feat: add HVMR feature tests

vegaprotocol · Aug 16, 2024 · d596da3 · d596da3
1 parent 1e2ed42
commit d596da3
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Showing 8 changed files with 456 additions and 13 deletions.
diff --git a/core/execution/common/market_activity_tracker.go b/core/execution/common/market_activity_tracker.go
@@ -575,12 +575,17 @@ func (mat *MarketActivityTracker) CalculateTotalMakerContributionInQuantum(windo
 			continue
 		}
 		for _, trckr := range trackers {
+			fmt.Println(trckr)
 			for i := 0; i < windowSize; i++ {
+				fmt.Println(i, len(trckr.epochMakerFeesReceived)-i-1)
 				idx := len(trckr.epochMakerFeesReceived) - i - 1
 				if idx < 0 {
+					fmt.Println("Breaking at i ", i)
 					break
 				}
+				fmt.Println("adding some contribution")
 				partyFees := trckr.epochMakerFeesReceived[len(trckr.epochMakerFeesReceived)-i-1]
+				fmt.Println("partyFees", partyFees)
 				for party, fees := range partyFees {
 					if _, ok := m[party]; !ok {
 						m[party] = num.UintZero()
@@ -591,6 +596,7 @@ func (mat *MarketActivityTracker) CalculateTotalMakerContributionInQuantum(windo
 					}
 					m[party].AddSum(feesInQunatum)
 					total.AddSum(feesInQunatum)
+					fmt.Println("feesInQunatum", feesInQunatum, total)
 				}
 			}
 		}

diff --git a/core/integration/features/fees/0029-FEES-high_volume_maker.feature b/core/integration/features/fees/0029-FEES-high_volume_maker.feature
@@ -1,4 +1,4 @@
-Feature: high volume maker fee rebate 
+Feature: high volume maker fee rebate
 
   Background:
 

diff --git a/core/integration/features/verified/eligibility_tests.feature b/core/integration/features/verified/eligibility_tests.feature
@@ -0,0 +1,162 @@
+Feature: FCAP liquidations
+
+    vega-market-sim fuzz testing shows parties being liquidated after
+    opening positions with market orders.
+
+    Test replicates behaviour and shows network liquidating party.
+
+  Background:
+
+    # Initialise the network and register the assets
+    Given the average block duration is "1"
+    And the following network parameters are set:
+      | name                                    | value |
+      | market.fee.factors.makerFee             | 0.001 |
+      | market.fee.factors.infrastructureFee    | 0     |
+      | network.markPriceUpdateMaximumFrequency | 0s    |
+      | validators.epoch.length                 | 100s  |
+
+    And the following assets are registered:
+      | id      | decimal places | quantum |
+      | USD-0-1 | 0              | 1       |
+
+    # Initialise the parties and deposit assets
+    Given the parties deposit on asset's general account the following amount:
+      | party                                                            | asset   | amount        |
+      | lp                                                               | USD-0-1 | 1000000000000 |
+      | aux1                                                             | USD-0-1 | 1000000000000 |
+      | aux2                                                             | USD-0-1 | 1000000000000 |
+      | party1                                                           | USD-0-1 | 1000000000000 |
+      | party2                                                           | USD-0-1 | 1000000000000 |
+      | a3c024b4e23230c89884a54a813b1ecb4cb0f827a38641c66eeca466da6b2ddf | USD-0-1 | 1000000000000 |
+
+    # Setup the derivative market in continuous trading
+    Given 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      | decimal places | position decimal places |
+      | XAU/USDT | ETH        | USD-0-1 | default-log-normal-risk-model | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 1e-3                   | 0                         | default-futures | 0              | 0                       |
+    And the parties submit the following liquidity provision:
+      | id  | party | market id | commitment amount | fee | lp type    |
+      | lp1 | lp    | XAU/USDT  | 100000000000      | 0   | submission |
+    And the parties place the following orders:
+      | party | market id | side | volume | price   | resulting trades | type       | tif     |
+      | aux1  | XAU/USDT  | buy  | 1      | 2374000 | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | XAU/USDT  | sell | 1      | 2374000 | 0                | TYPE_LIMIT | TIF_GTC |
+    When the network moves ahead "2" blocks
+    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "XAU/USDT"
+
+
+  Scenario: A reward is funded with a reward window greater than one - a party meets the requirement in both.
+    # Use taker volume, where parties always have the same volume.
