Merge pull request #11262 from vegaprotocol/feature-test-0032-PRIM-033

Adding feature test for 0032-PRIM-003 and bug fix
vegaprotocol · May 13, 2024 · 03b90de · 03b90de
1 parent 7c7e2ab
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -26,6 +26,7 @@
 - [11250](https://github.com/vegaprotocol/vega/issues/11250) - Add missing dispatch strategy in transfer proposal.
 - [11252](https://github.com/vegaprotocol/vega/issues/11252) - Treat no position as zero position when calculating stop order overrides.
 - [11249](https://github.com/vegaprotocol/vega/issues/11249) - Composite mark price oracles are now deactivated when a market is rejected.
+- [11262](https://github.com/vegaprotocol/vega/pull/11262)   - Fix auction extensions after risk parameter update.
 
 
 ## 0.76.0

diff --git a/core/execution/common/interfaces.go b/core/execution/common/interfaces.go
@@ -59,7 +59,7 @@ type PriceMonitor interface {
 	Changed() bool
 	IsBoundFactorsInitialised() bool
 	Initialised() bool
-	UpdateSettings(risk.Model, *types.PriceMonitoringSettings)
+	UpdateSettings(risk.Model, *types.PriceMonitoringSettings, price.AuctionState)
 }
 
 // TimeService ...

diff --git a/core/execution/future/market.go b/core/execution/future/market.go
@@ -602,7 +602,7 @@ func (m *Market) Update(ctx context.Context, config *types.Market, oracleEngine
 	m.risk.UpdateModel(m.stateVarEngine, m.tradableInstrument.MarginCalculator, m.tradableInstrument.RiskModel, m.mkt.LinearSlippageFactor, m.mkt.QuadraticSlippageFactor)
 	m.settlement.UpdateProduct(m.tradableInstrument.Instrument.Product)
 	m.tsCalc.UpdateParameters(*m.mkt.LiquidityMonitoringParameters.TargetStakeParameters)
-	m.pMonitor.UpdateSettings(m.tradableInstrument.RiskModel, m.mkt.PriceMonitoringSettings)
+	m.pMonitor.UpdateSettings(m.tradableInstrument.RiskModel, m.mkt.PriceMonitoringSettings, m.as)
 	m.liquidity.UpdateMarketConfig(m.tradableInstrument.RiskModel, m.pMonitor)
 	if err := m.markPriceCalculator.UpdateConfig(ctx, oracleEngine, m.mkt.MarkPriceConfiguration); err != nil {
 		m.markPriceCalculator.SetOraclePriceScalingFunc(m.scaleOracleData)

diff --git a/core/execution/spot/market.go b/core/execution/spot/market.go
@@ -292,7 +292,7 @@ func (m *Market) Update(ctx context.Context, config *types.Market) error {
 	if err != nil {
 		return err
 	}
-	m.pMonitor.UpdateSettings(riskModel, m.mkt.PriceMonitoringSettings)
+	m.pMonitor.UpdateSettings(riskModel, m.mkt.PriceMonitoringSettings, m.as)
 	m.liquidity.UpdateMarketConfig(riskModel, m.pMonitor)
 	m.updateLiquidityFee(ctx)
 

diff --git a/core/integration/features/price_monitoring/end-long-auction-with-trigger-change.feature b/core/integration/features/price_monitoring/end-long-auction-with-trigger-change.feature
@@ -114,16 +114,16 @@ Feature: Confirm return to continuous trading during significant mark price chan
       | ETH/FEB23 | my-price-monitoring-2  | weight     | 0,0,1,0        | 0s,0s,0h0m120s,0s          |
     # first we get bounds based on default factors, once the state variable engine finishes its calculation we get the proper values
     Then the market data for the market "ETH/FEB23" should be:
-      | mark price | trading mode                    | auction trigger       | horizon | ref price | min bound | max bound |
-      | 1000       | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE | 30      | 1000      | 900       | 1100      |
+      | mark price | trading mode                    | auction trigger       |
+      | 1000       | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE |
 
     # the last second of the original extensions
     And the network moves ahead "3" blocks
     Then the market data for the market "ETH/FEB23" should be:
-      | mark price | trading mode                    | auction trigger       | horizon | ref price | min bound | max bound |
-      | 1000       | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE | 30      | 1000      | 997       | 1003      |
+      | mark price | trading mode                    | auction trigger       |
+      | 1000       | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE |
 
