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feat: add FT for 0029 fee overhaul #11538

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Aug 12, 2024
Merged

feat: add FT for 0029 fee overhaul #11538

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343922e
feat: add FT for high volume maker rebate
Jiajia-Cui Aug 12, 2024
7824019
feat: update table
Jiajia-Cui Aug 12, 2024
93e7db0
feat: add FT for 0029 fee overhaul
Jiajia-Cui Aug 7, 2024
ad0269c
feat: add more ACs
Jiajia-Cui Aug 8, 2024
7acc570
feat: add ac 0029-fees-040
Jiajia-Cui Aug 8, 2024
2e4f86d
feat: add AC 040, 041
Jiajia-Cui Aug 9, 2024
38a037c
feat: add order status checking
Jiajia-Cui Aug 9, 2024
06fa8ce
feat: address comments from Witold
Jiajia-Cui Aug 12, 2024
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83 changes: 83 additions & 0 deletions core/integration/features/fees/0029-FEES-high_volume_maker.feature
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Feature: Discounts from multiple sources

Background:

# Initialise timings
Given time is updated to "2023-01-01T00:00:00Z"
And 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 |
| 0.000001 | 0.1 | 0 | 0 | 1.0 |
And the price monitoring named "price-monitoring":
| horizon | probability | auction extension |
| 3600 | 0.99 | 15 |

# Initialise the markets and network parameters
Given the following network parameters are set:
| name | value |
| market.fee.factors.infrastructureFee | 0.01 |
| market.fee.factors.makerFee | 0.01 |
| market.auction.minimumDuration | 1 |
| limits.markets.maxPeggedOrders | 4 |
| referralProgram.minStakedVegaTokens | 0 |
| referralProgram.maxPartyNotionalVolumeByQuantumPerEpoch | 1000000000 |
| referralProgram.maxReferralRewardProportion | 0.1 |
| validators.epoch.length | 10s |

And the volume rebate program tiers named "vrt":
| fraction | rebate |
| 0.1 | 0.2 |

And the volume rebate program:
| id | tiers | closing timestamp | window length |
| id1 | vrt | 0 | 7 |

And the network moves ahead "1" epochs

# Initialse the assets and markets
And the following assets are registered:
| id | decimal places | quantum |
| USD | 1 | 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 |
| ETH/USD | ETH | USD | log-normal-risk-model | margin-calculator-1 | 1 | default-none | price-monitoring | default-eth-for-future | 1e-3 | 0 | default-futures | 1 | 1 |
And the liquidity monitoring parameters:
| name | triggering ratio | time window | scaling factor |
| lqm-params | 1.0 | 3600s | 1 |
When the markets are updated:
| id | liquidity monitoring | linear slippage factor | quadratic slippage factor |
| ETH/USD | lqm-params | 1e-3 | 0 |

# Initialise the parties
Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| lpprov | USD | 1000000000 |
| lpprov2 | USD | 1000000000 |
| aux1 | USD | 1000000000 |
| aux2 | USD | 1000000000 |

# Exit the opening auction
Given the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp1 | lpprov | ETH/USD | 1000000 | 0.01 | submission |

And the parties place the following pegged iceberg orders:
| party | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
| lpprov | ETH/USD | 5000 | 1000 | buy | BID | 10000 | 1 |
| lpprov | ETH/USD | 5000 | 1000 | sell | ASK | 10000 | 1 |

When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/USD | buy | 1 | 990 | 0 | TYPE_LIMIT | TIF_GTC |
| aux1 | ETH/USD | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/USD | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/USD | sell | 1 | 1100 | 0 | TYPE_LIMIT | TIF_GTC |

Then the opening auction period ends for market "ETH/USD"
And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/USD"



140 changes: 140 additions & 0 deletions core/integration/features/verified/0029-FEES-040.feature
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Feature: Fees calculations

Background:
Given the fees configuration named "fees-config-1":
| maker fee | infrastructure fee |
| 0.5 | 0.6 |
And the price monitoring named "price-monitoring":
| horizon | probability | auction extension |
| 60 | 0.99 | 2 |
And the simple risk model named "simple-risk-model-1":
| long | short | max move up | min move down | probability of trading |
| 0.2 | 0.1 | 100 | -100 | 0.1 |

And the following network parameters are set:
| name | value |
| network.markPriceUpdateMaximumFrequency | 0s |
| limits.markets.maxPeggedOrders | 2 |
| market.fee.factors.buybackFee | 0.001 |
| market.fee.factors.treasuryFee | 0.002 |

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 |
| ETH/DEC21 | ETH/USD | USD | simple-risk-model-1 | default-margin-calculator | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 0.25 | 0 | default-futures |

