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chore: make corrections for 0053-PERP-028
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@cdummett
cdummett committed May 21, 2024
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197 changes: 109 additions & 88 deletions core/integration/features/settlement/0053-PERP-028_twap_calculation_with_auction.feature
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Expand Up @@ -3,155 +3,176 @@ Feature: Test internal and external twap calculation
Background:
# epoch time is 1602806400
Given time is updated to "2020-10-16T00:00:00Z"
And the perpetual oracles from "0xCAFECAFE1":
| name | asset | settlement property | settlement type | schedule property | schedule type | margin funding factor | interest rate | clamp lower bound | clamp upper bound | quote name | settlement decimals |
| perp-oracle | USD | perp.ETH.value | TYPE_INTEGER | perp.funding.cue | TYPE_TIMESTAMP | 0.5 | 0.00 | 0.0 | 0.0 | ETH | 18 |
And the liquidity sla params named "SLA":
And the following assets are registered:
| id | decimal places | quantum |
| USD.3.1000 | 3 | 1000 |
And the perpetual oracles from "0xCAFECAFE1":
| name | asset | settlement property | settlement type | schedule property | schedule type | margin funding factor | interest rate | clamp lower bound | clamp upper bound | quote name | settlement decimals |
| perp-oracle | USD.3.1000 | perp.ETH.value | TYPE_INTEGER | perp.funding.cue | TYPE_TIMESTAMP | 0.5 | 0.00 | 0.0 | 0.0 | ETH | 18 |
And the liquidity sla params named "SLA":
| price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
| 100.0 | 0.5 | 1 | 1.0 |
And the price monitoring named "my-price-monitoring":
And the price monitoring named "my-price-monitoring":
| horizon | probability | auction extension |
| 43200 | 0.9999999 | 120 |
And the log normal risk model named "my-log-normal-risk-model":
And the log normal risk model named "my-log-normal-risk-model":
| risk aversion | tau | mu | r | sigma |
| 0.000001 | 0.00011407711613050422 | 0 | 0.016 | 0.8 |
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 | position decimal places | market type | sla params |
| ETH/DEC19 | ETH | USD | my-log-normal-risk-model | default-margin-calculator | 120 | default-none | my-price-monitoring | perp-oracle | 0.25 | 0 | -3 | perp | SLA |
And the following network parameters are set:
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 | position decimal places | market type | sla params |
| ETH/DEC19 | ETH | USD.3.1000 | my-log-normal-risk-model | default-margin-calculator | 120 | default-none | my-price-monitoring | perp-oracle | 0.25 | 0 | -3 | perp | SLA |
And the following network parameters are set:
| name | value |
| network.markPriceUpdateMaximumFrequency | 0s |
And the average block duration is "1"
And the average block duration is "1"
When the parties deposit on asset's general account the following amount:
| party | asset | amount |
| party1 | USD | 100000000000 |
| party2 | USD | 100000000000 |
| party3 | USD | 100000000000 |
| aux | USD | 100000000000 |
| aux2 | USD | 100000000000 |
| lpprov | USD | 100000000000 |
| party | asset | amount |
| party1 | USD.3.1000 | 100000000000000 |
| party2 | USD.3.1000 | 100000000000000 |
| party3 | USD.3.1000 | 100000000000000 |
| aux | USD.3.1000 | 100000000000000 |
| aux2 | USD.3.1000 | 100000000000000 |
| lpprov | USD.3.1000 | 100000000000000 |
Then the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp1 | lpprov | ETH/DEC19 | 100000 | 0.001 | submission |
# move market to continuous
And the parties place the following orders:
| lp1 | lpprov | ETH/DEC19 | 100000000 | 0.001 | submission |
# move market to continuous
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| aux2 | ETH/DEC19 | buy | 1 | 1 | 0 | TYPE_LIMIT | TIF_GTC |
| lpprov | ETH/DEC19 | buy | 100000 | 1 | 0 | TYPE_LIMIT | TIF_GTC |
| aux2 | ETH/DEC19 | buy | 1 | 10 | 0 | TYPE_LIMIT | TIF_GTC |
| aux | ETH/DEC19 | sell | 1 | 10 | 0 | TYPE_LIMIT | TIF_GTC |
| aux | ETH/DEC19 | sell | 1 | 35 | 0 | TYPE_LIMIT | TIF_GTC |
| lpprov | ETH/DEC19 | sell | 100000 | 35 | 0 | TYPE_LIMIT | TIF_GTC |
And the market data for the market "ETH/DEC19" should be:
And the market data for the market "ETH/DEC19" should be:
| target stake | supplied stake |
| 4315 | 100000 |
And the opening auction period ends for market "ETH/DEC19"
| 4315000 | 100000000 |
And the opening auction period ends for market "ETH/DEC19"

