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Merge pull request #11126 from vegaprotocol/0029-fees-spot
feat: create FTs for fees in spot market
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core/integration/features/spot/accounts_and_fees/0029-FEES-015.feature
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| Feature: Spot market fees distribution | ||
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| Scenario: 0029-FEES-015: Fees are collected during continuous trading and auction modes and distributed to the appropriate accounts, as described above. | ||
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| Background: | ||
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| Given the following network parameters are set: | ||
| | name | value | | ||
| | network.markPriceUpdateMaximumFrequency | 1s | | ||
| | market.value.windowLength | 1h | | ||
| | market.liquidity.maximumLiquidityFeeFactorLevel | 0.4 | | ||
| | validators.epoch.length | 4s | | ||
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| Given the following assets are registered: | ||
| | id | decimal places | | ||
| | ETH | 2 | | ||
| | BTC | 2 | | ||
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| Given the fees configuration named "fees-config-1": | ||
| | maker fee | infrastructure fee | | ||
| | 0.01 | 0.03 | | ||
| Given the log normal risk model named "lognormal-risk-model-1": | ||
| | risk aversion | tau | mu | r | sigma | | ||
| | 0.001 | 0.01 | 0 | 0.0 | 1.2 | | ||
| And the price monitoring named "price-monitoring-1": | ||
| | horizon | probability | auction extension | | ||
| | 36000 | 0.999 | 1 | | ||
| | 38000 | 0.999 | 2 | | ||
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| And the spot markets: | ||
| | id | name | base asset | quote asset | risk model | auction duration | fees | price monitoring | decimal places | position decimal places | sla params | | ||
| | BTC/ETH | BTC/ETH | BTC | ETH | lognormal-risk-model-1 | 1 | fees-config-1 | price-monitoring-1 | 2 | 2 | default-basic | | ||
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| And the following network parameters are set: | ||
| | name | value | | ||
| | limits.markets.maxPeggedOrders | 2 | | ||
| | network.markPriceUpdateMaximumFrequency | 0s | | ||
| | market.liquidity.providersFeeCalculationTimeStep | 1s | | ||
| | validators.epoch.length | 58s | | ||
| | market.liquidity.stakeToCcyVolume | 1 | | ||
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| Given the parties deposit on asset's general account the following amount: | ||
| | party | asset | amount | | ||
| | party1 | ETH | 100000 | | ||
| | party1 | BTC | 10000 | | ||
| | party2 | ETH | 100000 | | ||
| | party2 | BTC | 10000 | | ||
| | lp | ETH | 100000 | | ||
| | lp | BTC | 10000 | | ||
| And the average block duration is "1" | ||
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| # No orders have been places so we shouldn't have any holding accounts | ||
| And "party1" should have only the following accounts: | ||
| | type | asset | amount | | ||
| | ACCOUNT_TYPE_GENERAL | ETH | 100000 | | ||
| | ACCOUNT_TYPE_GENERAL | BTC | 10000 | | ||
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| And "party2" should have only the following accounts: | ||
| | type | asset | amount | | ||
| | ACCOUNT_TYPE_GENERAL | ETH | 100000 | | ||
| | ACCOUNT_TYPE_GENERAL | BTC | 10000 | | ||
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| Given the parties submit the following liquidity provision: | ||
| | id | party | market id | commitment amount | fee | lp type | | ||
| | lp1 | lp | BTC/ETH | 500 | 0.025 | submission | | ||
| # Place some orders to create the holding accounts | ||
| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | party1 | BTC/ETH | buy | 100 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | party1 | BTC/ETH | buy | 100 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | party2 | BTC/ETH | sell | 100 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | party2 | BTC/ETH | sell | 100 | 3000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
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| Then the network moves ahead "2" blocks | ||
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| Then the market data for the market "BTC/ETH" should be: | ||
| | mark price | trading mode | auction trigger | horizon | min bound | max bound | open interest | | ||
| | 2000 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 36000 | 1749 | 2283 | 0 | | ||
| | 2000 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 38000 | 1743 | 2291 | 0 | | ||
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| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party1 | BTC/ETH | buy | 100 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | | | ||
| | party2 | BTC/ETH | sell | 100 | 2000 | 1 | TYPE_LIMIT | TIF_GTC | | | ||
| | party1 | BTC/ETH | buy | 100 | 1800 | 0 | TYPE_LIMIT | TIF_GTC | | | ||
| | party2 | BTC/ETH | sell | 100 | 2200 | 0 | TYPE_LIMIT | TIF_GTC | sell-party2 | | ||
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| Then the network moves ahead "1" blocks | ||
| #lp fee: 2000*100*0.025=50 | ||
| And the following transfers should happen: | ||
| | from | to | from account | to account | market id | amount | asset | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | BTC/ETH | 20 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 60 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 50 | ETH | | ||
