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feat: network long then liquidates further long positions
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@cdummett
cdummett committed Jan 5, 2024
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Showing 1 changed file with 136 additions and 9 deletions.
145 changes: 136 additions & 9 deletions core/integration/features/verified/network_pnl.feature
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Expand Up @@ -21,7 +21,7 @@ Feature: Profit and loss for network a running liquidation strategy


@NoPerp @NetPNL
Scenario: Network liquidates distressed parties and has positive pnl
Scenario: Network long then liquidates short positions

# Setup the market
Given the initial insurance pool balance is "10000" for all the markets
Expand Down Expand Up @@ -75,9 +75,7 @@ Feature: Profit and loss for network a running liquidation strategy
| aux1 | ETH/MAR22 | buy | 1 | 100 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/MAR22 | sell | 1 | 100 | 1 | TYPE_LIMIT | TIF_GTC |
When the network moves ahead "1" blocks
Then the market data for the market "ETH/MAR22" should be:
| mark price | trading mode |
| 100 | TRADING_MODE_CONTINUOUS |
Then the mark price should be "100" for the market "ETH/MAR22"
And the parties should have the following profit and loss:
| party | volume | unrealised pnl | realised pnl |
| atRiskParty | 0 | 0 | -100 |
Expand All @@ -103,7 +101,6 @@ Feature: Profit and loss for network a running liquidation strategy
| party | asset | market id | margin | general |
| atRiskParty | USD.0.10 | ETH/MAR22 | 18 | 2 |


# Market moves against atRiskParty whom is liquidated
Given the parties amend the following orders:
| party | reference | price | size delta | tif |
Expand All @@ -114,12 +111,142 @@ Feature: Profit and loss for network a running liquidation strategy
| aux1 | ETH/MAR22 | buy | 1 | 120 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/MAR22 | sell | 1 | 120 | 1 | TYPE_LIMIT | TIF_GTC |
When the network moves ahead "1" blocks
Then debug trades
Then the market data for the market "ETH/MAR22" should be:
| mark price | trading mode |
| 120 | TRADING_MODE_CONTINUOUS |
Then the mark price should be "120" for the market "ETH/MAR22"
And the parties should have the following profit and loss:
| party | volume | unrealised pnl | realised pnl |
| atRiskParty | 0 | 0 | -140 |
| network | -1 | 0 | 20 |
And the insurance pool balance should be "10000" for the market "ETH/MAR22"

# Market moves in favour of the network
Given the parties amend the following orders:
| party | reference | price | size delta | tif |
| lp1 | best-bid | 59 | 0 | TIF_GTC |
| lp1 | best-ask | 61 | 0 | TIF_GTC |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/MAR22 | buy | 1 | 60 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/MAR22 | sell | 1 | 60 | 1 | TYPE_LIMIT | TIF_GTC |
When the network moves ahead "1" blocks
Then the mark price should be "60" for the market "ETH/MAR22"
And the parties should have the following profit and loss:
| party | volume | unrealised pnl | realised pnl |
| atRiskParty | 0 | 0 | -140 |
| network | -1 | 60 | 20 |
And the insurance pool balance should be "10060" for the market "ETH/MAR22"


@NoPerp @NetPNL
Scenario: Network long then liquidates further long positions

# Setup the market
Given the initial insurance pool balance is "10000" for all the markets
And the parties deposit on asset's general account the following amount:
| party | asset | amount |
| lp1 | USD.0.10 | 100000000000 |
| aux1 | USD.0.10 | 10000000000 |
| aux2 | USD.0.10 | 10000000000 |
And the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp1 | lp1 | ETH/MAR22 | 500000 | 0 | submission |
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| lp1 | ETH/MAR22 | buy | 1000 | 199 | 0 | TYPE_LIMIT | TIF_GTC | best-bid |
| lp1 | ETH/MAR22 | sell | 1000 | 201 | 0 | TYPE_LIMIT | TIF_GTC | best-ask |
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/MAR22 | buy | 1 | 200 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/MAR22 | sell | 1 | 200 | 0 | TYPE_LIMIT | TIF_GTC |
And the opening auction period ends for market "ETH/MAR22"
Then the market data for the market "ETH/MAR22" should be:
| mark price | trading mode |
| 200 | TRADING_MODE_CONTINUOUS |

