Merge pull request #11305 from vegaprotocol/11304

fix: Correctly verify pegged order offset with respect to tick size i…
vegaprotocol · May 22, 2024 · d1706d0 · d1706d0
2 parents bb1af9f + 5f09eef
commit d1706d0
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Showing 6 changed files with 244 additions and 16 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -26,6 +26,7 @@
 - [11293](https://github.com/vegaprotocol/vega/issues/11293) - Panic in data node with position estimate endpoint.
 - [11279](https://github.com/vegaprotocol/vega/issues/11279) - Handle properly the case of multiple transfers for the same game id.
 - [11297](https://github.com/vegaprotocol/vega/issues/11297) - Handle properly asset decimals < market decimals when uncrossing the order book upon leaving auction.
+- [11304](https://github.com/vegaprotocol/vega/issues/11304) - Correctly verify pegged order offset with respect to tick size in the right units. 
 
 ## 0.76.1
 

diff --git a/core/execution/future/market.go b/core/execution/future/market.go
@@ -1411,29 +1411,33 @@ func (m *Market) getNewPeggedPrice(order *types.Order) (*num.Uint, error) {
 		return num.UintZero(), common.ErrUnableToReprice
 	}
 
-	offset, _ := num.UintFromDecimal(order.PeggedOrder.Offset.ToDecimal().Mul(m.priceFactor))
+	// we're converting both offset and tick size to asset decimals so we can adjust the price (in asset) directly
+	priceInMarket, _ := num.UintFromDecimal(price.ToDecimal().Div(m.priceFactor))
 	if order.Side == types.SideSell {
-		price = price.AddSum(offset)
+		priceInMarket.AddSum(order.PeggedOrder.Offset)
 		// this can only happen when pegged to mid, in which case we want to round to the nearest *better* tick size
 		// but this can never cross the mid by construction as the the minimum offset is 1 tick size and all prices must be
 		// whole multiples of tick size.
-		if mod := num.UintZero().Mod(price, m.mkt.TickSize); !mod.IsZero() {
-			price.Sub(price, mod)
+		if mod := num.UintZero().Mod(priceInMarket, m.mkt.TickSize); !mod.IsZero() {
+			priceInMarket.Sub(priceInMarket, mod)
 		}
+		price, _ := num.UintFromDecimal(priceInMarket.ToDecimal().Mul(m.priceFactor))
+
 		if m.capMax != nil {
 			price = num.Min(price, m.capMax.Clone())
 		}
 		return price, nil
 	}
 
-	if price.LTE(offset) {
+	if priceInMarket.LTE(order.PeggedOrder.Offset) {
 		return num.UintZero(), common.ErrUnableToReprice
 	}
 
-	price.Sub(price, offset)
-	if mod := num.UintZero().Mod(price, m.mkt.TickSize); !mod.IsZero() {
-		price = num.UintZero().Sub(price.AddSum(m.mkt.TickSize), mod)
+	priceInMarket.Sub(priceInMarket, order.PeggedOrder.Offset)
+	if mod := num.UintZero().Mod(priceInMarket, m.mkt.TickSize); !mod.IsZero() {
+		priceInMarket = num.UintZero().Sub(priceInMarket.AddSum(m.mkt.TickSize), mod)
 	}
+	price, _ = num.UintFromDecimal(priceInMarket.ToDecimal().Mul(m.priceFactor))
 
 	if m.capMax != nil {
 		price = num.Min(price, m.capMax.Clone())
@@ -1836,6 +1840,8 @@ func (m *Market) validateOrder(ctx context.Context, order *types.Order) (err err
 	return nil
 }
 
+// validateOrder checks that the order parameters are valid for the market.
+// NB: price in market, tickSize in market decimals.
 func (m *Market) validateTickSize(price *num.Uint) error {
 	d := num.UintZero().Mod(price, m.mkt.TickSize)
 	if !d.IsZero() {

diff --git a/core/execution/spot/market.go b/core/execution/spot/market.go
@@ -819,26 +819,29 @@ func (m *Market) getNewPeggedPrice(order *types.Order) (*num.Uint, error) {
 		return num.UintZero(), common.ErrUnableToReprice
 	}
 
-	offset, _ := num.UintFromDecimal(order.PeggedOrder.Offset.ToDecimal().Mul(m.priceFactor))
+	// we're converting both offset and tick size to asset decimals so we can adjust the price (in asset) directly
+	priceInMarket, _ := num.UintFromDecimal(price.ToDecimal().Div(m.priceFactor))
 	if order.Side == types.SideSell {
-		price = price.AddSum(offset)
+		priceInMarket.AddSum(order.PeggedOrder.Offset)
 		// this can only happen when pegged to mid, in which case we want to round to the nearest *better* tick size
 		// but this can never cross the mid by construction as the the minimum offset is 1 tick size and all prices must be
 		// whole multiples of tick size.
-		if mod := num.UintZero().Mod(price, m.mkt.TickSize); !mod.IsZero() {
-			price.Sub(price, mod)
+		if mod := num.UintZero().Mod(priceInMarket, m.mkt.TickSize); !mod.IsZero() {
+			priceInMarket.Sub(priceInMarket, mod)
 		}
+		price, _ := num.UintFromDecimal(priceInMarket.ToDecimal().Mul(m.priceFactor))
 		return price, nil
 	}
 
