Merge branch 'develop' into fix-retrograde-amm-volume

CHANGELOG.md

@@ -36,6 +36,7 @@
 - [11521](https://github.com/vegaprotocol/vega/issues/11521) - Restore `AMM` position factor when loading from a snapshot.
 - [11526](https://github.com/vegaprotocol/vega/issues/11526) - `EstimateAMMBounds` now respects the market's decimal places.
 - [11486](https://github.com/vegaprotocol/vega/issues/11486) - `AMMs` can now be submitted on markets with more decimal places than asset decimal places.
+- [11635](https://github.com/vegaprotocol/vega/issues/11635) - Handle expansion of one sided `AMMs` that reduce to point expansion when calculating order book shape.
 - [11561](https://github.com/vegaprotocol/vega/issues/11561) - Failing amends on `AMMs` now restore original properly.
 - [11583](https://github.com/vegaprotocol/vega/issues/11583) - Remove `AMMs` entirely from engine when market closes.
 - [11568](https://github.com/vegaprotocol/vega/issues/11568) - order book shape on closing `AMM` no longer panics.

core/execution/amm/shape.go

@@ -321,13 +321,15 @@ func (sm *shapeMaker) adjustRegion() bool {
 		return false
 	}
 
-	if sm.from.EQ(sm.to) && sm.from.EQ(sm.fairPrice) {
-		return false
-	}
-
 	// cap the range to the pool's bounds, there will be no orders outside of this
 	from := num.Max(sm.from, lower)
 	to := num.Min(sm.to, upper)
+
+	// expansion is a point region *at* fair-price, there are no orders
+	if from.EQ(to) && from.EQ(sm.fairPrice) {
+		return false
+	}
+
 	switch {
 	case sm.from.GT(sm.fairPrice):
 		// if we are expanding entirely in the sell range to calculate the order at price `from`

core/execution/amm/shape_test.go

@@ -36,6 +36,7 @@ func TestOrderbookShape(t *testing.T) {
 	t.Run("test orderbook shape boundary order when approx", testOrderbookShapeBoundaryOrder)
 	t.Run("test orderbook shape region not divisible by tick", testOrderbookSubTick)
 	t.Run("test orderbook shape closing pool close to base", testClosingCloseToBase)
+	t.Run("test orderbook shape point expansion at fair price", testPointExpansionAtFairPrice)
 }
 
 func testOrderbookShapeZeroPosition(t *testing.T) {
@@ -416,3 +417,36 @@ func testClosingCloseToBase(t *testing.T) {
 	assert.Equal(t, 0, len(buys))
 	assert.Equal(t, 0, len(sells))
 }
+
+func testPointExpansionAtFairPrice(t *testing.T) {
+	p := newTestPoolWithRanges(t, num.NewUint(7), num.NewUint(10), num.NewUint(13))
+	defer p.ctrl.Finish()
+
+	base := p.submission.Parameters.Base
+
+	// range [10, 10] fair price is 10, no orders
+	ensurePositionN(t, p.pos, 0, num.UintZero(), 2)
+	buys, sells := p.pool.OrderbookShape(base, base, nil)
+	assert.Equal(t, 0, len(buys))
+	assert.Equal(t, 0, len(sells))
+
+	// now try with a one sided curve where the input range shrinks to a point-expansion
+	p = newTestPoolWithRanges(t, num.NewUint(7), num.NewUint(10), nil)
+	defer p.ctrl.Finish()
+
+	// range [10, 1000] but sell curve is empty so effective range is [10, 10] at fair-price
+	ensurePositionN(t, p.pos, 0, num.UintZero(), 2)
+	buys, sells = p.pool.OrderbookShape(base, num.NewUint(1000), nil)
+	assert.Equal(t, 0, len(buys))
+	assert.Equal(t, 0, len(sells))
+
+	// now try with a one sided curve where the input range shrinks to a point-expansion
+	p = newTestPoolWithRanges(t, nil, num.NewUint(10), num.NewUint(13))
+	defer p.ctrl.Finish()
+
+	// range [1, 10] but buy curve is empty so effective range is [10, 10] at fair-price
+	ensurePositionN(t, p.pos, 0, num.UintZero(), 2)
+	buys, sells = p.pool.OrderbookShape(num.NewUint(1), base, nil)
+	assert.Equal(t, 0, len(buys))
+	assert.Equal(t, 0, len(sells))
+}