Merge pull request #11578 from vegaprotocol/rebate_remove_invariant

fix: Replace additional rebate validation with a cap

CHANGELOG.md

@@ -24,6 +24,8 @@
 - [11546](https://github.com/vegaprotocol/vega/issues/11546) - Add validation to market proposals metadata.
 - [11562](https://github.com/vegaprotocol/vega/issues/11562) - Update average notional metric with mark price at the end of the epoch and when calculating live score.
 - [11570](https://github.com/vegaprotocol/vega/issues/11570) - Include the required set of parties for evaluation for eligible entities reward.
+- [11576](https://github.com/vegaprotocol/vega/issues/11576) - Replace additional rebate validation with a cap. 
+
 
 ### 🐛 Fixes
 

core/governance/engine_update_volume_rebate_program_test.go

@@ -33,7 +33,6 @@ import (
 func TestProposalForUpdateVolumeRebateProgram(t *testing.T) {
 	t.Run("Submitting a proposal for referral program update succeeds", testSubmittingProposalForVolumeRebateProgramUpdateSucceeds)
 	t.Run("Submitting a proposal for referral program update with too many tiers fails", testSubmittingProposalForVolumeRebateProgramUpdateWithTooManyTiersFails)
-	t.Run("Submitting a proposal for referral program update with too high rebate factor fails", testSubmittingProposalForVolumeRebateProgramUpdateWithTooHighRebateFactorFails)
 }
 
 func testSubmittingProposalForVolumeRebateProgramUpdateSucceeds(t *testing.T) {
@@ -123,50 +122,3 @@ func testSubmittingProposalForVolumeRebateProgramUpdateWithTooManyTiersFails(t *
 	require.Error(t, err)
 	require.Nil(t, toSubmit)
 }
-
-func testSubmittingProposalForVolumeRebateProgramUpdateWithTooHighRebateFactorFails(t *testing.T) {
-	now := time.Now()
-	ctx := vgtest.VegaContext(vgrand.RandomStr(5), vgtest.RandomPositiveI64())
-	eng := getTestEngine(t, now)
-
-	// setup
-	eng.broker.EXPECT().Send(gomock.Any()).Times(3)
-	eng.netp.Update(ctx, netparams.GovernanceProposalVolumeRebateProgramMinClose, "48h")
-	eng.netp.Update(ctx, netparams.GovernanceProposalVolumeRebateProgramMinEnact, "48h")
-	eng.netp.Update(ctx, netparams.GovernanceProposalVolumeRebateProgramMinProposerBalance, "1000")
-
-	eng.broker.EXPECT().Send(events.NewNetworkParameterEvent(ctx, netparams.VolumeRebateProgramMaxBenefitTiers, "2")).Times(1)
-	require.NoError(t, eng.netp.Update(ctx, netparams.VolumeRebateProgramMaxBenefitTiers, "2"))
-
-	// given
-	proposer := vgrand.RandomStr(5)
-	proposal := eng.newProposalForVolumeRebateProgramUpdate(proposer, now, &types.VolumeRebateProgramChanges{
-		EndOfProgramTimestamp: now.Add(4 * 48 * time.Hour),
-		WindowLength:          15,
-		VolumeRebateBenefitTiers: []*types.VolumeRebateBenefitTier{
-			{
-				MinimumPartyMakerVolumeFraction: num.DecimalFromFloat(0.1),
-				AdditionalMakerRebate:           num.DecimalFromFloat(0.01),
-			}, {
-				MinimumPartyMakerVolumeFraction: num.DecimalFromFloat(0.2),
-				AdditionalMakerRebate:           num.DecimalFromFloat(0.02),
-			},
-		},
-	})
-
-	// setup
-	eng.ensureTokenBalanceForParty(t, proposer, 1000)
-
-	// expect
-	eng.expectRejectedProposalEvent(t, proposer, proposal.ID, types.ProposalErrorInvalidVolumeRebateProgram)
-
-	// when
-	toSubmit, err := eng.submitProposal(t, proposal)
-
-	// then
-	require.EqualError(t,
-		err,
-		"tier 1 defines an additional rebate factor higher than the maximum allowed by the network parameters: maximum is (0.0001+0.0001), but got 0.01",
-	)
-	require.Nil(t, toSubmit)
-}

