Merge pull request #9756 from vegaprotocol/2971-perps-margin-fix

fix: apply funding payment increment correctly
vegaprotocol · Oct 12, 2023 · 76061d2 · 76061d2
2 parents d16e186 + 97d5307
commit 76061d2
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -151,6 +151,7 @@
 - [402](https://github.com/vegaprotocol/OctoberACs/issues/402) - Add integration test for team rewards `0056-REWA-099`
 - [401](https://github.com/vegaprotocol/OctoberACs/issues/401) - Add integration test for team rewards `0056-REWA-098`
 - [400](https://github.com/vegaprotocol/OctoberACs/issues/400) - Add integration test for team rewards `0056-REWA-097`
+- [2971](https://github.com/vegaprotocol/system-tests/issues/2971) - Fix margin calculation for `PERPS`.
 
 ### 🐛 Fixes
 

diff --git a/core/integration/features/settlement/mark_to_market_perpetual.feature b/core/integration/features/settlement/mark_to_market_perpetual.feature
@@ -452,3 +452,105 @@ Feature: Test mark to market settlement with periodicity, takes the first scenar
       | party2 | ETH   | ETH/DEC19 | 5270532 | 7729468 |
       | party3 | ETH   | ETH/DEC19 | 0       | 1000000 |
       | party4 | ETH   | ETH/DEC19 | 5270532 | 6727467 |
+
+  @Perpetual @PerpMargin @PerpMarginBug
+  Scenario: Verify margins are adjusted for funding payments as expected
+    Given the following network parameters are set:
+      | name                                    | value |
+      | network.markPriceUpdateMaximumFrequency | 0s    |
+    And the parties deposit on asset's general account the following amount:
+      | party  | asset | amount     |
+      | party1 | ETH   | 10000000   |
+      | party2 | ETH   | 10000000   |
+      | party3 | ETH   | 1000000    |
+      | party4 | ETH   | 10000000   |
+      | aux    | ETH   | 100000000  |
+      | aux2   | ETH   | 100000000  |
+      | lpprov | ETH   | 1000000000 |
+
+    When the parties submit the following liquidity provision:
+      | id  | party  | market id | commitment amount | fee   | lp type    |
+      | lp1 | lpprov | ETH/DEC19 | 100000000         | 0.001 | submission |
+      | lp1 | lpprov | ETH/DEC19 | 100000000         | 0.001 | 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         | 1      |
+      | lpprov | ETH/DEC19 | 2         | 1                    | sell | ASK              | 50         | 1      |
+
+    # 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      | 49    | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux   | ETH/DEC19 | sell | 1      | 5001  | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | ETH/DEC19 | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux   | ETH/DEC19 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+
+    And the market data for the market "ETH/DEC19" should be:
+      | target stake | supplied stake |
+      | 1100000      | 100000000      |
+    Then the opening auction period ends for market "ETH/DEC19"
+    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"
+    And the settlement account should have a balance of "0" for the market "ETH/DEC19"
+
+    # back sure we end the block so we're in a new one after opening auction
+    When the network moves ahead "1" blocks
+    # set pegs 1001 and 999 to keep margins consistent
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     |
+      | party3 | ETH/DEC19 | sell | 1      | 1001  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party4 | ETH/DEC19 | buy  | 1      | 999   | 0                | TYPE_LIMIT | TIF_GTC |
+      | party1 | ETH/DEC19 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party2 | ETH/DEC19 | buy  | 1      | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+    Then the parties should have the following account balances:
+      | party  | asset | market id | margin | general |
+      | party1 | ETH   | ETH/DEC19 | 120000 | 9880000 |
+      | party2 | ETH   | ETH/DEC19 | 132000 | 9867000 |
+    And the parties should have the following margin levels:
+      | party  | market id | maintenance | search | initial | release |
+      | party1 | ETH/DEC19 | 100000      | 110000 | 120000  | 140000  |
+      | party2 | ETH/DEC19 | 110000      | 121000 | 132000  | 154000  |
+      | party3 | ETH/DEC19 | 100000      | 110000 | 120000  | 140000  |
+      | party4 | ETH/DEC19 | 110000      | 121000 | 132000  | 154000  |
+    And the settlement account should have a balance of "0" for the market "ETH/DEC19"
+
+    # funding payment -> external TWAP is based on 1100, short parties are losing, their margin increases more
+    When the network moves ahead "2" blocks
+    Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
+      | name             | value                  | time offset |
+      | perp.ETH.value   | 1100000000000000000000 | -1s         |
+      | perp.funding.cue | 1511924180             | -1s         |
+    Then the parties should have the following margin levels:
+      | party  | market id | maintenance | search | initial | release |
+      | party1 | ETH/DEC19 | 101000      | 111100 | 121200  | 141400  |
+      | party2 | ETH/DEC19 | 111000      | 122100 | 133200  | 155400  |
+      | party3 | ETH/DEC19 | 100000      | 110000 | 120000  | 140000  |
+      | party4 | ETH/DEC19 | 110000      | 121000 | 132000  | 154000  |
+
+    # Repeat the same operations, create new internal TWAP data point at the same price levels
+    When the network moves ahead "1" blocks
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     |
+      | party3 | ETH/DEC19 | sell | 1      | 1001  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party4 | ETH/DEC19 | buy  | 1      | 999   | 0                | TYPE_LIMIT | TIF_GTC |
+      | party1 | ETH/DEC19 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party2 | ETH/DEC19 | buy  | 1      | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+    # Margins obviously increase as the position increased
+    Then the parties should have the following margin levels:
+      | party  | market id | maintenance | search | initial | release |
+      | party1 | ETH/DEC19 | 201000      | 221100 | 241200  | 281400  |
+      | party2 | ETH/DEC19 | 221000      | 243100 | 265200  | 309400  |
+      | party3 | ETH/DEC19 | 200000      | 220000 | 240000  | 280000  |
+      | party4 | ETH/DEC19 | 220000      | 242000 | 264000  | 308000  |
+    And the settlement account should have a balance of "0" for the market "ETH/DEC19"
+    # funding payment -> external TWAP is based on 900, long parties are losing, their margin increases more
+    When the network moves ahead "1" blocks
+    Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
+      | name             | value                 | time offset |
+      | perp.ETH.value   | 900000000000000000000 | -1s         |
+      | perp.funding.cue | 1511924181            | -1s         |
+    Then the parties should have the following margin levels:
+      | party  | market id | maintenance | search | initial | release |
+      | party2 | ETH/DEC19 | 222000      | 244200 | 266400  | 310800  |
+      | party1 | ETH/DEC19 | 202000      | 222200 | 242400  | 282800  |
+      | party3 | ETH/DEC19 | 200000      | 220000 | 240000  | 280000  |
+      | party4 | ETH/DEC19 | 220000      | 242000 | 264000  | 308000  |
diff --git a/core/risk/engine_test.go b/core/risk/engine_test.go
@@ -184,7 +184,7 @@ func TestNegativeMargin(t *testing.T) {
 	riskEvts := eng.UpdateMarginsOnSettlement(ctx, []events.Margin{evt}, mtmPrice, inc)
 	require.NotEmpty(t, riskEvts)
 	initial := riskEvts[0].Transfer().Amount.Amount
-	require.Equal(t, "2", initial.String())
+	require.Equal(t, "5", initial.String())
 }
 
