test: add coverage for HVMR rebate

Signed-off-by: Elias Van Ootegem <[email protected]>

core/integration/features/volume-rebate/0095-HVMR-multiple.feature

@@ -0,0 +1,185 @@
+Feature: Volume rebate program - two programs overlapping
+  Background:
+
+    # Initialise the network and register the assets
+    Given the average block duration is "1"
+    And the following network parameters are set:
+      | name                                    | value |
+      | market.fee.factors.makerFee             | 0.01  |
+      | market.fee.factors.infrastructureFee    | 0.01  |
+      | market.fee.factors.treasuryFee          | 0.1   |
+      | market.fee.factors.buybackFee           | 0.1   |
+      | network.markPriceUpdateMaximumFrequency | 0s    |
+      | validators.epoch.length                 | 20s   |
+      | market.auction.minimumDuration          | 1     |
+      #| volumeRebateProgram.maxBenefitTiers     | 2     |
+
+    And the following assets are registered:
+      | id       | decimal places | quantum |
+      | USD-0-1  | 0              | 1       |
+      | MXN-0-10 | 0              | 10      |
+
+    # Initialise the parties and deposit assets
+    And the parties deposit on asset's general account the following amount:
+      | party  | asset    | amount   |
+      | aux1   | USD-0-1  | 3000000  |
+      | aux2   | USD-0-1  | 3000000  |
+      | aux1   | MXN-0-10 | 30000000 |
+      | aux2   | MXN-0-10 | 30000000 |
+      | party1 | USD-0-1  | 3000000  |
+      | party2 | USD-0-1  | 3000000  |
+      | party1 | MXN-0-10 | 30000000 |
+      | party2 | MXN-0-10 | 30000000 |
+
+    # Setup the markets
+    And the price monitoring named "price-monitoring":
+      | horizon | probability | auction extension |
+      | 3600    | 0.99        | 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      | decimal places | position decimal places |
+      | BTC/USD-0-1  | USD        | USD-0-1  | default-log-normal-risk-model | default-margin-calculator | 1                | default-none | price-monitoring | default-eth-for-future | 1e-3                   | 0                         | default-futures | 0              | 0                       |
+      | BTC/MXN-0-10 | VND        | MXN-0-10 | default-log-normal-risk-model | default-margin-calculator | 1                | default-none | price-monitoring | default-eth-for-future | 1e-3                   | 0                         | default-futures | 0              | 0                       |
+    And the spot markets:
+      | id               | name    | base asset | quote asset | risk model                    | auction duration | fees         | price monitoring | decimal places | position decimal places | sla params    |
+      | MXN-0-10/USD-0-1 | MXN/USD | MXN-0-10   | USD-0-1     | default-log-normal-risk-model | 1                | default-none | price-monitoring | 0              | 0                       | default-basic |
+      | USD-0-1/MXN-0-10 | MXN/USD | USD-0-1    | MXN-0-10    | default-log-normal-risk-model | 1                | default-none | price-monitoring | 0              | 0                       | default-basic |
+    And the parties place the following orders:
+      | party | market id   | side | volume | price | resulting trades | type       | tif     |
+      | aux1  | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | BTC/USD-0-1 | sell | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |
+    And the parties place the following orders:
+      | party | market id    | side | volume | price  | resulting trades | type       | tif     |
+      | aux1  | BTC/MXN-0-10 | buy  | 1      | 500000 | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | BTC/MXN-0-10 | sell | 1      | 500000 | 0                | TYPE_LIMIT | TIF_GTC |
+    And the parties place the following orders:
+      | party | market id        | side | volume | price | resulting trades | type       | tif     |
+      | aux1  | MXN-0-10/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | MXN-0-10/USD-0-1 | sell | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |
+    And the parties place the following orders:
+      | party | market id        | side | volume | price  | resulting trades | type       | tif     |
+      | aux1  | USD-0-1/MXN-0-10 | buy  | 1      | 500000 | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | USD-0-1/MXN-0-10 | sell | 1      | 500000 | 0                | TYPE_LIMIT | TIF_GTC |
+    When the network moves ahead "2" blocks
+    Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/USD-0-1"
+    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/MXN-0-10"
+    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "MXN-0-10/USD-0-1"
+    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "MXN-0-10/USD-0-1"
+
+  @HVMR
+  Scenario Outline: rebate program A is enacted, during its lifetime program B takes over. Program B closes after program A, so after B closes, no programs should be active. (0995-HVMR-006)(0095-HMVR-007)(0095-HVMR-008)(0095-HVMR-009)(0095-HVM-010)(0095-HVMR-011).
+    Given the volume rebate program tiers named "A1":
+      | fraction | rebate |
