Merge pull request #9926 from vegaprotocol/9881-rm-liq-monitoring

9881 rm liq monitoring

CHANGELOG.md

@@ -8,7 +8,7 @@
 
 ### 🗑️ Deprecation
 
-- [](https://github.com/vegaprotocol/vega/issues/xxxx) -
+- [9881](https://github.com/vegaprotocol/vega/issues/9881) - Liquidity monitoring auctions to be removed.
 
 ### 🛠 Improvements
 

core/execution/common/interfaces.go

@@ -24,7 +24,6 @@ import (
 	"code.vegaprotocol.io/vega/core/datasource/spec"
 	"code.vegaprotocol.io/vega/core/events"
 	"code.vegaprotocol.io/vega/core/liquidity/v2"
-	lmon "code.vegaprotocol.io/vega/core/monitor/liquidity"
 	"code.vegaprotocol.io/vega/core/monitor/price"
 	"code.vegaprotocol.io/vega/core/risk"
 	"code.vegaprotocol.io/vega/core/types"
@@ -93,13 +92,11 @@ type IDGenerator interface {
 //nolint:interfacebloat
 type AuctionState interface {
 	price.AuctionState
-	lmon.AuctionState
 	// are we in auction, and what auction are we in?
 	ExtendAuctionSuspension(delta types.AuctionDuration)
 	InAuction() bool
 	IsOpeningAuction() bool
 	IsPriceAuction() bool
-	IsLiquidityAuction() bool
 	IsFBA() bool
 	IsMonitorAuction() bool
 	ExceededMaxOpening(time.Time) bool
@@ -124,6 +121,8 @@ type AuctionState interface {
 	GetState() *types.AuctionState
 	Changed() bool
 	UpdateMaxDuration(ctx context.Context, d time.Duration)
+	StartGovernanceSuspensionAuction(t time.Time)
+	EndGovernanceSuspensionAuction()
 }
 
 type EpochEngine interface {

core/execution/future/auction.go

@@ -26,11 +26,8 @@ import (
 
 func (m *Market) checkAuction(ctx context.Context, now time.Time, idgen common.IDGenerator) {
 	if !m.as.InAuction() {
-		// new block, check liquidity, start auction if needed
-		m.checkLiquidity(ctx, nil, true)
-		if m.as.AuctionStart() {
-			m.enterAuction(ctx)
-		}
+		// new block, check bond balance, top up if needed
+		m.checkBondBalance(ctx)
 		return
 	}
 
@@ -86,17 +83,15 @@ func (m *Market) checkAuction(ctx context.Context, now time.Time, idgen common.I
 		}
 
 		// first check liquidity - before we mark auction as ready to leave
-		m.checkLiquidity(ctx, trades, true)
-		if !m.as.CanLeave() {
-			if checkExceeded && m.as.ExceededMaxOpening(now) {
-				// cancel the market, exceeded opening auction
-				m.log.Debug("Market was cancelled because it failed to leave opening auction in time", logging.MarketID(m.GetID()))
-				m.terminateMarket(ctx, types.MarketStateCancelled, nil)
-				return
-			}
-			if e := m.as.AuctionExtended(ctx, now); e != nil {
-				m.broker.Send(e)
-			}
+		m.checkBondBalance(ctx)
+		if checkExceeded && m.as.ExceededMaxOpening(now) {
+			// cancel the market, exceeded opening auction
+			m.log.Debug("Market was cancelled because it failed to leave opening auction in time", logging.MarketID(m.GetID()))
+			m.terminateMarket(ctx, types.MarketStateCancelled, nil)
+			return
+		}
+		if e := m.as.AuctionExtended(ctx, now); e != nil {
+			m.broker.Send(e)
 			return
 		}
 		// opening auction requirements satisfied at this point, other requirements still need to be checked downstream though
@@ -132,17 +127,27 @@ func (m *Market) checkAuction(ctx context.Context, now time.Time, idgen common.I
 		)
 		return
 	}
+	// NOTE: This is a fix for the snapshot restores in case we're restoring a liquidity auction
+	// from a snapshot (or protocol upgrade) with state form before the liquidity monitoring was still
+	// in place. This can be removed once we've deployed the version without liquidity monitoring.
+	// Liquidity auctions are no longer a thing, we know we're not in opening auction here
+	// if we're not in price auction, we should just let the liquidity auction expire
+	if m.as.Trigger() == types.AuctionTriggerLiquidityTargetNotMet || m.as.Trigger() == types.AuctionTriggerUnableToDeployLPOrders {
+		if end := m.as.ExpiresAt(); end == nil || !end.Before(now) {
+			m.as.SetReadyToLeave()
+		}
+	}
 	// price and liquidity auctions
 	isPrice := m.as.IsPriceAuction() || m.as.IsPriceExtension()
 	if !isPrice {
-		m.checkLiquidity(ctx, trades, true)
+		m.checkBondBalance(ctx)
 	}
 	if isPrice || m.as.CanLeave() {
 		m.pMonitor.CheckPrice(ctx, m.as, trades, true)
 	}
 	end := m.as.CanLeave()
 	if isPrice && end {
-		m.checkLiquidity(ctx, trades, true)
+		m.checkBondBalance(ctx)
 	}
 	if evt := m.as.AuctionExtended(ctx, m.timeService.GetTimeNow()); evt != nil {
 		m.broker.Send(evt)