core/governance/volume_rebate_program.go

@@ -27,16 +27,6 @@ func validateUpdateVolumeRebateProgram(netp NetParams, p *types.UpdateVolumeReba
 	if len(p.Changes.VolumeRebateBenefitTiers) > int(maxTiers.Uint64()) {
 		return types.ProposalErrorInvalidVolumeRebateProgram, fmt.Errorf("the number of tiers in the proposal is higher than the maximum allowed by the network parameter %q: maximum is %s, but got %d", netparams.VolumeRebateProgramMaxBenefitTiers, maxTiers.String(), len(p.Changes.VolumeRebateBenefitTiers))
 	}
-
-	treasuryFee, _ := netp.GetDecimal(netparams.MarketFeeFactorsTreasuryFee)
-	buybackFee, _ := netp.GetDecimal(netparams.MarketFeeFactorsBuyBackFee)
-	maxRebate := treasuryFee.Add(buybackFee)
-
-	for i, tier := range p.Changes.VolumeRebateBenefitTiers {
-		if tier.AdditionalMakerRebate.GreaterThan(maxRebate) {
-			return types.ProposalErrorInvalidVolumeRebateProgram, fmt.Errorf("tier %d defines an additional rebate factor higher than the maximum allowed by the network parameters: maximum is (%s+%s), but got %s", i+1, buybackFee.String(), treasuryFee.String(), tier.AdditionalMakerRebate.String())
-		}
-	}
 	return 0, nil
 }
 

core/integration/setup_test.go

@@ -309,6 +309,14 @@ func (e *executionTestSetup) registerTimeServiceCallbacks() {
 
 func (e *executionTestSetup) registerNetParamsCallbacks() error {
 	return e.netParams.Watch(
+		netparams.WatchParam{
+			Param:   netparams.MarketFeeFactorsBuyBackFee,
+			Watcher: e.volumeRebateProgram.OnMarketFeeFactorsBuyBackFeeUpdate,
+		},
+		netparams.WatchParam{
+			Param:   netparams.MarketFeeFactorsTreasuryFee,
+			Watcher: e.volumeRebateProgram.OnMarketFeeFactorsTreasuryFeeUpdate,
+		},
 		netparams.WatchParam{
 			Param:   netparams.StakingAndDelegationRewardMinimumValidatorStake,
 			Watcher: e.topology.OnMinDelegationUpdated,

core/protocol/all_services.go

@@ -765,6 +765,14 @@ func (svcs *allServices) setupNetParameters(powWatchers []netparams.WatchParam)
 			Param:   netparams.MarketFeeFactorsBuyBackFee,
 			Watcher: svcs.executionEngine.OnMarketFeeFactorsBuyBackFeeUpdate,
 		},
+		{
+			Param:   netparams.MarketFeeFactorsTreasuryFee,
+			Watcher: svcs.volumeRebate.OnMarketFeeFactorsTreasuryFeeUpdate,
+		},
+		{
+			Param:   netparams.MarketFeeFactorsBuyBackFee,
+			Watcher: svcs.volumeRebate.OnMarketFeeFactorsBuyBackFeeUpdate,
+		},
 		{
 			Param:   netparams.MarketValueWindowLength,
 			Watcher: svcs.executionEngine.OnMarketValueWindowLengthUpdate,

core/volumerebate/engine.go

@@ -44,7 +44,10 @@ type Engine struct {
 	newProgram                        *types.VolumeRebateProgram
 	programHasEnded                   bool
 
