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feat: add a FT to replicate bug found in incentive #11202

Merged
merged 11 commits into from
Apr 26, 2024
Merged

feat: add a FT to replicate bug found in incentive #11202

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5e6f95a
feat: add a FT to replicate bug found in incentive
Jiajia-Cui Apr 26, 2024
e7492d6
chore: update for position decimal
Jiajia-Cui Apr 26, 2024
a0a1140
chore: update for decimal
Jiajia-Cui Apr 26, 2024
b7aa15d
feat: add account check
Jiajia-Cui Apr 26, 2024
603a34a
chore: update btc price
Jiajia-Cui Apr 26, 2024
16abd2c
feat: add sell market order
Jiajia-Cui Apr 26, 2024
369454f
chore: update name
Jiajia-Cui Apr 26, 2024
63f0e4a
Merge branch 'develop' into spot-bug
ze97286 Apr 26, 2024
f72d300
fix: added more checks for party sufficient balance on submit and amend
ze97286 Apr 26, 2024
3de316b
feat: add more FTs
Jiajia-Cui Apr 26, 2024
fa37bdf
feat: add more scenario for partially trade
Jiajia-Cui Apr 26, 2024
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12 changes: 12 additions & 0 deletions core/execution/spot/market.go
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Original file line number Diff line number Diff line change
Expand Up @@ -2225,6 +2225,12 @@ func (m *Market) amendOrder(ctx context.Context, orderAmendment *types.OrderAmen
if ret.Order.Side == types.SideSell {
asset = m.baseAsset
}

// verify that the party has sufficient funds in their general account to cover for this amount
if err := m.collateral.PartyHasSufficientBalance(asset, ret.Order.Party, num.Sum(amt, fees)); err != nil {
return nil, nil, err
}

transfer, err := m.orderHoldingTracker.TransferToHoldingAccount(ctx, ret.Order.ID, ret.Order.Party, asset, amt, fees)
if err != nil {
m.log.Panic("failed to transfer funds to holding account for order", logging.Order(ret.Order), logging.Error(err))
Expand Down Expand Up @@ -3042,6 +3048,12 @@ func (m *Market) transferToHoldingAccount(ctx context.Context, order *types.Orde
if order.Side == types.SideSell {
asset = m.baseAsset
}

// verify that the party has sufficient funds in their general account to cover for this amount
if err := m.collateral.PartyHasSufficientBalance(asset, order.Party, num.Sum(amt, fees)); err != nil {
return err
}

transfer, err := m.orderHoldingTracker.TransferToHoldingAccount(ctx, order.ID, order.Party, asset, amt, fees)
if err != nil {
m.log.Panic("failed to transfer funds to holding account for order", logging.Order(order), logging.Error(err))
Expand Down
131 changes: 131 additions & 0 deletions core/integration/features/spot/orders/0080-SPOT-024.feature
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Original file line number Diff line number Diff line change
@@ -0,0 +1,131 @@
Feature: Spot market bug (from the incentive) replication

Scenario: 0080-SPOT-024, 0080-SPOT-025 market orders should be rejected when traders do not have enough collateral to cover the trades in spot market
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 |
| USD | 0 |
| BTC | 0 |

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 |

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/USD | BTC/USD | BTC | USD | lognormal-risk-model-1 | 1 | fees-config-1 | price-monitoring-1 | 0 | 0 | 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 | USD | 50000000 |
| party1 | BTC | 100 |
| party2 | USD | 1000 |
| party3 | USD | 1000 |
| party5 | USD | 70000 |
| party2 | BTC | 100 |
| party4 | BTC | 1 |
| lp | USD | 1000 |
| lp | BTC | 100 |
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/USD | 5 | 0.025 | submission |

Then "party2" should have general account balance of "1000" for asset "USD"
Then "party2" should have general account balance of "100" for asset "BTC"

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party1 | BTC/USD | buy | 10 | 55000 | 0 | TYPE_LIMIT | TIF_GTC |
| party1 | BTC/USD | buy | 3 | 58000 | 0 | TYPE_LIMIT | TIF_GTC |
| party1 | BTC/USD | buy | 3 | 59000 | 0 | TYPE_LIMIT | TIF_GTC |
| party1 | BTC/USD | buy | 1 | 60000 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | BTC/USD | sell | 1 | 60000 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | BTC/USD | sell | 3 | 61000 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | BTC/USD | sell | 3 | 62000 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | BTC/USD | sell | 4 | 63000 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | BTC/USD | sell | 10 | 64000 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | BTC/USD | sell | 5 | 65000 | 0 | TYPE_LIMIT | TIF_GTC |

Then the network moves ahead "2" blocks

Then the market data for the market "BTC/USD" should be:
| mark price | trading mode | auction trigger | horizon | min bound | max bound | open interest |
| 60000 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 36000 | 52466 | 68503 | 0 |

Then "party2" should have general account balance of "61000" for asset "USD"
Then "party2" should have general account balance of "74" for asset "BTC"

Then "party2" should have holding account balance of "25" for asset "BTC"

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference | error |
| party3 | BTC/USD | buy | 20 | 0 | 0 | TYPE_MARKET | TIF_IOC | p3-b1 | insufficient funds for order |

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference | error |
| party4 | BTC/USD | sell | 10 | 0 | 0 | TYPE_MARKET | TIF_IOC | p4-s1 | party does not have sufficient balance to cover the trade and fees |

Then the network moves ahead "1" blocks

Then "party2" should have general account balance of "61000" for asset "USD"
Then "party2" should have general account balance of "74" for asset "BTC"

Then "party2" should have holding account balance of "25" for asset "BTC"

Then "party3" should have general account balance of "1000" for asset "USD"
Then "party4" should have general account balance of "1" for asset "BTC"

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference | error |
| party3 | BTC/USD | buy | 20 | 10 | 0 | TYPE_LIMIT | TIF_GTC | p3-b2 | |

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference | error |
| party4 | BTC/USD | sell | 1 | 66000 | 0 | TYPE_LIMIT | TIF_GTC | p4-s2 | |

#0080-SPOT-026: amend order - order is amended such that would trade immediately and the party can't afford none/some of the trades
When the parties amend the following orders:
| party | reference | price | size delta | tif | error |
| party3 | p3-b2 | 66000 | -10 | TIF_GTC | party does not have sufficient balance to cover the trade and fees |
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| party4 | p4-s2 | 59000 | 2 | TIF_GTC | party does not have sufficient balance to cover the new size |

And the order book should have the following volumes for market "BTC/USD":
| side | price | volume |
| buy | 10 | 20 |
| sell | 66000 | 1 |

#0080-SPOT-027:submit order - limit order, partly matched, party can't afford the trades
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And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference | error |
| party3 | BTC/USD | buy | 6 | 61000 | 0 | TYPE_LIMIT | TIF_GTC | p3-b3 | party does not have sufficient balance to cover the trade and fees |
| party5 | BTC/USD | buy | 2 | 61000 | 0 | TYPE_LIMIT | TIF_GTC | p5-b1 | party does not have sufficient balance to cover the trade and fees |

#0080-SPOT-028:submit order - limit order, no match, added to the book, party can't cover the amount that needs to be transfered to the holding
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference | error |
| party4 | BTC/USD | sell | 2 | 67000 | 0 | TYPE_LIMIT | TIF_GTC | p4-s3 | party does not have sufficient balance to cover the trade and fees |

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