+
+    Given the current epoch is "0"
+    When the parties submit the following recurring transfers:
+      | id | from                                                             | from_account_type    | to                                                               | to_account_type                     | entity_scope | asset   | amount | start_epoch | end_epoch | factor | metric                          | metric_asset | markets | lock_period | window_length | notional_requirement |
+      | 1  | a3c024b4e23230c89884a54a813b1ecb4cb0f827a38641c66eeca466da6b2ddf | ACCOUNT_TYPE_GENERAL | 0000000000000000000000000000000000000000000000000000000000000000 | ACCOUNT_TYPE_REWARD_MAKER_PAID_FEES | INDIVIDUALS  | USD-0-1 | 100    | 1           | 100       | 1      | DISPATCH_METRIC_MAKER_FEES_PAID | USD-0-1      |         | 10          | 2             | 1                    |
+    Then the network moves ahead "1" epochs
+
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     |
+      | aux1   | XAU/USDT  | sell | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party1 | XAU/USDT  | buy  | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+      | aux2   | XAU/USDT  | sell | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party2 | XAU/USDT  | buy  | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+    And the following trades should be executed:
+      | buyer  | size | price | seller | aggressor side | buyer maker fee | seller maker fee |
+      | party1 | 100  | 1000  | aux1   | buy            | 100             | 0                |
+      | party2 | 100  | 1000  | aux2   | buy            | 100             | 0                |
+
+    Then the network moves ahead "1" epochs
+    Then "party1" should have vesting account balance of "50" for asset "USD-0-1"
+    Then "party2" should have vesting account balance of "50" for asset "USD-0-1"
+
+    Then the network moves ahead "2" epochs
+    Then "party1" should have vesting account balance of "100" for asset "USD-0-1"
+    Then "party2" should have vesting account balance of "100" for asset "USD-0-1"
+
+
+  Scenario: A reward is funded with a reward window greater than one - a party meets the requirement in both.
+    # Use taker volume, where parties always have the same volume.
+
+    Given the current epoch is "0"
+    When the parties submit the following recurring transfers:
+      | id | from                                                             | from_account_type    | to                                                               | to_account_type                     | entity_scope | asset   | amount | start_epoch | end_epoch | factor | metric                          | metric_asset | markets | lock_period | window_length | notional_requirement |
+      | 1  | a3c024b4e23230c89884a54a813b1ecb4cb0f827a38641c66eeca466da6b2ddf | ACCOUNT_TYPE_GENERAL | 0000000000000000000000000000000000000000000000000000000000000000 | ACCOUNT_TYPE_REWARD_MAKER_PAID_FEES | INDIVIDUALS  | USD-0-1 | 100    | 1           | 100       | 1      | DISPATCH_METRIC_MAKER_FEES_PAID | USD-0-1      |         | 10          | 2             | 1                    |
+    Then the network moves ahead "1" epochs
+
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     |
+      | aux1   | XAU/USDT  | sell | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party1 | XAU/USDT  | buy  | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+      | aux2   | XAU/USDT  | sell | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party2 | XAU/USDT  | buy  | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+    And the following trades should be executed:
+      | buyer  | size | price | seller | aggressor side | buyer maker fee | seller maker fee |
+      | party1 | 100  | 1000  | aux1   | buy            | 100             | 0                |
+      | party2 | 100  | 1000  | aux2   | buy            | 100             | 0                |
+
+    Then the network moves ahead "1" epochs
+    Then "party1" should have vesting account balance of "50" for asset "USD-0-1"
+    Then "party2" should have vesting account balance of "50" for asset "USD-0-1"
+
+
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     |
+      | aux1   | XAU/USDT  | buy  | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party1 | XAU/USDT  | sell | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+      | aux2   | XAU/USDT  | sell | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party2 | XAU/USDT  | buy  | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+    Then the network moves ahead "1" blocks
+    Then debug trades
+    And the following trades should be executed:
+      | buyer  | size | price | seller | aggressor side | buyer maker fee | seller maker fee |
+      | aux1   | 100  | 1000  | party1 | sell           | 0               | 100              |
+      | party2 | 100  | 1000  | aux2   | buy            | 100             | 0                |
+
+    Then the network moves ahead "1" epochs
+    Then "party1" should have vesting account balance of "50" for asset "USD-0-1"
+    Then "party2" should have vesting account balance of "150" for asset "USD-0-1"
+
+
+  Scenario: A reward is funded with a reward window greater than one - a party meets the requirement in both.
+    # Use taker volume, where parties always have the same volume.