And the average block duration is "2"
Scenario: 001: Testing fees get collected when amended order trades (0029-FEES-005)
Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| aux1 | USD | 100000 |
| aux2 | USD | 100000 |
| aux3 | USD | 100000 |
| aux4 | USD | 100000 |
| trader1 | USD | 9000 |
| trader2 | USD | 300 |
| trader3 | USD | 2000 |
| trader4 | USD | 2000 |
| trader5 | USD | 5000 |
| trader6 | USD | 5000 |

When the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp1 | aux1 | ETH/DEC21 | 10000 | 0.002 | submission |
| lp1 | aux1 | ETH/DEC21 | 10000 | 0.002 | submission |
| trader2 | trader2 | ETH/DEC21 | 100 | 0.002 | submission |
When the network moves ahead "2" blocks

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | ETH/DEC21 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/DEC21 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC |
| aux3 | ETH/DEC21 | buy | 1 | 820 | 0 | TYPE_LIMIT | TIF_GTC |
| aux4 | ETH/DEC21 | sell | 1 | 1180 | 0 | TYPE_LIMIT | TIF_GTC |
Then the opening auction period ends for market "ETH/DEC21"
And the market data for the market "ETH/DEC21" should be:
| mark price | trading mode |
| 1000 | TRADING_MODE_CONTINUOUS |

And the following trades should be executed:
| buyer | price | size | seller |
| aux1 | 1000 | 1 | aux2 |
Then the parties should have the following account balances:
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| party | asset | market id | margin | general | bond |
| aux1 | USD | ETH/DEC21 | 540 | 89460 | |

#0029-FEES-040:In continuous trading mode, if the price taker has insufficient asset to cover the total fee in their general + margin account, then the trade should be discarded, the orders on the book that would have been hit should remain in place with previous remaining size intact and the incoming order should be rejected (not enough fees error).

When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference | error |
| trader1 | ETH/DEC21 | buy | 2 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | t1-b2-01 | |
| trader2 | ETH/DEC21 | sell | 2 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | t2-s4-01 | party has insufficient funds to cover fees |

Then the parties should have the following account balances:
| party | asset | market id | margin | general | bond |
| trader1 | USD | ETH/DEC21 | 480 | 8520 | |
| trader2 | USD | ETH/DEC21 | 0 | 240 | 60 |

And the orders should have the following status:
| party | reference | status |
| trader2 | t2-s4-01 | STATUS_REJECTED |

And the order book should have the following volumes for market "ETH/DEC21":
| side | price | volume |
| buy | 1002 | 2 |
| sell | 1002 | 0 |

Then the parties cancel the following orders:
| party | reference |
| trader1 | t1-b2-01 |

When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| trader3 | ETH/DEC21 | buy | 2 | 1101 | 0 | TYPE_LIMIT | TIF_GTC | t1-b2-03 |
| trader4 | ETH/DEC21 | sell | 2 | 1101 | 0 | TYPE_LIMIT | TIF_GTC | t2-s4-04 |

And the market data for the market "ETH/DEC21" should be:
| mark price | trading mode | horizon | min bound | max bound |
| 1000 | TRADING_MODE_MONITORING_AUCTION | 60 | 900 | 1100 |

Then the parties cancel the following orders:
| party | reference |
| trader3 | t1-b2-03 |
| trader4 | t2-s4-04 |

And the order book should have the following volumes for market "ETH/DEC21":
| side | price | volume |
| buy | 1002 | 0 |
| buy | 1101 | 0 |
| sell | 1002 | 0 |
| buy | 1101 | 0 |

#0029-FEES-041:In auction mode, if the price taker has insufficient asset to cover the total fee in their general + margin account, then the shortfall should be ignored, the orders should remain (instead of being rejected)
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| trader1 | ETH/DEC21 | buy | 2 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | t1-b2-05 |
| trader2 | ETH/DEC21 | sell | 2 | 1002 | 0 | TYPE_LIMIT | TIF_GTC | t2-s4-06 |

And the order book should have the following volumes for market "ETH/DEC21":
| side | price | volume |
| buy | 1002 | 2 |
| buy | 1101 | 0 |
| sell | 1002 | 2 |
| buy | 1101 | 0 |

When the network moves ahead "4" blocks

And the market data for the market "ETH/DEC21" should be:
| mark price | trading mode |
| 1002 | TRADING_MODE_CONTINUOUS |

And the orders should have the following status:
| party | reference | status |
| trader2 | t2-s4-06 | STATUS_FILLED |

#trader2 is closed out, after paying infra fee, trader2 does not have enough left to cover margin
Then the parties should have the following account balances:
| party | asset | market id | margin | general | bond |
| trader1 | USD | ETH/DEC21 | 1082 | 7308 | |
| trader2 | USD | ETH/DEC21 | 0 | 0 | 0 |


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