@Perpetual @twap
Scenario: 0053-PERP-028 Internal and External TWAP calculation, auction in funding period
Given the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"
And time is updated to "2020-10-16T00:05:00Z"
And time is updated to "2020-10-16T00:05:00Z"
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party1 | ETH/DEC19 | buy | 1 | 10 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | ETH/DEC19 | sell | 1 | 10 | 1 | TYPE_LIMIT | TIF_GTC |
Then time is updated to "2020-10-16T00:10:00Z"

# 1602806400 + 120s = 1602807000
# funding period is ended with perp.funding.cue
And the oracles broadcast data with block time signed with "0xCAFECAFE1":
# 0 min in to the next funding period
Given the oracles broadcast data with block time signed with "0xCAFECAFE1":
| name | value | time offset |
| perp.ETH.value | 11000000000000000000 | -1s |
| perp.funding.cue | 1602807000 | 0s |
And the mark price should be "10" for the market "ETH/DEC19"
And the mark price should be "10" for the market "ETH/DEC19"

# 1 min in to the next funding period
Given time is updated to "2020-10-16T00:11:00Z"
When the parties place the following orders:
Given the network moves ahead "60" blocks
Then the product data for the market "ETH/DEC19" should be:
| internal twap | external twap | funding payment |
| 10000 | 11000 | -1000 |
Given the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party1 | ETH/DEC19 | buy | 1 | 11 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | ETH/DEC19 | sell | 1 | 11 | 1 | TYPE_LIMIT | TIF_GTC |
Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
And the oracles broadcast data with block time signed with "0xCAFECAFE1":
| name | value | time offset |
| perp.ETH.value | 9000000000000000000 | -1s |
| perp.ETH.value | 9000000000000000000 | 0s |

# 2 min in to the next funding period
Given the network moves ahead "60" blocks
Then the product data for the market "ETH/DEC19" should be:
| internal twap | external twap | funding payment |
| 10500 | 10000 | 500 |

# 3 min in to the next funding period
Given time is updated to "2020-10-16T00:13:00Z"
And the mark price should be "11" for the market "ETH/DEC19"
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party1 | ETH/DEC19 | buy | 1 | 11 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | ETH/DEC19 | sell | 1 | 11 | 1 | TYPE_LIMIT | TIF_GTC |
Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
| name | value | time offset |
| perp.ETH.value | 10000000000000000000 | -1s |

# 5 min in to the next funding period market moves into auction
Given time is updated to "2020-10-16T00:15:00Z"
And the mark price should be "11" for the market "ETH/DEC19"
# this spot price is not counted in external twap calclation because it was broadcast during auction
# if it did then the External spot price would be pushed to 11.625 or 11 since field type is int
# similarly the mark price woul dbe pushed to 12.125
When the oracles broadcast data with block time signed with "0xCAFECAFE1":
Given the network moves ahead "60" blocks
Then the product data for the market "ETH/DEC19" should be:
| internal twap | external twap | funding payment |
| 10666 | 9666 | 1000 |
Given the oracles broadcast data with block time signed with "0xCAFECAFE1":
| name | value | time offset |
| perp.ETH.value | 30000000000000000000 | -1s |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| aux2 | ETH/DEC19 | buy | 1 | 15 | 0 | TYPE_LIMIT | TIF_GTC | trigger-auction2 |
| aux | ETH/DEC19 | sell | 1 | 15 | 0 | TYPE_LIMIT | TIF_GTC | trigger-auction1 |
Then the trading mode should be "TRADING_MODE_MONITORING_AUCTION" for the market "ETH/DEC19"
| perp.ETH.value | 10000000000000000000 | 0s |

### 6 mins in Now we cancel the aux2 order, its served its purpose
Given the parties cancel the following orders:
# 4 min in to the next funding period
Given the network moves ahead "60" blocks
Then the product data for the market "ETH/DEC19" should be:
| internal twap | external twap | funding payment |
| 10750 | 9750 | 1000 |