core/execution/future/event_generation_test.go

@@ -177,7 +177,6 @@ func TestEvents_EnteringAuctionCancelsGFNOrders(t *testing.T) {
 	ctx := context.Background()
 	mdb := subscribers.NewMarketDepthBuilder(ctx, nil, true)
 	tm := startMarketInAuction(t, ctx, &now)
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(ctx, num.DecimalFromFloat(0))
 
 	auxParty := "aux"
 	addAccount(t, tm, auxParty)
@@ -240,8 +239,6 @@ func TestEvents_CloseOutParty(t *testing.T) {
 	mdb := subscribers.NewMarketDepthBuilder(ctx, nil, true)
 	tm := startMarketInAuction(t, ctx, &now)
 
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(ctx, num.DecimalFromFloat(0))
-
 	auxParty := "aux"
 	addAccount(t, tm, auxParty)
 	auxOrder1 := getMarketOrder(tm, now, types.OrderTypeLimit, types.OrderTimeInForceGTC, "AuxOrderBuy", types.SideBuy, auxParty, 1, 1)
@@ -320,8 +317,6 @@ func TestEvents_CloseOutPartyWithPeggedOrder(t *testing.T) {
 	mdb := subscribers.NewMarketDepthBuilder(ctx, nil, true)
 	tm := startMarketInAuction(t, ctx, &now)
 
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(ctx, num.DecimalFromFloat(0))
-
 	auxParty := "aux"
 	addAccount(t, tm, auxParty)
 	auxOrder1 := getMarketOrder(tm, now, types.OrderTypeLimit, types.OrderTimeInForceGTC, "AuxOrderBuy", types.SideBuy, auxParty, 1, 1)
@@ -444,7 +439,6 @@ func TestEvents_EnteringAuctionParksAllPegs(t *testing.T) {
 	ctx := context.Background()
 	mdb := subscribers.NewMarketDepthBuilder(ctx, nil, true)
 	tm := startMarketInAuction(t, ctx, &now)
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(ctx, num.DecimalFromFloat(0))
 
 	auxParty := "aux"
 	addAccount(t, tm, auxParty)
@@ -511,8 +505,6 @@ func TestEvents_SelfTrading(t *testing.T) {
 	mdb := subscribers.NewMarketDepthBuilder(ctx, nil, true)
 	tm := startMarketInAuction(t, ctx, &now)
 
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(ctx, num.DecimalFromFloat(0))
-
 	auxParty := "aux"
 	addAccount(t, tm, auxParty)
 	auxOrder1 := getMarketOrder(tm, now, types.OrderTypeLimit, types.OrderTimeInForceGTC, "AuxOrderBuy", types.SideBuy, auxParty, 1, 1)
@@ -611,8 +603,6 @@ func TestEvents_MovingPegsAround(t *testing.T) {
 	mdb := subscribers.NewMarketDepthBuilder(ctx, nil, true)
 	tm := startMarketInAuction(t, ctx, &now)
 
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(ctx, num.DecimalFromFloat(0))
-
 	auxParty := "aux"
 	addAccount(t, tm, auxParty)
 	auxOrder1 := getMarketOrder(tm, now, types.OrderTypeLimit, types.OrderTimeInForceGTC, "AuxOrderBuy", types.SideBuy, auxParty, 1, 1)
@@ -679,8 +669,6 @@ func TestEvents_MovingPegsAround2(t *testing.T) {
 	mdb := subscribers.NewMarketDepthBuilder(ctx, nil, true)
 	tm := startMarketInAuction(t, ctx, &now)
 
