.

### 🐛 Fixes

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1 change: 1 addition & 0 deletions commands/errors.go
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Expand Up @@ -78,6 +78,7 @@ var (
ErrMustBeGreaterThanEnactmentTimestamp = errors.New("must be greater than proposal_submission.terms.enactment_timestamp")
ErrMustBeLessThen366 = errors.New("must be less then 366")
ErrMustBeAtMost500 = errors.New("must be at most 500")
ErrMustBeSetTo0IfSizeSet = errors.New("must be set to 0 if the property \"order_amendment.size\" is set")
ErrMustBeWithinRangeGT0LT20 = errors.New("price range must be strictly greater than 0 and less than or equal to 20")
)

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7 changes: 7 additions & 0 deletions commands/order_amendment.go
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Expand Up @@ -68,7 +68,14 @@ func checkOrderAmendment(cmd *commandspb.OrderAmendment) Errors {
}
}

if cmd.Size != nil {
isAmending = true
}

if cmd.SizeDelta != 0 {
if cmd.Size != nil {
errs.AddForProperty("order_amendment.size_delta", ErrMustBeSetTo0IfSizeSet)
}
isAmending = true
}

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34 changes: 30 additions & 4 deletions commands/order_amendment_test.go
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Expand Up @@ -26,13 +26,16 @@ import (
commandspb "code.vegaprotocol.io/vega/protos/vega/commands/v1"

"github.com/stretchr/testify/assert"
"github.com/stretchr/testify/require"
)

func TestCheckOrderAmendment(t *testing.T) {
t.Run("Submitting a nil command fails", testNilOrderAmendmentFails)
t.Run("amend order price - success", testAmendOrderJustPriceSuccess)
t.Run("amend order reduce - success", testAmendOrderJustReduceSuccess)
t.Run("amend order increase - success", testAmendOrderJustIncreaseSuccess)
t.Run("amend order reduce size delta - success", testAmendOrderJustReduceSizeDeltaSuccess)
t.Run("amend order increase size delta - success", testAmendOrderJustIncreaseSizeDeltaSuccess)
t.Run("amend order setting size delta and size - fails", testAmendOrderSettingSizeDeltaAndSizeFails)
t.Run("amend order update size - success", testAmendOrderJustUpdateSizeSuccess)
t.Run("amend order expiry - success", testAmendOrderJustExpirySuccess)
t.Run("amend order tif - success", testAmendOrderJustTIFSuccess)
t.Run("amend order expiry before creation time - success", testAmendOrderPastExpiry)
Expand Down Expand Up @@ -61,7 +64,7 @@ func testAmendOrderJustPriceSuccess(t *testing.T) {
assert.NoError(t, err.ErrorOrNil())
}

func testAmendOrderJustReduceSuccess(t *testing.T) {
func testAmendOrderJustReduceSizeDeltaSuccess(t *testing.T) {
arg := &commandspb.OrderAmendment{
OrderId: "08dce6ebf50e34fedee32860b6f459824e4b834762ea66a96504fdc57a9c4741",
MarketId: "08dce6ebf50e34fedee32860b6f459824e4b834762ea66a96504fdc57a9c4741",
Expand All @@ -71,7 +74,7 @@ func testAmendOrderJustReduceSuccess(t *testing.T) {
assert.NoError(t, err.ErrorOrNil())
}

func testAmendOrderJustIncreaseSuccess(t *testing.T) {
func testAmendOrderJustIncreaseSizeDeltaSuccess(t *testing.T) {
arg := &commandspb.OrderAmendment{
OrderId: "08dce6ebf50e34fedee32860b6f459824e4b834762ea66a96504fdc57a9c4741",
MarketId: "08dce6ebf50e34fedee32860b6f459824e4b834762ea66a96504fdc57a9c4741",
Expand All @@ -81,6 +84,29 @@ func testAmendOrderJustIncreaseSuccess(t *testing.T) {
assert.NoError(t, err.ErrorOrNil())
}