-    # the updated extension triggered, no triggers left
+    # the updated extension triggered, no triggers left as they've all been switched off since update took place during auction
     And the network moves ahead "1" blocks
     Then the market data for the market "ETH/FEB23" should be:
       | mark price | trading mode                    | auction trigger       |
@@ -174,15 +174,15 @@ Feature: Confirm return to continuous trading during significant mark price chan
     # the last second of the original extensions
     And the network moves ahead "3" blocks
     Then the market data for the market "ETH/FEB23" should be:
-      | mark price | trading mode                    | auction trigger       | horizon | ref price | min bound | max bound |
-      | 1000       | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE | 30      | 1000      | 997       | 1003      |
+      | mark price | trading mode                    | auction trigger       |
+      | 1000       | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE |
 
     When the parties place the following orders with ticks:
       | party             | market id | side | volume | price  | resulting trades | type       | tif     |
       | party1            | ETH/FEB23 | buy  | 1      | 2004   | 0                | TYPE_LIMIT | TIF_GTC |
       | party2            | ETH/FEB23 | sell | 1      | 2004   | 0                | TYPE_LIMIT | TIF_GTC |
 
-    # the updated extension triggered, no triggers left
+    # the updated extension triggered, no triggers left as they've all been switched off since update took place during auction
     And the network moves ahead "1" blocks
     Then the market data for the market "ETH/FEB23" should be:
       | mark price | trading mode                    | auction trigger       |
@@ -217,14 +217,14 @@ Feature: Confirm return to continuous trading during significant mark price chan
     # the last second of the original extensions
     And the network moves ahead "3" blocks
     Then the market data for the market "ETH/FEB23" should be:
-      | mark price | trading mode                    | auction trigger       | horizon | ref price | min bound | max bound |
-      | 1000       | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE | 30      | 1000      | 997       | 1003      |
+      | mark price | trading mode                    | auction trigger       |
+      | 1000       | TRADING_MODE_MONITORING_AUCTION | AUCTION_TRIGGER_PRICE |
 
     When the oracles broadcast data with block time signed with "0xCAFECAFE1":
       | name             | value | time offset |
       | prices.ETH.value | 2000  | -1s         |
 
