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Merge pull request #11441 from vegaprotocol/fees_from_margin
feat: add feature test to check fees can be paid with released margin
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core/integration/features/verified/fees_from_margin.feature
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| Feature: Over leveraged trader can pay fees with released margin | ||
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| Ticket #2010 (https://github.com/vegaprotocol/specs/issues/2010) | ||
| states a party should be able to cover any expected fees when | ||
| reducing their position with a zero balance in their general | ||
| account. | ||
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| Test checks this is true for the following combinations: | ||
| - long and shorts positions | ||
| - market and limit orders | ||
| - exit price above and below the mark price at exit | ||
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| Background: | ||
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| # Initialise the network | ||
| And the average block duration is "1" | ||
| And the following network parameters are set: | ||
| | name | value | | ||
| | market.fee.factors.makerFee | 0.00 | | ||
| | market.fee.factors.infrastructureFee | 0.01 | | ||
| | network.markPriceUpdateMaximumFrequency | 0s | | ||
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| # Initialise the market | ||
| And the following assets are registered: | ||
| | id | decimal places | quantum | | ||
| | USD-1-10 | 0 | 1 | | ||
| And the simple risk model named "simple-risk-model": | ||
| | long | short | max move up | min move down | probability of trading | | ||
| | 0.1 | 0.1 | 100 | -100 | 0.1 | | ||
| 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 | | ||
| | ETH/USD-1-10 | ETH | USD-1-10 | simple-risk-model | default-margin-calculator | 1 | default-none | default-none | default-eth-for-future | 0 | 0 | default-futures | 0 | 0 | | ||
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| # Initialise the parties | ||
| Given the parties deposit on asset's general account the following amount: | ||
| | party | asset | amount | | ||
| | aux1 | USD-1-10 | 1000000 | | ||
| | aux2 | USD-1-10 | 1000000 | | ||
| | trader | USD-1-10 | 1250 | | ||
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| # Exit opening auctions | ||
| When the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | aux1 | ETH/USD-1-10 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | aux2 | ETH/USD-1-10 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| And the opening auction period ends for market "ETH/USD-1-10" | ||
| And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/USD-1-10" | ||
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| Scenario Outline: With no funds in the general account, reducing long position with a limit order at various prices | ||
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| # Open a position | ||
| Given the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | trader | ETH/USD-1-10 | buy | 10 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | aux2 | ETH/USD-1-10 | sell | 10 | 1000 | 1 | TYPE_LIMIT | TIF_GTC | | ||
| When the network moves ahead "1" blocks | ||
| Then the parties should have the following profit and loss: | ||
| | party | volume | unrealised pnl | realised pnl | | ||
| | trader | 10 | 0 | 0 | | ||
| And the parties should have the following account balances: | ||
| | party | asset | market id | margin | general | | ||
| | trader | USD-1-10 | ETH/USD-1-10 | 1200 | 50 | | ||
| And the parties should have the following margin levels: | ||
| | party | market id | maintenance | search | initial | release | | ||
| | trader | ETH/USD-1-10 | 1000 | 1100 | 1200 | 1400 | | ||
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| # Empty general account | ||
| Given the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | aux1 | ETH/USD-1-10 | buy | 1 | 975 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | aux2 | ETH/USD-1-10 | sell | 1 | 975 | 1 | TYPE_LIMIT | TIF_GTC | | ||
| When the network moves ahead "1" blocks | ||
| And the parties should have the following account balances: | ||
| | party | asset | market id | margin | general | | ||
| | trader | USD-1-10 | ETH/USD-1-10 | 1000 | 0 | | ||
| And the parties should have the following margin levels: | ||
| | party | market id | maintenance | search | initial | release | | ||
| | trader | ETH/USD-1-10 | 975 | 1072 | 1170 | 1365 | | ||
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| # Attempt to reduce position | ||
| Given the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | aux2 | ETH/USD-1-10 | buy | <size> | <price> | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | trader | ETH/USD-1-10 | sell | <size> | <price> | 1 | <type> | TIF_IOC | | ||
| When the network moves ahead "1" blocks | ||
| And the following trades should be executed: | ||
| | buyer | price | size | seller | seller fee | | ||
