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core/integration/features/successor-markets-insurance.feature
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| Feature: Successor markets: Global insurance pool account collects all outstanding funds from closed/expired markets in a risk universe (0013-ACCT-032) | ||
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| Background: | ||
| Given time is updated to "2019-11-30T00:00:00Z" | ||
| And the following assets are registered: | ||
| | id | decimal places | | ||
| | ETH | 1 | | ||
| | USD | 1 | | ||
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| Given the log normal risk model named "lognormal-risk-model-fish": | ||
| | risk aversion | tau | mu | r | sigma | | ||
| | 0.001 | 0.01 | 0 | 0.0 | 1.2 | | ||
| And the margin calculator named "margin-calculator-1": | ||
| | search factor | initial factor | release factor | | ||
| | 1.2 | 1.5 | 2 | | ||
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| # Create some oracles | ||
| ## oracle for parent | ||
| And the oracle spec for settlement data filtering data from "0xCAFECAFE1" named "ethDec19Oracle": | ||
| | property | type | binding | | ||
| | prices.ETH.value | TYPE_INTEGER | settlement data | | ||
| And the oracle spec for trading termination filtering data from "0xCAFECAFE1" named "ethDec19Oracle": | ||
| | property | type | binding | | ||
| | trading.terminated | TYPE_BOOLEAN | trading termination | | ||
| And the settlement data decimals for the oracle named "ethDec19Oracle" is given in "0" decimal places | ||
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| ## oracle for a successor 1 | ||
| And the oracle spec for settlement data filtering data from "0xCAFECAAA" named "ethDec20Oracle": | ||
| | property | type | binding | | ||
| | prices.ETH.value | TYPE_INTEGER | settlement data | | ||
| And the oracle spec for trading termination filtering data from "0xCAFECAAA" named "ethDec20Oracle": | ||
| | property | type | binding | | ||
| | trading.terminated | TYPE_BOOLEAN | trading termination | | ||
| And the settlement data decimals for the oracle named "ethDec20Oracle" is given in "0" decimal places | ||
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| ## oracle for a successor 2 | ||
| And the oracle spec for settlement data filtering data from "0xCAFECABB" named "ethDec21Oracle": | ||
| | property | type | binding | | ||
| | prices.ETH.value | TYPE_INTEGER | settlement data | | ||
| And the oracle spec for trading termination filtering data from "0xCAFECABB" 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 | ||
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| ## oracle for a successor 3 | ||
| And the oracle spec for settlement data filtering data from "0xCAFECACC" named "ethDec22Oracle": | ||
| | property | type | binding | | ||
| | prices.ETH.value | TYPE_INTEGER | settlement data | | ||
| And the oracle spec for trading termination filtering data from "0xCAFECACC" named "ethDec22Oracle": | ||
| | property | type | binding | | ||
| | trading.terminated | TYPE_BOOLEAN | trading termination | | ||
| And the settlement data decimals for the oracle named "ethDec22Oracle" is given in "0" decimal places | ||
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| ## oracle for a successor 4 | ||
| And the oracle spec for settlement data filtering data from "0xCAFECADD" named "ethDec23Oracle": | ||
| | property | type | binding | | ||
| | prices.ETH.value | TYPE_INTEGER | settlement data | | ||
| And the oracle spec for trading termination filtering data from "0xCAFECADD" named "ethDec23Oracle": | ||
| | property | type | binding | | ||
| | trading.terminated | TYPE_BOOLEAN | trading termination | | ||
| And the settlement data decimals for the oracle named "ethDec23Oracle" is given in "0" decimal places | ||
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| And the liquidity monitoring parameters: | ||
| | name | triggering ratio | time window | scaling factor | | ||
| | lqm-params | 0.01 | 10s | 5 | | ||
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| And the following network parameters are set: | ||
| | name | value | | ||
| | network.markPriceUpdateMaximumFrequency | 0s | | ||
| | market.auction.minimumDuration | 1 | | ||
| | market.fee.factors.infrastructureFee | 0.001 | | ||
