feat: add AC 020

core/integration/features/capped-futures/0016-PFUT-018.feature

@@ -0,0 +1,99 @@
+Feature: Settle capped futures market with a price within correct range
+
+  Background:
+    Given time is updated to "2019-11-30T00:00:00Z"
+    And the average block duration is "1"
+
+    And the oracle spec for settlement data filtering data from "0xCAFECAFE1" named "ethDec21Oracle":
+      | property         | type         | binding         |
+      | prices.ETH.value | TYPE_INTEGER | settlement data |
+
+    And the oracle spec for trading termination filtering data from "0xCAFECAFE1" named "ethDec21Oracle":
+      | property           | type         | binding             |
+      | trading.terminated | TYPE_BOOLEAN | trading termination |
+
+    And the settlement data decimals for the oracle named "ethDec21Oracle" is given in "0" decimal places
+
+    And the following network parameters are set:
+      | name                                         | value |
+      | market.auction.minimumDuration               | 1     |
+      | network.markPriceUpdateMaximumFrequency      | 0s    |
+      | market.liquidity.successorLaunchWindowLength | 1s    |
+      | limits.markets.maxPeggedOrders               | 4     |
+
+    And the fees configuration named "fees-config-1":
+      | maker fee | infrastructure fee |
+      | 0.005     | 0.02               |
+    And the price monitoring named "price-monitoring-1":
+      | horizon | probability | auction extension |
+      | 1       | 0.99        | 300               |
+    And the simple risk model named "simple-risk-model-1":
+      | long | short | max move up | min move down | probability of trading |
+      | 0.2  | 0.1   | 100         | -100          | 0.1                    |
+
+    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      | max price cap | fully collateralised | binary |
+      | ETH/DEC21 | ETH        | ETH   | simple-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | ethDec21Oracle     | 0.25                   | 0                         | default-futures | 1500          | false                | false  |
+
+  @SLABug @NoPerp @Capped
+  Scenario: 0016-PFUT-018: Settlement happened when market is being closed - happens when the oracle price is < max price cap, higher prices are ignored.
+    Given the initial insurance pool balance is "10000" for all the markets
+    And the parties deposit on asset's general account the following amount:
+      | party    | asset | amount    |
+      | party1   | ETH   | 10000     |
+      | party2   | ETH   | 1000      |
+      | party3   | ETH   | 5000      |
+      | aux1     | ETH   | 100000    |
+      | aux2     | ETH   | 100000    |
+      | party-lp | ETH   | 100000000 |
+
+    And the parties submit the following liquidity provision:
+      | id  | party    | market id | commitment amount | fee | lp type    |
+      | lp2 | party-lp | ETH/DEC21 | 3000000           | 0   | submission |
+    And the parties place the following pegged iceberg orders:
+      | party    | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
+      | party-lp | ETH/DEC21 | 60000     | 30000                | buy  | BID              | 180000 | 10     |
+      | party-lp | ETH/DEC21 | 60000     | 30000                | sell | ASK              | 180000 | 10     |
+
+    When the parties place the following orders:
+      | party | market id | side | volume | price | resulting trades | type       | tif     | reference |
+      | aux1  | ETH/DEC21 | buy  | 2      | 999   | 0                | TYPE_LIMIT | TIF_GTC | ref-5     |
+      | aux2  | ETH/DEC21 | sell | 2      | 1001  | 0                | TYPE_LIMIT | TIF_GTC | ref-6     |
+      | aux1  | ETH/DEC21 | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | ref-7     |
+      | aux2  | ETH/DEC21 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | ref-8     |
+    And the network moves ahead "2" blocks
+
+    Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC21"
+
+    And the market state should be "STATE_ACTIVE" for the market "ETH/DEC21"
+
+    Then the network moves ahead "2" blocks
+
+    # The market considered here ("ETH/DEC19") relies on "0xCAFECAFE" oracle, checking that broadcasting events from "0xCAFECAFE1" should have no effect on it apart from insurance pool transfer
+    And the oracles broadcast data signed with "0xCAFECAFE1":
+      | name               | value |
+      | trading.terminated | true  |
+
+    And the network moves ahead "2" blocks
+
+    Then the market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC21"
+
+    When the oracles broadcast data signed with "0xCAFECAFE1":
+      | name             | value |
+      | prices.ETH.value | 2000  |
+
+    And the network moves ahead "2" blocks
+    Then the market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC21"
+    # Make sure this does not settle the market
+    And the last market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC21"
+
+    # within the price range
+    When the oracles broadcast data signed with "0xCAFECAFE1":
+      | name             | value |
+      | prices.ETH.value | 1499  |
+
+    And the network moves ahead "2" blocks
+    # Now the market shows as settled
+    Then the last market state should be "STATE_SETTLED" for the market "ETH/DEC21"
+
+

core/integration/features/capped-futures/0016-PFUT-019.feature

@@ -37,7 +37,7 @@ Feature: Settle capped futures market with a price within correct range
 