func testAmendOrderSettingSizeDeltaAndSizeFails(t *testing.T) {
arg := &commandspb.OrderAmendment{
OrderId: "08dce6ebf50e34fedee32860b6f459824e4b834762ea66a96504fdc57a9c4741",
MarketId: "08dce6ebf50e34fedee32860b6f459824e4b834762ea66a96504fdc57a9c4741",
SizeDelta: 10,
Size: ptr.From(uint64(10)),
}
err := checkOrderAmendment(arg)
foundErrors := err.Get("order_amendment.size_delta")
require.Len(t, foundErrors, 1, "expected 1 error on size_delta")
assert.ErrorIs(t, foundErrors[0], commands.ErrMustBeSetTo0IfSizeSet)
}

func testAmendOrderJustUpdateSizeSuccess(t *testing.T) {
arg := &commandspb.OrderAmendment{
OrderId: "08dce6ebf50e34fedee32860b6f459824e4b834762ea66a96504fdc57a9c4741",
MarketId: "08dce6ebf50e34fedee32860b6f459824e4b834762ea66a96504fdc57a9c4741",
Size: ptr.From(uint64(10)),
}
err := checkOrderAmendment(arg)
assert.NoError(t, err.ErrorOrNil())
}

func testAmendOrderJustExpirySuccess(t *testing.T) {
now := time.Now()
expires := now.Add(-2 * time.Hour)
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6 changes: 0 additions & 6 deletions core/collateral/engine.go
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Expand Up @@ -419,7 +419,6 @@ func (e *Engine) ensureAllAssetAccounts(ctx context.Context, asset types.Asset)
// see https://github.com/vegaprotocol/vega/pull/2745 for more information
e.addAccountToHashableSlice(externalAcc)
e.broker.Send(events.NewAccountEvent(ctx, *externalAcc))
e.log.Info("event emitted for new account", logging.String("accID", externalID))
}

// when an asset is enabled a staking reward account is created for it
Expand All @@ -438,7 +437,6 @@ func (e *Engine) ensureAllAssetAccounts(ctx context.Context, asset types.Asset)
e.accs[rewardID] = rewardAcc
e.addAccountToHashableSlice(rewardAcc)
e.broker.Send(events.NewAccountEvent(ctx, *rewardAcc))
e.log.Info("event emitted for new account", logging.String("accID", rewardID))
}
}

Expand All @@ -456,7 +454,6 @@ func (e *Engine) ensureAllAssetAccounts(ctx context.Context, asset types.Asset)
e.accs[netTreasury] = ntAcc
e.addAccountToHashableSlice(ntAcc)
e.broker.Send(events.NewAccountEvent(ctx, *ntAcc))
e.log.Info("event emitted for new account", logging.String("accID", netTreasury))
}

// global insurance for the asset
Expand All @@ -473,7 +470,6 @@ func (e *Engine) ensureAllAssetAccounts(ctx context.Context, asset types.Asset)
e.accs[globalInsurance] = giAcc
e.addAccountToHashableSlice(giAcc)
e.broker.Send(events.NewAccountEvent(ctx, *giAcc))
e.log.Info("event emitted for new account", logging.String("accID", globalInsurance))
}

// pending transfers account
Expand All @@ -491,7 +487,6 @@ func (e *Engine) ensureAllAssetAccounts(ctx context.Context, asset types.Asset)
e.accs[pendingTransfersID] = pendingTransfersAcc
e.addAccountToHashableSlice(pendingTransfersAcc)
e.broker.Send(events.NewAccountEvent(ctx, *pendingTransfersAcc))
e.log.Info("event emitted for new account", logging.String("accID", pendingTransfersID))
}

pendingFeeReferrerRewardID := e.accountID(noMarket, systemOwner, asset.ID, types.AccountTypePendingFeeReferralReward)
Expand All @@ -508,7 +503,6 @@ func (e *Engine) ensureAllAssetAccounts(ctx context.Context, asset types.Asset)
e.accs[pendingFeeReferrerRewardID] = pendingFeeReferrerRewardAcc
e.addAccountToHashableSlice(pendingFeeReferrerRewardAcc)
e.broker.Send(events.NewAccountEvent(ctx, *pendingFeeReferrerRewardAcc))
e.log.Info("event emitted for new account", logging.String("accID", pendingFeeReferrerRewardID))
}
}

