Merge pull request #10209 from vegaprotocol/488-adding-perp-31-ac

Adding AC PERP-31
vegaprotocol · Dec 4, 2023 · 9428a5f · 9428a5f
2 parents b7a6a13 + c4e1ab9
commit 9428a5f
Showing 1 changed file with 76 additions and 0 deletions.
diff --git a/core/integration/features/settlement/0053-PERP-funding-rate-modifiers2.feature b/core/integration/features/settlement/0053-PERP-funding-rate-modifiers2.feature
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+Feature: Test internal and external twap calculation
+
+    Background:
+        # epoch time is 1602806400
+        Given time is updated to "2020-10-16T00:00:00Z"
+
+        And the perpetual oracles from "0xCAFECAFE1":
+            | name        | asset | settlement property | settlement type | schedule property | schedule type   | funding rate lower bound | funding rate upper bound | quote name | settlement decimals |
+            | perp-oracle | USD   | perp.ETH.value      | TYPE_INTEGER    | perp.funding.cue  | TYPE_TIMESTAMP | -0.015                   | 0.005                    | ETH        | 18                  |
+
+        And the liquidity sla params named "SLA":
+            | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
+            | 100.0       | 0.5                          | 1                             | 1.0                    |
+        And the price monitoring named "my-price-monitoring":
+            | horizon | probability | auction extension |
+            | 43200   | 0.9999999   | 120               |
+        And the log normal risk model named "my-log-normal-risk-model":
+            | risk aversion | tau                    | mu | r     | sigma |
+            | 0.000001      | 0.00011407711613050422 | 0  | 0.016 | 0.8   |
+        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 | position decimal places | market type | sla params |
+            | ETH/DEC19 | ETH        | USD   | my-log-normal-risk-model | default-margin-calculator | 120              | default-none | my-price-monitoring | perp-oracle        | 1e6                    | 1e6                       | -3                      | perp        | SLA        |
+        And the following network parameters are set:
+            | name                                    | value |
+            | network.markPriceUpdateMaximumFrequency | 0s    |
+        And the average block duration is "1"
+        When the parties deposit on asset's general account the following amount:
+            | party  | asset | amount       |
+            | party1 | USD   | 100000000000 |
+            | party2 | USD   | 100000000000 |
+            | party3 | USD   | 100000000000 |
+            | aux    | USD   | 100000000000 |
+            | aux2   | USD   | 100000000000 |
+            | lpprov | USD   | 100000000000 |
+        Then the parties submit the following liquidity provision:
+            | id  | party  | market id | commitment amount | fee   | lp type    |
+            | lp1 | lpprov | ETH/DEC19 | 100000            | 0.001 | submission |
+        # move market to continuous
+        And the parties place the following orders:
+            | party  | market id | side | volume | price   | resulting trades | type       | tif     |
+            | aux2   | ETH/DEC19 | buy  | 1      | 1       | 0                | TYPE_LIMIT | TIF_GTC |
+            | lpprov | ETH/DEC19 | buy  | 100000 | 1       | 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 |
+            | aux    | ETH/DEC19 | sell | 1      | 3500    | 0                | TYPE_LIMIT | TIF_GTC |
+            | lpprov | ETH/DEC19 | sell | 100000 | 3500    | 0                | TYPE_LIMIT | TIF_GTC |
+        And the market data for the market "ETH/DEC19" should be:
+            | target stake  | supplied stake |
+            | 431500        | 100000         |
+        And the opening auction period ends for market "ETH/DEC19"
+
+    @Perpetual @funding-rate
+    Scenario: 0053-PERP-031 Funding rate calculated correctly when the internel TWAP is greater than the external TWAP
+        Given the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"
+        And time is updated to "2020-10-16T00:05:00Z"
+        When the parties place the following orders:
+            | party  | market id | side | volume | price | resulting trades | type       | tif     |
+            | party1 | ETH/DEC19 | buy  | 1      | 1010  | 0                | TYPE_LIMIT | TIF_GTC |
+            | party2 | ETH/DEC19 | sell | 1      | 1010  | 1                | TYPE_LIMIT | TIF_GTC |
+        Then time is updated to "2020-10-16T00:10:00Z"
+
+        # 1602806400 + 120s = 1602807000
+        # funding period is ended with perp.funding.cue
+        And the oracles broadcast data with block time signed with "0xCAFECAFE1":
+            | name             | value                  | time offset |
+            | perp.ETH.value   | 1000000000000000000000 | -1s         |
+            | perp.funding.cue | 1602807000             | 0s          |
+        And the mark price should be "1010" for the market "ETH/DEC19"
+
+        Then the product data for the market "ETH/DEC19" should be:
+            | internal twap | external twap  | funding payment | funding rate |
+            | 1010          | 1000           | 5               | 0.005        |
+
+
+
+