 func testMarginTopup(t *testing.T) {
@@ -251,15 +251,15 @@ func TestMarginTopupPerpetual(t *testing.T) {
 	assert.Equal(t, 1, len(resp))
 
 	mm := resp[0].MarginLevels().MaintenanceMargin
-	assert.Equal(t, "25", mm.String())
+	assert.Equal(t, "30", mm.String())
 
 	// now do it again with the funding payment negated, the margin should be as if we were not a perp
 	// and 5 less
 	resp = eng.UpdateMarginsOnSettlement(ctx, evts, markPrice, inc.Neg())
 	assert.Equal(t, 1, len(resp))
 
 	mm = resp[0].MarginLevels().MaintenanceMargin
-	assert.Equal(t, "30", mm.String())
+	assert.Equal(t, "25", mm.String())
 }
 
 func testMarginNotReleasedInAuction(t *testing.T) {
@@ -477,7 +477,7 @@ func TestMarginWithNoOrdersOnBook(t *testing.T) {
 			auction:                 true,
 		},
 		{
-			expectedMargin: "245",
+			expectedMargin: "335",
 			positionSize:   9,
 			buyOrders: []*risk.OrderInfo{
 				{
@@ -510,7 +510,7 @@ func TestMarginWithNoOrdersOnBook(t *testing.T) {
 			auction:                 false,
 		},
 		{
-			expectedMargin: "238",
+			expectedMargin: "328",
 			positionSize:   9,
 			buyOrders: []*risk.OrderInfo{
 				{

diff --git a/core/risk/margins_calculation.go b/core/risk/margins_calculation.go
@@ -82,11 +82,8 @@ func (e *Engine) calculateMargins(m events.Margin, markPrice *num.Uint, rf types
 			CollateralReleaseLevel: num.UintZero(),
 		}
 	}
-	// long funding payment -> requires extra margin, if false, same holds for short
-	longFP := inc.IsNegative()
-	if longFP {
-		inc = inc.Abs() // this can be positive or negative, we use it to pad margin levels to ensure funding can be paid either way, always add
-	}
+	// negative increment == short positions require extra margin, otherwise long requires extra margin
+	longFP := inc.IsPositive()
 
 	mPriceDec := markPrice.ToDecimal()
 	// calculate margin maintenance long only if riskiest is > 0
@@ -242,8 +239,7 @@ func (e *Engine) calculateMargins(m events.Margin, markPrice *num.Uint, rf types
 	}
 
 	if !inc.IsZero() && !openVolume.IsZero() {
-		// calculate margin increase based on position
-		// incD = max(0, inc * open volume)
+		// openVolume and inc are signed, but this is fine, we only apply the positive values
 		incD := num.MaxD(num.DecimalZero(), inc.Mul(openVolume))
 		if longFP {
 			marginMaintenanceLng = marginMaintenanceLng.Add(incD)