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improved coverage for vAMMs #11527

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Aug 7, 2024
Merged

improved coverage for vAMMs #11527

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f194012
test: add coverage ensuring pegged orders are deployed on an empty bo…
EVODelavega Aug 6, 2024
373608d
test: add coverage for vAMM amendments in different situations
EVODelavega Aug 6, 2024
0a69b27
test: add AC to pegged order tests
EVODelavega Aug 6, 2024
c21e1b0
test: add coverage for pegged order and vAMM ACs
EVODelavega Aug 6, 2024
b3b8bdf
chore: remove file that should not have been tracked to begin with
EVODelavega Aug 6, 2024
a62acd4
fix: force a reprice if the amend of an AMM may switch or remove a side
EVODelavega Aug 6, 2024
fe22369
fix: check for ref-moves after any AMM operation, and add feature tes…
wwestgarth Aug 7, 2024
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18 changes: 0 additions & 18 deletions .vscode/launch.json
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This file was deleted.

8 changes: 7 additions & 1 deletion core/execution/future/market.go
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Original file line number Diff line number Diff line change
Expand Up @@ -5523,6 +5523,7 @@ func (m *Market) SubmitAMM(ctx context.Context, submit *types.SubmitAMM, determi
if order == nil {
m.amm.Confirm(ctx, pool)
m.matching.UpdateAMM(pool.AMMParty)
m.checkForReferenceMoves(ctx, nil, false)
return nil
}

Expand All @@ -5548,6 +5549,7 @@ func (m *Market) SubmitAMM(ctx context.Context, submit *types.SubmitAMM, determi
m.amm.Confirm(ctx, pool)
// now tell the matching engine something new has appeared incase it needs to update its auction IPV cache
m.matching.UpdateAMM(pool.AMMParty)
m.checkForReferenceMoves(ctx, nil, false)
return nil
}

Expand All @@ -5570,7 +5572,6 @@ func (m *Market) AmendAMM(ctx context.Context, amend *types.AmendAMM, determinis
if err != nil {
return err
}

// if we failed to rebase the amended pool be sure to reinstante the old one
defer func() {
if err != nil {
Expand Down Expand Up @@ -5598,6 +5599,7 @@ func (m *Market) AmendAMM(ctx context.Context, amend *types.AmendAMM, determinis
if order == nil {
m.amm.Confirm(ctx, pool)
m.matching.UpdateAMM(pool.AMMParty)
m.checkForReferenceMoves(ctx, nil, false)
return nil
}

Expand All @@ -5615,6 +5617,7 @@ func (m *Market) AmendAMM(ctx context.Context, amend *types.AmendAMM, determinis

m.amm.Confirm(ctx, pool)
m.matching.UpdateAMM(pool.AMMParty)
m.checkForReferenceMoves(ctx, nil, false)
return nil
}

Expand All @@ -5636,6 +5639,9 @@ func (m *Market) CancelAMM(ctx context.Context, cancel *types.CancelAMM, determi
// tell matching incase it needs to remove the AMM's contribution to the IPV cache
m.matching.UpdateAMM(ammParty)

// rejig any pegged orders that might need re-pricing now an AMM is not longer there, or is no longer quoting one side
m.checkForReferenceMoves(ctx, nil, false)

if closeout == nil {
return nil
}
Expand Down
212 changes: 212 additions & 0 deletions core/integration/features/amm/0090-VAMM-037.feature
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Original file line number Diff line number Diff line change
@@ -0,0 +1,212 @@
Feature: 0090-VAMM-037: Pegged orders are deployed using vAMM orders as pegs if possible
Background:
Given the average block duration is "1"
And the margin calculator named "margin-calculator-1":
| search factor | initial factor | release factor |
| 1.2 | 1.5 | 1.7 |
And the log normal risk model named "log-normal-risk-model":
| risk aversion | tau | mu | r | sigma |
| 0.001 | 0.0011407711613050422 | 0 | 0.9 | 3.0 |
And the liquidity monitoring parameters:
| name | triggering ratio | time window | scaling factor |
| lqm-params | 1.00 | 20s | 1 |