-    # the updated extension triggered, no triggers left
+    # the updated extension triggered, no triggers left as they've all been switched off since update took place during auction
     And the network moves ahead "1" blocks
     Then the market data for the market "ETH/FEB23" should be:
       | mark price | trading mode                    | auction trigger       |
@@ -253,4 +253,26 @@ Feature: Confirm return to continuous trading during significant mark price chan
     And the network moves ahead "118" blocks
     Then the market data for the market "ETH/FEB23" should be:
       | mark price | trading mode                    | auction trigger             | last traded price | horizon | ref price | min bound | max bound |
-      | 1000       | TRADING_MODE_CONTINUOUS         | AUCTION_TRIGGER_UNSPECIFIED | 1003              | 30      | 1003      | 1000      | 1006      | 
+      | 1000       | TRADING_MODE_CONTINUOUS         | AUCTION_TRIGGER_UNSPECIFIED | 1003              | 30      | 1003      | 1000      | 1006      | 
+
+  Scenario: Verify that trigger update in continuous trading works as expected
+
+    When the network moves ahead "2" blocks
+    Then the market data for the market "ETH/FEB23" should be:
+      | mark price | trading mode            | horizon | ref price | min bound | max bound | 
+      | 1000       | TRADING_MODE_CONTINUOUS | 60      | 1000      | 995       | 1005      |
+
+    And the price monitoring named "my-price-monitoring-2":
+      | horizon | probability | auction extension |
+      | 30      | 0.95        | 1                 |
+
+    # update trigger here so that there's only one
+    When the markets are updated:
+      | id        | price monitoring       | price type | source weights | source staleness tolerance |
+      | ETH/FEB23 | my-price-monitoring-2  | weight     | 0,0,1,0        | 0s,0s,0h0m120s,0s          |
+
+    # the last second of the original extensions
+    And the network moves ahead "3" blocks
+    Then the market data for the market "ETH/FEB23" should be:
+      | mark price | trading mode            | horizon | ref price | min bound | max bound | 
+      | 1000       | TRADING_MODE_CONTINUOUS | 30      | 1000      | 997       | 1003      |
diff --git a/core/integration/features/spot/orders/0032-PRIM-033.feature b/core/integration/features/spot/orders/0032-PRIM-033.feature
@@ -0,0 +1,112 @@
+Feature: Spot market
+
+  Background:
+    Given time is updated to "2024-01-01T00:00:00Z"
+
+    Given the following network parameters are set:
+      | name                                                | value |
+      | network.markPriceUpdateMaximumFrequency             | 0s    |
+      | market.value.windowLength                           | 1h    |
+
+    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   |
+
+    Given the log normal risk model named "lognormal-risk-model-2":
+      | risk aversion | tau  | mu | r   | sigma |
+      | 0.002         | 0.02 | 0  | 0.1 | 1.3   |
+
+    And the price monitoring named "price-monitoring-1":
+      | horizon | probability | auction extension |
+      | 30      | 0.999       | 10                |
+      | 60      | 0.999       | 20                |
+      | 90      | 0.999       | 40                |
+      | 120     | 0.999       | 80                |
+
+    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 |
+
+    # setup accounts
+    Given the parties deposit on asset's general account the following amount:
+      | party  | asset | amount |
+      | party1 | ETH   | 10000  |
+      | party1 | BTC   | 1000   |
+      | party2 | ETH   | 10000  |
+      | party4 | BTC   | 1000   |
+      | party5 | BTC   | 1000   |
+    And the average block duration is "1"
+
+    # Place some orders to get out of auction
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     |
+      | party1 | BTC/ETH   | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GFA |
+      | party5 | BTC/ETH   | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+
+    And the opening auction period ends for market "BTC/ETH"
+    When the network moves ahead "1" blocks
+    Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/ETH"
+    And the mark price should be "1000" for the market "BTC/ETH"
+
+  Scenario: When market is in price monitoring auction, change of a risk model or any of its parameters doesn't affect the previously
+            calculated auction end time, any remaining price monitoring bounds cannot extend the auction further. Upon uncrossing
+            price monitoring bounds get reset using the updated parameter values. (0032-PRIM-033)
+
+    # Check that the market price bounds are set 
+    And the market data for the market "BTC/ETH" should be:
+      | mark price | trading mode            | horizon | min bound | max bound | target stake | supplied stake | open interest | auction start | auction end |
+      | 1000       | TRADING_MODE_CONTINUOUS | 30      | 997       | 1003      | 0            | 0              | 0             | 0             | 0           |
+      | 1000       | TRADING_MODE_CONTINUOUS | 60      | 995       | 1005      | 0            | 0              | 0             | 0             | 0           |
+      | 1000       | TRADING_MODE_CONTINUOUS | 90      | 994       | 1006      | 0            | 0              | 0             | 0             | 0           |
+      | 1000       | TRADING_MODE_CONTINUOUS | 120     | 993       | 1007      | 0            | 0              | 0             | 0             | 0           |
+
+    # Place 2 persistent orders that are outside all of the price bounds
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
+      | party1 | BTC/ETH   | buy  | 1      | 1008  | 0                | TYPE_LIMIT | TIF_GTC | buy1      |
+      | party5 | BTC/ETH   | sell | 1      | 1008  | 0                | TYPE_LIMIT | TIF_GTC | sell1     |
+    When the network moves ahead "1" blocks
+
+    # Check we have been placed in auction
+    Then the trading mode should be "TRADING_MODE_MONITORING_AUCTION" for the market "BTC/ETH"
+
+    # Check we know the auction time
+    And the market data for the market "BTC/ETH" should be:
+      | mark price | trading mode                    | horizon | min bound | max bound | target stake | supplied stake | open interest | auction start       | auction end         |
+      | 1000       | TRADING_MODE_MONITORING_AUCTION | 60      | 995       | 1005      | 0            | 0              | 0             | 1704067203000000000 | 1704067213000000000 |
+      | 1000       | TRADING_MODE_MONITORING_AUCTION | 90      | 994       | 1006      | 0            | 0              | 0             | 1704067203000000000 | 1704067213000000000 |
+      | 1000       | TRADING_MODE_MONITORING_AUCTION | 120     | 993       | 1007      | 0            | 0              | 0             | 1704067203000000000 | 1704067213000000000 |
+
+    # Now update the risk model to deactivate all pending price bounds
+    Then the spot markets are updated:
+      | id      | risk model             |
+      | BTC/ETH | lognormal-risk-model-2 |
+
+    # If we move ahead 25 blocks we should come out of auction instead of it being extended
+    When the network moves ahead "25" blocks
+
+    And the market data for the market "BTC/ETH" should be:
+      | mark price | trading mode                    | horizon | min bound | max bound | target stake | supplied stake | open interest | auction start       | auction end         |
+      | 1008       | TRADING_MODE_CONTINUOUS         | 30      | 1004      | 1012      | 0            | 0              | 0             | 0 | 0 |
+      | 1008       | TRADING_MODE_CONTINUOUS         | 60      | 1003      | 1013      | 0            | 0              | 0             | 0 | 0 |
+      | 1008       | TRADING_MODE_CONTINUOUS         | 90      | 1001      | 1015      | 0            | 0              | 0             | 0 | 0 |
+      | 1008       | TRADING_MODE_CONTINUOUS         | 120     | 1000      | 1016      | 0            | 0              | 0             | 0 | 0 |
+
+    Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/ETH"
+
+    # The mark price should show the orders have traded
+    And the mark price should be "1008" for the market "BTC/ETH"
+
+   And the orders should have the following states:
+    | party  | market id | reference | side | volume | remaining | price | status         |
+    | party1 | BTC/ETH   | buy1      | buy  | 1      | 0         | 1008  | STATUS_FILLED  |
+    | party5 | BTC/ETH   | sell1     | sell | 1      | 0         | 1008  | STATUS_FILLED  |
+
diff --git a/core/monitor/price/pricemonitoring.go b/core/monitor/price/pricemonitoring.go
@@ -142,9 +142,9 @@ type Engine struct {
 	asset          string
 }
 