+      | 0.0001   | 0.001  |
+    And the volume rebate program tiers named "B3":
+      | fraction | rebate |
+      | 0.0001   | 0.002  |
+      | 0.0002   | 0.003  |
+      | 0.0003   | 0.004  |
+    And the volume rebate program:
+      | id       | tiers | closing timestamp | window length   | closing delta   |
+      | programA | A1    | 0                 | <window length> | <closing delta> |
+    And the network moves ahead "1" epochs
+
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | <market>  | sell | 1      | 50000 | 1                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
+      | party1 | aux1   | 1    | 50000 | sell           | 0               | 500              |
+
+    Given the network moves ahead <epochs between trades> epochs
+    When the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | error |
+      | party2 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | <market>  | sell | 1      | 50000 | 1                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
+      | party2 | aux1   | 1    | 50000 | sell           | 0               | 500              |
+
+    When the network moves ahead "1" epochs
+    When the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | party2 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | <market>  | sell | 2      | 50000 | 2                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
+      | party1 | aux1   | 1    | 50000 | sell           | 0                           | <party1 rebate A>            |
+      | party2 | aux1   | 1    | 50000 | sell           | 0                           | <party2 rebate A>            |
+
+    # ensure program B can be created
+    #When the following network parameters are set:
+    #| name                                | value |
+    #| volumeRebateProgram.maxBenefitTiers | 3     |
+    When the network moves ahead "1" epochs
+    Then the volume rebate program:
+      | id       | tiers | closing timestamp | window length   | closing delta   |
+      | programB | B3    | 0                 | <window length> | <closing delta> |
+
+    When the network moves ahead "1" epochs
+    Then the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | <market>  | sell | 1      | 50000 | 1                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
+      | party1 | aux1   | 1    | 50000 | sell           | 0               | 500              |
+
+    Given the network moves ahead <epochs between trades> epochs
+    When the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | error |
+      | party2 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | <market>  | sell | 1      | 50000 | 1                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
+      | party2 | aux1   | 1    | 50000 | sell           | 0               | 500              |
+
+    When the network moves ahead "1" epochs
+    Then the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | party2 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | <market>  | sell | 2      | 50000 | 2                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
+      | party1 | aux1   | 1    | 50000 | sell           | 0                           | <party1 rebate B>            |
+      | party2 | aux1   | 1    | 50000 | sell           | 0                           | <party2 rebate B>            |
+
+    # Now no programs are active
+    When the network moves ahead "4" epochs
+    Then the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | <market>  | sell | 1      | 50000 | 1                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
+      | party2 | aux1   | 1    | 50000 | sell           | 0               | 500              |
+
+    When the network moves ahead "1" epochs
+    Then the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | party2 | <market>  | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | <market>  | sell | 2      | 50000 | 2                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
+      | party1 | aux1   | 1    | 50000 | sell           | 0                           | 0                            |
+      | party2 | aux1   | 1    | 50000 | sell           | 0                           | 0                            |
+
+  # Closing delta must be > 1 epoch + epochs betwochs between trades + 3 blocks, 80s == 4 epochs
+  Examples:
+      | market           | window length | epochs between trades | party1 rebate A | party2 rebate A | closing delta | party1 rebate B | party2 rebate B |
+      | BTC/USD-0-1      | 2             | "0"                   | 50              | 50              | 80s           | 200             | 200             |
+      | BTC/USD-0-1      | 2             | "1"                   | 50              | 50              | 80s           | 200             | 200             |
+      | MXN-0-10/USD-0-1 | 2             | "0"                   | 50              | 50              | 80s           | 200             | 200             |
+      | MXN-0-10/USD-0-1 | 2             | "1"                   | 50              | 50              | 80s           | 200             | 200             |
+