And the following network parameters are set:
| name | value |
| market.value.windowLength | 60s |
| network.markPriceUpdateMaximumFrequency | 2s |
| limits.markets.maxPeggedOrders | 6 |
| market.auction.minimumDuration | 1 |
| market.fee.factors.infrastructureFee | 0.001 |
| market.fee.factors.makerFee | 0.004 |
| spam.protection.max.stopOrdersPerMarket | 5 |
| market.liquidity.equityLikeShareFeeFraction | 1 |
| market.amm.minCommitmentQuantum | 1 |
| market.liquidity.bondPenaltyParameter | 0.2 |
| market.liquidity.stakeToCcyVolume | 1 |
| market.liquidity.successorLaunchWindowLength | 1h |
| market.liquidity.sla.nonPerformanceBondPenaltySlope | 0.1 |
| market.liquidity.sla.nonPerformanceBondPenaltyMax | 0.6 |
| validators.epoch.length | 10s |
| market.liquidity.earlyExitPenalty | 0.25 |
| market.liquidity.maximumLiquidityFeeFactorLevel | 0.25 |
#risk factor short:3.5569037
#risk factor long:0.801225765
And the following assets are registered:
| id | decimal places |
| USD | 0 |
And the fees configuration named "fees-config-1":
| maker fee | infrastructure fee |
| 0.0004 | 0.001 |

And the liquidity sla params named "SLA-22":
| price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
| 0.5 | 0.6 | 1 | 1.0 |

And the markets:
| id | quote name | asset | liquidity monitoring | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params |
| ETH/MAR22 | USD | USD | lqm-params | log-normal-risk-model | margin-calculator-1 | 2 | fees-config-1 | default-none | default-eth-for-future | 1e0 | 0 | SLA-22 |

# Setting up the accounts and vAMM submission now is part of the background, because we'll be running scenarios 0090-VAMM-006 through 0090-VAMM-014 on this setup
Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| lp1 | USD | 1000000 |
| lp2 | USD | 1000000 |
| lp3 | USD | 1000000 |
| party1 | USD | 1000000 |
| party2 | USD | 1000000 |
| party3 | USD | 1000000 |
| party4 | USD | 1000000 |
| party5 | USD | 1000000 |
| vamm1 | USD | 1000000 |

When the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp_1 | lp1 | ETH/MAR22 | 600 | 0.02 | submission |
| lp_2 | lp2 | ETH/MAR22 | 400 | 0.015 | submission |
Then the network moves ahead "4" blocks
And the current epoch is "0"

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| lp1 | ETH/MAR22 | buy | 20 | 40 | 0 | TYPE_LIMIT | TIF_GTC | LP1BO |
| party1 | ETH/MAR22 | buy | 1 | 100 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | ETH/MAR22 | sell | 1 | 100 | 0 | TYPE_LIMIT | TIF_GTC | |
| lp1 | ETH/MAR22 | sell | 10 | 160 | 0 | TYPE_LIMIT | TIF_GTC | LP1SO |
When the opening auction period ends for market "ETH/MAR22"
Then the following trades should be executed:
| buyer | price | size | seller |
| party1 | 100 | 1 | party2 |

And the market data for the market "ETH/MAR22" should be:
| mark price | trading mode | target stake | supplied stake | open interest | ref price | mid price | static mid price |
| 100 | TRADING_MODE_CONTINUOUS | 39 | 1000 | 1 | 100 | 100 | 100 |
When the parties submit the following AMM:
| party | market id | amount | slippage | base | upper bound | upper leverage | proposed fee |
| vamm1 | ETH/MAR22 | 100000 | 0.1 | 100 | 150 | 4 | 0.01 |
Then the AMM pool status should be:
| party | market id | amount | status | base | upper bound | upper leverage |
| vamm1 | ETH/MAR22 | 100000 | STATUS_ACTIVE | 100 | 150 | 4 |

And set the following AMM sub account aliases:
| party | market id | alias |
| vamm1 | ETH/MAR22 | vamm1-id |
And the following transfers should happen:
| from | from account | to | to account | market id | amount | asset | is amm | type |
| vamm1 | ACCOUNT_TYPE_GENERAL | vamm1-id | ACCOUNT_TYPE_GENERAL | | 100000 | USD | true | TRANSFER_TYPE_AMM_LOW |

@VAMM
Scenario: 0090-VAMM-037: With an existing book consisting solely of vAMM orders on one side, pegged orders referencing best bid/best ask remain deployed on the side with the vAMM orders. Pegged orders referencing the empty side of the book are parked.
# LPs submit pegged iceberg orders
When the parties place the following pegged iceberg orders:
| party | market id | side | volume | peak size | minimum visible size | pegged reference | offset |
| lp1 | ETH/MAR22 | buy | 100 | 10 | 2 | BID | 5 |
| lp1 | ETH/MAR22 | sell | 100 | 10 | 2 | ASK | 5 |
Then the order book should have the following volumes for market "ETH/MAR22":
| side | price | volume |
| buy | 40 | 20 |
| buy | 35 | 10 |
| sell | 106 | 10 |
| sell | 160 | 10 |