-	if price.LTE(offset) {
+	if priceInMarket.LTE(order.PeggedOrder.Offset) {
 		return num.UintZero(), common.ErrUnableToReprice
 	}
 
-	price.Sub(price, offset)
-	if mod := num.UintZero().Mod(price, m.mkt.TickSize); !mod.IsZero() {
-		price = num.UintZero().Sub(price.AddSum(m.mkt.TickSize), mod)
+	priceInMarket.Sub(priceInMarket, order.PeggedOrder.Offset)
+	if mod := num.UintZero().Mod(priceInMarket, m.mkt.TickSize); !mod.IsZero() {
+		priceInMarket = num.UintZero().Sub(priceInMarket.AddSum(m.mkt.TickSize), mod)
 	}
+	price, _ = num.UintFromDecimal(priceInMarket.ToDecimal().Mul(m.priceFactor))
 
 	return price, nil
 }
@@ -971,6 +974,7 @@ func (m *Market) leaveAuction(ctx context.Context, now time.Time) {
 }
 
 // validateOrder checks that the order parameters are valid for the market.
+// NB: price in market, tickSize in market decimals.
 func (m *Market) validateOrder(ctx context.Context, order *types.Order) (err error) {
 	defer func() {
 		if err != nil {

diff --git a/core/integration/features/orders/0037-OPEG-022.feature b/core/integration/features/orders/0037-OPEG-022.feature
@@ -0,0 +1,89 @@
+
+Feature: 0001 tick size should be using market decimal, A pegged order specifying an offset which is not an integer multiple of the markets tick size should be rejected.
+
+    Background:
+        Given the following network parameters are set:
+            | name                                                | value |
+            | market.liquidity.bondPenaltyParameter               | 1     |
+            | network.markPriceUpdateMaximumFrequency             | 0s    |
+            | limits.markets.maxPeggedOrders                      | 6     |
+            | validators.epoch.length                             | 5s    |
+            | market.liquidity.earlyExitPenalty                   | 0.25  |
+            | market.liquidity.stakeToCcyVolume                   | 1.0   |
+            | market.liquidity.sla.nonPerformanceBondPenaltySlope | 0.19  |
+            | market.liquidity.sla.nonPerformanceBondPenaltyMax   | 1     |
+
+        And the liquidity monitoring parameters:
+            | name       | triggering ratio | time window | scaling factor |
+            | lqm-params | 0.1              | 24h         | 1              |
+
+        And the following assets are registered:
+            | id  | decimal places |
+            | ETH | 1              |
+
+        And the average block duration is "1"
+        And the simple risk model named "simple-risk-model-1":
+            | long | short | max move up | min move down | probability of trading |
+            | 0.1  | 0.1   | 60          | 50            | 0.2                    |
+        And the fees configuration named "fees-config-1":
+            | maker fee | infrastructure fee |
+            | 0.004     | 0.001              |
+        And the price monitoring named "price-monitoring-1":
+            | horizon | probability | auction extension |
+            | 1       | 0.99        | 5                 |
+        And the liquidity sla params named "SLA":
+            | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
+            | 0.01        | 0.5                          | 1                             | 1.0                    |
+
+    Scenario:
+        #0037-OPEG-022:Given a market with non-zero market and asset decimals where the asset decimals are strictly less than the market decimals (yielding a negative price factor). A pegged order specifying an offset which is not an integer multiple of the markets tick size should be rejected.
+        #0037-OPEG-025:Given a market with non-zero market and asset decimals where the asset decimals are equal to the market decimals (yielding a negative price factor). A pegged order specifying an offset which is not an integer multiple of the markets tick size should be rejected.
+        #0037-OPEG-026:Given a market with non-zero market and asset decimals where the asset decimals are strictly more than the market decimals (yielding a negative price factor). A pegged order specifying an offset which is not an integer multiple of the markets tick size should be rejected.
+        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 | decimal places | tick size |
+            | ETH/DEC21 | ETH        | ETH   | lqm-params           | simple-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.5                    | 0                         | SLA        | 2              | 10        |
+            | ETH/DEC22 | ETH        | ETH   | lqm-params           | simple-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.5                    | 0                         | SLA        | 2              | 5         |
+            | ETH/DEC23 | ETH        | ETH   | lqm-params           | simple-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.5                    | 0                         | SLA        | 1              | 5         |