-	factorsByParty map[types.PartyID]types.VolumeRebateStats
+	factorsByParty      map[types.PartyID]types.VolumeRebateStats
+	buyBackFee          num.Decimal
+	treasureFee         num.Decimal
+	maxAdditionalRebate num.Decimal
 }
 
 func New(broker Broker, marketActivityTracker MarketActivityTracker) *Engine {
@@ -99,7 +102,10 @@ func (e *Engine) VolumeRebateFactorForParty(party types.PartyID) num.Decimal {
 		return num.DecimalZero()
 	}
 
-	return factors.RebateFactor
+	// this is needed here again because the factors are calculated at the end of the epoch and
+	// the fee factors may change during the epoch so to ensure the factor is capped at any time
+	// we apply the min again here
+	return e.effectiveAdditionalRebate(factors.RebateFactor)
 }
 
 func (e *Engine) MakerVolumeFractionForParty(party types.PartyID) num.Decimal {
@@ -198,7 +204,7 @@ func (e *Engine) computeFactorsByParty(ctx context.Context, epoch uint64) {
 			tier := e.currentProgram.VolumeRebateBenefitTiers[i]
 			if makerFraction.GreaterThanOrEqual(tier.MinimumPartyMakerVolumeFraction) {
 				e.factorsByParty[party] = types.VolumeRebateStats{
-					RebateFactor: tier.AdditionalMakerRebate,
+					RebateFactor: e.effectiveAdditionalRebate(tier.AdditionalMakerRebate),
 				}
 				evt.Stats = append(evt.Stats, &eventspb.PartyVolumeRebateStats{
 					PartyId:             party.String(),
@@ -223,3 +229,19 @@ func (e *Engine) computeFactorsByParty(ctx context.Context, epoch uint64) {
 
 	e.broker.Send(events.NewVolumeRebateStatsUpdatedEvent(ctx, evt))
 }
+
+func (e *Engine) OnMarketFeeFactorsTreasuryFeeUpdate(ctx context.Context, d num.Decimal) error {
+	e.treasureFee = d
+	e.maxAdditionalRebate = e.treasureFee.Add(e.buyBackFee)
+	return nil
+}
+
+func (e *Engine) OnMarketFeeFactorsBuyBackFeeUpdate(ctx context.Context, d num.Decimal) error {
+	e.buyBackFee = d
+	e.maxAdditionalRebate = e.treasureFee.Add(e.buyBackFee)
+	return nil
+}
+
+func (e *Engine) effectiveAdditionalRebate(tierRebate num.Decimal) num.Decimal {
+	return num.MinD(e.maxAdditionalRebate, tierRebate)
+}

core/volumerebate/engine_test.go

@@ -142,7 +142,8 @@ func TestRebateFactor(t *testing.T) {
 	broker := mocks.NewMockBroker(ctrl)
 	marketActivityTracker := mocks.NewMockMarketActivityTracker(ctrl)
 	engine := volumerebate.NewSnapshottedEngine(broker, marketActivityTracker)
-
+	engine.OnMarketFeeFactorsBuyBackFeeUpdate(context.Background(), num.NewDecimalFromFloat(0.5))
+	engine.OnMarketFeeFactorsTreasuryFeeUpdate(context.Background(), num.NewDecimalFromFloat(0.5))
 	currentTime := time.Now()
 
 	p1 := &types.VolumeRebateProgram{
@@ -198,6 +199,8 @@ func TestRebateFactor(t *testing.T) {
 	hashWithEpochNotionalsData, _, err := engine.GetState(key)
 	require.NoError(t, err)
 	loadedEngine := assertSnapshotMatches(t, key, hashWithEpochNotionalsData)
+	loadedEngine.OnMarketFeeFactorsBuyBackFeeUpdate(context.Background(), num.NewDecimalFromFloat(0.5))
+	loadedEngine.OnMarketFeeFactorsTreasuryFeeUpdate(context.Background(), num.NewDecimalFromFloat(0.5))
 