+
+    Given the current epoch is "0"
+    When the parties submit the following recurring transfers:
+      | id | from                                                             | from_account_type    | to                                                               | to_account_type                     | entity_scope | asset   | amount | start_epoch | end_epoch | factor | metric                          | metric_asset | markets | lock_period | window_length | notional_requirement |
+      | 1  | a3c024b4e23230c89884a54a813b1ecb4cb0f827a38641c66eeca466da6b2ddf | ACCOUNT_TYPE_GENERAL | 0000000000000000000000000000000000000000000000000000000000000000 | ACCOUNT_TYPE_REWARD_MAKER_PAID_FEES | INDIVIDUALS  | USD-0-1 | 100    | 1           | 100       | 1      | DISPATCH_METRIC_MAKER_FEES_PAID | USD-0-1      |         | 10          | 2             | 1                    |
+    Then the network moves ahead "1" epochs
+
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     |
+      | aux1   | XAU/USDT  | sell | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party1 | XAU/USDT  | buy  | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+      | aux1   | XAU/USDT  | buy  | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party1 | XAU/USDT  | sell | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+      | aux2   | XAU/USDT  | sell | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party2 | XAU/USDT  | buy  | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+    And the following trades should be executed:
+      | buyer  | size | price | seller | aggressor side | buyer maker fee | seller maker fee |
+      | party1 | 100  | 1000  | aux1   | buy            | 100             | 0                |
+      | aux1   | 100  | 1000  | party1 | sell           | 0               | 100              |
+      | party2 | 100  | 1000  | aux2   | buy            | 100             | 0                |
+
+    Then the network moves ahead "1" epochs
+    Then "party2" should have vesting account balance of "50" for asset "USD-0-1"
+
+
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     |
+      | party1 | XAU/USDT  | sell | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux1   | XAU/USDT  | buy  | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+      | aux2   | XAU/USDT  | sell | 100    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party2 | XAU/USDT  | buy  | 100    | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
+    Then the network moves ahead "1" blocks
+    And the following trades should be executed:
+      | buyer  | size | price | seller | aggressor side | buyer maker fee | seller maker fee |
+      | aux1   | 100  | 1000  | party1 | buy            | 0               | 100              |
+      | party2 | 100  | 1000  | aux2   | buy            | 100             | 0                |
+
+    Then the network moves ahead "1" epochs
+    Then "party1" should have vesting account balance of "100" for asset "USD-0-1"
+    Then "party2" should have vesting account balance of "100" for asset "USD-0-1"
+
diff --git a/core/integration/features/verified/xau.feature b/core/integration/features/verified/xau.feature
@@ -0,0 +1,58 @@
+Feature: FCAP liquidations
+
+    vega-market-sim fuzz testing shows parties being liquidated after
+    opening positions with market orders.
+
+    Test replicates behaviour and shows network liquidating party.
+
+  Background:
+
+    # Initialise the network and register the assets
+    Given the average block duration is "1"
+    And the following network parameters are set:
+      | name                                    | value |
+      | market.fee.factors.makerFee             | 0     |
+      | market.fee.factors.infrastructureFee    | 0     |
+      | network.markPriceUpdateMaximumFrequency | 0s    |
+    #   | spam.order.minimumMarginQuantumMultiple | 0.01  |
+
+    And the following assets are registered:
+      | id            | decimal places | quantum |
+      | USD-6-1000000 | 6              | 1000000 |
+
+    # Initialise the parties and deposit assets
+    Given the parties deposit on asset's general account the following amount:
+      | party | asset         | amount        |
+      | lp    | USD-6-1000000 | 1000000000000 |
+      | aux1  | USD-6-1000000 | 1000000000000 |
+      | aux2  | USD-6-1000000 | 1000000000000 |
+
+    # Setup the derivative market in continuous trading
+    Given 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      | decimal places | position decimal places |
+      | XAU/USDT | ETH        | USD-6-1000000 | default-log-normal-risk-model | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 1e-3                   | 0                         | default-futures | 3              | 3                       |
+    And the parties submit the following liquidity provision:
+      | id  | party | market id | commitment amount | fee | lp type    |
+      | lp1 | lp    | XAU/USDT  | 100000000000      | 0   | submission |
+    And the parties place the following orders:
+      | party | market id | side | volume | price   | resulting trades | type       | tif     |
+      | aux1  | XAU/USDT  | buy  | 1      | 2374000 | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | XAU/USDT  | sell | 1      | 2374000 | 0                | TYPE_LIMIT | TIF_GTC |
+    When the network moves ahead "2" blocks
+    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "XAU/USDT"
+
+
+
+  @NoPerp
+  Scenario: Party opens a short position with a market order and is liquidiated at the next mark to market.
+
+    Given the parties deposit on asset's general account the following amount:
+      | party  | asset         | amount        |
+      | trader | USD-6-1000000 | 1000000000000 |
+
+    Given the parties place the following orders:
+      | party  | market id | side | volume | price   | resulting trades | type        | tif     | error |
+      | aux1   | XAU/USDT  | sell | 10000  | 2374000 | 0                | TYPE_LIMIT  | TIF_GTC |       |
+      | trader | XAU/USDT  | buy  | 1      | 0       | 1                | TYPE_MARKET | TIF_FOK |       |
+
+    Then debug trades