 
   @SLABug @NoPerp @Capped
-  Scenario: 0016-PFUT-019: Settlement happened when market is being closed - only happens when the oracle price is <= max price cap, higher prices are ignored.
+  Scenario: 0016-PFUT-019: When `max_price` is specified and the final settlement price candidate received from the oracle is equal to `max_price` comes and market settles correctly
     Given the initial insurance pool balance is "10000" for all the markets
     And the parties deposit on asset's general account the following amount:
       | party    | asset | amount    |
@@ -88,11 +88,10 @@ Feature: Settle capped futures market with a price within correct range
     # Make sure this does not settle the market
     And the last market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC21"
 
-
     # within the price range
     When the oracles broadcast data signed with "0xCAFECAFE1":
       | name             | value |
-      | prices.ETH.value | 1499  |
+      | prices.ETH.value | 1500  |
 
     And the network moves ahead "2" blocks
     # Now the market shows as settled

core/integration/features/capped-futures/0016-PFUT-020.feature

@@ -0,0 +1,142 @@
+Feature: Settle capped futures market with a price within correct range
+
+  Background:
+    Given time is updated to "2019-11-30T00:00:00Z"
+    And the average block duration is "1"
+
+    And the oracle spec for settlement data filtering data from "0xCAFECAFE1" named "ethDec21Oracle":
+      | property         | type         | binding         |
+      | prices.ETH.value | TYPE_INTEGER | settlement data |
+
+    And the oracle spec for trading termination filtering data from "0xCAFECAFE1" named "ethDec21Oracle":
+      | property           | type         | binding             |
+      | trading.terminated | TYPE_BOOLEAN | trading termination |
+
+    And the settlement data decimals for the oracle named "ethDec21Oracle" is given in "0" decimal places
+
+    And the oracle spec for settlement data filtering data from "0xCAFECAFE2" named "ethDec22Oracle":
+      | property         | type         | binding         |
+      | prices.ETH.value | TYPE_INTEGER | settlement data |
+
+    And the oracle spec for trading termination filtering data from "0xCAFECAFE2" named "ethDec22Oracle":
+      | property           | type         | binding             |
+      | trading.terminated | TYPE_BOOLEAN | trading termination |
+
+    And the settlement data decimals for the oracle named "ethDec21Oracle" is given in "0" decimal places
+
+    And the oracle spec for settlement data filtering data from "0xCAFECAFE3" named "ethDec23Oracle":
+      | property         | type         | binding         |
+      | prices.ETH.value | TYPE_INTEGER | settlement data |
+
+    And the oracle spec for trading termination filtering data from "0xCAFECAFE3" named "ethDec23Oracle":
+      | property           | type         | binding             |
+      | trading.terminated | TYPE_BOOLEAN | trading termination |
+
+    And the settlement data decimals for the oracle named "ethDec21Oracle" is given in "0" decimal places
+
+    And the following network parameters are set:
+      | name                                         | value |
+      | market.auction.minimumDuration               | 1     |
+      | network.markPriceUpdateMaximumFrequency      | 0s    |
+      | market.liquidity.successorLaunchWindowLength | 1s    |
+      | limits.markets.maxPeggedOrders               | 4     |
+
+    And the fees configuration named "fees-config-1":
+      | maker fee | infrastructure fee |
+      | 0.005     | 0.02               |
+    And the price monitoring named "price-monitoring-1":
+      | horizon | probability | auction extension |
+      | 1       | 0.99        | 300               |
+    And the simple risk model named "simple-risk-model-1":
+      | long | short | max move up | min move down | probability of trading |
+      | 0.2  | 0.1   | 100         | -100          | 0.1                    |
+
+    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      | max price cap | fully collateralised | binary |
+      | ETH/DEC21 | ETH        | ETH   | simple-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | ethDec21Oracle     | 0.25                   | 0                         | default-futures | 1500          | false                | true   |
+      | ETH/DEC22 | ETH        | ETH   | simple-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | ethDec22Oracle     | 0.25                   | 0                         | default-futures | 1500          | false                | true   |
+      | ETH/DEC23 | ETH        | ETH   | simple-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | ethDec23Oracle     | 0.25                   | 0                         | default-futures | 1500          | false                | true   |
+
+  @SLABug @NoPerp @Capped
+  Scenario: 0016-PFUT-020: When `max_price` is specified, the `binary_settlement` flag is set to `true` and the final settlement price candidate received from the oracle is greater than `0` and less than  `max_price` the value gets ignored, next a value of `0` comes in from the settlement oracle and market settles correctly.
