Merge pull request #10148 from vegaprotocol/0053-PERP-027

feat: perps test for ac 0053-PERP-027

core/integration/features/settlement/0053-PERP-027-twap-calculation.feature

@@ -0,0 +1,143 @@
+Feature: Test internal and external twap calculation
+
+    Background:
+        # epoch time is 1602806400
+        Given time is updated to "2020-10-16T00:00:00Z"
+        And the perpetual oracles from "0xCAFECAFE1":
+            | name        | asset | settlement property | settlement type | schedule property | schedule type  | margin funding factor | interest rate | clamp lower bound | clamp upper bound | quote name | settlement decimals |
+            | perp-oracle | USD   | perp.ETH.value      | TYPE_INTEGER    | perp.funding.cue  | TYPE_TIMESTAMP | 0.5                   | 0.00          | 0.0               | 0.0               | ETH        | 1                   |
+        And the liquidity sla params named "SLA":
+            | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
+            | 1.0         | 0.5                          | 1                             | 1.0                    |
+
+        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 | position decimal places | market type | sla params      |
+            | ETH/DEC19 | ETH        | USD   | default-simple-risk-model-3 | default-margin-calculator | 1                | default-none | default-none     | perp-oracle        | 1e6                    | 1e6                       | -3                      | perp        | default-futures |
+
+        And the following network parameters are set:
+            | name                           | value |
+            | market.auction.minimumDuration | 1     |
+            | limits.markets.maxPeggedOrders | 2     |
+        And the following network parameters are set:
+            | name                                    | value |
+            | network.markPriceUpdateMaximumFrequency | 0s    |
+        And the average block duration is "1"
+
+    @Perpetual @twap
+    Scenario: 0053-PERP-027 Internal and External TWAP calculation
+        Given the following network parameters are set:
+            | name                                    | value |
+            | network.markPriceUpdateMaximumFrequency | 120s  |
+        And the parties deposit on asset's general account the following amount:
+            | party  | asset | amount    |
+            | party1 | USD   | 10000000  |
+            | party2 | USD   | 10000000  |
+            | party3 | USD   | 10000000  |
+            | aux    | USD   | 100000000 |
+            | aux2   | USD   | 100000000 |
+            | lpprov | USD   | 100000000 |
+
+        When the parties submit the following liquidity provision:
+            | id  | party  | market id | commitment amount | fee   | lp type    |
+            | lp1 | lpprov | ETH/DEC19 | 100000            | 0.001 | submission |
+
+        # move market to continuous
+        And the parties place the following orders:
+            | party  | market id | side | volume | price | resulting trades | type       | tif     |
+            | lpprov | ETH/DEC19 | buy  | 1000   | 5     | 0                | TYPE_LIMIT | TIF_GTC |
+            | aux    | ETH/DEC19 | buy  | 1      | 5     | 0                | TYPE_LIMIT | TIF_GTC |
+            | lpprov | ETH/DEC19 | sell | 1000   | 15    | 0                | TYPE_LIMIT | TIF_GTC |
+            | aux    | ETH/DEC19 | sell | 1      | 15    | 0                | TYPE_LIMIT | TIF_GTC |
+            | aux2   | ETH/DEC19 | buy  | 1      | 11    | 0                | TYPE_LIMIT | TIF_GTC |
+            | aux    | ETH/DEC19 | sell | 1      | 11    | 0                | TYPE_LIMIT | TIF_GTC |
+
+        And the market data for the market "ETH/DEC19" should be:
+            | target stake | supplied stake |
+            | 12100        | 100000         |
+        Then the opening auction period ends for market "ETH/DEC19"
+
+        Given the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"
+        When time is updated to "2020-10-16T00:02:00Z"
+        # 1602806400 + 120s = 1602806520
+        # funding period is ended with perp.funding.cue
+        Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
+            | name             | value      | time offset |
