feat: add HVMR feature tests

core/integration/features/volume-rebate/0095-HVMR.feature

@@ -0,0 +1,205 @@
+Feature: Volume rebate program - contributions from trades
+
+  Volume rebate program rewards parties who comprise above a specified
+  fraction of the maker volume on the network in a window with an
+  extra rebate factor.
+
+  Tests check trades contribute towards a party's maker volume fraction
+  correctly and that volume across windows and markets is correctly 
+  counted and scaled where necessary.
+
+  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             | 0.01  |
+      | market.fee.factors.infrastructureFee    | 0.01  |
+      | market.fee.factors.treasuryFee          | 0.1   |
+      | market.fee.factors.buybackFee           | 0.1   |
+      | network.markPriceUpdateMaximumFrequency | 0s    |
+      | validators.epoch.length                 | 20s   |
+      | market.auction.minimumDuration          | 1     |
+
+    And the following assets are registered:
+      | id       | decimal places | quantum |
+      | USD-0-1  | 0              | 1       |
+      | MXN-0-10 | 0              | 10      |
+
+    # Initialise the parties and deposit assets
+    Given the parties deposit on asset's general account the following amount:
+      | party | asset    | amount   |
+      | aux1  | USD-0-1  | 1000000  |
+      | aux2  | USD-0-1  | 1000000  |
+      | aux1  | MXN-0-10 | 10000000 |
+      | aux2  | MXN-0-10 | 10000000 |
+
+    # Setup the USD and VMD markets in continuous trading
+    Given the price monitoring named "price-monitoring":
+      | horizon | probability | auction extension |
+      | 3600    | 0.99        | 1                 |
+    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 | sla params      | decimal places | position decimal places |
+      | BTC/USD-0-1  | USD        | USD-0-1  | default-log-normal-risk-model | default-margin-calculator | 1                | default-none | price-monitoring | default-eth-for-future | 1e-3                   | 0                         | default-futures | 0              | 0                       |
+      | BTC/MXN-0-10 | VND        | MXN-0-10 | default-log-normal-risk-model | default-margin-calculator | 1                | default-none | price-monitoring | default-eth-for-future | 1e-3                   | 0                         | default-futures | 0              | 0                       |
+    And the parties place the following orders:
+      | party | market id   | side | volume | price | resulting trades | type       | tif     |
+      | aux1  | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | BTC/USD-0-1 | sell | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |
+    And the parties place the following orders:
+      | party | market id    | side | volume | price  | resulting trades | type       | tif     |
+      | aux1  | BTC/MXN-0-10 | buy  | 1      | 500000 | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | BTC/MXN-0-10 | sell | 1      | 500000 | 0                | TYPE_LIMIT | TIF_GTC |
+    When the network moves ahead "2" blocks
+    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/USD-0-1"
+    And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/MXN-0-10"
+
+
+  Scenario: Maker / taker volume does / does not contribute towards the maker volume fraction respectively (0095-HVMR-013)(0095-HVMR-015)
+
+    Given the volume rebate program tiers named "vrt":
+      | fraction | rebate |
+      | 0.0001   | 0.001  |
+    And the volume rebate program:
+      | id | tiers | closing timestamp | window length |
+      | id | vrt   | 0                 | 1             |
+    And the network moves ahead "1" epochs
+
+    Given the parties deposit on asset's general account the following amount:
+      | party  | asset   | amount  |
+      | party1 | USD-0-1 | 1000000 |
+      | party2 | USD-0-1 | 1000000 |
+    And the parties place the following orders:
+      | party  | market id   | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | party2 | BTC/USD-0-1 | sell | 1      | 50000 | 1                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
+      | party1 | party2 | 1    | 50000 | sell           | 0               | 500              |
+
+    # In the following epoch, party1 and party2 are both the maker of a
+    # trade but only party1 recevieves a rebate.
+    Given the network moves ahead "1" epochs
+    And the parties place the following orders:
+      | party  | market id   | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | party2 | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | BTC/USD-0-1 | sell | 2      | 50000 | 2                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
+      | party1 | aux1   | 1    | 50000 | sell           | 0                           | 50                           |
+      | party2 | aux1   | 1    | 50000 | sell           | 0                           | 0                            |
+    Then the following transfers should happen:
+      | from | to     | from account            | to account           | market id   | amount | asset   | type                                        |
+      |      | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | 50     | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
+
+