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(ctx, num.DecimalFromFloat(0))
-
 	auxParty := "aux"
 	addAccount(t, tm, auxParty)
 	auxOrder1 := getMarketOrder(tm, now, types.OrderTypeLimit, types.OrderTimeInForceGTC, "AuxOrderBuy", types.SideBuy, auxParty, 1, 1)
@@ -737,8 +725,6 @@ func TestEvents_AmendOrderToSelfTrade(t *testing.T) {
 	mdb := subscribers.NewMarketDepthBuilder(ctx, nil, true)
 	tm := startMarketInAuction(t, ctx, &now)
 
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(ctx, num.DecimalFromFloat(0))
-
 	auxParty := "aux"
 	addAccount(t, tm, auxParty)
 	auxOrder1 := getMarketOrder(tm, now, types.OrderTypeLimit, types.OrderTimeInForceGTC, "AuxOrderBuy", types.SideBuy, auxParty, 1, 1)
@@ -794,8 +780,6 @@ func TestEvents_AmendOrderToIncreaseSizeAndPartiallyFill(t *testing.T) {
 	mdb := subscribers.NewMarketDepthBuilder(ctx, nil, true)
 	tm := startMarketInAuction(t, ctx, &now)
 
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(ctx, num.DecimalFromFloat(0))
-
 	auxParty := "aux"
 	addAccount(t, tm, auxParty)
 	auxOrder1 := getMarketOrder(tm, now, types.OrderTypeLimit, types.OrderTimeInForceGTC, "AuxOrderBuy", types.SideBuy, auxParty, 1, 1)

core/execution/future/margin_test.go

@@ -52,8 +52,6 @@ func TestMargins(t *testing.T) {
 	addAccount(t, tm, auxParty2)
 	addAccountWithAmount(tm, "lpprov", 100000)
 
-	// Assure liquidity auction won't be triggered
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(context.Background(), num.DecimalFromFloat(0))
 	// set auction durations to 1 second
 	tm.market.OnMarketAuctionMinimumDurationUpdate(context.Background(), time.Second)
 	alwaysOnBid := getMarketOrder(tm, now, types.OrderTypeLimit, types.OrderTimeInForceGTC, "alwaysOnBid", types.SideBuy, auxParty, 1, 1)
@@ -189,8 +187,6 @@ func TestPartialFillMargins(t *testing.T) {
 	addAccountWithAmount(tm, "lpprov", 100000000)
 	tm.broker.EXPECT().Send(gomock.Any()).AnyTimes()
 
-	// Assure liquidity auction won't be triggered
-	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(context.Background(), num.DecimalFromFloat(0))
 	// ensure auction durations are 1 second
 	tm.market.OnMarketAuctionMinimumDurationUpdate(context.Background(), time.Second)
 	alwaysOnBid := getMarketOrder(tm, now, types.OrderTypeLimit, types.OrderTimeInForceGTC, "alwaysOnBid", types.SideBuy, auxParty, 1, 1)
@@ -321,7 +317,6 @@ func TestPartialFillMargins(t *testing.T) {
 // 	tm.broker.EXPECT().Send(gomock.Any()).AnyTimes()
 
 // 	// Assure liquidity auction won't be triggered
-// 	tm.market.OnMarketLiquidityTargetStakeTriggeringRatio(ctx, num.DecimalFromFloat(0))
 // 	// ensure auction durations are 1 second
 // 	tm.market.OnMarketAuctionMinimumDurationUpdate(ctx, time.Second)
 // 	alwaysOnBid := getMarketOrder(tm, now, types.OrderTypeLimit, types.OrderTimeInForceGTC, "alwaysOnBid", types.SideBuy, auxParty, 1, 500)

core/execution/future/market.go

@@ -35,7 +35,6 @@ import (
 	"code.vegaprotocol.io/vega/core/matching"
 	"code.vegaprotocol.io/vega/core/metrics"
 	"code.vegaprotocol.io/vega/core/monitor"
-	lmon "code.vegaprotocol.io/vega/core/monitor/liquidity"
 	"code.vegaprotocol.io/vega/core/monitor/price"
 	"code.vegaprotocol.io/vega/core/positions"
 	"code.vegaprotocol.io/vega/core/products"
@@ -53,14 +52,6 @@ import (
 	"golang.org/x/exp/maps"
 )
 