+            | perp.ETH.value   | 110        | -1s         |
+            | perp.funding.cue | 1602806520 | 0s          |
+
+        # 1 min in to the next funding period
+        Given time is updated to "2020-10-16T00:03:00Z"
+        When the parties place the following orders:
+            | party  | market id | side | volume | price | resulting trades | type       | tif     |
+            | party1 | ETH/DEC19 | buy  | 1      | 11    | 0                | TYPE_LIMIT | TIF_GTC |
+            | party2 | ETH/DEC19 | sell | 1      | 11    | 1                | TYPE_LIMIT | TIF_GTC |
+
+        And the oracles broadcast data with block time signed with "0xCAFECAFE1":
+            | name           | value | time offset |
+            | perp.ETH.value | 90    | -1s         |
+
+        # 3 min in to the next funding period
+        Given time is updated to "2020-10-16T00:05:00Z"
+        And the mark price should be "11" for the market "ETH/DEC19"
+        When the parties place the following orders:
+            | party  | market id | side | volume | price | resulting trades | type       | tif     |
+            | party1 | ETH/DEC19 | buy  | 1      | 10    | 0                | TYPE_LIMIT | TIF_GTC |
+            | party2 | ETH/DEC19 | sell | 1      | 10    | 1                | TYPE_LIMIT | TIF_GTC |
+
+        Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
+            | name           | value | time offset |
+            | perp.ETH.value | 100   | -1s         |
+
+
+        # 5 min in to the next funding period
+        Given time is updated to "2020-10-16T00:07:00Z"
+        And the mark price should be "10" for the market "ETH/DEC19"
+        When the parties place the following orders:
+            | party  | market id | side | volume | price | resulting trades | type       | tif     |
+            | party1 | ETH/DEC19 | buy  | 1      | 9     | 0                | TYPE_LIMIT | TIF_GTC |
+            | party2 | ETH/DEC19 | sell | 1      | 9     | 1                | TYPE_LIMIT | TIF_GTC |
+
+        Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
+            | name           | value | time offset |
+            | perp.ETH.value | 120   | -1s         |
+
+        # 6 min in to the funding period emit spot price
+        Given time is updated to "2020-10-16T00:08:00Z"
+        And the oracles broadcast data with block time signed with "0xCAFECAFE1":
+            | name           | value | time offset |
+            | perp.ETH.value | 110   | -1s         |
+
+        # 7 mins in to the funding period
+        When time is updated to "2020-10-16T00:09:00Z"
+
+        And the mark price should be "9" for the market "ETH/DEC19"
+
+        And the parties place the following orders:
+            | party  | market id | side | volume | price | resulting trades | type       | tif     |
+            | party1 | ETH/DEC19 | buy  | 1      | 8     | 0                | TYPE_LIMIT | TIF_GTC |
+            | party2 | ETH/DEC19 | sell | 1      | 8     | 1                | TYPE_LIMIT | TIF_GTC |
+
+        Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
+            | name           | value | time offset |
+            | perp.ETH.value | 80    | -1s         |
+
+        # 9 min in to the next funding period
+        Given time is updated to "2020-10-16T00:11:00Z"
+        And the mark price should be "8" for the market "ETH/DEC19"
+        When the parties place the following orders:
+            | party  | market id | side | volume | price | resulting trades | type       | tif     |
+            | party1 | ETH/DEC19 | buy  | 1      | 7     | 0                | TYPE_LIMIT | TIF_GTC |
+            | party2 | ETH/DEC19 | sell | 1      | 7     | 1                | TYPE_LIMIT | TIF_GTC |
+
+        Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
+            | name           | value | time offset |
+            | perp.ETH.value | 140   | -1s         |
+
+        # if the funding period ended here, check the twap
+        Given time is updated to "2020-10-16T00:12:00Z"
+
+        # in theory internal TWAP = 9.3 external TWAP = 10.3
+        # but these are type int so the decimal is truncated
+        Then the product data for the market "ETH/DEC19" should be:
+            | internal twap | external twap |
+            | 9             | 10            |