+  Scenario: Trades on auction uncrossing do not contribute towards the maker volume fraction (0095-HVMR-017)
+
+    Given the volume rebate program tiers named "vrt":
+      | fraction | rebate |
+      | 0.0001   | 0.001  |
+    And the volume rebate program:
+      | id | tiers | closing timestamp | window length |
+      | id | vrt   | 0                 | 1             |
+    And the network moves ahead "1" epochs
+
+    # Trigger a PM auction
+    Given the market data for the market "BTC/USD-0-1" should be:
+      | mark price | trading mode            | horizon | min bound | max bound |
+      | 50000      | TRADING_MODE_CONTINUOUS | 3600    | 47313     | 52816     |
+    And the parties place the following orders:
+      | party | market id   | side | volume | price | resulting trades | type       | tif     | reference          |
+      | aux1  | BTC/USD-0-1 | buy  | 1      | 60    | 0                | TYPE_LIMIT | TIF_GTC | auction-order-aux1 |
+      | aux2  | BTC/USD-0-1 | sell | 1      | 60    | 0                | TYPE_LIMIT | TIF_GTC | auction-order-aux2 |
+    When the network moves ahead "1" blocks
+    And the parties cancel the following orders:
+      | party | reference          |
+      | aux1  | auction-order-aux1 |
+      | aux2  | auction-order-aux2 |
+    Then the trading mode should be "TRADING_MODE_MONITORING_AUCTION" for the market "BTC/USD-0-1"
+
+    # Exit the PM auction - volume should not contribute towards maker
+    # volume fraction of either party1 or party2
+    Given the parties deposit on asset's general account the following amount:
+      | party  | asset   | amount  |
+      | party1 | USD-0-1 | 1000000 |
+      | party2 | USD-0-1 | 1000000 |
+    And the parties place the following orders:
+      | party  | market id   | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | party2 | BTC/USD-0-1 | sell | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/USD-0-1"
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
+      | party1 | party2 | 1    | 50000 |                | 0               | 0                |
+
+    # In the following epoch, party1 and party2 are both the maker of a
+    # trade but neither receive a rebate.
+    Given the network moves ahead "1" epochs
+    And the parties place the following orders:
+      | party  | market id   | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | party2 | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | BTC/USD-0-1 | sell | 2      | 50000 | 2                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
+      | party1 | aux1   | 1    | 50000 | sell           | 0                           | 0                            |
+      | party2 | aux1   | 1    | 50000 | sell           | 0                           | 0                            |
+
+
+  Scenario Outline: Volume made in previous window correctly contributes towards maker volume fraction (0095-HVMR-019)(0095-HVMR-021)
+
+    Given the volume rebate program tiers named "vrt":
+      | fraction | rebate |
+      | 0.0001   | 0.001  |
+    And the volume rebate program:
+      | id | tiers | closing timestamp | window length   |
+      | id | vrt   | 0                 | <window length> |
+    And the network moves ahead "1" epochs
+
+    Given the parties deposit on asset's general account the following amount:
+      | party  | asset   | amount  |
+      | party1 | USD-0-1 | 1000000 |
+      | party2 | USD-0-1 | 1000000 |
+    And the parties place the following orders:
+      | party  | market id   | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | BTC/USD-0-1 | sell | 1      | 50000 | 1                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
+      | party1 | aux1   | 1    | 50000 | sell           | 0               | 500              |
+
+    Given the network moves ahead <epochs between trades> epochs
+    When the parties place the following orders:
+      | party  | market id   | side | volume | price | resulting trades | type       | tif     | error |
+      | party2 | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | BTC/USD-0-1 | sell | 1      | 50000 | 1                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
+      | party2 | aux1   | 1    | 50000 | sell           | 0               | 500              |
+
+    When the network moves ahead "1" epochs
+    When the parties place the following orders:
+      | party  | market id   | side | volume | price | resulting trades | type       | tif     | error |
+      | party1 | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | party2 | BTC/USD-0-1 | buy  | 1      | 50000 | 0                | TYPE_LIMIT | TIF_GTC |       |
+      | aux1   | BTC/USD-0-1 | sell | 2      | 50000 | 2                | TYPE_LIMIT | TIF_GTC |       |
+    When the network moves ahead "1" blocks
+    Then the following trades should be executed:
+      | buyer  | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
+      | party1 | aux1   | 1    | 50000 | sell           | 0                           | <party1 rebate>              |
+      | party2 | aux1   | 1    | 50000 | sell           | 0                           | <party2 rebate>              |
+
+  Examples:
+      | window length | epochs between trades | party1 rebate | party2 rebate |
+      | 10            | "1"                   | 50            | 50            |
+
+