| | market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/ETH | 20 | ETH | | ||
| | market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 50 | ETH | | ||
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| #0029-FEES-016:Fees are collected in one case of amends: you amend the price so far that it causes an immediate trade. | ||
| And the parties amend the following orders: | ||
| | party | reference | price | size delta | tif | | ||
| | party2 | sell-party2 | 1800 | 0 | TIF_GTC | | ||
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| Then the market data for the market "BTC/ETH" should be: | ||
| | mark price | last traded price | trading mode | | ||
| | 2000 | 1800 | TRADING_MODE_CONTINUOUS | | ||
| And the following trades should be executed: | ||
| | buyer | price | size | seller | | ||
| | party1 | 1800 | 100 | party2 | | ||
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| Then the network moves ahead "2" blocks | ||
| And the following transfers should happen: | ||
| | from | to | from account | to account | market id | amount | asset | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | BTC/ETH | 18 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 54 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 45 | ETH | | ||
| | market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/ETH | 18 | ETH | | ||
| | market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 45 | ETH | | ||
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| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party1 | BTC/ETH | buy | 100 | 1745 | 0 | TYPE_LIMIT | TIF_GTC | | | ||
| | party2 | BTC/ETH | sell | 100 | 1745 | 0 | TYPE_LIMIT | TIF_GTC | | | ||
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| Then the market data for the market "BTC/ETH" should be: | ||
| | mark price | trading mode | auction trigger | | ||
| | 1800 | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE | | ||
| Then the network moves ahead "2" blocks | ||
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| Then the market data for the market "BTC/ETH" should be: | ||
| | mark price | trading mode | auction trigger | | ||
| | 1745 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | | ||
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| #The LP fees and infrastructure fees are split between the two parties for the trade during monitoring auction | ||
| #lp fee: 1745*1*0.025 = 44 | ||
| And the following transfers should happen: | ||
| | from | to | from account | to account | market id | amount | asset | | ||
| | party1 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 27 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 27 | ETH | | ||
| | party1 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 22 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 22 | ETH | | ||
| | market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 44 | ETH | | ||
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| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party1 | BTC/ETH | buy | 100 | 1780 | 0 | TYPE_LIMIT | TIF_GTC | | | ||
| | party1 | BTC/ETH | buy | 23 | 1780 | 0 | TYPE_LIMIT | TIF_GTC | | | ||
| | party2 | BTC/ETH | sell | 123 | 1780 | 2 | TYPE_MARKET | TIF_IOC | | | ||
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| And the following trades should be executed: | ||
| | buyer | price | size | seller | | ||
| | party1 | 1780 | 100 | party2 | | ||
| | party1 | 1780 | 23 | party2 | | ||
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| Then the network moves ahead "2" blocks | ||
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| Then the market data for the market "BTC/ETH" should be: | ||
| | mark price | trading mode | auction trigger | | ||
| | 1780 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | | ||
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| #0029-FEES-021: market order fee distribution in spot market | ||
| #liquidity fee: 1780*0.23*0.025=11; 1780*1*0.025=45 | ||
| And the following transfers should happen: | ||
| | from | to | from account | to account | market id | amount | asset | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | BTC/ETH | 5 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 13 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 11 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 45 | ETH | | ||
| | market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/ETH | 5 | ETH | | ||
| | market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 56 | ETH | | ||
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106 changes: 106 additions & 0 deletions
106
core/integration/features/spot/accounts_and_fees/0029-FEES-022.feature
This file contains bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,106 @@ | ||
| Feature: Spot market fees distribution | ||
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| Scenario: 0029-FEES-022: Fees are collected during continuous trading and auction modes and distributed to the appropriate accounts when Position Decimal Places (PDP) is -2 | ||
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| Background: | ||
|
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| Given the following network parameters are set: | ||