core/integration/main_test.go

@@ -491,6 +491,9 @@ func InitializeScenario(s *godog.ScenarioContext) {
 	s.Step(`^the market data for the market "([^"]+)" should be:$`, func(marketID string, table *godog.Table) error {
 		return steps.TheMarketDataShouldBe(execsetup.executionEngine, marketID, table)
 	})
+	s.Step(`^the product data for the market "([^"]+)" should be:$`, func(marketID string, table *godog.Table) error {
+		return steps.TheProductDataShouldBe(execsetup.executionEngine, marketID, table)
+	})
 	s.Step(`the auction ends with a traded volume of "([^"]+)" at a price of "([^"]+)"`, func(vol, price string) error {
 		now := execsetup.timeService.GetTimeNow()
 		return steps.TheAuctionTradedVolumeAndPriceShouldBe(execsetup.broker, vol, price, now)

core/integration/steps/the_product_data_should_be.go

@@ -0,0 +1,100 @@
+// Copyright (C) 2023 Gobalsky Labs Limited
+//
+// This program is free software: you can redistribute it and/or modify
+// it under the terms of the GNU Affero General Public License as
+// published by the Free Software Foundation, either version 3 of the
+// License, or (at your option) any later version.
+//
+// This program is distributed in the hope that it will be useful,
+// but WITHOUT ANY WARRANTY; without even the implied warranty of
+// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+// GNU Affero General Public License for more details.
+//
+// You should have received a copy of the GNU Affero General Public License
+// along with this program.  If not, see <http://www.gnu.org/licenses/>.
+
+package steps
+
+import (
+	"fmt"
+
+	"code.vegaprotocol.io/vega/core/types"
+
+	"github.com/cucumber/godog"
+)
+
+func TheProductDataShouldBe(engine Execution, mID string, data *godog.Table) error {
+	actual, err := engine.GetMarketData(mID)
+	if err != nil {
+		return err
+	}
+	for _, row := range parseProductDataTable(data) {
+		expect := ProductDataWrapper{
+			row: row,
+		}
+		err := checkProductData(*actual.ProductData, expect)
+		if err != nil {
+			return err
+		}
+	}
+	return nil
+}
+
+func checkProductData(pd types.ProductData, row ProductDataWrapper) error {
+	expectedInternalTwap := row.InternalTWAP()
+	actualInternalTwap := pd.Data.IntoProto().GetPerpetualData().InternalTwap
+
+	if expectedInternalTwap != actualInternalTwap {
+		return fmt.Errorf("expected '%s' for InternalTWAP, instead got '%s'", expectedInternalTwap, actualInternalTwap)
+	}
+
+	expectedExternalTwap := row.ExternalTWAP()
+	actualExternalTwap := pd.Data.IntoProto().GetPerpetualData().ExternalTwap
+	if expectedExternalTwap != actualExternalTwap {
+		return fmt.Errorf("expected '%s' for InternalTWAP, instead got '%s'", expectedExternalTwap, actualExternalTwap)
+	}
+
+	expectedFundingPayment, b := row.FundingPayment()
+	actualFundingPayment := pd.Data.IntoProto().GetPerpetualData().FundingPayment
+	if b && expectedFundingPayment != actualFundingPayment {
+		return fmt.Errorf("expected '%s' for InternalTWAP, instead got '%s'", expectedFundingPayment, actualFundingPayment)
+	}
+
+	expectedFundingRate, b := row.FundingRate()
+	actualFundingRate := pd.Data.IntoProto().GetPerpetualData().FundingRate
+	if b && expectedFundingRate != actualFundingRate {
+		return fmt.Errorf("expected '%s' for InternalTWAP, instead got '%s'", expectedFundingRate, actualFundingRate)
+	}
+
+	return nil
+}
+
+func parseProductDataTable(table *godog.Table) []RowWrapper {
+	return StrictParseTable(table, []string{
+		"internal twap",
+		"external twap",
+	}, []string{
+		"funding payment",
+		"funding rate",
+	})
+}
+
+type ProductDataWrapper struct {
+	row RowWrapper
+}
+
+func (f ProductDataWrapper) InternalTWAP() string {
+	return f.row.MustStr("internal twap")
+}
+
+func (f ProductDataWrapper) ExternalTWAP() string {
+	return f.row.MustStr("external twap")
+}
+
+func (f ProductDataWrapper) FundingPayment() (string, bool) {
+	return f.row.StrB("funding payment")
+}
+
+func (f ProductDataWrapper) FundingRate() (string, bool) {
+	return f.row.StrB("funding rate")
+}