-func (e *Engine) UpdateSettings(riskModel risk.Model, settings *types.PriceMonitoringSettings) {
+func (e *Engine) UpdateSettings(riskModel risk.Model, settings *types.PriceMonitoringSettings, as AuctionState) {
 	e.riskModel = riskModel
-	e.fpHorizons, e.bounds = computeBoundsAndHorizons(settings)
+	e.fpHorizons, e.bounds = computeBoundsAndHorizons(settings, as)
 	e.initialised = false
 	e.boundFactorsInitialised = false
 	e.priceRangesCache = make(map[int]priceRange, len(e.bounds)) // clear the cache
@@ -169,7 +169,7 @@ func NewMonitor(asset, mktID string, riskModel RangeProvider, auctionState Aucti
 	}
 
 	// Other functions depend on this sorting
-	horizons, bounds := computeBoundsAndHorizons(settings)
+	horizons, bounds := computeBoundsAndHorizons(settings, auctionState)
 
 	e := &Engine{
 		riskModel:               riskModel,
@@ -525,7 +525,9 @@ func (e *Engine) noHistory() bool {
 	return len(e.pricesPast) == 0 && len(e.pricesNow) == 0
 }
 
-func computeBoundsAndHorizons(settings *types.PriceMonitoringSettings) (map[int64]num.Decimal, []*bound) {
+func computeBoundsAndHorizons(settings *types.PriceMonitoringSettings, as AuctionState) (map[int64]num.Decimal, []*bound) {
+	// set bounds to inactive if we're in price monitoring auction
+	active := !as.IsPriceAuction()
 	parameters := make([]*types.PriceMonitoringTrigger, 0, len(settings.Parameters.Triggers))
 	for _, p := range settings.Parameters.Triggers {
 		p := *p
@@ -541,7 +543,7 @@ func computeBoundsAndHorizons(settings *types.PriceMonitoringSettings) (map[int6
 	bounds := make([]*bound, 0, len(parameters))
 	for _, p := range parameters {
 		bounds = append(bounds, &bound{
-			Active:  true,
+			Active:  active,
 			Trigger: p,
 		})
 		if _, ok := horizons[p.Horizon]; !ok {