Merge pull request #11455 from vegaprotocol/scale-funding-payment

Scale funding payment
vegaprotocol · Jul 15, 2024 · d6314b9 · d6314b9
2 parents e8844bd + d1a53e1
commit d6314b9
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -34,6 +34,7 @@
 - [11400](https://github.com/vegaprotocol/vega/issues/11400) - Add support for long block auction.
 - [11026](https://github.com/vegaprotocol/vega/issues/11026) - Add API flag to get paid liquidity fees for a `vAMM` using the parent key.
 - [11027](https://github.com/vegaprotocol/vega/issues/11027) - Add API filters to get fees and rewards by market, across epochs.
+- [10360](https://github.com/vegaprotocol/vega/issues/10360) - Scale funding payment by fraction of period spent outside of auction.
 
 ### 🐛 Fixes
 

diff --git a/core/integration/features/settlement/0019-MCAL_018.feature b/core/integration/features/settlement/0019-MCAL_018.feature
@@ -2,7 +2,7 @@ Feature: check when settlement data precision is different/equal to the settleme
 
   Background:
 
-    And the following assets are registered:
+    Given the following assets are registered:
       | id  | decimal places |
       | USD | 2              |
 
@@ -26,15 +26,15 @@ Feature: check when settlement data precision is different/equal to the settleme
 
   @Perpetual
   Scenario: 001 oracle data decimal > asset decimal 0070-MKTD-018, 0019-MCAL-091
+    # start at this timestamp
+    Given time is updated to "2021-02-11T16:35:21Z"
     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 | position decimal places | market type | sla params      |
       | ETH/DEC19 | ETH        | USD   | default-simple-risk-model-3 | default-margin-calculator | 1                | default-none | default-none     | perp-oracle-1      | 0.25                   | 0                         | -1                      | perp        | default-futures |
     And the following network parameters are set:
-      | name                           | value |
-      | market.auction.minimumDuration | 1     |
-      | limits.markets.maxPeggedOrders | 2     |
-    Given the following network parameters are set:
       | name                                    | value |
+      | market.auction.minimumDuration          | 1     |
+      | limits.markets.maxPeggedOrders          | 2     |
       | network.markPriceUpdateMaximumFrequency | 5s    |
     And the parties deposit on asset's general account the following amount:
       | party  | asset | amount     |
@@ -62,11 +62,13 @@ Feature: check when settlement data precision is different/equal to the settleme
       | aux2  | ETH/DEC19 | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
       | aux   | ETH/DEC19 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
 
-    Then the opening auction period ends for market "ETH/DEC19"
+    # Time moves forwards 2s
+    Then the network moves ahead "2" blocks
     And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"
 
+    # Another +1s making it 2021-02-11T16:35:24
     When the network moves ahead "1" blocks
-    When the parties place the following orders:
+    And the parties place the following orders:
       | party  | market id | side | volume | price | resulting trades | type       | tif     |
       | party1 | ETH/DEC19 | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
       | party2 | ETH/DEC19 | buy  | 1      | 1000  | 1                | TYPE_LIMIT | TIF_GTC |
@@ -88,9 +90,18 @@ Feature: check when settlement data precision is different/equal to the settleme
       | party3 | USD   | ETH/DEC19 | 132000  | 99866000  |
       | lp1    | USD   | ETH/DEC19 | 6600000 | 492200000 |
 
-    When the oracles broadcast data with block time signed with "0xCAFECAFE1":
+
+    And the oracles broadcast data with block time signed with "0xCAFECAFE1":
       | name             | value      | time offset |
       | perp.funding.cue | 1613061324 | 0s          |
+    # 4320h is 6 * 30 * 24 (180days, or 6 months) with a block duration of 10 days (so 18 ticks)
+    # making it 2021-08-10T16:35:24
+    Then the network moves ahead "4320h" with block duration of "240h"
+    # now move ahead the remaining time to get to 2021-08-11T11:04:07
+    # We're moving by 66,583s (18 * 3600 + 29 * 60 + 43), divisible by 11 (6053)
+    # So set block duration to 6053 for 11 ticks
+    And the network moves ahead "18h29m43s" with block duration of "6053s"
+    #When time is updated to "2021-08-12T11:04:07Z"
 