| | market.fee.factors.makerFee | 0.004 | | ||
| | market.value.windowLength | 60s | | ||
| | market.liquidity.bondPenaltyParameter | 0.1 | | ||
| | validators.epoch.length | 5s | | ||
| | market.liquidity.stakeToCcyVolume | 0.2 | | ||
| | market.liquidity.successorLaunchWindowLength | 8s | | ||
| | limits.markets.maxPeggedOrders | 2 | | ||
| And the average block duration is "1" | ||
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| # All parties have 1,000,000.000,000,000,000,000,000 | ||
| # Add as many parties as needed here | ||
| And the parties deposit on asset's general account the following amount: | ||
| | party | asset | amount | | ||
| | lpprov1 | USD | 10000000000000000000000000 | | ||
| | lpprov2 | USD | 10000000000000000000000000 | | ||
| | trader1 | USD | 10000000000000000000000000 | | ||
| | trader2 | USD | 10000000000000000000000000 | | ||
| | trader3 | USD | 10000000000000000000000000 | | ||
| | trader4 | USD | 10000000000000000000000000 | | ||
| | trader5 | USD | 10000000000000000000000000 | | ||
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| @SMGIP01 | ||
| Scenario: Test global insurance pool collects successor markets insurance balances | ||
| Given the markets: | ||
| | id | quote name | asset | liquidity monitoring | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | decimal places | position decimal places | parent market id | insurance pool fraction | successor auction | sla params | | ||
| | ETH/DEC19 | ETH | USD | lqm-params | lognormal-risk-model-fish | margin-calculator-1 | 1 | default-none | default-none | ethDec19Oracle | 0.1 | 0 | 1 | 1 | | | | default-futures | | ||
| | ETH/DEC20 | ETH | USD | lqm-params | default-st-risk-model | default-margin-calculator | 1 | default-none | default-none | ethDec20Oracle | 0.1 | 0 | 1 | 1 | ETH/DEC19 | 0.5 | 10 | default-futures | | ||
| | ETH/DEC21 | ETH | USD | lqm-params | default-st-risk-model | default-margin-calculator | 1 | default-none | default-none | ethDec21Oracle | 0.1 | 0 | 1 | 1 | ETH/DEC19 | 0.5 | 10 | default-futures | | ||
| | ETH/DEC22 | ETH | USD | lqm-params | default-st-risk-model | default-margin-calculator | 1 | default-none | default-none | ethDec22Oracle | 0.1 | 0 | 1 | 1 | ETH/DEC19 | 0.5 | 10 | default-futures | | ||
| | ETH/DEC23 | ETH | USD | lqm-params | default-st-risk-model | default-margin-calculator | 1 | default-none | default-none | ethDec23Oracle | 0.1 | 0 | 1 | 1 | ETH/DEC19 | 0.5 | 10 | default-futures | | ||
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| Given the initial insurance pool balance is "1000" for all the markets | ||
| And the parties submit the following liquidity provision: | ||
| | id | party | market id | commitment amount | fee | lp type | | ||
| | lp1 | lpprov1 | ETH/DEC19 | 9000 | 0.1 | submission | | ||
| | lp2 | lpprov2 | ETH/DEC20 | 1000 | 0.1 | submission | | ||
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| And the parties place the following pegged iceberg orders: | ||
| | party | market id | peak size | minimum visible size | side | pegged reference | volume | offset | | ||
| | lpprov2 | ETH/DEC20 | 2 | 1 | buy | BID | 500 | 10 | | ||
| | lpprov2 | ETH/DEC20 | 2 | 1 | sell | ASK | 500 | 10 | | ||
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| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | trader1 | ETH/DEC19 | buy | 10 | 1 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | trader1 | ETH/DEC19 | sell | 10 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | trader1 | ETH/DEC19 | buy | 1 | 150 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | trader2 | ETH/DEC19 | sell | 1 | 150 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | lpprov1 | ETH/DEC19 | buy | 225 | 40 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | lpprov1 | ETH/DEC19 | sell | 36 | 250 | 0 | TYPE_LIMIT | TIF_GTC | | ||
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| And the network moves ahead "2" blocks | ||
| Then the mark price should be "150" for the market "ETH/DEC19" | ||
| And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19" | ||
| And the trading mode should be "TRADING_MODE_OPENING_AUCTION" for the market "ETH/DEC20" | ||
| And the trading mode should be "TRADING_MODE_OPENING_AUCTION" for the market "ETH/DEC21" | ||