core/integration/main_test.go

@@ -819,7 +819,7 @@ func InitializeScenario(s *godog.ScenarioContext) {
 	})
 
 	s.Step(`^the volume rebate program:$`, func(table *godog.Table) error {
-		return steps.VolumeRebateProgram(execsetup.volumeRebateProgram, volumeRebateTiers, table)
+		return steps.VolumeRebateProgram(execsetup.volumeRebateProgram, volumeRebateTiers, execsetup.timeService, table)
 	})
 	s.Step(`^the party "([^"]*)" has the following rebate factor "([^"]*)"$`, func(party, rebate string) error {
 		return steps.PartyHasTheFollowingRebate(party, rebate, execsetup.volumeRebateProgram)

core/integration/steps/volume_rebate_program.go

@@ -19,6 +19,7 @@ import (
 	"fmt"
 	"time"
 
+	"code.vegaprotocol.io/vega/core/integration/stubs"
 	"code.vegaprotocol.io/vega/core/types"
 	"code.vegaprotocol.io/vega/core/volumerebate"
 	"code.vegaprotocol.io/vega/libs/num"
@@ -68,6 +69,7 @@ func (r volumeRebateTiersRow) rebate() num.Decimal {
 func VolumeRebateProgram(
 	vde *volumerebate.Engine,
 	tiers map[string][]*types.VolumeRebateBenefitTier,
+	ts *stubs.TimeStub,
 	table *godog.Table,
 ) error {
 	rows := parseVolumeRebateTable(table)
@@ -77,11 +79,7 @@ func VolumeRebateProgram(
 		row := volumeRebateRow{row: r}
 		vdp.ID = row.id()
 		vdp.WindowLength = row.windowLength()
-		if row.closingTimestamp() == 0 {
-			vdp.EndOfProgramTimestamp = time.Time{}
-		} else {
-			vdp.EndOfProgramTimestamp = time.Unix(row.closingTimestamp(), 0)
-		}
+		vdp.EndOfProgramTimestamp = row.closingTS(ts.GetTimeNow())
 		tierName := row.tiers()
 		if tier := tiers[tierName]; tier != nil {
 			vdp.VolumeRebateBenefitTiers = tier
@@ -97,7 +95,9 @@ func parseVolumeRebateTable(table *godog.Table) []RowWrapper {
 		"tiers",
 		"closing timestamp",
 		"window length",
-	}, []string{})
+	}, []string{
+		"closing delta",
+	})
 }
 
 type volumeRebateRow struct {
@@ -116,6 +116,24 @@ func (r volumeRebateRow) closingTimestamp() int64 {
 	return r.row.MustI64("closing timestamp")
 }
 
+func (r volumeRebateRow) closingTS(now time.Time) time.Time {
+	if delta, ok := r.closingDelta(); ok {
+		return now.Add(delta)
+	}
+	ts := r.closingTimestamp()
+	if ts == 0 {
+		return time.Time{}
+	}
+	return time.Unix(ts, 0)
+}
+
+func (r volumeRebateRow) closingDelta() (time.Duration, bool) {
+	if r.row.HasColumn("closing delta") {
+		return r.row.MustDurationStr("closing delta"), true
+	}
+	return 0, false
+}
+
 func (r volumeRebateRow) windowLength() uint64 {
 	return r.row.MustU64("window length")
 }