 	// party does not exist
 	require.Equal(t, num.DecimalZero(), engine.VolumeRebateFactorForParty("p8"))
@@ -253,6 +256,8 @@ func TestRebateFactorWithWindow(t *testing.T) {
 	broker := mocks.NewMockBroker(ctrl)
 	marketActivityTracker := mocks.NewMockMarketActivityTracker(ctrl)
 	engine := volumerebate.NewSnapshottedEngine(broker, marketActivityTracker)
+	engine.OnMarketFeeFactorsBuyBackFeeUpdate(context.Background(), num.DecimalFromFloat(0.5))
+	engine.OnMarketFeeFactorsTreasuryFeeUpdate(context.Background(), num.DecimalFromFloat(0.5))
 	currentTime := time.Now()
 
 	p1 := &types.VolumeRebateProgram{
@@ -318,6 +323,9 @@ func TestRebateFactorWithWindow(t *testing.T) {
 	// volume 5000
 	require.Equal(t, "1", engine.VolumeRebateFactorForParty("p7").String())
 
+	engine.OnMarketFeeFactorsBuyBackFeeUpdate(context.Background(), num.DecimalFromFloat(0.1))
+	engine.OnMarketFeeFactorsTreasuryFeeUpdate(context.Background(), num.DecimalFromFloat(0.2))
+
 	// running for another epoch
 	marketActivityTracker.EXPECT().CalculateTotalMakerContributionInQuantum(gomock.Any()).Return(map[string]*num.Uint{
 		"p8": num.NewUint(2000),
@@ -342,6 +350,8 @@ func TestRebateFactorWithWindow(t *testing.T) {
 	hashAfter2Epochs, _, err := engine.GetState(key)
 	require.NoError(t, err)
 	loadedEngine := assertSnapshotMatches(t, key, hashAfter2Epochs)
+	loadedEngine.OnMarketFeeFactorsBuyBackFeeUpdate(context.Background(), num.NewDecimalFromFloat(0.5))
+	loadedEngine.OnMarketFeeFactorsTreasuryFeeUpdate(context.Background(), num.NewDecimalFromFloat(0.5))
 
 	// fraction 0.2 => rebate 0.2
 	require.Equal(t, "0.2", engine.VolumeRebateFactorForParty("p8").String())
@@ -358,12 +368,12 @@ func TestRebateFactorWithWindow(t *testing.T) {
 	// nothing this time
 	require.Equal(t, "0", engine.VolumeRebateFactorForParty("p4").String())
 	require.Equal(t, "0", loadedEngine.VolumeRebateFactorForParty("p4").String())
-	// fraction 0.4 => rebate 0.5
-	require.Equal(t, "1", engine.VolumeRebateFactorForParty("p5").String())
-	require.Equal(t, "1", loadedEngine.VolumeRebateFactorForParty("p5").String())
-	// fraction 0.4 => rebate 0.5
-	require.Equal(t, "1", engine.VolumeRebateFactorForParty("p6").String())
-	require.Equal(t, "1", loadedEngine.VolumeRebateFactorForParty("p6").String())
+	// fraction 0.4 => rebate 1 => capped at 0.3
+	require.Equal(t, "0.3", engine.VolumeRebateFactorForParty("p5").String())
+	require.Equal(t, "0.3", loadedEngine.VolumeRebateFactorForParty("p5").String())
+	// fraction 0.4 => rebate 1 => capped at 0.3
+	require.Equal(t, "0.3", engine.VolumeRebateFactorForParty("p6").String())
+	require.Equal(t, "0.3", loadedEngine.VolumeRebateFactorForParty("p6").String())
 	// nothing this time
 	require.Equal(t, "0", engine.VolumeRebateFactorForParty("p7").String())
 	require.Equal(t, "0", loadedEngine.VolumeRebateFactorForParty("p7").String())