core/integration/steps/the_following_trades_happened.go

@@ -65,6 +65,7 @@ func TheFollowingTradesShouldBeExecuted(
 		buyerInfraFeeReferrerDiscount, hasBuyerInfraFeeReferrerDiscount := row.DecimalB("buyer infrastructure fee referrer discount")
 		buyerMakerFeeReferrerDiscount, hasBuyerMakerFeeReferrerDiscount := row.DecimalB("buyer maker fee referrer discount")
 		buyerLiqFeeReferrerDiscount, hasBuyerLiqFeeReferrerDiscount := row.DecimalB("buyer liquidity fee referrer discount")
+		buyerHighVolumeMakerFee, hasBuyerHighVolumeMakerFee := row.DecimalB("buyer high volume maker fee")
 
 		sellerFee, hasSellerFee := row.U64B("seller fee")
 		sellerInfraFee, hasSellerInfraFee := row.U64B("seller infrastructure fee")
@@ -76,6 +77,7 @@ func TheFollowingTradesShouldBeExecuted(
 		sellerInfraFeeReferrerDiscount, hasSellerInfraFeeReferrerDiscount := row.DecimalB("seller infrastructure fee referrer discount")
 		sellerMakerFeeReferrerDiscount, hasSellerMakerFeeReferrerDiscount := row.DecimalB("seller maker fee referrer discount")
 		sellerLiqFeeReferrerDiscount, hasSellerLiqFeeReferrerDiscount := row.DecimalB("seller liquidity fee referrer discount")
+		sellerHighVolumeMakerFee, hasSellerHighVolumeMakerFee := row.DecimalB("seller high volume maker fee")
 
