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Merge pull request #10302 from vegaprotocol/fix/raise_disposal_size
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fix: raise disposal size
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@jeremyletang
jeremyletang authored Jan 5, 2024
2 parents 2ace481 + 622384c commit ad01e34
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Showing 3 changed files with 158 additions and 3 deletions.
2 changes: 1 addition & 1 deletion core/execution/liquidation/engine.go
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Original file line number Diff line number Diff line change
Expand Up @@ -147,7 +147,7 @@ func (e *Engine) OnTick(ctx context.Context, now time.Time) (*types.Order, error
size := uint64(vol)
if size > e.cfg.FullDisposalSize {
// absolute size of network position * disposal fraction -> rounded
size = uint64(num.DecimalFromFloat(float64(size)).Mul(e.cfg.DisposalFraction).Round(0).IntPart())
size = uint64(num.DecimalFromFloat(float64(size)).Mul(e.cfg.DisposalFraction).Ceil().IntPart())
}
available := e.book.GetVolumeAtPrice(bound, bookSide)
if available == 0 {
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4 changes: 2 additions & 2 deletions core/execution/liquidation/engine_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -191,7 +191,7 @@ func TestNetworkReducesOverTime(t *testing.T) {
order, err := eng.OnTick(ctx, now)
require.NoError(t, err)
require.NotNil(t, order)
require.Equal(t, totalSize/10, order.Size)
require.Equal(t, uint64(num.DecimalFromFloat(float64(totalSize)).Div(num.DecimalFromFloat(float64(10))).Ceil().IntPart()), order.Size)
})

t.Run("Updating the config changes the time left until the next step", func(t *testing.T) {
Expand All @@ -213,7 +213,7 @@ func TestNetworkReducesOverTime(t *testing.T) {
order, err = eng.OnTick(ctx, now)
require.NoError(t, err)
require.NotNil(t, order)
require.Equal(t, totalSize/10, order.Size)
require.Equal(t, uint64(num.DecimalFromFloat(float64(totalSize)).Div(num.DecimalFromFloat(float64(10))).Ceil().IntPart()), order.Size)
})

t.Run("Once the remaining volume of the network is LTE full disposal position, the network creates an order for its full position", func(t *testing.T) {
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155 changes: 155 additions & 0 deletions core/integration/features/verified/network_position_disposal.feature
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Original file line number Diff line number Diff line change
@@ -0,0 +1,155 @@
Feature: Network disposing position

Background:

Given the average block duration is "1"

Given the following network parameters are set:
| name | value |
| market.value.windowLength | 1h |
| network.markPriceUpdateMaximumFrequency | 0s |
And the following assets are registered:
| id | decimal places | quantum |
| USD.0.10 | 0 | 10 |

Given the liquidation strategies:
| name | disposal step | disposal fraction | full disposal size | max fraction consumed |
| disposal-strat-1 | 5 | 0.2 | 0 | 0.1 |
And the log normal risk model named "log-normal-risk-model-1":
| risk aversion | tau | mu | r | sigma |
| 0.000001 | 0.00000380258 | 0 | 0 | 1.5 |
And the price monitoring named "price-monitoring-1":
| horizon | probability | auction extension |
| 100000 | 0.99 | 3 |
And the liquidity sla params named "SLA":
| price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
| 1 | 0.85 | 1 | 0.5 |
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 | liquidation strategy |
| ETH/MAR22 | ETH | USD.0.10 | log-normal-risk-model-1 | default-margin-calculator | 1 | default-none | price-monitoring-1 | default-eth-for-future | 0.001 | 0 | SLA | disposal-strat-1 |


@NoPerp
Scenario: Network takes over distressed position and disposes position over time

Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| lp1 | USD.0.10 | 100000000000 |
| aux1 | USD.0.10 | 10000000000 |
| aux2 | USD.0.10 | 10000000000 |
| atRiskParty | USD.0.10 | 180 |
And the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp1 | lp1 | ETH/MAR22 | 500000 | 0 | submission |
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| lp1 | ETH/MAR22 | buy | 1000 | 999 | 0 | TYPE_LIMIT | TIF_GTC | best-bid |
| lp1 | ETH/MAR22 | sell | 1000 | 1001 | 0 | TYPE_LIMIT | TIF_GTC | best-ask |
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/MAR22 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/MAR22 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC |
And the opening auction period ends for market "ETH/MAR22"
Then the market data for the market "ETH/MAR22" should be:
| mark price | trading mode |
| 1000 | TRADING_MODE_CONTINUOUS |

Given the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/MAR22 | buy | 10 | 1000 | 0 | TYPE_LIMIT | TIF_GTC |
| atRiskParty | ETH/MAR22 | sell | 10 | 1000 | 1 | TYPE_LIMIT | TIF_GTC |
Then the network moves ahead "1" blocks

Then the parties should have the following profit and loss:
| party | volume | unrealised pnl | realised pnl |
| atRiskParty | -10 | 0 | 0 |
And the parties should have the following margin levels:
| party | market id | maintenance | search | initial | release |
| atRiskParty | ETH/MAR22 | 156 | 171 | 187 | 218 |
And the parties should have the following account balances:
| party | asset | market id | margin | general |
| atRiskParty | USD.0.10 | ETH/MAR22 | 175 | 5 |

Given the parties amend the following orders:
| party | reference | price | size delta | tif |
| lp1 | best-ask | 1011 | 0 | TIF_GTC |
| lp1 | best-bid | 1009 | 0 | TIF_GTC |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/MAR22 | buy | 1 | 1010 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/MAR22 | sell | 1 | 1010 | 1 | TYPE_LIMIT | TIF_GTC |
Then the network moves ahead "1" blocks
Then the market data for the market "ETH/MAR22" should be:
| mark price | trading mode |
| 1010 | TRADING_MODE_CONTINUOUS |
Then debug trades

Then the parties should have the following profit and loss:
| party | market id | volume | unrealised pnl | realised pnl |
| atRiskParty | ETH/MAR22 | 0 | 0 | -180 |
And the following network trades should be executed:
| party | aggressor side | volume |
| atRiskParty | sell | 10 |
And clear trade events

# Position size is 10, next disposal should be ceil(10*0.2)=ceil(2)=2
Then the network moves ahead "5" blocks
And the following network trades should be executed:
| party | aggressor side | volume |
| lp1 | buy | 2 |
Then debug trades
And clear trade events

# Position size is 8, next disposal should be ceil(8*0.2)=ceil(1.6)=2
Then the network moves ahead "5" blocks
Then debug trades
And the following network trades should be executed:
| party | aggressor side | volume |
| lp1 | buy | 2 |
And clear trade events

# Position size is 6, next disposal should be ceil(6*0.2)=ceil(1.4)=2
Then the network moves ahead "5" blocks
Then debug trades
And the following network trades should be executed:
| party | aggressor side | volume |
| lp1 | buy | 2 |
And clear trade events

# Position size is 4, next disposal should be ceil(10*0.2)=ceil(2)=2
Then the network moves ahead "5" blocks
And the following network trades should be executed:
| party | aggressor side | volume |
| lp1 | buy | 1 |
And clear trade events

# Position size is 3, next disposal should be ceil(10*0.2)=ceil(2)=2
Then the network moves ahead "5" blocks
And the following network trades should be executed:
| party | aggressor side | volume |
| lp1 | buy | 1 |
And clear trade events

# Position size is 2, next disposal should be ceil(10*0.2)=ceil(2)=2
Then the network moves ahead "5" blocks
And the following network trades should be executed:
| party | aggressor side | volume |
| lp1 | buy | 1 |
And clear trade events

# Position size is 1, next disposal should be ceil(10*0.2)=ceil(2)=2
Then the network moves ahead "5" blocks
And the following network trades should be executed:
| party | aggressor side | volume |
| lp1 | buy | 1 |
And clear trade events










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