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Hvmr coverage #11678

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Sep 12, 2024
Merged

Hvmr coverage #11678

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457aaf8
test: add coverage for HVMR rebate
EVODelavega Sep 12, 2024
7da43c8
test: remove redundant changes of netparams and tags
EVODelavega Sep 12, 2024
e252be2
chore: add missing AC codes
cdummett Sep 12, 2024
8c77171
test: add coverage for 0095-HVMR-001 through 0095-HVMR-005
EVODelavega Sep 12, 2024
3fd0317
chore: mark unit tests correctly
EVODelavega Sep 12, 2024
fde7f78
feat: add fee factor tests
cdummett Sep 12, 2024
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179 changes: 179 additions & 0 deletions core/integration/features/volume-rebate/0095-HVMR-multiple.feature
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Feature: Volume rebate program - two programs overlapping
Background:

# Initialise the network and register the assets
Given the average block duration is "1"
And the following network parameters are set:
| name | value |
| market.fee.factors.makerFee | 0.01 |
| market.fee.factors.infrastructureFee | 0.01 |
| market.fee.factors.treasuryFee | 0.1 |
| market.fee.factors.buybackFee | 0.1 |
| network.markPriceUpdateMaximumFrequency | 0s |
| validators.epoch.length | 20s |
| market.auction.minimumDuration | 1 |

And the following assets are registered:
| id | decimal places | quantum |
| USD-0-1 | 0 | 1 |
| MXN-0-10 | 0 | 10 |

# Initialise the parties and deposit assets
And the parties deposit on asset's general account the following amount:
| party | asset | amount |
| aux1 | USD-0-1 | 3000000 |
| aux2 | USD-0-1 | 3000000 |
| aux1 | MXN-0-10 | 30000000 |
| aux2 | MXN-0-10 | 30000000 |
| party1 | USD-0-1 | 3000000 |
| party2 | USD-0-1 | 3000000 |
| party1 | MXN-0-10 | 30000000 |
| party2 | MXN-0-10 | 30000000 |

# Setup the markets
And the price monitoring named "price-monitoring":
| horizon | probability | auction extension |
| 3600 | 0.99 | 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 |
| BTC/USD-0-1 | USD | USD-0-1 | default-log-normal-risk-model | default-margin-calculator | 1 | default-none | price-monitoring | default-eth-for-future | 1e-3 | 0 | default-futures | 0 | 0 |
| BTC/MXN-0-10 | VND | MXN-0-10 | default-log-normal-risk-model | default-margin-calculator | 1 | default-none | price-monitoring | default-eth-for-future | 1e-3 | 0 | default-futures | 0 | 0 |
And the spot markets:
| id | name | base asset | quote asset | risk model | auction duration | fees | price monitoring | decimal places | position decimal places | sla params |
| MXN-0-10/USD-0-1 | MXN/USD | MXN-0-10 | USD-0-1 | default-log-normal-risk-model | 1 | default-none | price-monitoring | 0 | 0 | default-basic |
| USD-0-1/MXN-0-10 | MXN/USD | USD-0-1 | MXN-0-10 | default-log-normal-risk-model | 1 | default-none | price-monitoring | 0 | 0 | default-basic |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | BTC/USD-0-1 | sell | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | BTC/MXN-0-10 | buy | 1 | 500000 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | BTC/MXN-0-10 | sell | 1 | 500000 | 0 | TYPE_LIMIT | TIF_GTC |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | MXN-0-10/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | MXN-0-10/USD-0-1 | sell | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux1 | USD-0-1/MXN-0-10 | buy | 1 | 500000 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | USD-0-1/MXN-0-10 | sell | 1 | 500000 | 0 | TYPE_LIMIT | TIF_GTC |
When the network moves ahead "2" blocks
Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/USD-0-1"
And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/MXN-0-10"
And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "MXN-0-10/USD-0-1"
And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "MXN-0-10/USD-0-1"

Scenario Outline: rebate program A is enacted, during its lifetime program B takes over. Program B closes after program A, so after B closes, no programs should be active. (0995-HVMR-006)(0095-HMVR-007)(0095-HVMR-008)(0095-HVMR-009)(0095-HVM-010)(0095-HVMR-011).
Given the volume rebate program tiers named "A1":
| fraction | rebate |
| 0.0001 | 0.001 |
And the volume rebate program tiers named "B3":
| fraction | rebate |
| 0.0001 | 0.002 |
| 0.0002 | 0.003 |
| 0.0003 | 0.004 |
And the volume rebate program:
| id | tiers | closing timestamp | window length | closing delta |
| programA | A1 | 0 | <window length> | <closing delta> |
And the network moves ahead "1" epochs

And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | error |
| party1 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| aux1 | <market> | sell | 1 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
When the network moves ahead "1" blocks
Then the following trades should be executed:
| buyer | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
| party1 | aux1 | 1 | 50000 | sell | 0 | 500 |

Given the network moves ahead <epochs between trades> epochs
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | error |
| party2 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| aux1 | <market> | sell | 1 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
When the network moves ahead "1" blocks
Then the following trades should be executed:
| buyer | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
| party2 | aux1 | 1 | 50000 | sell | 0 | 500 |

When the network moves ahead "1" epochs
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | error |
| party1 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| aux1 | <market> | sell | 2 | 50000 | 2 | TYPE_LIMIT | TIF_GTC | |
When the network moves ahead "1" blocks
Then the following trades should be executed:
| buyer | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
| party1 | aux1 | 1 | 50000 | sell | 0 | <party1 rebate A> |
| party2 | aux1 | 1 | 50000 | sell | 0 | <party2 rebate A> |

When the network moves ahead "1" epochs
Then the volume rebate program:
| id | tiers | closing timestamp | window length | closing delta |
| programB | B3 | 0 | <window length> | <closing delta> |