+    Given the initial insurance pool balance is "10000" for all the markets
+    And the parties deposit on asset's general account the following amount:
+      | party    | asset | amount    |
+      | party1   | ETH   | 10000     |
+      | party2   | ETH   | 1000      |
+      | party3   | ETH   | 5000      |
+      | aux1     | ETH   | 100000    |
+      | aux2     | ETH   | 100000    |
+      | party-lp | ETH   | 100000000 |
+
+    And the parties submit the following liquidity provision:
+      | id  | party    | market id | commitment amount | fee | lp type    |
+      | lp1 | party-lp | ETH/DEC21 | 300000            | 0   | submission |
+      | lp2 | party-lp | ETH/DEC22 | 300000            | 0   | submission |
+      | lp3 | party-lp | ETH/DEC23 | 300000            | 0   | submission |
+    And the parties place the following pegged iceberg orders:
+      | party    | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
+      | party-lp | ETH/DEC21 | 6000      | 3000                 | buy  | BID              | 18000  | 10     |
+      | party-lp | ETH/DEC21 | 6000      | 3000                 | sell | ASK              | 18000  | 10     |
+      | party-lp | ETH/DEC22 | 6000      | 3000                 | buy  | BID              | 18000  | 10     |
+      | party-lp | ETH/DEC22 | 6000      | 3000                 | sell | ASK              | 18000  | 10     |
+      | party-lp | ETH/DEC23 | 6000      | 3000                 | buy  | BID              | 18000  | 10     |
+      | party-lp | ETH/DEC23 | 6000      | 3000                 | sell | ASK              | 18000  | 10     |
+
+    When the parties place the following orders:
+      | party | market id | side | volume | price | resulting trades | type       | tif     | reference |
+      | aux1  | ETH/DEC21 | buy  | 2      | 999   | 0                | TYPE_LIMIT | TIF_GTC | ref-5     |
+      | aux2  | ETH/DEC21 | sell | 2      | 1001  | 0                | TYPE_LIMIT | TIF_GTC | ref-6     |
+      | aux1  | ETH/DEC21 | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | ref-7     |
+      | aux2  | ETH/DEC21 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | ref-8     |
+      | aux1  | ETH/DEC22 | buy  | 2      | 999   | 0                | TYPE_LIMIT | TIF_GTC | ref-5     |
+      | aux2  | ETH/DEC22 | sell | 2      | 1001  | 0                | TYPE_LIMIT | TIF_GTC | ref-6     |
+      | aux1  | ETH/DEC22 | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | ref-7     |
+      | aux2  | ETH/DEC22 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | ref-8     |
+      | aux1  | ETH/DEC23 | buy  | 2      | 999   | 0                | TYPE_LIMIT | TIF_GTC | ref-5     |
+      | aux2  | ETH/DEC23 | sell | 2      | 1001  | 0                | TYPE_LIMIT | TIF_GTC | ref-6     |
+      | aux1  | ETH/DEC23 | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | ref-7     |
+      | aux2  | ETH/DEC23 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC | ref-8     |
+    And the network moves ahead "2" blocks
+
+    Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC21"
+    Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC22"
+    Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC23"
+    And the market state should be "STATE_ACTIVE" for the market "ETH/DEC21"
+    And the market state should be "STATE_ACTIVE" for the market "ETH/DEC22"
+    And the market state should be "STATE_ACTIVE" for the market "ETH/DEC23"
+
+    Then the network moves ahead "2" blocks
+
+    # The market considered here ("ETH/DEC19") relies on "0xCAFECAFE" oracle, checking that broadcasting events from "0xCAFECAFE1" should have no effect on it apart from insurance pool transfer
+    And the oracles broadcast data signed with "0xCAFECAFE1":
+      | name               | value |
+      | trading.terminated | true  |
+    And the oracles broadcast data signed with "0xCAFECAFE2":
+      | name               | value |
+      | trading.terminated | true  |
+    And the oracles broadcast data signed with "0xCAFECAFE3":
+      | name               | value |
+      | trading.terminated | true  |
+    And the network moves ahead "2" blocks
+
+    Then the market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC21"
+    Then the market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC22"
+    Then the market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC23"
+
+    When the oracles broadcast data signed with "0xCAFECAFE1":
+      | name             | value |
+      | prices.ETH.value | 0     |
+    When the oracles broadcast data signed with "0xCAFECAFE1":
+      | name             | value |
+      | prices.ETH.value | 100   |
+    When the oracles broadcast data signed with "0xCAFECAFE1":
+      | name             | value |
+      | prices.ETH.value | 1500  |
+
+    And the network moves ahead "2" blocks
+
+    Then the last market state should be "STATE_SETTLED" for the market "ETH/DEC21"
+    Then the last market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC22"
+    Then the last market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC23"
+