Merge pull request #10341 from vegaprotocol/517-0014-ORDT-130

Adding AC for 0014-ORDT-130

Makefile

@@ -5,7 +5,7 @@ all: build
 
 .PHONY: lint
 lint: ## Lint the files
-	go run github.com/golangci/golangci-lint/cmd/golangci-lint@v1.53.2 run -v --config .golangci.toml
+	go run github.com/golangci/golangci-lint/cmd/golangci-lint@v1.55.2 run -v --config .golangci.toml
 
 .PHONY: retest
 retest: ## Re-run all unit tests

core/execution/common/errors.go

@@ -79,4 +79,6 @@ var (
 	ErrPartyHasNoExistingLiquidityProvision                 = errors.New("party has no existing liquidity provision")
 	// ErrStopOrderNotAllowedDuringOpeningAuction is returned if a trader attempts to send a stop order to a market that is in opening auction.
 	ErrStopOrderNotAllowedDuringOpeningAuction = errors.New("stop orders are not accepted during the opening auction")
+	// ErrStopOrderNotAllowedSameExpiryTimeForOCO is returned if both sides of an OCO have the same expiry time.
+	ErrStopOrderNotAllowedSameExpiry = errors.New("stop order OCOs must not have the same expiry time")
 )

core/execution/future/market.go

@@ -1871,6 +1871,13 @@ func (m *Market) SubmitStopOrdersWithIDGeneratorAndOrderIDs(
 		orderCnt++
 	}
 
+	if risesAbove != nil && fallsBelow != nil {
+		if risesAbove.Expiry.Expires() && fallsBelow.Expiry.Expires() && risesAbove.Expiry.ExpiresAt.Compare(*fallsBelow.Expiry.ExpiresAt) == 0 {
+			rejectStopOrders(types.StopOrderRejectionOCONotAllowedSameExpiryTime, fallsBelow, risesAbove)
+			return nil, common.ErrStopOrderNotAllowedSameExpiry
+		}
+	}
+
 	// now check if that party hasn't exceeded the max amount per market
 	if m.stopOrders.CountForParty(party)+uint64(orderCnt) > m.maxStopOrdersPerParties.Uint64() {
 		rejectStopOrders(types.StopOrderRejectionMaxStopOrdersPerPartyReached, fallsBelow, risesAbove)

core/integration/features/orders/stoporders.feature

@@ -558,7 +558,7 @@ Feature: stop orders
     When time is updated to "2019-11-30T00:00:10Z"
     # create party1 stop order, no trade resulting, expires in 10 secs
     When the parties place the following orders:
-      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | ra price trigger | error | reference | so expires in | so expiry strategy      |
+      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | ra price trigger | error | reference | ra expires in | ra expiry strategy      |
       | party1 | ETH/DEC19 | buy  | 10     | 0     | 0                | TYPE_MARKET | TIF_IOC | reduce | 75               |       | stop1     | 10            | EXPIRY_STRATEGY_CANCELS |
 
     # add 20 secs, should expire
@@ -617,7 +617,7 @@ Feature: stop orders
     When time is updated to "2019-11-30T00:00:10Z"
     # create party1 stop order, no trade resulting, expires in 10 secs
     When the parties place the following orders:
-      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | ra price trigger | error | reference | so expires in | so expiry strategy     |
+      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | ra price trigger | error | reference | ra expires in | ra expiry strategy     |
       | party1 | ETH/DEC19 | buy  | 10     | 0     | 0                | TYPE_MARKET | TIF_IOC | reduce | 75               |       | stop1     | 10            | EXPIRY_STRATEGY_SUBMIT |
 
     # add 20 secs, should expire
@@ -679,7 +679,7 @@ Feature: stop orders
       | party3 | ETH/DEC19 | buy  | 20     | 20    | 0                | TYPE_LIMIT | TIF_GTC |
     # create party1 stop order, no trade resulting, expires in 10 secs
     And the parties place the following orders:
-      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | fb price trigger | error | reference | so expires in | so expiry strategy     |
+      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | fb price trigger | error | reference | fb expires in | fb expiry strategy     |
       | party1 | ETH/DEC19 | sell | 10     | 0     | 0                | TYPE_MARKET | TIF_IOC | reduce | 25               |       | stop1     | 10            | EXPIRY_STRATEGY_SUBMIT |
 
