Merge pull request #11395 from vegaprotocol/fully-collateralised-margin

Fully collateralised margin
vegaprotocol · Jun 19, 2024 · eb07bfd · eb07bfd
2 parents 4fb4fb7 + 50aec69
commit eb07bfd
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Showing 4 changed files with 9 additions and 15 deletions.
diff --git a/core/execution/future/market.go b/core/execution/future/market.go
@@ -3414,13 +3414,7 @@ func (m *Market) collateralAndRisk(ctx context.Context, settle []events.Transfer
 		}
 	}
 
-	var price *num.Uint
-	if m.capMax != nil {
-		price = m.capMax.Clone()
-	} else {
-		price = m.getCurrentMarkPrice()
-	}
-	crossRiskUpdates := m.risk.UpdateMarginsOnSettlement(ctx, crossEvts, price, increment, m.getAuctionPrice())
+	crossRiskUpdates := m.risk.UpdateMarginsOnSettlement(ctx, crossEvts, m.getCurrentMarkPriceForMargin(), increment, m.getAuctionPrice())
 	isolatedMarginPartiesToClose := []events.Risk{}
 	for _, evt := range isolatedEvts {
 		mrgns, err := m.risk.CheckMarginInvariants(ctx, evt, m.getMarketObservable(nil), increment, m.matching.GetOrdersPerParty(evt.Party()), m.getMarginFactor(evt.Party()))
@@ -4837,7 +4831,7 @@ func (m *Market) settlementDataPerp(ctx context.Context, settlementData *num.Num
 
 	// check margin balances
 	increment := m.tradableInstrument.Instrument.Product.GetMarginIncrease(m.timeService.GetTimeNow().UnixNano())
-	riskUpdates := m.risk.UpdateMarginsOnSettlement(ctx, crossEvts, m.getCurrentMarkPrice(), increment, m.getAuctionPrice())
+	riskUpdates := m.risk.UpdateMarginsOnSettlement(ctx, crossEvts, m.getCurrentMarkPriceForMargin(), increment, m.getAuctionPrice())
 	isolatedMarginPartiesToClose := []events.Risk{}
 	for _, evt := range isolatedEvts {
 		mrgns, err := m.risk.CheckMarginInvariants(ctx, evt, m.getMarketObservable(nil), increment, m.matching.GetOrdersPerParty(evt.Party()), m.getMarginFactor(evt.Party()))
@@ -5013,7 +5007,7 @@ func (m *Market) GetTotalOpenPositionCount() uint64 {
 // getMarketObservable returns current mark price once market is out of opening auction, during opening auction the indicative uncrossing price is returned.
 func (m *Market) getMarketObservable(fallbackPrice *num.Uint) *num.Uint {
 	// this is used for margin calculations, so if there's a max price, return that.
-	if m.capMax != nil {
+	if m.capMax != nil && m.fCap.FullyCollateralised {
 		return m.capMax.Clone()
 	}
 	// during opening auction we don't have a last traded price, so we use the indicative price instead
@@ -5173,7 +5167,7 @@ func (m *Market) switchMarginMode(ctx context.Context, party string, marginMode
 	var auctionPrice *num.Uint
 	if m.as.InAuction() {
 		auctionPrice = marketObservable
-		markPrice := m.getCurrentMarkPrice()
+		markPrice := m.getCurrentMarkPriceForMargin()
 		if markPrice != nil && marketObservable.LT(markPrice) {
 			auctionPrice = markPrice
 		}

diff --git a/core/integration/features/capped-futures/0016-PFUT-020-ignore.feature b/core/integration/features/capped-futures/0016-PFUT-020-ignore.feature
@@ -159,7 +159,7 @@ Feature: When binary settlement is enabled, the market ignored oracle data that
       | party  | asset | market id | margin | general |
       | party1 | USD   | ETH/DEC21 | 5000   | 5500    |
       | party2 | USD   | ETH/DEC21 | 2500   | 7000    |
-      | party3 | USD   | ETH/DEC22 | 2970   | 7530    |
+      | party3 | USD   | ETH/DEC22 | 3200   | 7300    |
       | party4 | USD   | ETH/DEC22 | 2310   | 7190    |
       | aux1   | USD   | ETH/DEC21 | 3098   | 96908   |
       | aux2   | USD   | ETH/DEC21 | 402    | 99570   |

diff --git a/core/integration/features/capped-futures/0016-PFUT-026.feature b/core/integration/features/capped-futures/0016-PFUT-026.feature
@@ -127,10 +127,10 @@ Feature: Futures market can be created with a with [hardcoded risk factors](./00
     # aux2: short position of size 2, traded price at 1500, then margin: postion size * (max price - average entry price) = 3*(1100+1500*2)/3
     And the parties should have the following account balances:
       | party  | asset | market id | margin | general |
-      | party1 | USD   | ETH/DEC21 | 3150   | 9345    |
-      | party2 | USD   | ETH/DEC21 | 4050   | 3455    |
+      | party1 | USD   | ETH/DEC21 | 3148   | 9347    |
+      | party2 | USD   | ETH/DEC21 | 4047   | 3458    |
       | aux1   | USD   | ETH/DEC21 | 990    | 100509  |
-      | aux2   | USD   | ETH/DEC21 | 2430   | 96085   |
+      | aux2   | USD   | ETH/DEC21 | 2428   | 96087   |
       | aux3   | USD   | ETH/DEC21 | 1260   | 98665   |
 
     And the parties should have the following margin levels:

diff --git a/core/integration/features/margin/0016-PFUT-026.feature b/core/integration/features/margin/0016-PFUT-026.feature
@@ -56,7 +56,7 @@ Feature: Futures market can be created with a with [hardcoded risk factors](./00
     Then the parties should have the following account balances:
       | party | asset | market id | margin | general |
       | party | USD   | ETH/FEB23 | 37206  | 443294  |
-      | aux1  | USD   | ETH/FEB23 | 19080  | 980920  |
+      | aux1  | USD   | ETH/FEB23 | 17880  | 982120  |
       | aux2  | USD   | ETH/FEB23 | 43680  | 56320   |
 
     #0016-PFUT-028: Updating a risk model on a futures market with [hardcoded risk factors]