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Merge pull request #11292 from vegaprotocol/0016-PFUT-026
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feat: add test for 0016-PFUT-026, check margin for hard coded risk model
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@EVODelavega
EVODelavega authored May 28, 2024
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Feature: Futures market can be created with a with [hardcoded risk factors](./0018-RSKM-quant_risk_models.ipynb).
Background:
# Set liquidity parameters to allow "zero" target-stake which is needed to construct the order-book defined in the ACs
Given the following network parameters are set:
| name | value |
| network.markPriceUpdateMaximumFrequency | 1s |
And the liquidity monitoring parameters:
| name | triggering ratio | time window | scaling factor |
| lqm-params | 0.001 | 24h | 1e-9 |
And the simple risk model named "simple-risk-model":
| long | short | max move up | min move down | probability of trading |
| 0.1 | 0.2 | 100 | -100 | 0.2 |
And the log normal risk model named "lognormal-risk-model-1":
| risk aversion | tau | mu | r | sigma |
| 0.0002 | 0.01 | 0 | 0.0 | 1.2 |
#rf_long: 0.369668054
#rf_short: 0.5650462
And 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 | sla params | max price cap | fully collateralised | binary |
| ETH/FEB23 | ETH | USD | lqm-params | simple-risk-model | default-margin-calculator | 1 | default-none | default-none | default-eth-for-future | 0.25 | 0 | default-futures | 19000 | false | false |
@NoPerp
Scenario: 001 0016-PFUT-026, 0016-PFUT-028
Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| buySideProvider | USD | 1000000 |
| sellSideProvider | USD | 1000000 |
| aux1 | USD | 1000000 |
| aux2 | USD | 100000 |
| party | USD | 480500 |
| party1 | USD | 480500 |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| aux1 | ETH/FEB23 | buy | 10 | 14900 | 0 | TYPE_LIMIT | TIF_GTC | |
| buySideProvider | ETH/FEB23 | buy | 1 | 15000 | 0 | TYPE_LIMIT | TIF_GTC | |
| buySideProvider | ETH/FEB23 | buy | 3 | 15900 | 0 | TYPE_LIMIT | TIF_GTC | |
| party | ETH/FEB23 | sell | 3 | 15900 | 0 | TYPE_LIMIT | TIF_GTC | |
| party | ETH/FEB23 | sell | 3 | 15900 | 0 | TYPE_LIMIT | TIF_GTC | party-sell |
| party1 | ETH/FEB23 | sell | 3 | 16100 | 0 | TYPE_LIMIT | TIF_GTC | party1-sell |
| sellSideProvider | ETH/FEB23 | sell | 1 | 18100 | 0 | TYPE_LIMIT | TIF_GTC | |
| aux2 | ETH/FEB23 | sell | 10 | 18200 | 0 | TYPE_LIMIT | TIF_GTC | |

When the network moves ahead "2" blocks
Then the mark price should be "15900" for the market "ETH/FEB23"

And the average fill price is:
| market | volume | side | ref price | mark price | equivalent linear slippage factor |
| ETH/FEB23 | 3 | sell | 15900 | 15900 | 0 |

#party margin:15900*(0.25+0.2)*3 +15900*0.2*3=31005
And the parties should have the following margin levels:
| party | market id | maintenance |
| party | ETH/FEB23 | 31005 |
| aux1 | ETH/FEB23 | 15900 |
| aux2 | ETH/FEB23 | 31800 |

Then the parties should have the following account balances:
| party | asset | market id | margin | general |
| party | USD | ETH/FEB23 | 37206 | 443294 |
| aux1 | USD | ETH/FEB23 | 19080 | 980920 |
| aux2 | USD | ETH/FEB23 | 43680 | 56320 |

#0016-PFUT-028: Updating a risk model on a futures market with [hardcoded risk factors]
And the markets are updated:
| id | risk model |
| ETH/FEB23 | lognormal-risk-model-1 |

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| buySideProvider | ETH/FEB23 | buy | 1 | 15900 | 1 | TYPE_LIMIT | TIF_GTC | |
And the network moves ahead "3" blocks

Then the parties should have the following account balances:
| party | asset | market id | margin | general |
| party | USD | ETH/FEB23 | 83767 | 396733 |
| aux1 | USD | ETH/FEB23 | 70533 | 929467 |
| aux2 | USD | ETH/FEB23 | 100000 | 0 |

#party margin:15900*(0.25+0.5650462)*4 +15900*0.5650462*2=69806
And the parties should have the following margin levels:
| party | market id | maintenance |
| party | ETH/FEB23 | 69806 |
| aux1 | ETH/FEB23 | 58778 |
| aux2 | ETH/FEB23 | 89843 |

#0016-PFUT-027: Updating a risk model on a futures market with regular risk model to with [hardcoded risk factors]
And the markets are updated:
| id | risk model |
| ETH/FEB23 | simple-risk-model |

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| buySideProvider | ETH/FEB23 | buy | 1 | 15900 | 1 | TYPE_LIMIT | TIF_GTC | |
And the network moves ahead "3" blocks

Then the parties should have the following account balances:
| party | asset | market id | margin | general |
| party | USD | ETH/FEB23 | 46746 | 433754 |
| aux1 | USD | ETH/FEB23 | 19080 | 980920 |
| aux2 | USD | ETH/FEB23 | 38160 | 61840 |

#party margin:15900*(0.25+0.2)*5 +15900*0.2*1=69806=38955
And the parties should have the following margin levels:
| party | market id | maintenance |
| party | ETH/FEB23 | 38955 |
| aux1 | ETH/FEB23 | 15900 |
| aux2 | ETH/FEB23 | 31800 |

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