| And the trading mode should be "TRADING_MODE_OPENING_AUCTION" for the market "ETH/DEC22" | ||
| And the trading mode should be "TRADING_MODE_OPENING_AUCTION" for the market "ETH/DEC23" | ||
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| ## Now ETH/DEC20 leaves opening auction | ||
| When the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | trader1 | ETH/DEC20 | buy | 10 | 1 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | trader1 | ETH/DEC20 | sell | 10 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | trader2 | ETH/DEC20 | buy | 1 | 150 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | trader2 | ETH/DEC20 | sell | 1 | 150 | 0 | TYPE_LIMIT | TIF_GTC | | ||
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| And the network moves ahead "11" blocks | ||
| Then the mark price should be "150" for the market "ETH/DEC20" | ||
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| And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19" | ||
| And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC20" | ||
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| # enact the successor and get the insurance pool franction form the parent | ||
| And the insurance pool balance should be "0" for the market "ETH/DEC21" | ||
| And the insurance pool balance should be "0" for the market "ETH/DEC22" | ||
| And the insurance pool balance should be "0" for the market "ETH/DEC23" | ||
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| ## insurance pool for closed market is distributed | ||
| And the insurance pool balance should be "1500" for the market "ETH/DEC19" | ||
| And the insurance pool balance should be "2500" for the market "ETH/DEC20" | ||
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| And the global insurance pool balance should be "1000" for the asset "USD" | ||
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| # cancel ETH/DEC19 | ||
| When the market states are updated through governance: | ||
| | market id | state | settlement price | | ||
| | ETH/DEC19 | MARKET_STATE_UPDATE_TYPE_TERMINATE | 150 | | ||
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| ## insurance pool for closed market is distributed | ||
| And the insurance pool balance should be "0" for the market "ETH/DEC19" | ||
| And the insurance pool balance should be "3250" for the market "ETH/DEC20" | ||
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| And the global insurance pool balance should be "1750" for the asset "USD" | ||
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| And the network moves ahead "1" blocks | ||
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| # terminate ETH/DEC20 | ||
| Then the oracles broadcast data signed with "0xCAFECAAA": | ||
| | name | value | | ||
| | trading.terminated | true | | ||
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| And the network moves ahead "1" blocks | ||
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| # settle ETH/DEC20 | ||
| When the oracles broadcast data signed with "0xCAFECAAA": | ||
| | name | value | | ||
| | prices.ETH.value | 14000000 | | ||
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| Then the market state should be "STATE_SETTLED" for the market "ETH/DEC20" | ||
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| And then the network moves ahead "1" blocks | ||
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| And the insurance pool balance should be "3250" for the market "ETH/DEC20" | ||
| And the global insurance pool balance should be "1750" for the asset "USD" | ||
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| And the network moves ahead "10" blocks | ||
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| And the global insurance pool balance should be "5000" for the asset "USD" | ||
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| ## the insurance pools from the settled/cancelled markets are all drained | ||
| Then the insurance pool balance should be "0" for the market "ETH/DEC19" | ||
| And the insurance pool balance should be "0" for the market "ETH/DEC20" | ||
| And the insurance pool balance should be "0" for the market "ETH/DEC21" | ||
| And the insurance pool balance should be "0" for the market "ETH/DEC22" | ||
| And the insurance pool balance should be "0" for the market "ETH/DEC23" |