| | name | value | | ||
| | network.markPriceUpdateMaximumFrequency | 1s | | ||
| | market.value.windowLength | 1h | | ||
| | market.liquidity.maximumLiquidityFeeFactorLevel | 0.4 | | ||
| | validators.epoch.length | 4s | | ||
|
|
||
| Given the following assets are registered: | ||
| | id | decimal places | | ||
| | ETH | 2 | | ||
| | BTC | 2 | | ||
|
|
||
| Given the fees configuration named "fees-config-1": | ||
| | maker fee | infrastructure fee | | ||
| | 0.01 | 0.03 | | ||
| Given the log normal risk model named "lognormal-risk-model-1": | ||
| | risk aversion | tau | mu | r | sigma | | ||
| | 0.001 | 0.01 | 0 | 0.0 | 1.2 | | ||
| And the price monitoring named "price-monitoring-1": | ||
| | horizon | probability | auction extension | | ||
| | 36000 | 0.999 | 1 | | ||
| | 38000 | 0.999 | 2 | | ||
|
|
||
| And the spot markets: | ||
| | id | name | base asset | quote asset | risk model | auction duration | fees | price monitoring | decimal places | position decimal places | sla params | | ||
| | BTC/ETH | BTC/ETH | BTC | ETH | lognormal-risk-model-1 | 1 | fees-config-1 | price-monitoring-1 | 2 | -2 | default-basic | | ||
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| And the following network parameters are set: | ||
| | name | value | | ||
| | limits.markets.maxPeggedOrders | 2 | | ||
| | network.markPriceUpdateMaximumFrequency | 0s | | ||
| | market.liquidity.providersFeeCalculationTimeStep | 1s | | ||
| | validators.epoch.length | 58s | | ||
| | market.liquidity.stakeToCcyVolume | 1 | | ||
|
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| Given the parties deposit on asset's general account the following amount: | ||
| | party | asset | amount | | ||
| | party1 | ETH | 100000 | | ||
| | party1 | BTC | 100000 | | ||
| | party2 | ETH | 100000 | | ||
| | party2 | BTC | 100000 | | ||
| | lp | ETH | 100000 | | ||
| | lp | BTC | 100000 | | ||
| And the average block duration is "1" | ||
|
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| Given the parties submit the following liquidity provision: | ||
| | id | party | market id | commitment amount | fee | lp type | | ||
| | lp1 | lp | BTC/ETH | 500 | 0.025 | submission | | ||
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| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | party1 | BTC/ETH | buy | 1 | 10 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | party1 | BTC/ETH | buy | 1 | 20 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | party2 | BTC/ETH | sell | 1 | 20 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | party2 | BTC/ETH | sell | 1 | 30 | 0 | TYPE_LIMIT | TIF_GTC | | ||
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| Then the network moves ahead "2" blocks | ||
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| Then the market data for the market "BTC/ETH" should be: | ||
| | mark price | trading mode | auction trigger | horizon | min bound | max bound | open interest | | ||
| | 20 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 36000 | 18 | 22 | 0 | | ||
| | 20 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 38000 | 18 | 22 | 0 | | ||
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| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party1 | BTC/ETH | buy | 1 | 20 | 0 | TYPE_LIMIT | TIF_GTC | | | ||
| | party2 | BTC/ETH | sell | 1 | 20 | 1 | TYPE_LIMIT | TIF_GTC | | | ||
| | party1 | BTC/ETH | buy | 1 | 18 | 0 | TYPE_LIMIT | TIF_GTC | | | ||
| | party2 | BTC/ETH | sell | 1 | 22 | 0 | TYPE_LIMIT | TIF_GTC | sell-party2 | | ||
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| Then the network moves ahead "1" blocks | ||
| #lp fee: 2000*100*0.025=50 | ||
| And the following transfers should happen: | ||
| | from | to | from account | to account | market id | amount | asset | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | BTC/ETH | 20 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 60 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 50 | ETH | | ||
| | market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/ETH | 20 | ETH | | ||
| | market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 50 | ETH | | ||
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| And the parties amend the following orders: | ||
| | party | reference | price | size delta | tif | | ||
| | party2 | sell-party2 | 18 | 0 | TIF_GTC | | ||
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| Then the market data for the market "BTC/ETH" should be: | ||
| | mark price | last traded price | trading mode | | ||
| | 20 | 18 | TRADING_MODE_CONTINUOUS | | ||
| And the following trades should be executed: | ||
| | buyer | price | size | seller | | ||
| | party1 | 18 | 1 | party2 | | ||
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| Then the network moves ahead "2" blocks | ||
| And the following transfers should happen: | ||
| | from | to | from account | to account | market id | amount | asset | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | BTC/ETH | 18 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 54 | ETH | | ||
| | party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 45 | ETH | | ||
| | market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/ETH | 18 | ETH | | ||
| | market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 45 | ETH | | ||
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