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0078-NWLI-network_wide_limits.md

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Network wide limits

This spec describes network wide limits aimed at keeping the overall system performant and responsive. Vega has been designed with low-latency in mind so that the responsiveness of the network doesn't unduly impact the trading experience. Furthermore, the current implementation relies on an interplay between the execution layer (core) and the data consumption layer (data node). For these reasons limits allowing to exercise a degree of control over the computational and data generation loads need to be put in place. These limits need to be adjustable so that each network/shard can be setup for maximum accessibility (hardware constraints permitting) while preserving the desirable user experience and system stability, and mitigating the possibility of a malicious actor trying to deliberately disrupt the system by flooding it with superfluous requests.

Pegged orders on a market

Introduce a new network parameter limits.markets.maxPeggedOrders controlling the maximum number of pegged orders that can be active across all active markets. Default value: 1,500.

Change of limits.markets.maxPeggedOrders network parameter

If the network parameter gets increased via a governance vote no further actions are needed. If it gets decreased below the current total number of pegged orders across all active markets then no further actions are needed. Specifically: all pegged orders already present in the markets remain unaffected, but no new pegged orders are allowed until the total pegged order count drops below the new limit.

Acceptance Criteria

Pegged order tests

  • Attempt to place an additional pegged order by a party already active in the market when the number of pegged orders on the book is equal to limits.markets.maxPeggedOrders results in a rejection. Error message attributes the rejection to the limit. (0078-NWLI-001)
  • Attempt to place a pegged order by a new party in a new market when the number of pegged orders on the book is equal to limits.markets.maxPeggedOrders results in a rejection. Error message attributes the rejection to the limit. (0078-NWLI-002)
  • Lowering limits.markets.maxPeggedOrders to the number number of pegged orders on the book minus 2 results in no changes to the order book composition. Once 2 of the orders get filled and 1 gets cancelled in one market it is possible to successfully submit one additional pegged order in any of the active markets. (0078-NWLI-003)
  • When the limit is reached API correctly indicates that. (0078-NWLI-004)