 		data := broker.GetTrades()
 		var found bool
@@ -89,22 +91,24 @@ func TheFollowingTradesShouldBeExecuted(
 				(!hasBuyerInfraFee || buyerInfraFee == stringToU64(v.BuyerFee.InfrastructureFee)) &&
 				(!hasBuyerMakerFee || buyerMakerFee == stringToU64(v.BuyerFee.MakerFee)) &&
 				(!hasBuyerLiqFee || buyerLiqFee == stringToU64(v.BuyerFee.LiquidityFee)) &&
-				(!hasBuyerInfraFeeVolumeDiscount || buyerInfraFeeVolumeDiscount == num.MustDecimalFromString(v.BuyerFee.InfrastructureFeeVolumeDiscount)) &&
-				(!hasBuyerMakerFeeVolumeDiscount || buyerMakerFeeVolumeDiscount == num.MustDecimalFromString(v.BuyerFee.MakerFeeVolumeDiscount)) &&
-				(!hasBuyerLiqFeeVolumeDiscount || buyerLiqFeeVolumeDiscount == num.MustDecimalFromString(v.BuyerFee.LiquidityFeeVolumeDiscount)) &&
-				(!hasBuyerInfraFeeReferrerDiscount || buyerInfraFeeReferrerDiscount == num.MustDecimalFromString(v.BuyerFee.InfrastructureFeeReferrerDiscount)) &&
-				(!hasBuyerMakerFeeReferrerDiscount || buyerMakerFeeReferrerDiscount == num.MustDecimalFromString(v.BuyerFee.MakerFeeReferrerDiscount)) &&
-				(!hasBuyerLiqFeeReferrerDiscount || buyerLiqFeeReferrerDiscount == num.MustDecimalFromString(v.BuyerFee.LiquidityFeeReferrerDiscount)) &&
+				(!hasBuyerInfraFeeVolumeDiscount || buyerInfraFeeVolumeDiscount.Equal(num.MustDecimalFromString(v.BuyerFee.InfrastructureFeeVolumeDiscount))) &&
+				(!hasBuyerMakerFeeVolumeDiscount || buyerMakerFeeVolumeDiscount.Equal(num.MustDecimalFromString(v.BuyerFee.MakerFeeVolumeDiscount))) &&
+				(!hasBuyerLiqFeeVolumeDiscount || buyerLiqFeeVolumeDiscount.Equal(num.MustDecimalFromString(v.BuyerFee.LiquidityFeeVolumeDiscount))) &&
+				(!hasBuyerInfraFeeReferrerDiscount || buyerInfraFeeReferrerDiscount.Equal(num.MustDecimalFromString(v.BuyerFee.InfrastructureFeeReferrerDiscount))) &&
+				(!hasBuyerMakerFeeReferrerDiscount || buyerMakerFeeReferrerDiscount.Equal(num.MustDecimalFromString(v.BuyerFee.MakerFeeReferrerDiscount))) &&
+				(!hasBuyerLiqFeeReferrerDiscount || buyerLiqFeeReferrerDiscount.Equal(num.MustDecimalFromString(v.BuyerFee.LiquidityFeeReferrerDiscount))) &&
+				(!hasBuyerHighVolumeMakerFee || buyerHighVolumeMakerFee.Equal(num.MustDecimalFromString(v.BuyerFee.HighVolumeMakerFee))) &&
 				(!hasSellerFee || sellerFee == feeToU64(v.SellerFee)) &&
 				(!hasSellerInfraFee || sellerInfraFee == stringToU64(v.SellerFee.InfrastructureFee)) &&
 				(!hasSellerMakerFee || sellerMakerFee == stringToU64(v.SellerFee.MakerFee)) &&
 				(!hasSellerLiqFee || sellerLiqFee == stringToU64(v.SellerFee.LiquidityFee)) &&
-				(!hasSellerInfraFeeVolumeDiscount || sellerInfraFeeVolumeDiscount == num.MustDecimalFromString(v.SellerFee.InfrastructureFeeVolumeDiscount)) &&
-				(!hasSellerMakerFeeVolumeDiscount || sellerMakerFeeVolumeDiscount == num.MustDecimalFromString(v.SellerFee.MakerFeeVolumeDiscount)) &&
-				(!hasSellerLiqFeeVolumeDiscount || sellerLiqFeeVolumeDiscount == num.MustDecimalFromString(v.SellerFee.LiquidityFeeVolumeDiscount)) &&
-				(!hasSellerInfraFeeReferrerDiscount || sellerInfraFeeReferrerDiscount == num.MustDecimalFromString(v.SellerFee.InfrastructureFeeReferrerDiscount)) &&
-				(!hasSellerMakerFeeReferrerDiscount || sellerMakerFeeReferrerDiscount == num.MustDecimalFromString(v.SellerFee.MakerFeeReferrerDiscount)) &&
-				(!hasSellerLiqFeeReferrerDiscount || sellerLiqFeeReferrerDiscount == num.MustDecimalFromString(v.SellerFee.LiquidityFeeReferrerDiscount)) {
+				(!hasSellerInfraFeeVolumeDiscount || sellerInfraFeeVolumeDiscount.Equal(num.MustDecimalFromString(v.SellerFee.InfrastructureFeeVolumeDiscount))) &&
+				(!hasSellerMakerFeeVolumeDiscount || sellerMakerFeeVolumeDiscount.Equal(num.MustDecimalFromString(v.SellerFee.MakerFeeVolumeDiscount))) &&
+				(!hasSellerLiqFeeVolumeDiscount || sellerLiqFeeVolumeDiscount.Equal(num.MustDecimalFromString(v.SellerFee.LiquidityFeeVolumeDiscount))) &&
+				(!hasSellerInfraFeeReferrerDiscount || sellerInfraFeeReferrerDiscount.Equal(num.MustDecimalFromString(v.SellerFee.InfrastructureFeeReferrerDiscount))) &&
+				(!hasSellerMakerFeeReferrerDiscount || sellerMakerFeeReferrerDiscount.Equal(num.MustDecimalFromString(v.SellerFee.MakerFeeReferrerDiscount))) &&
+				(!hasSellerLiqFeeReferrerDiscount || sellerLiqFeeReferrerDiscount.Equal(num.MustDecimalFromString(v.SellerFee.LiquidityFeeReferrerDiscount))) &&
+				(!hasSellerHighVolumeMakerFee || sellerHighVolumeMakerFee.Equal(num.MustDecimalFromString(v.SellerFee.HighVolumeMakerFee))) {
 				found = true
 			}
 		}
@@ -141,6 +145,7 @@ func parseExecutedTradesTable(table *godog.Table) []RowWrapper {
 		"buyer infrastructure fee referrer discount",
 		"buyer liquidity fee referrer discount",
 		"buyer maker fee referrer discount",
+		"buyer high volume maker fee",
 
 		"seller fee",
 		"seller infrastructure fee",
@@ -152,6 +157,7 @@ func parseExecutedTradesTable(table *godog.Table) []RowWrapper {
 		"seller infrastructure fee referrer discount",
 		"seller liquidity fee referrer discount",
 		"seller maker fee referrer discount",
+		"seller high volume maker fee",
 		"is amm",
 	})
 }