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feat: create FTs for fees in spot market #11126

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Apr 17, 2024
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feat: create FTs for fees in spot market #11126

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02059cb
feat: create FTs for fees in spot market
Jiajia-Cui Apr 16, 2024
bec433d
feat: update lp fee distribution
Jiajia-Cui Apr 16, 2024
00618f6
feat: add AC FEES-022
Jiajia-Cui Apr 16, 2024
75ac84e
feat: update calculation
Jiajia-Cui Apr 16, 2024
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173 changes: 173 additions & 0 deletions core/integration/features/spot/accounts_and_fees/0029-FEES-015.feature
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Feature: Spot market fees distribution

Scenario: 0029-FEES-015: Fees are collected during continuous trading and auction modes and distributed to the appropriate accounts, as described above.

Background:

Given the following network parameters are set:
| name | value |
| network.markPriceUpdateMaximumFrequency | 1s |
| market.value.windowLength | 1h |
| market.liquidity.maximumLiquidityFeeFactorLevel | 0.4 |
| validators.epoch.length | 4s |

Given the following assets are registered:
| id | decimal places |
| ETH | 2 |
| BTC | 2 |

Given the fees configuration named "fees-config-1":
| maker fee | infrastructure fee |
| 0.01 | 0.03 |
Given the log normal risk model named "lognormal-risk-model-1":
| risk aversion | tau | mu | r | sigma |
| 0.001 | 0.01 | 0 | 0.0 | 1.2 |
And the price monitoring named "price-monitoring-1":
| horizon | probability | auction extension |
| 36000 | 0.999 | 1 |
| 38000 | 0.999 | 2 |

And the spot markets:
| id | name | base asset | quote asset | risk model | auction duration | fees | price monitoring | decimal places | position decimal places | sla params |
| BTC/ETH | BTC/ETH | BTC | ETH | lognormal-risk-model-1 | 1 | fees-config-1 | price-monitoring-1 | 2 | 2 | default-basic |

And the following network parameters are set:
| name | value |
| limits.markets.maxPeggedOrders | 2 |
| network.markPriceUpdateMaximumFrequency | 0s |
| market.liquidity.providersFeeCalculationTimeStep | 1s |
| validators.epoch.length | 58s |
| market.liquidity.stakeToCcyVolume | 1 |

Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| party1 | ETH | 100000 |
| party1 | BTC | 10000 |
| party2 | ETH | 100000 |
| party2 | BTC | 10000 |
| lp | ETH | 100000 |
| lp | BTC | 10000 |
And the average block duration is "1"

# No orders have been places so we shouldn't have any holding accounts
And "party1" should have only the following accounts:
| type | asset | amount |
| ACCOUNT_TYPE_GENERAL | ETH | 100000 |
| ACCOUNT_TYPE_GENERAL | BTC | 10000 |

And "party2" should have only the following accounts:
| type | asset | amount |
| ACCOUNT_TYPE_GENERAL | ETH | 100000 |
| ACCOUNT_TYPE_GENERAL | BTC | 10000 |

Given the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp1 | lp | BTC/ETH | 500 | 0.025 | submission |
# Place some orders to create the holding accounts
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party1 | BTC/ETH | buy | 100 | 1000 | 0 | TYPE_LIMIT | TIF_GTC |
| party1 | BTC/ETH | buy | 100 | 2000 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | BTC/ETH | sell | 100 | 2000 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | BTC/ETH | sell | 100 | 3000 | 0 | TYPE_LIMIT | TIF_GTC |

Then the network moves ahead "2" blocks

Then the market data for the market "BTC/ETH" should be:
| mark price | trading mode | auction trigger | horizon | min bound | max bound | open interest |
| 2000 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 36000 | 1749 | 2283 | 0 |
| 2000 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 38000 | 1743 | 2291 | 0 |

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| party1 | BTC/ETH | buy | 100 | 2000 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | BTC/ETH | sell | 100 | 2000 | 1 | TYPE_LIMIT | TIF_GTC | |
| party1 | BTC/ETH | buy | 100 | 1800 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | BTC/ETH | sell | 100 | 2200 | 0 | TYPE_LIMIT | TIF_GTC | sell-party2 |

Then the network moves ahead "1" blocks
#lp fee: 2000*100*0.025=50
And the following transfers should happen:
| from | to | from account | to account | market id | amount | asset |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | BTC/ETH | 20 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 60 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 50 | ETH |
| market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/ETH | 20 | ETH |
| market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 50 | ETH |

#0029-FEES-016:Fees are collected in one case of amends: you amend the price so far that it causes an immediate trade.
And the parties amend the following orders:
| party | reference | price | size delta | tif |
| party2 | sell-party2 | 1800 | 0 | TIF_GTC |

Then the market data for the market "BTC/ETH" should be:
| mark price | last traded price | trading mode |
| 2000 | 1800 | TRADING_MODE_CONTINUOUS |
And the following trades should be executed:
| buyer | price | size | seller |
| party1 | 1800 | 100 | party2 |

Then the network moves ahead "2" blocks
And the following transfers should happen:
| from | to | from account | to account | market id | amount | asset |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | BTC/ETH | 18 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 54 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 45 | ETH |
| market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/ETH | 18 | ETH |
| market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 45 | ETH |

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| party1 | BTC/ETH | buy | 100 | 1745 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | BTC/ETH | sell | 100 | 1745 | 0 | TYPE_LIMIT | TIF_GTC | |

Then the market data for the market "BTC/ETH" should be:
| mark price | trading mode | auction trigger |
| 1800 | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE |
Then the network moves ahead "2" blocks

Then the market data for the market "BTC/ETH" should be:
| mark price | trading mode | auction trigger |
| 1745 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED |

#The LP fees and infrastructure fees are split between the two parties for the trade during monitoring auction
#lp fee: 1745*1*0.025 = 44
And the following transfers should happen:
| from | to | from account | to account | market id | amount | asset |
| party1 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 27 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 27 | ETH |
| party1 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 22 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 22 | ETH |
| market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 44 | ETH |

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| party1 | BTC/ETH | buy | 100 | 1780 | 0 | TYPE_LIMIT | TIF_GTC | |
| party1 | BTC/ETH | buy | 23 | 1780 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | BTC/ETH | sell | 123 | 1780 | 2 | TYPE_MARKET | TIF_IOC | |

And the following trades should be executed:
| buyer | price | size | seller |
| party1 | 1780 | 100 | party2 |
| party1 | 1780 | 23 | party2 |

Then the network moves ahead "2" blocks

Then the market data for the market "BTC/ETH" should be:
| mark price | trading mode | auction trigger |
| 1780 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED |

#0029-FEES-021: market order fee distribution in spot market
#liquidity fee: 1780*0.23*0.025=11; 1780*1*0.025=45
And the following transfers should happen:
| from | to | from account | to account | market id | amount | asset |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | BTC/ETH | 5 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 13 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 11 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 45 | ETH |
| market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/ETH | 5 | ETH |
| market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 56 | ETH |




106 changes: 106 additions & 0 deletions core/integration/features/spot/accounts_and_fees/0029-FEES-022.feature
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Feature: Spot market fees distribution

Scenario: 0029-FEES-022: Fees are collected during continuous trading and auction modes and distributed to the appropriate accounts when Position Decimal Places (PDP) is -2

Background:

Given the following network parameters are set:
| name | value |
| network.markPriceUpdateMaximumFrequency | 1s |
| market.value.windowLength | 1h |
| market.liquidity.maximumLiquidityFeeFactorLevel | 0.4 |
| validators.epoch.length | 4s |

Given the following assets are registered:
| id | decimal places |
| ETH | 2 |
| BTC | 2 |

Given the fees configuration named "fees-config-1":
| maker fee | infrastructure fee |
| 0.01 | 0.03 |
Given the log normal risk model named "lognormal-risk-model-1":
| risk aversion | tau | mu | r | sigma |
| 0.001 | 0.01 | 0 | 0.0 | 1.2 |
And the price monitoring named "price-monitoring-1":
| horizon | probability | auction extension |
| 36000 | 0.999 | 1 |
| 38000 | 0.999 | 2 |

And the spot markets:
| id | name | base asset | quote asset | risk model | auction duration | fees | price monitoring | decimal places | position decimal places | sla params |
| BTC/ETH | BTC/ETH | BTC | ETH | lognormal-risk-model-1 | 1 | fees-config-1 | price-monitoring-1 | 2 | -2 | default-basic |

And the following network parameters are set:
| name | value |
| limits.markets.maxPeggedOrders | 2 |
| network.markPriceUpdateMaximumFrequency | 0s |
| market.liquidity.providersFeeCalculationTimeStep | 1s |
| validators.epoch.length | 58s |
| market.liquidity.stakeToCcyVolume | 1 |

Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| party1 | ETH | 100000 |
| party1 | BTC | 100000 |
| party2 | ETH | 100000 |
| party2 | BTC | 100000 |
| lp | ETH | 100000 |
| lp | BTC | 100000 |
And the average block duration is "1"

Given the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp1 | lp | BTC/ETH | 500 | 0.025 | submission |

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party1 | BTC/ETH | buy | 1 | 10 | 0 | TYPE_LIMIT | TIF_GTC |
| party1 | BTC/ETH | buy | 1 | 20 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | BTC/ETH | sell | 1 | 20 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | BTC/ETH | sell | 1 | 30 | 0 | TYPE_LIMIT | TIF_GTC |

Then the network moves ahead "2" blocks

Then the market data for the market "BTC/ETH" should be:
| mark price | trading mode | auction trigger | horizon | min bound | max bound | open interest |
| 20 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 36000 | 18 | 22 | 0 |
| 20 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 38000 | 18 | 22 | 0 |

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| party1 | BTC/ETH | buy | 1 | 20 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | BTC/ETH | sell | 1 | 20 | 1 | TYPE_LIMIT | TIF_GTC | |
| party1 | BTC/ETH | buy | 1 | 18 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | BTC/ETH | sell | 1 | 22 | 0 | TYPE_LIMIT | TIF_GTC | sell-party2 |

Then the network moves ahead "1" blocks
#lp fee: 2000*100*0.025=50
And the following transfers should happen:
| from | to | from account | to account | market id | amount | asset |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | BTC/ETH | 20 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 60 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 50 | ETH |
| market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/ETH | 20 | ETH |
| market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 50 | ETH |

And the parties amend the following orders:
| party | reference | price | size delta | tif |
| party2 | sell-party2 | 18 | 0 | TIF_GTC |

Then the market data for the market "BTC/ETH" should be:
| mark price | last traded price | trading mode |
| 20 | 18 | TRADING_MODE_CONTINUOUS |
And the following trades should be executed:
| buyer | price | size | seller |
| party1 | 18 | 1 | party2 |

Then the network moves ahead "2" blocks
And the following transfers should happen:
| from | to | from account | to account | market id | amount | asset |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_MAKER | BTC/ETH | 18 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_INFRASTRUCTURE | BTC/ETH | 54 | ETH |
| party2 | market | ACCOUNT_TYPE_GENERAL | ACCOUNT_TYPE_FEES_LIQUIDITY | BTC/ETH | 45 | ETH |
| market | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/ETH | 18 | ETH |
| market | lp | ACCOUNT_TYPE_FEES_LIQUIDITY | ACCOUNT_TYPE_LP_LIQUIDITY_FEES | BTC/ETH | 45 | ETH |

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