-// LiquidityMonitor.
-type LiquidityMonitor interface {
-	CheckLiquidity(as lmon.AuctionState, t time.Time, currentStake *num.Uint, trades []*types.Trade, rf types.RiskFactor, markPrice *num.Uint, bestStaticBidVolume, bestStaticAskVolume uint64, persistent bool) bool
-	SetMinDuration(d time.Duration)
-	UpdateTargetStakeTriggerRatio(ctx context.Context, ratio num.Decimal)
-	UpdateParameters(*types.LiquidityMonitoringParameters)
-}
-
 // TargetStakeCalculator interface.
 type TargetStakeCalculator interface {
 	types.StateProvider
@@ -112,7 +103,6 @@ type Market struct {
 	parties map[string]struct{}
 
 	pMonitor common.PriceMonitor
-	lMonitor LiquidityMonitor
 
 	linearSlippageFactor    num.Decimal
 	quadraticSlippageFactor num.Decimal
@@ -252,8 +242,6 @@ func NewMarket(
 		return nil, fmt.Errorf("unable to instantiate price monitoring engine: %w", err)
 	}
 
-	lMonitor := lmon.NewMonitor(tsCalc, mkt.LiquidityMonitoringParameters)
-
 	now := timeService.GetTimeNow()
 
 	liquidityEngine := liquidity.NewSnapshotEngine(
@@ -305,7 +293,6 @@ func NewMarket(
 		parties:                       map[string]struct{}{},
 		as:                            auctionState,
 		pMonitor:                      pMonitor,
-		lMonitor:                      lMonitor,
 		tsCalc:                        tsCalc,
 		peggedOrders:                  common.NewPeggedOrders(log, timeService),
 		expiringOrders:                common.NewExpiringOrders(),
@@ -573,7 +560,6 @@ func (m *Market) Update(ctx context.Context, config *types.Market, oracleEngine
 	m.pMonitor.UpdateSettings(m.tradableInstrument.RiskModel, m.mkt.PriceMonitoringSettings)
 	m.linearSlippageFactor = m.mkt.LinearSlippageFactor
 	m.quadraticSlippageFactor = m.mkt.QuadraticSlippageFactor
-	m.lMonitor.UpdateParameters(m.mkt.LiquidityMonitoringParameters)
 	m.liquidity.UpdateMarketConfig(m.tradableInstrument.RiskModel, m.pMonitor)
 
 	// we should not need to rebind a replacement oracle here, the m.tradableInstrument.UpdateInstrument
@@ -1314,7 +1300,7 @@ func (m *Market) enterAuction(ctx context.Context) {
 	// Send an event bus update
 	m.broker.Send(event)
 
-	if m.as.InAuction() && (m.as.IsLiquidityAuction() || m.as.IsPriceAuction()) {
+	if m.as.InAuction() && m.as.IsPriceAuction() {
 		m.mkt.State = types.MarketStateSuspended
 		m.mkt.TradingMode = types.MarketTradingModeMonitoringAuction
 		m.broker.Send(events.NewMarketUpdatedEvent(ctx, *m.mkt))
@@ -1417,7 +1403,7 @@ func (m *Market) leaveAuction(ctx context.Context, now time.Time) {
 
 	m.checkForReferenceMoves(ctx, updatedOrders, true)
 
-	m.checkLiquidity(ctx, nil, true)
+	m.checkBondBalance(ctx)
 	m.commandLiquidityAuction(ctx)
 
 	if !m.as.InAuction() {
@@ -3852,28 +3838,6 @@ func (m *Market) getSuppliedStake() *num.Uint {
 	return m.liquidityEngine.CalculateSuppliedStake()
 }
 
-//nolint:unparam
-func (m *Market) checkLiquidity(ctx context.Context, trades []*types.Trade, persistentOrder bool) bool {
-	// before we check liquidity, ensure we've moved all funds that can go towards
-	// provided stake to the bond accounts so we don't trigger liquidity auction for no reason
-	m.checkBondBalance(ctx)
-	var vBid, vAsk uint64
-	// if we're not in auction, or we are checking liquidity when leaving opening auction, or we have best bid/ask volume
-	if !m.as.InAuction() || m.matching.BidAndAskPresentAfterAuction() {
-		_, vBid, _ = m.getBestStaticBidPriceAndVolume()
-		_, vAsk, _ = m.getBestStaticAskPriceAndVolume()
-	}
-
-	return m.lMonitor.CheckLiquidity(
-		m.as, m.timeService.GetTimeNow(),
-		m.getSuppliedStake(),
-		trades,
-		*m.risk.GetRiskFactors(),
-		m.getReferencePrice(),
-		vBid, vAsk,
-		persistentOrder)
-}
-
 // command liquidity auction checks if liquidity auction should be entered and if it can end.
 func (m *Market) commandLiquidityAuction(ctx context.Context) {
 	// start the liquidity monitoring auction if required