# Make sure the book stays the same when moving ahead blocks
When the network moves ahead "1" blocks
Then the order book should have the following volumes for market "ETH/MAR22":
| side | price | volume |
| buy | 40 | 20 |
| buy | 35 | 10 |
| sell | 106 | 10 |
| sell | 160 | 10 |

When the parties cancel the following orders:
| party | reference |
| lp1 | LP1BO |
| lp1 | LP1SO |
Then the order book should have the following volumes for market "ETH/MAR22":
| side | price | volume |
| buy | 40 | 0 |
| buy | 35 | 0 |
| sell | 106 | 10 |
| sell | 160 | 0 |

# Move ahead 1 block to ensure the end block CheckBook call doesn't panic.
When the network moves ahead "1" blocks
Then the order book should have the following volumes for market "ETH/MAR22":
| side | price | volume |
| buy | 40 | 0 |
| buy | 35 | 0 |
| sell | 106 | 10 |
| sell | 160 | 0 |

# Switch sides, still on an empty book, the pegged orders on sell side are now parked
# but the buy order is deployed again.
When the parties amend the following AMM:
| party | market id | slippage | base | lower bound |
| vamm1 | ETH/MAR22 | 0.05 | 100 | 85 |
Then the AMM pool status should be:
| party | market id | amount | status | base | lower bound |
| vamm1 | ETH/MAR22 | 100000 | STATUS_ACTIVE | 100 | 85 |

When the network moves ahead "1" blocks
Then the order book should have the following volumes for market "ETH/MAR22":
| side | price | volume |
| buy | 40 | 0 |
| buy | 94 | 10 |
| sell | 106 | 0 |
| sell | 160 | 0 |

@VAMM
Scenario: 0090-VAMM-037: Cancelling an AMM with pegged orders hanging off its quotes causes them to be re-pegged

And the market data for the market "ETH/MAR22" should be:
| mark price | trading mode | ref price | mid price | static mid price | best bid price | best offer price |
| 100 | TRADING_MODE_CONTINUOUS | 100 | 70 | 70 | 40 | 101 |


When the parties place the following pegged orders:
| party | market id | side | volume | pegged reference | offset |
| lp1 | ETH/MAR22 | buy | 100 | BID | 5 |
| lp1 | ETH/MAR22 | sell | 100 | ASK | 5 |


Then the order book should have the following volumes for market "ETH/MAR22":
| side | price | volume |
| buy | 40 | 20 |
| buy | 35 | 100 |
| sell | 106 | 100 |
| sell | 160 | 10 |

# cancel the AMM and the pegged order should get repriced
When the network moves ahead "1" blocks
When the parties cancel the following AMM:
| party | market id | method |
| vamm1 | ETH/MAR22 | METHOD_IMMEDIATE |

Then the market data for the market "ETH/MAR22" should be:
| mark price | trading mode | ref price | mid price | static mid price | best bid price | best offer price |
| 100 | TRADING_MODE_CONTINUOUS | 100 | 100 | 100 | 40 | 160 |

Then the order book should have the following volumes for market "ETH/MAR22":
| side | price | volume |
| buy | 40 | 20 |
| buy | 35 | 100 |
| sell | 160 | 10 |
| sell | 165 | 100 |

# submit a new AMM that will cause a reprice again
When the network moves ahead "1" blocks
When the parties submit the following AMM:
| party | market id | amount | slippage | lower bound | base | upper bound | upper leverage | proposed fee |
| vamm1 | ETH/MAR22 | 100000 | 0.1 | 90 | 100 | 150 | 4 | 0.01 |

Then the market data for the market "ETH/MAR22" should be:
| mark price | trading mode | ref price | mid price | static mid price | best bid price | best offer price |
| 100 | TRADING_MODE_CONTINUOUS | 100 | 100 | 100 | 99 | 101 |


Then the order book should have the following volumes for market "ETH/MAR22":
| side | price | volume |
| buy | 40 | 20 |
| buy | 94 | 100 |
| sell | 106 | 100 |
| sell | 160 | 10 |
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