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42 changes: 21 additions & 21 deletions core/integration/features/accounts/2943-distressed-trader-has-general-balance.feature
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Expand Up @@ -6,10 +6,10 @@ Feature: Distressed parties should not have general balance left
| 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/DEC20 | ETH | ETH | default-simple-risk-model-3 | default-margin-calculator | 1 | default-none | default-none | default-eth-for-future | 1e6 | 1e6 | default-futures |
And the following network parameters are set:
| name | value |
| market.auction.minimumDuration | 1 |
| network.markPriceUpdateMaximumFrequency | 0s |
| limits.markets.maxPeggedOrders | 4 |
| name | value |
| market.auction.minimumDuration | 1 |
| network.markPriceUpdateMaximumFrequency | 0s |
| limits.markets.maxPeggedOrders | 4 |
| market.liquidity.providersFeeCalculationTimeStep | 1s |

Scenario: Upper bound breached
Expand Down Expand Up @@ -71,11 +71,11 @@ Feature: Distressed parties should not have general balance left
Then the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp2 | party3 | ETH/DEC20 | 20000 | 0.1 | submission |
And the parties place the following pegged iceberg orders:
And the parties place the following pegged iceberg orders:
| party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | reference |
| party3 | ETH/DEC20 | 189 | 1 | buy | BID | 189 | 10 | lp2-ice-buy |
| party3 | ETH/DEC20 | 117 | 1 | sell | ASK | 117 | 10 | lp2-ice-sell |

Then the liquidity provisions should have the following states:
| id | party | market | commitment amount | status |
| lp2 | party3 | ETH/DEC20 | 20000 | STATUS_PENDING |
Expand All @@ -84,11 +84,11 @@ Feature: Distressed parties should not have general balance left
Then the liquidity provisions should have the following states:
| id | party | market | commitment amount | status |
| lp2 | party3 | ETH/DEC20 | 20000 | STATUS_ACTIVE |

Then the orders should have the following states:
| party | market id | side | volume | price | status |
| party3 | ETH/DEC20 | buy | 189 | 100 | STATUS_ACTIVE |
| party3 | ETH/DEC20 | sell | 117 | 130 | STATUS_ACTIVE |
| party | market id | side | volume | remaining | price | status |
| party3 | ETH/DEC20 | buy | 189 | 189 | 100 | STATUS_ACTIVE |
| party3 | ETH/DEC20 | sell | 117 | 117 | 130 | STATUS_ACTIVE |
## The sum of the margin + general account == 24000 - 10000 (commitment amount)
Then the parties should have the following account balances:
| party | asset | market id | margin | general |
Expand All @@ -101,28 +101,28 @@ Feature: Distressed parties should not have general balance left
| party1 | ETH/DEC20 | sell | 20 | 1850 | 0 | TYPE_LIMIT | TIF_GTC | ref-3 |
Then the mark price should be "120" for the market "ETH/DEC20"
Then the liquidity provider fee shares for the market "ETH/DEC20" should be:
| party | equity like share | average entry valuation |
| lpprov | 0.6428571428571429 | 10000 |
| party3 | 0.3571428571428571 | 60000.0000000000000556 |
| party | equity like share | average entry valuation |
| lpprov | 0.6428571428571429 | 10000 |
| party3 | 0.3571428571428571 | 60000.0000000000000556 |

And the following trades should be executed:
| buyer | price | size | seller |
| party5 | 120 | 20 | party1 |
| party5 | 120 | 20 | party3 |
Then the parties should have the following account balances:
| party5 | 120 | 20 | party1 |
| party5 | 120 | 20 | party3 |
Then the parties should have the following account balances:
| party | asset | market id | margin | general |
| party3 | ETH | ETH/DEC20 | 3152 | 1040 |
Then the parties cancel the following orders:
| party | reference |
| party3 | lp2-ice-sell |
| party3 | lp2-ice-buy |
| party | reference |
| party3 | lp2-ice-sell |
| party3 | lp2-ice-buy |

And the parties place the following pegged iceberg orders:
| party | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
| party3 | ETH/DEC20 | 189 | 1 | buy | BID | 189 | 10 |
| party3 | ETH/DEC20 | 136 | 1 | sell | ASK | 136 | 10 |
Then the network moves ahead "10" blocks

Then the network moves ahead "10" blocks

And the parties should have the following account balances:
| party | asset | market id | margin | general |
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