When the network moves ahead "1" epochs
Then the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | error |
| party1 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| aux1 | <market> | sell | 1 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
When the network moves ahead "1" blocks
Then the following trades should be executed:
| buyer | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
| party1 | aux1 | 1 | 50000 | sell | 0 | 500 |

Given the network moves ahead <epochs between trades> epochs
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | error |
| party2 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| aux1 | <market> | sell | 1 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
When the network moves ahead "1" blocks
Then the following trades should be executed:
| buyer | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
| party2 | aux1 | 1 | 50000 | sell | 0 | 500 |

When the network moves ahead "1" epochs
Then the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | error |
| party1 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| aux1 | <market> | sell | 2 | 50000 | 2 | TYPE_LIMIT | TIF_GTC | |
When the network moves ahead "1" blocks
Then the following trades should be executed:
| buyer | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
| party1 | aux1 | 1 | 50000 | sell | 0 | <party1 rebate B> |
| party2 | aux1 | 1 | 50000 | sell | 0 | <party2 rebate B> |

# Now no programs are active
When the network moves ahead "4" epochs
Then the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | error |
| party1 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| aux1 | <market> | sell | 1 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
When the network moves ahead "1" blocks
Then the following trades should be executed:
| buyer | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
| party2 | aux1 | 1 | 50000 | sell | 0 | 500 |

When the network moves ahead "1" epochs
Then the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | error |
| party1 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | <market> | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
| aux1 | <market> | sell | 2 | 50000 | 2 | TYPE_LIMIT | TIF_GTC | |
When the network moves ahead "1" blocks
Then the following trades should be executed:
| buyer | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
| party1 | aux1 | 1 | 50000 | sell | 0 | 0 |
| party2 | aux1 | 1 | 50000 | sell | 0 | 0 |

# Closing delta must be > 1 epoch + epochs betwochs between trades + 3 blocks, 80s == 4 epochs
Examples:
| market | window length | epochs between trades | party1 rebate A | party2 rebate A | closing delta | party1 rebate B | party2 rebate B |
| BTC/USD-0-1 | 2 | "0" | 50 | 50 | 80s | 200 | 200 |
| BTC/USD-0-1 | 2 | "1" | 50 | 50 | 80s | 200 | 200 |
| MXN-0-10/USD-0-1 | 2 | "0" | 50 | 50 | 80s | 200 | 200 |
| MXN-0-10/USD-0-1 | 2 | "1" | 50 | 50 | 80s | 200 | 200 |

2 changes: 1 addition & 1 deletion core/integration/main_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -819,7 +819,7 @@ func InitializeScenario(s *godog.ScenarioContext) {
})

s.Step(`^the volume rebate program:$`, func(table *godog.Table) error {
return steps.VolumeRebateProgram(execsetup.volumeRebateProgram, volumeRebateTiers, table)
return steps.VolumeRebateProgram(execsetup.volumeRebateProgram, volumeRebateTiers, execsetup.timeService, table)
})
s.Step(`^the party "([^"]*)" has the following rebate factor "([^"]*)"$`, func(party, rebate string) error {
return steps.PartyHasTheFollowingRebate(party, rebate, execsetup.volumeRebateProgram)
Expand Down
30 changes: 24 additions & 6 deletions core/integration/steps/volume_rebate_program.go
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Original file line number Diff line number Diff line change
Expand Up @@ -19,6 +19,7 @@ import (
"fmt"
"time"

"code.vegaprotocol.io/vega/core/integration/stubs"
"code.vegaprotocol.io/vega/core/types"
"code.vegaprotocol.io/vega/core/volumerebate"
"code.vegaprotocol.io/vega/libs/num"
Expand Down Expand Up @@ -68,6 +69,7 @@ func (r volumeRebateTiersRow) rebate() num.Decimal {
func VolumeRebateProgram(
vde *volumerebate.Engine,
tiers map[string][]*types.VolumeRebateBenefitTier,
ts *stubs.TimeStub,
table *godog.Table,
) error {
rows := parseVolumeRebateTable(table)
Expand All @@ -77,11 +79,7 @@ func VolumeRebateProgram(
row := volumeRebateRow{row: r}
vdp.ID = row.id()
vdp.WindowLength = row.windowLength()
if row.closingTimestamp() == 0 {
vdp.EndOfProgramTimestamp = time.Time{}
} else {
vdp.EndOfProgramTimestamp = time.Unix(row.closingTimestamp(), 0)
}
vdp.EndOfProgramTimestamp = row.closingTS(ts.GetTimeNow())
tierName := row.tiers()
if tier := tiers[tierName]; tier != nil {
vdp.VolumeRebateBenefitTiers = tier
Expand All @@ -97,7 +95,9 @@ func parseVolumeRebateTable(table *godog.Table) []RowWrapper {
"tiers",
"closing timestamp",
"window length",
}, []string{})
}, []string{
"closing delta",
})
}

type volumeRebateRow struct {
Expand All @@ -116,6 +116,24 @@ func (r volumeRebateRow) closingTimestamp() int64 {
return r.row.MustI64("closing timestamp")
}

func (r volumeRebateRow) closingTS(now time.Time) time.Time {
if delta, ok := r.closingDelta(); ok {
return now.Add(delta)
}
ts := r.closingTimestamp()
if ts == 0 {
return time.Time{}
}
return time.Unix(ts, 0)
}

func (r volumeRebateRow) closingDelta() (time.Duration, bool) {
if r.row.HasColumn("closing delta") {
return r.row.MustDurationStr("closing delta"), true
}
return 0, false
}

func (r volumeRebateRow) windowLength() uint64 {
return r.row.MustU64("window length")
}
Expand Down
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