     # trigger the stop order
@@ -1620,7 +1620,7 @@ Feature: stop orders
       | party2 | ETH/DEC20 | sell | 1      | 5000  | 1                | TYPE_LIMIT | TIF_GTC |
     # Place a stop order which will expire during the auction
     And the parties place the following orders:
-      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | ra price trigger | error | so expires in | so expiry strategy     | reference |
+      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | ra price trigger | error | ra expires in | ra expiry strategy     | reference |
       | party1 | ETH/DEC20 | sell | 1      | 0     | 0                | TYPE_MARKET | TIF_IOC | reduce | 5020             |       | 5             | EXPIRY_STRATEGY_SUBMIT | stop      |
     # Trigger a price-monitoring auction
     When the parties place the following orders:
@@ -1706,7 +1706,7 @@ Feature: stop orders
       | party3 | ETH/DEC19 | buy  | 20     | 20    | 0                | TYPE_LIMIT | TIF_GTC |
     # create party1 stop order, no trade resulting, expires in 10 secs
     And the parties place the following orders:
-      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | fb price trigger | ra price trigger | error | reference | so expires in | so expiry strategy     |
+      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | fb price trigger | ra price trigger | error | reference | fb expires in | fb expiry strategy     |
       | party1 | ETH/DEC19 | sell | 10     | 0     | 0                | TYPE_MARKET | TIF_IOC | reduce | 25               | 100              |       | stop1     | 10            | EXPIRY_STRATEGY_SUBMIT |
 
     # trigger the stop order
@@ -1777,9 +1777,62 @@ Feature: stop orders
     When time is updated to "2019-11-30T00:00:10Z"
     # create party1 stop order, no trade resulting, expires in 10 secs
     When the parties place the following orders:
-      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | ra price trigger | error                         | reference | so expires in | so expiry strategy     |
+      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | ra price trigger | error                         | reference | ra expires in | ra expiry strategy     |
       | party1 | ETH/DEC19 | buy  | 10     | 0     | 0                | TYPE_MARKET | TIF_IOC | reduce | 75               | stop order expiry in the past | stop1     | -10           | EXPIRY_STRATEGY_SUBMIT |
 
     Then the stop orders should have the following states
       | party  | market id | status          | reference |
       | party1 | ETH/DEC19 | STATUS_REJECTED | stop1     |
+
+
+
+  Scenario: An OCO stop order with expiration time T with both sides set to execute at that time will be rejected on submission (0014-ORDT-130)
+
+    # setup accounts
+    Given time is updated to "2019-11-30T00:00:00Z"
+    Given the parties deposit on asset's general account the following amount:
+      | party  | asset | amount   |
+      | party1 | BTC   | 10000    |
+      | party2 | BTC   | 10000    |
+      | party3 | BTC   | 10000    |
+      | aux    | BTC   | 100000   |
+      | aux2   | BTC   | 100000   |
+      | aux3   | BTC   | 100000   |
+      | lpprov | BTC   | 90000000 |
+
+    When the parties submit the following liquidity provision:
+      | id  | party  | market id | commitment amount | fee | lp type    |
+      | lp1 | lpprov | ETH/DEC19 | 90000000          | 0.1 | submission |
+      | lp1 | lpprov | ETH/DEC19 | 90000000          | 0.1 | submission |
+    And the parties place the following pegged iceberg orders:
+      | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
+      | lpprov | ETH/DEC19 | 2         | 1                    | buy  | BID              | 50     | 100    |
+      | lpprov | ETH/DEC19 | 2         | 1                    | sell | ASK              | 50     | 100    |
+
+    # place auxiliary orders so we always have best bid and best offer as to not trigger the liquidity auction
+    When the parties place the following orders:
+      | party | market id | side | volume | price | resulting trades | type       | tif     |
+      | aux   | ETH/DEC19 | buy  | 1      | 1     | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux   | ETH/DEC19 | sell | 1      | 10001 | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | ETH/DEC19 | buy  | 5      | 50    | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux3  | ETH/DEC19 | sell | 5      | 50    | 0                | TYPE_LIMIT | TIF_GTC |
+
+    Then the opening auction period ends for market "ETH/DEC19"
+    And the trading mode should be "TRADING_MODE_CONTINUOUS" 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 | sell | 10     | 50    | 0                | TYPE_LIMIT | TIF_GTC |
+      | party2 | ETH/DEC19 | buy  | 10     | 50    | 1                | TYPE_LIMIT | TIF_GTC |
+
+    # volume for the stop trade
+    When the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     |
+      | party3 | ETH/DEC19 | sell | 10     | 50    | 0                | TYPE_LIMIT | TIF_GTC |
+
+
+    When time is updated to "2019-11-30T00:00:10Z"
+    # create party1 stop order, no trade resulting, expires in 10 secs
+    When the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type        | tif     | only   | ra price trigger | fb price trigger | reference | ra expires in | ra expiry strategy     | fb expires in | fb expiry strategy     | error                                              |
+      | party1 | ETH/DEC19 | buy  | 10     | 0     | 0                | TYPE_MARKET | TIF_IOC | reduce | 75               | 25               | stop1     | 10            | EXPIRY_STRATEGY_SUBMIT | 10            | EXPIRY_STRATEGY_SUBMIT | stop order OCOs must not have the same expiry time |