     When the network moves ahead "5" blocks
     When the oracles broadcast data with block time signed with "0xCAFECAFE1":
@@ -109,6 +120,7 @@ Feature: check when settlement data precision is different/equal to the settleme
 
   @Perpetual
   Scenario: 002 oracle data decimal < asset decimal 0070-MKTD-019
+    Given time is updated to "2021-02-11T16:35:21Z"
     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 | position decimal places | decimal places | market type | sla params      |
       | ETH/DEC19 | ETH        | USD   | default-simple-risk-model-3 | default-margin-calculator | 1                | default-none | default-none     | perp-oracle-3      | 0.25                   | 0                         | 1                       | 2              | perp        | default-futures |
@@ -145,11 +157,12 @@ Feature: check when settlement data precision is different/equal to the settleme
       | aux2  | ETH/DEC19 | buy  | 100    | 100000 | 0                | TYPE_LIMIT | TIF_GTC |
       | aux   | ETH/DEC19 | sell | 100    | 100000 | 0                | TYPE_LIMIT | TIF_GTC |
 
-    Then the opening auction period ends for market "ETH/DEC19"
+    Then the network moves ahead "2" blocks
     And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"
 
+    # Time at start of the scenario is now +3s
     When the network moves ahead "1" blocks
-    When the parties place the following orders:
+    And the parties place the following orders:
       | party  | market id | side | volume | price  | resulting trades | type       | tif     |
       | party1 | ETH/DEC19 | sell | 100    | 100000 | 0                | TYPE_LIMIT | TIF_GTC |
       | party2 | ETH/DEC19 | buy  | 100    | 100000 | 1                | TYPE_LIMIT | TIF_GTC |
@@ -171,17 +184,29 @@ Feature: check when settlement data precision is different/equal to the settleme
       | party3 | USD   | ETH/DEC19 | 132000  | 99866000  |
       | lp1    | USD   | ETH/DEC19 | 6600000 | 492200000 |
 
+
     When the oracles broadcast data with block time signed with "0xCAFECAFE3":
       | name             | value      | time offset |
       | perp.funding.cue | 1613061324 | 0s          |
 
-    When the network moves ahead "5" blocks
-    When the oracles broadcast data with block time signed with "0xCAFECAFE3":
+    # 4320h is 6 * 30 * 24 (180days, or 6 months) with a block duration of 10 days (so 18 ticks)
+    # making it 2021-08-10T16:35:24
+    Then the network moves ahead "4320h" with block duration of "240h"
+    # now move ahead the remaining time to get to 2021-08-11T11:04:07
+    # We're moving by 66,583s (18 * 3600 + 29 * 60 + 43), divisible by 11 (6053)
+    # So set block duration to 6053 for 11 ticks
+    And the network moves ahead "18h29m43s" with block duration of "6053s"
+
+    #    When time is updated to "2021-08-12T11:04:07Z"
+
+    And the network moves ahead "5" blocks
+    Then the oracles broadcast data with block time signed with "0xCAFECAFE3":
       | name             | value      | time offset |
       | perp.ETH.value   | 30000      | 0s          |
       | perp.funding.cue | 1628766252 | 0s          |
     #1628766252 is half year after the first oracel time
 
+    #Then debug funding period events
     And the following transfers should happen:
       | from   | to     | from account            | to account              | market id | amount | asset |
       | aux2   | market | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 74700  | USD   |
@@ -190,15 +215,17 @@ Feature: check when settlement data precision is different/equal to the settleme
       | market | aux    | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 74700  | USD   |
       | market | party1 | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 149400 | USD   |
 