| | aux2 | <price> | <size> | trader | <fee> | | ||
| And the parties should have the following account balances: | ||
| | party | asset | market id | margin | general | | ||
| | trader | USD-1-10 | ETH/USD-1-10 | <margin> | <general> | | ||
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| Examples: | ||
| # Table contains inputs for the trade reducing the over leveraged | ||
| # position and the resulting account balances. | ||
| | size | price | fee | margin | general | type | | ||
| | 1 | 950 | 10 | 0 | 0 | TYPE_LIMIT | | ||
| | 9 | 950 | 86 | 114 | 550 | TYPE_LIMIT | | ||
| | 10 | 970 | 97 | 0 | 853 | TYPE_LIMIT | | ||
| | 1 | 975 | 10 | 990 | 0 | TYPE_LIMIT | | ||
| | 9 | 975 | 88 | 117 | 795 | TYPE_LIMIT | | ||
| | 10 | 975 | 98 | 0 | 902 | TYPE_LIMIT | | ||
| | 1 | 1000 | 10 | 1240 | 0 | TYPE_LIMIT | | ||
| | 9 | 1000 | 90 | 120 | 1040 | TYPE_LIMIT | | ||
| | 10 | 1000 | 100 | 0 | 1150 | TYPE_LIMIT | | ||
| | 1 | 950 | 10 | 0 | 0 | TYPE_MARKET | | ||
| | 9 | 950 | 86 | 114 | 550 | TYPE_MARKET | | ||
| | 10 | 970 | 97 | 0 | 853 | TYPE_MARKET | | ||
| | 1 | 975 | 10 | 990 | 0 | TYPE_MARKET | | ||
| | 9 | 975 | 88 | 117 | 795 | TYPE_MARKET | | ||
| | 10 | 975 | 98 | 0 | 902 | TYPE_MARKET | | ||
| | 1 | 1000 | 10 | 1240 | 0 | TYPE_MARKET | | ||
| | 9 | 1000 | 90 | 120 | 1040 | TYPE_MARKET | | ||
| | 10 | 1000 | 100 | 0 | 1150 | TYPE_MARKET | | ||
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| Scenario Outline: With no funds in the general account, reducing short position with a limit order at various prices | ||
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| # Open a position | ||
| Given the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | trader | ETH/USD-1-10 | sell | 10 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | aux2 | ETH/USD-1-10 | buy | 10 | 1000 | 1 | TYPE_LIMIT | TIF_GTC | | ||
| When the network moves ahead "1" blocks | ||
| Then the parties should have the following profit and loss: | ||
| | party | volume | unrealised pnl | realised pnl | | ||
| | trader | -10 | 0 | 0 | | ||
| And the parties should have the following account balances: | ||
| | party | asset | market id | margin | general |e | ||
| | trader | USD-1-10 | ETH/USD-1-10 | 1200 | 50 | | ||
| And the parties should have the following margin levels: | ||
| | party | market id | maintenance | search | initial | release | | ||
| | trader | ETH/USD-1-10 | 1000 | 1100 | 1200 | 1400 | | ||
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| # Empty general account | ||
| Given the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | aux1 | ETH/USD-1-10 | buy | 1 | 1020 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | aux2 | ETH/USD-1-10 | sell | 1 | 1020 | 1 | TYPE_LIMIT | TIF_GTC | | ||
| When the network moves ahead "1" blocks | ||
| And the parties should have the following account balances: | ||
| | party | asset | market id | margin | general | | ||
| | trader | USD-1-10 | ETH/USD-1-10 | 1050 | 0 | | ||
| And the parties should have the following margin levels: | ||
| | party | market id | maintenance | search | initial | release | | ||
| | trader | ETH/USD-1-10 | 1020 | 1122 | 1224 | 1428 | | ||
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| # Attempt to reduce position | ||
| Given the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | aux2 | ETH/USD-1-10 | sell | <size> | <price> | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | trader | ETH/USD-1-10 | buy | <size> | <price> | 1 | <type> | TIF_IOC | | ||
| When the network moves ahead "1" blocks | ||
| Then debug trades | ||
| And the following trades should be executed: | ||
| | buyer | price | size | seller | buyer fee | | ||
| | trader | <price> | <size> | aux2 | <fee> | | ||
| And the parties should have the following account balances: | ||
| | party | asset | market id | margin | general | | ||
| | trader | USD-1-10 | ETH/USD-1-10 | <margin> | <general> | | ||
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| Examples: | ||
| # Table contains inputs for the trade reducing the over leveraged | ||
| # position and the resulting account balances. | ||
| | size | price | fee | margin | general | type | | ||
| | 1 | 1040 | 11 | 0 | 0 | TYPE_LIMIT | | ||
| | 9 | 1040 | 94 | 124 | 632 | TYPE_LIMIT | | ||
| | 10 | 1040 | 104 | 0 | 746 | TYPE_LIMIT | | ||
| | 1 | 1020 | 11 | 1039 | 0 | TYPE_LIMIT | | ||
| | 9 | 1020 | 92 | 122 | 836 | TYPE_LIMIT | | ||
| | 10 | 1020 | 102 | 0 | 948 | TYPE_LIMIT | | ||
| | 1 | 1000 | 10 | 1240 | 0 | TYPE_LIMIT | | ||
| | 9 | 1000 | 90 | 120 | 1040 | TYPE_LIMIT | | ||
| | 10 | 1000 | 100 | 0 | 1150 | TYPE_LIMIT | | ||
| | 1 | 1040 | 11 | 0 | 0 | TYPE_MARKET | | ||
| | 9 | 1040 | 94 | 124 | 632 | TYPE_MARKET | | ||
| | 10 | 1040 | 104 | 0 | 746 | TYPE_MARKET | | ||
| | 1 | 1020 | 11 | 1039 | 0 | TYPE_MARKET | | ||
| | 9 | 1020 | 92 | 122 | 836 | TYPE_MARKET | | ||
| | 10 | 1020 | 102 | 0 | 948 | TYPE_MARKET | | ||
| | 1 | 1000 | 10 | 1240 | 0 | TYPE_MARKET | | ||
| | 9 | 1000 | 90 | 120 | 1040 | TYPE_MARKET | | ||
| | 10 | 1000 | 100 | 0 | 1150 | TYPE_MARKET | |