core/integration/steps/parties_place_the_following_orders.go

@@ -330,11 +330,29 @@ func buildStopOrder(
 
 	sub := &types.StopOrdersSubmission{}
 
+	var (
+		fbStrategy        *types.StopOrderExpiryStrategy
+		fbStopOrderExpiry *time.Time
+		raStrategy        *types.StopOrderExpiryStrategy
+		raStopOrderExpiry *time.Time
+	)
+	if stopOrderExp := row.StopOrderFBExpirationDate(now); stopOrderExp != 0 {
+		fbStrategy = ptr.From(row.ExpiryStrategyFB())
+		fbStopOrderExpiry = ptr.From(time.Unix(0, stopOrderExp))
+	}
+	if stopOrderExp := row.StopOrderRAExpirationDate(now); stopOrderExp != 0 {
+		raStrategy = ptr.From(row.ExpiryStrategyRA())
+		raStopOrderExpiry = ptr.From(time.Unix(0, stopOrderExp))
+	}
+
 	switch {
 	case fbPriced != nil:
 		sub.FallsBelow = &types.StopOrderSetup{
 			OrderSubmission: submission,
-			Expiry:          &types.StopOrderExpiry{},
+			Expiry: &types.StopOrderExpiry{
+				ExpiresAt:      fbStopOrderExpiry,
+				ExpiryStrategy: fbStrategy,
+			},
 			Trigger: types.NewPriceStopOrderTrigger(
 				types.StopOrderTriggerDirectionFallsBelow,
 				fbPriced.Clone(),
@@ -343,30 +361,24 @@ func buildStopOrder(
 	case !fbTrailing.IsZero():
 		sub.FallsBelow = &types.StopOrderSetup{
 			OrderSubmission: submission,
-			Expiry:          &types.StopOrderExpiry{},
+			Expiry: &types.StopOrderExpiry{
+				ExpiresAt:      fbStopOrderExpiry,
+				ExpiryStrategy: fbStrategy,
+			},
 			Trigger: types.NewTrailingStopOrderTrigger(
 				types.StopOrderTriggerDirectionFallsBelow,
 				fbTrailing,
 			),
 		}
 	}
 
-	var (
-		strategy        *types.StopOrderExpiryStrategy
-		stopOrderExpiry *time.Time
-	)
-	if stopOrderExp := row.StopOrderExpirationDate(now); stopOrderExp != 0 {
-		strategy = ptr.From(row.ExpiryStrategy())
-		stopOrderExpiry = ptr.From(time.Unix(0, stopOrderExp))
-	}
-
 	switch {
 	case raPriced != nil:
 		sub.RisesAbove = &types.StopOrderSetup{
 			OrderSubmission: ptr.From(*submission),
 			Expiry: &types.StopOrderExpiry{
-				ExpiryStrategy: strategy,
-				ExpiresAt:      stopOrderExpiry,
+				ExpiryStrategy: raStrategy,
+				ExpiresAt:      raStopOrderExpiry,
 			},
 			Trigger: types.NewPriceStopOrderTrigger(
 				types.StopOrderTriggerDirectionRisesAbove,
@@ -377,8 +389,8 @@ func buildStopOrder(
 		sub.RisesAbove = &types.StopOrderSetup{
 			OrderSubmission: ptr.From(*submission),
 			Expiry: &types.StopOrderExpiry{
-				ExpiryStrategy: strategy,
-				ExpiresAt:      stopOrderExpiry,
+				ExpiryStrategy: raStrategy,
+				ExpiresAt:      raStopOrderExpiry,
 			},
 			Trigger: types.NewTrailingStopOrderTrigger(
 				types.StopOrderTriggerDirectionRisesAbove,
@@ -437,8 +449,10 @@ func parseSubmitOrderTable(table *godog.Table) []RowWrapper {
 		"fb trailing",
 		"ra price trigger",
 		"ra trailing",
-		"so expires in",
-		"so expiry strategy",
+		"ra expires in",
+		"ra expiry strategy",
+		"fb expires in",
+		"fb expiry strategy",
 		"pegged reference",
 		"pegged offset",
 		"ra size override setting",
@@ -580,18 +594,32 @@ func (r submitOrderRow) RisesAboveTrailing() num.Decimal {
 	return r.row.MustDecimal("ra trailing")
 }
 