+  @PBlock
   Scenario: 003 oracle data decimal = asset decimal, while market decimal is 1,  0070-MKTD-020
+    Given time is updated to "2021-02-11T16:35:21Z"
     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 | decimal places | position decimal places | market type | sla params      |
       | ETH/DEC19 | ETH        | USD   | default-simple-risk-model-3 | default-margin-calculator | 1                | default-none | default-none     | perp-oracle-2      | 0.25                   | 0                         | 1              | -1                      | perp        | default-futures |
     And the following network parameters are set:
       | name                           | value |
       | market.auction.minimumDuration | 1     |
       | limits.markets.maxPeggedOrders | 2     |
-    Given the following network parameters are set:
+    And the following network parameters are set:
       | name                                    | value |
       | network.markPriceUpdateMaximumFrequency | 5s    |
     And the parties deposit on asset's general account the following amount:
@@ -227,7 +254,7 @@ Feature: check when settlement data precision is different/equal to the settleme
       | aux2  | ETH/DEC19 | buy  | 1      | 10000 | 0                | TYPE_LIMIT | TIF_GTC |
       | aux   | ETH/DEC19 | sell | 1      | 10000 | 0                | TYPE_LIMIT | TIF_GTC |
 
-    Then the opening auction period ends for market "ETH/DEC19"
+    Then the network moves ahead "2" blocks
     And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"
 
     When the network moves ahead "1" blocks
@@ -253,25 +280,30 @@ Feature: check when settlement data precision is different/equal to the settleme
       | party3 | USD   | ETH/DEC19 | 132000  | 99866000  |
       | lp1    | USD   | ETH/DEC19 | 6600000 | 492200000 |
 
+
     When the oracles broadcast data with block time signed with "0xCAFECAFE2":
       | name             | value      | time offset |
       | perp.funding.cue | 1613061324 | 0s          |
-
-    When the network moves ahead "5" blocks
-    When the oracles broadcast data with block time signed with "0xCAFECAFE2":
+
+    # 4320h is 6 * 30 * 24 (180days, or 6 months) with a block duration of 10 days (so 18 ticks)
+    # making it 2021-08-10T16:35:24
+    Then the network moves ahead "4320h" with block duration of "240h"
+    # now move ahead the remaining time to get to 2021-08-11T11:04:07
+    # We're moving by 66,583s (18 * 3600 + 29 * 60 + 43), divisible by 11 (6053)
+    # So set block duration to 6053 for 11 ticks
+    And the network moves ahead "18h29m43s" with block duration of "6053s"
+
+    And the network moves ahead "5" blocks
+    And the oracles broadcast data with block time signed with "0xCAFECAFE2":
       | name             | value      | time offset |
       | perp.ETH.value   | 300000     | 0s          |
       | perp.funding.cue | 1628766252 | 0s          |
     #1628766252 is half year after the first oracel time
 
-    And the following transfers should happen:
+    Then the following transfers should happen:
       | from   | to     | from account            | to account              | market id | amount | asset |
       | aux2   | market | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 74700  | USD   |
       | party2 | market | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 74700  | USD   |
       | party3 | market | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 74700  | USD   |
       | market | aux    | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 74700  | USD   |
       | market | party1 | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 149400 | USD   |
-
-
-
-
diff --git a/core/integration/features/settlement/0019-MCAL_fundingMargin5.feature b/core/integration/features/settlement/0019-MCAL_fundingMargin5.feature
@@ -79,16 +79,22 @@ Feature: check when settlement data precision is different/equal to the settleme
       | party1 | ETH/DEC19 | sell | 1      | 2000  | 0                | TYPE_LIMIT | TIF_GTC |
       | party3 | ETH/DEC19 | buy  | 1      | 2000  | 1                | TYPE_LIMIT | TIF_GTC |
 
+    When time is updated to "2021-02-11T16:35:24Z"
+    Then system unix time is "1613061324"
+
     When the oracles broadcast data with block time signed with "0xCAFECAFE1":
       | name             | value      | time offset |
       | perp.funding.cue | 1613061324 | 0s          |
     And the network moves ahead "5" blocks
 