+            | ETH/DEC24 | ETH        | ETH   | lqm-params           | simple-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.5                    | 0                         | SLA        | 0              | 10        |
+        And the parties deposit on asset's general account the following amount:
+            | party  | asset | amount  |
+            | party1 | ETH   | 100000  |
+            | party3 | ETH   | 1000000 |
+            | party4 | ETH   | 1000000 |
+        And the average block duration is "1"
+
+        And the parties place the following orders:
+            | party  | market id | side | volume | price | resulting trades | type       | tif     | reference | error                              |
+            | party3 | ETH/DEC21 | buy  | 100    | 101   | 0                | TYPE_LIMIT | TIF_GTC | p3b1-1    | OrderError: price not in tick size |
+            | party3 | ETH/DEC21 | buy  | 10     | 111   | 0                | TYPE_LIMIT | TIF_GTC | p3b2-1    | OrderError: price not in tick size |
+            | party4 | ETH/DEC21 | sell | 10     | 111   | 0                | TYPE_LIMIT | TIF_GTC | p4s2-1    | OrderError: price not in tick size |
+            | party4 | ETH/DEC21 | sell | 1000   | 191   | 0                | TYPE_LIMIT | TIF_GTC | p4s1-1    | OrderError: price not in tick size |
+            | party3 | ETH/DEC22 | buy  | 100    | 101   | 0                | TYPE_LIMIT | TIF_GTC | p3b1-2    | OrderError: price not in tick size |
+            | party3 | ETH/DEC22 | buy  | 10     | 111   | 0                | TYPE_LIMIT | TIF_GTC | p3b2-2    | OrderError: price not in tick size |
+            | party4 | ETH/DEC22 | sell | 10     | 111   | 0                | TYPE_LIMIT | TIF_GTC | p4s2-2    | OrderError: price not in tick size |
+            | party4 | ETH/DEC22 | sell | 1000   | 191   | 0                | TYPE_LIMIT | TIF_GTC | p4s1-2    | OrderError: price not in tick size |
+            | party3 | ETH/DEC23 | buy  | 100    | 101   | 0                | TYPE_LIMIT | TIF_GTC | p3b1-3    | OrderError: price not in tick size |
+            | party3 | ETH/DEC23 | buy  | 10     | 111   | 0                | TYPE_LIMIT | TIF_GTC | p3b2-3    | OrderError: price not in tick size |
+            | party4 | ETH/DEC23 | sell | 10     | 111   | 0                | TYPE_LIMIT | TIF_GTC | p4s2-3    | OrderError: price not in tick size |
+            | party4 | ETH/DEC23 | sell | 1000   | 191   | 0                | TYPE_LIMIT | TIF_GTC | p4s1-3    | OrderError: price not in tick size |
+            | party3 | ETH/DEC24 | buy  | 100    | 101   | 0                | TYPE_LIMIT | TIF_GTC | p3b1-4    | OrderError: price not in tick size |
+            | party3 | ETH/DEC24 | buy  | 10     | 111   | 0                | TYPE_LIMIT | TIF_GTC | p3b2-4    | OrderError: price not in tick size |
+            | party4 | ETH/DEC24 | sell | 10     | 111   | 0                | TYPE_LIMIT | TIF_GTC | p4s2-4    | OrderError: price not in tick size |
+            | party4 | ETH/DEC24 | sell | 1000   | 191   | 0                | TYPE_LIMIT | TIF_GTC | p4s1-4    | OrderError: price not in tick size |
+
+        Then the network moves ahead "2" blocks
+        And the trading mode should be "TRADING_MODE_OPENING_AUCTION" for the market "ETH/DEC21"
+        And the trading mode should be "TRADING_MODE_OPENING_AUCTION" for the market "ETH/DEC22"
+        And the trading mode should be "TRADING_MODE_OPENING_AUCTION" for the market "ETH/DEC23"
+        And the trading mode should be "TRADING_MODE_OPENING_AUCTION" for the market "ETH/DEC24"
+
+        And the parties place the following pegged iceberg orders:
+            | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset | reference | error                              |
+            | party1 | ETH/DEC21 | 10        | 5                    | buy  | MID              | 10     | 10     | peg-buy-1 |                                    |
+            | party1 | ETH/DEC21 | 10        | 5                    | sell | MID              | 20     | 20     | peg-buy-2 |                                    |
+            | party1 | ETH/DEC21 | 10        | 5                    | buy  | MID              | 20     | 100    | peg-buy-3 |                                    |
+            | party1 | ETH/DEC21 | 10        | 5                    | sell | MID              | 20     | 2      | peg-buy-4 | OrderError: price not in tick size |
+            | party1 | ETH/DEC21 | 10        | 5                    | buy  | MID              | 20     | 5      | peg-buy-5 | OrderError: price not in tick size |
+            | party1 | ETH/DEC22 | 10        | 5                    | buy  | MID              | 20     | 15     | peg-buy-6 |                                    |
+            | party1 | ETH/DEC23 | 10        | 5                    | sell | MID              | 20     | 6      | peg-buy-7 | OrderError: price not in tick size |
+            | party1 | ETH/DEC24 | 10        | 5                    | buy  | MID              | 20     | 17     | peg-buy-8 | OrderError: price not in tick size |