-func (r submitOrderRow) StopOrderExpirationDate(now time.Time) int64 {
-	if !r.row.HasColumn("so expires in") {
+func (r submitOrderRow) StopOrderRAExpirationDate(now time.Time) int64 {
+	if !r.row.HasColumn("ra expires in") {
+		return 0
+	}
+	return now.Add(r.row.MustDurationSec2("ra expires in")).Local().UnixNano()
+}
+
+func (r submitOrderRow) StopOrderFBExpirationDate(now time.Time) int64 {
+	if !r.row.HasColumn("fb expires in") {
 		return 0
 	}
-	return now.Add(r.row.MustDurationSec2("so expires in")).Local().UnixNano()
+	return now.Add(r.row.MustDurationSec2("fb expires in")).Local().UnixNano()
+}
+
+func (r submitOrderRow) ExpiryStrategyRA() types.StopOrderExpiryStrategy {
+	if !r.row.HasColumn("ra expiry strategy") {
+		return types.StopOrderExpiryStrategyCancels
+	}
+	return r.row.MustExpiryStrategy("ra expiry strategy")
 }
 
-func (r submitOrderRow) ExpiryStrategy() types.StopOrderExpiryStrategy {
-	if !r.row.HasColumn("so expiry strategy") {
+func (r submitOrderRow) ExpiryStrategyFB() types.StopOrderExpiryStrategy {
+	if !r.row.HasColumn("fb expiry strategy") {
 		return types.StopOrderExpiryStrategyCancels
 	}
-	return r.row.MustExpiryStrategy("so expiry strategy")
+	return r.row.MustExpiryStrategy("fb expiry strategy")
 }
 
 func (r submitOrderRow) PeggedReference() types.PeggedReference {

core/types/stop_orders.go

@@ -92,6 +92,7 @@ const (
 	StopOrderRejectionNotClosingThePosition          StopOrderRejectionReason = vega.StopOrder_REJECTION_REASON_STOP_ORDER_NOT_CLOSING_THE_POSITION
 	StopOrderRejectionLinkedPercentageInvalid        StopOrderRejectionReason = vega.StopOrder_REJECTION_REASON_STOP_ORDER_LINKED_PERCENTAGE_INVALID
 	StopOrderRejectionNotAllowedDuringOpeningAuction StopOrderRejectionReason = vega.StopOrder_REJECTION_REASON_STOP_ORDER_NOT_ALLOWED_DURING_OPENING_AUCTION
+	StopOrderRejectionOCONotAllowedSameExpiryTime    StopOrderRejectionReason = vega.StopOrder_REJECTION_REASON_STOP_ORDER_CANNOT_MATCH_OCO_EXPIRY_TIMES
 )
 
 type StopOrderExpiry struct {

datanode/entities/enums.go

@@ -932,6 +932,7 @@ const (
 	StopOrderRejectionReasonNotAllowedWithoutAPosition   = StopOrderRejectionReason(vega.StopOrder_REJECTION_REASON_STOP_ORDER_NOT_ALLOWED_WITHOUT_A_POSITION)
 	StopOrderRejectionReasonNotClosingThePosition        = StopOrderRejectionReason(vega.StopOrder_REJECTION_REASON_STOP_ORDER_NOT_CLOSING_THE_POSITION)
 	StopOrderRejectionReasonNotAllowedDuringAuction      = StopOrderRejectionReason(vega.StopOrder_REJECTION_REASON_STOP_ORDER_NOT_ALLOWED_DURING_OPENING_AUCTION)
+	StopOrderRejectionReasonOCONotAllowedSameExpiryTime  = StopOrderRejectionReason(vega.StopOrder_REJECTION_REASON_STOP_ORDER_CANNOT_MATCH_OCO_EXPIRY_TIMES)
 )
 