+    When time is updated to "2021-08-12T11:04:12Z"
+    Then system unix time is "1628766252"
+
     Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
       | name             | value      | time offset |
       | perp.ETH.value   | 300000000  | 0s          |
       | perp.funding.cue | 1628766252 | 0s          |
-# #1628766252 is half year after the first oracel time
+    #1628766252 is half year after the first oracle time
 
     And the following transfers should happen:
       | from   | to     | from account            | to account              | market id | amount | asset |
@@ -104,27 +110,35 @@ Feature: check when settlement data precision is different/equal to the settleme
       | id        | data source config | linear slippage factor | quadratic slippage factor |
       | ETH/DEC19 | perp-oracle-2      | 0.25                   | 0                         |
 
+    When time is updated to "2021-08-12T11:04:30Z"
+    Then system unix time is "1628766270"
+
     And the oracles broadcast data with block time signed with "0xCAFECAFE2":
       | name             | value      | time offset |
       | perp.funding.cue | 1628766270 | 0s          |
+      | perp.ETH.value   | 350000000  | 0s          |
 
-    When the network moves ahead "5" blocks
+    When time is updated to "2024-10-12T20:51:10Z"
+    Then system unix time is "1728766270"
 
     Then the oracles broadcast data with block time signed with "0xCAFECAFE2":
       | name             | value      | time offset |
-      | perp.ETH.value   | 350000000  | 0s          |
       | perp.funding.cue | 1728766270 | 0s          |
 
+    And the following funding period events should be emitted:
+      | start      | end        | internal twap | external twap | funding payment |
+      | 1628766270 | 1728766270 | 200000        | 350000000     | -174800000      |
+
     # funding loss, win, margin excess transfers:
     And the following transfers should happen:
-      | from   | to     | from account            | to account              | market id | amount    | asset |
-      | aux    | market | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 1080000   | USD   |
-      | aux    | market | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 297994700 | USD   |
-      | party1 | market | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 1680000   | USD   |
-      | party1 | market | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 997469400 | USD   |
-      | market | party2 | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 432741366 | USD   |
-      | market | party3 | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 432741368 | USD   |
-      | market | aux2   | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 432741366 | USD   |
-      | aux2   | aux2   | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC19 | 432666666 | USD   |
-      | party2 | party2 | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC19 | 432666666 | USD   |
-      | party3 | party3 | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC19 | 432666668 | USD   |
+      | from   | to     | from account            | to account              | market id | amount    | asset | type | 
+      | aux    | market | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 1080000   | USD   | TRANSFER_TYPE_PERPETUALS_FUNDING_LOSS | 
+      | aux    | market | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 297994700 | USD   | TRANSFER_TYPE_PERPETUALS_FUNDING_LOSS | 
+      | party1 | market | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 1680000   | USD   | TRANSFER_TYPE_PERPETUALS_FUNDING_LOSS | 
+      | party1 | market | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_SETTLEMENT | ETH/DEC19 | 997469400 | USD   | TRANSFER_TYPE_PERPETUALS_FUNDING_LOSS | 
+      | market | party2 | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 432741366 | USD   | TRANSFER_TYPE_PERPETUALS_FUNDING_WIN  | 
+      | market | party3 | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 432741368 | USD   | TRANSFER_TYPE_PERPETUALS_FUNDING_WIN  | 
+      | market | aux2   | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC19 | 432741366 | USD   | TRANSFER_TYPE_PERPETUALS_FUNDING_WIN  | 
+      | aux2   | aux2   | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC19 | 432711486 | USD   | TRANSFER_TYPE_MARGIN_HIGH             | 
+      | party2 | party2 | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC19 | 432711486 | USD   | TRANSFER_TYPE_MARGIN_HIGH             | 
+      | party3 | party3 | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC19 | 432711488 | USD   | TRANSFER_TYPE_MARGIN_HIGH             |