# 5 min in to the next funding period, the auction period will start
Given the network moves ahead "60" blocks
Then the product data for the market "ETH/DEC19" should be:
| internal twap | external twap | funding payment |
| 10800 | 9800 | 1000 |
Given the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| aux2 | ETH/DEC19 | buy | 1 | 15 | 0 | TYPE_LIMIT | TIF_GTC | trigger-auction2 |
| aux | ETH/DEC19 | sell | 1 | 15 | 0 | TYPE_LIMIT | TIF_GTC | trigger-auction1 |
| party1 | ETH/DEC19 | buy | 10 | 9 | 0 | TYPE_LIMIT | TIF_GTC | |
| party2 | ETH/DEC19 | sell | 10 | 9 | 0 | TYPE_LIMIT | TIF_GTC | |
And the parties cancel the following orders:
| party | reference |
| aux | trigger-auction1 |
| aux2 | trigger-auction2 |
When time is updated to "2020-10-16T00:16:00Z"
Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
Then the trading mode should be "TRADING_MODE_MONITORING_AUCTION" for the market "ETH/DEC19"
Given the oracles broadcast data with block time signed with "0xCAFECAFE1":
| name | value | time offset |
| perp.ETH.value | 11000000000000000000 | -1s |
And the trading mode should be "TRADING_MODE_MONITORING_AUCTION" for the market "ETH/DEC19"
| perp.ETH.value | 30000000000000000000 | 0s |

### 6 mins in, still in monitoring auction
Given the network moves ahead "60" blocks
Then the trading mode should be "TRADING_MODE_MONITORING_AUCTION" for the market "ETH/DEC19"
Then the product data for the market "ETH/DEC19" should be:
| internal twap | external twap | funding payment |
| 10800 | 9800 | 1000 |
Given the oracles broadcast data with block time signed with "0xCAFECAFE1":
| name | value | time offset |
| perp.ETH.value | 11000000000000000000 | 0s |

# 7 mins in, the auction period will end
Given time is updated to "2020-10-16T00:17:01Z"
When the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"
Then the markets are updated:
| id | price monitoring | linear slippage factor | quadratic slippage factor |
| ETH/DEC19 | default-none | 0.25 | 0 |
And the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party1 | ETH/DEC19 | buy | 10 | 9 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | ETH/DEC19 | sell | 10 | 9 | 1 | TYPE_LIMIT | TIF_GTC |
Given the network moves ahead "60" blocks
Then the trading mode should be "TRADING_MODE_MONITORING_AUCTION" for the market "ETH/DEC19"
Then the product data for the market "ETH/DEC19" should be:
| internal twap | external twap | funding payment |
| 10800 | 9800 | 1000 |
Then the network moves ahead "1" blocks

# 8 mins in, the auction period will end
Given time is updated to "2020-10-16T00:18:00Z"
When the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/DEC19"
Then the parties place the following orders:
# 8 mins in, still in continuous traidng
Given the network moves ahead "60" blocks
Then the product data for the market "ETH/DEC19" should be:
| internal twap | external twap | funding payment |
| 10500 | 10000 | 500 |
Given the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party1 | ETH/DEC19 | buy | 1 | 8 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | ETH/DEC19 | sell | 1 | 8 | 1 | TYPE_LIMIT | TIF_GTC |
And the oracles broadcast data with block time signed with "0xCAFECAFE1":
And the oracles broadcast data with block time signed with "0xCAFECAFE1":
| name | value | time offset |
| perp.ETH.value | 8000000000000000000 | -1s |
| perp.ETH.value | 8000000000000000000 | 0s |

# 9 mins in, the auction period will end
Given time is updated to "2020-10-16T00:19:00Z"
Then the oracles broadcast data with block time signed with "0xCAFECAFE1":
# 9 mins in, still in continuous traidng
Given the network moves ahead "60" blocks
Then the product data for the market "ETH/DEC19" should be:
| internal twap | external twap | funding payment |
| 10142 | 9714 | 428 |
Given the oracles broadcast data with block time signed with "0xCAFECAFE1":
| name | value | time offset |
| perp.ETH.value | 14000000000000000000 | -1s |
| perp.ETH.value | 14000000000000000000 | 0s |

# 10 mins in, the auction period will end
Given time is updated to "2020-10-16T00:20:00Z"
# 10 mins in, still in continuous traidng
Given the network moves ahead "60" blocks
Then the markets are updated:
| id | price monitoring | linear slippage factor | quadratic slippage factor |
| ETH/DEC19 | default-none | 0.25 | 0 |
When the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party1 | ETH/DEC19 | buy | 1 | 30 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | ETH/DEC19 | sell | 1 | 30 | 1 | TYPE_LIMIT | TIF_GTC |
# in theory internal TWAP = 9.625 external TWAP = 10.25
# if the auction period is included then the internal TWAP = 10.1 and external TWAP = 11.2
# but these are type int so the decimal is truncated
Then the product data for the market "ETH/DEC19" should be:
| internal twap | external twap |
| 9 | 10 |
| internal twap | external twap | funding payment |
| 9875 | 10250 | -375 |



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