 func (s StopOrderRejectionReason) EncodeText(_ *pgtype.ConnInfo, buf []byte) ([]byte, error) {

datanode/gateway/graphql/schema.graphql

@@ -3180,6 +3180,8 @@ enum StopOrderRejectionReason {
   REJECTION_REASON_STOP_ORDER_NOT_CLOSING_THE_POSITION
   "Stop orders are not allowed during the opening auction"
   REJECTION_REASON_STOP_ORDER_NOT_ALLOWED_DURING_OPENING_AUCTION
+  "Stop order cannot have matching OCO expiry times"
+  REJECTION_REASON_STOP_ORDER_CANNOT_MATCH_OCO_EXPIRY_TIMES
 }
 
 "Stop order size override settings"

datanode/networkhistory/service_test.go

@@ -379,12 +379,12 @@ func TestMain(t *testing.M) {
 		log.Infof("%s", goldenSourceHistorySegment[4000].HistorySegmentID)
 		log.Infof("%s", goldenSourceHistorySegment[5000].HistorySegmentID)
 
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[1000].HistorySegmentID, "QmdFHth36HfjDnfTfutqjz4MdY1pMKGQg5Yn7FJYjKDKjW", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2000].HistorySegmentID, "QmXBBCQ8ZqHYBQm5sKcGY7MYp3uEXoMPXSkap2tyqNLsYp", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2500].HistorySegmentID, "QmSyn4SxARtdeze6qWDJtoPQebyvnbHPL7bh9qBfXbSDyq", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[3000].HistorySegmentID, "QmYZMW3Epw2UVJejMSb6WNWwjG6vS67A69Dk9iqBkB6eya", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[4000].HistorySegmentID, "QmQJe8VvnCVtFrgVM41FUxe5nRSC4i8eGD7e1WUsw7ca2Z", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[5000].HistorySegmentID, "QmNSZbL1LZddAHekBZvpJwaBvrLmu3zkGVeWfyZrHqE5kZ", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[1000].HistorySegmentID, "QmTUpPCk1gEaWnPo2e1MnEyRhGJGM9mbtjQUt6pfRdUkbJ", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2000].HistorySegmentID, "QmXh3vcyLLhFsZHq958mL1wKirWjMFuLTqiGgpbVQovKp8", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2500].HistorySegmentID, "QmdLSKg1U3eKNEzFew128tdDtPma3LzoGWmvEPkbv4PnG2", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[3000].HistorySegmentID, "QmbPfH7cbeCf2Wvn9e3L3jQtzE7utmuSJs7PVttd9H86Cn", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[4000].HistorySegmentID, "QmQaGP4z2DXzJ8DVWk8fn2THG4wM9aR3arnbw5tiWsWsk5", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[5000].HistorySegmentID, "Qmb3gESitQKeNZ2iVbqpFjJHNAEVEDgAG1LscYhvJ8f8jD", snapshots)
 	}, postgresRuntimePath, sqlFs)
 
 	if exitCode != 0 {

datanode/sqlstore/migrations/0085_stop_order_reject_reason_oco_expiry_times_much_not_be_the_same.sql

@@ -0,0 +1,7 @@
+-- +goose Up
+
+ALTER TYPE stop_order_rejection_reason ADD VALUE IF NOT EXISTS 'REJECTION_REASON_STOP_ORDER_CANNOT_MATCH_OCO_EXPIRY_TIMES';
+
+-- +goose Down
+
+-- Do nothing, if it already exists it won't matter and won't be recreated by the up migration.

protos/sources/vega/vega.proto

@@ -75,6 +75,8 @@ message StopOrder {
     REJECTION_REASON_STOP_ORDER_LINKED_PERCENTAGE_INVALID = 7;
     // Stop orders are not allowed during the opening auction
     REJECTION_REASON_STOP_ORDER_NOT_ALLOWED_DURING_OPENING_AUCTION = 8;
+    // Stop OCO orders cannot have the same expiry timestamp
+    REJECTION_REASON_STOP_ORDER_CANNOT_MATCH_OCO_EXPIRY_TIMES = 9;
   }
 
   // ID of this stop order