# atRiskPary opens a long position
Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| atRiskParty | USD.0.10 | 100 |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/MAR22 | sell | 1 | 200 | 0 | TYPE_LIMIT | TIF_GTC |
| atRiskParty | ETH/MAR22 | buy | 1 | 200 | 1 | TYPE_LIMIT | TIF_GTC |
When the network moves ahead "1" blocks
Then the parties should have the following profit and loss:
| party | volume | unrealised pnl | realised pnl |
| atRiskParty | 1 | 0 | 0 |
And the parties should have the following margin levels:
| party | market id | maintenance | search | initial | release |
| atRiskParty | ETH/MAR22 | 15 | 16 | 18 | 21 |
And the parties should have the following account balances:
| party | asset | market id | margin | general |
| atRiskParty | USD.0.10 | ETH/MAR22 | 16 | 84 |

# Market moves against atRiskParty whom is liquidated
Given the parties amend the following orders:
| party | reference | price | size delta | tif |
| lp1 | best-bid | 99 | 0 | TIF_GTC |
| lp1 | best-ask | 101 | 0 | TIF_GTC |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/MAR22 | buy | 1 | 100 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/MAR22 | sell | 1 | 100 | 1 | TYPE_LIMIT | TIF_GTC |
When the network moves ahead "1" blocks
Then the mark price should be "100" for the market "ETH/MAR22"
And the parties should have the following profit and loss:
| party | volume | unrealised pnl | realised pnl |
| atRiskParty | 0 | 0 | -100 |
| network | 1 | 0 | 0 |
And the insurance pool balance should be "10000" for the market "ETH/MAR22"

# atRiskPary opens a long position
Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| atRiskParty | USD.0.10 | 10 |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/MAR22 | sell | 1 | 100 | 0 | TYPE_LIMIT | TIF_GTC |
| atRiskParty | ETH/MAR22 | buy | 1 | 100 | 1 | TYPE_LIMIT | TIF_GTC |
When the network moves ahead "1" blocks
Then the parties should have the following profit and loss:
| party | volume | unrealised pnl | realised pnl |
| atRiskParty | 1 | 0 | -100 |
And the parties should have the following margin levels:
| party | market id | maintenance | search | initial | release |
| atRiskParty | ETH/MAR22 | 8 | 8 | 9 | 11 |
And the parties should have the following account balances:
| party | asset | market id | margin | general |
| atRiskParty | USD.0.10 | ETH/MAR22 | 8 | 2 |

# Market moves against atRiskParty whom is liquidated
Given the parties amend the following orders:
| party | reference | price | size delta | tif |
| lp1 | best-bid | 89 | 0 | TIF_GTC |
| lp1 | best-ask | 91 | 0 | TIF_GTC |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/MAR22 | buy | 1 | 90 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/MAR22 | sell | 1 | 90 | 1 | TYPE_LIMIT | TIF_GTC |
When the network moves ahead "1" blocks
Then the mark price should be "90" for the market "ETH/MAR22"
And the parties should have the following profit and loss:
| party | volume | unrealised pnl | realised pnl |
| atRiskParty | 0 | 0 | -110 |
| network | 2 | -10 | 0 |
And the insurance pool balance should be "9990" for the market "ETH/MAR22"

# Market moves against the network
Given the parties amend the following orders:
| party | reference | price | size delta | tif |
| lp1 | best-bid | 59 | 0 | TIF_GTC |
| lp1 | best-ask | 61 | 0 | TIF_GTC |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/MAR22 | buy | 1 | 60 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/MAR22 | sell | 1 | 60 | 1 | TYPE_LIMIT | TIF_GTC |
When the network moves ahead "1" blocks
Then the mark price should be "60" for the market "ETH/MAR22"
And the parties should have the following profit and loss:
| party | volume | unrealised pnl | realised pnl |
| atRiskParty | 0 | 0 | -110 |
| network | 2 | -70 | 0 |
And the insurance pool balance should be "9930" for the market "ETH/MAR22"

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