Merge branch 'develop' into 10858-auction-state-sync

vegaprotocol · Mar 11, 2024 · 3588003 · 3588003
2 parents 392cb07 + fa67296
commit 3588003
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -31,6 +31,7 @@
 - [10392](https://github.com/vegaprotocol/vega/issues/10392) - Integrate mark price with price monitoring.
 - [10845](https://github.com/vegaprotocol/vega/issues/10845) - Remove price monitoring trigger staleness check.
 - [10810](https://github.com/vegaprotocol/vega/issues/10810) - Do not update mark price from book during auctions.
+- [10754](https://github.com/vegaprotocol/vega/issues/10754) - Simplify margin calculation (remove order book slippage).
 
 ### 🐛 Fixes
 

diff --git a/core/execution/common/interfaces.go b/core/execution/common/interfaces.go
@@ -315,6 +315,7 @@ type CommonMarket interface {
 	BlockEnd(context.Context)
 	BeginBlock(context.Context)
 	UpdateMarketState(ctx context.Context, changes *types.MarketStateUpdateConfiguration) error
+	GetFillPrice(volume uint64, side types.Side) (*num.Uint, error)
 
 	IsOpeningAuction() bool
 

diff --git a/core/execution/engine.go b/core/execution/engine.go
@@ -1931,3 +1931,10 @@ func (e *Engine) UpdateMarginMode(ctx context.Context, party, marketID string, m
 
 	return market.UpdateMarginMode(ctx, party, marginMode, marginFactor)
 }
+
+func (e *Engine) GetFillPriceForMarket(marketID string, volume uint64, side types.Side) (*num.Uint, error) {
+	if mkt, ok := e.allMarkets[marketID]; ok {
+		return mkt.GetFillPrice(volume, side)
+	}
+	return nil, types.ErrInvalidMarketID
+}
diff --git a/core/execution/future/market.go b/core/execution/future/market.go
@@ -4956,3 +4956,7 @@ func (m *Market) emitPartyMarginModeUpdated(ctx context.Context, party string, m
 
 	m.broker.Send(events.NewPartyMarginModeUpdatedEvent(ctx, e))
 }
+
+func (m *Market) GetFillPrice(volume uint64, side types.Side) (*num.Uint, error) {
+	return m.matching.GetFillPrice(volume, side)
+}
diff --git a/core/execution/spot/market_snapshot.go b/core/execution/spot/market_snapshot.go
@@ -224,3 +224,7 @@ func (m *Market) GetState() *types.ExecSpotMarket {
 func (m *Market) GetNewStateProviders() []types.StateProvider {
 	return []types.StateProvider{m.matching, m.tsCalc, m.orderHoldingTracker, m.liquidityEngine.V2StateProvider()}
 }
+
+func (m *Market) GetFillPrice(volume uint64, side types.Side) (*num.Uint, error) {
+	return m.matching.GetFillPrice(volume, side)
+}
diff --git a/core/integration/features/accounts/2943-distressed-trader-has-general-balance.feature b/core/integration/features/accounts/2943-distressed-trader-has-general-balance.feature
@@ -4,7 +4,7 @@ Feature: Distressed parties should not have general balance left
     Given time is updated to "2020-10-16T00:00:00Z"
     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/DEC20 | ETH        | ETH   | default-simple-risk-model-3 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 1e6                    | 1e6                       | default-futures |
+      | ETH/DEC20 | ETH        | ETH   | default-simple-risk-model-3 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures |
     And the following network parameters are set:
       | name                                             | value |
       | market.auction.minimumDuration                   | 1     |
@@ -66,8 +66,8 @@ Feature: Distressed parties should not have general balance left
 
     Then the parties should have the following account balances:
       | party  | asset | market id | margin | general       |
-      | party4 | ETH   | ETH/DEC20 | 360    | 9999999999640 |
-      | party5 | ETH   | ETH/DEC20 | 372    | 9999999999528 |
+      | party4 | ETH   | ETH/DEC20 | 420    | 9999999999580 |
+      | party5 | ETH   | ETH/DEC20 | 432    | 9999999999468 |
     Then the parties submit the following liquidity provision:
       | id  | party  | market id | commitment amount | fee | lp type    |
       | lp2 | party3 | ETH/DEC20 | 20000             | 0.1 | submission |
@@ -126,8 +126,8 @@ Feature: Distressed parties should not have general balance left
 
     And the parties should have the following account balances:
       | party  | asset | market id | margin | general       |
-      | party3 | ETH   | ETH/DEC20 | 3152   | 1040          |
-      | party4 | ETH   | ETH/DEC20 | 160    | 9999999999640 |
+      | party3 | ETH   | ETH/DEC20 | 3254   | 938           |
+      | party4 | ETH   | ETH/DEC20 | 504    | 9999999999296 |
 
     ## Now let's increase the mark price so party3 gets distressed
     When the parties place the following orders "1" blocks apart:
@@ -138,4 +138,4 @@ Feature: Distressed parties should not have general balance left
 
     And the parties should have the following account balances:
       | party  | asset | market id | margin | general |
-      | party3 | ETH   | ETH/DEC20 | 4899   | 0       |
+      | party3 | ETH   | ETH/DEC20 | 4617   | 0       |
diff --git a/core/integration/features/accounts/building_trader_accounts.feature b/core/integration/features/accounts/building_trader_accounts.feature
@@ -3,8 +3,8 @@ Feature: Test party accounts
   Background:
     Given 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/DEC19    | ETH        | ETH   | default-simple-risk-model-3 | default-margin-calculator | 0                | default-none | default-none     | default-eth-for-future | 1e6                    | 1e6                       | default-futures |
-      | GBPUSD/DEC19 | USD        | VUSD  | default-simple-risk-model-3 | default-margin-calculator | 0                | default-none | default-none     | default-usd-for-future | 1e6                    | 1e6                       | default-futures |
+      | ETH/DEC19    | ETH        | ETH   | default-simple-risk-model-3 | default-margin-calculator | 0                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures |
+      | GBPUSD/DEC19 | USD        | VUSD  | default-simple-risk-model-3 | default-margin-calculator | 0                | default-none | default-none     | default-usd-for-future | 0.25                   | 0                         | default-futures |
 
   Scenario: a party is added to the system. A general account is created for each asset
     Given the parties deposit on asset's general account the following amount:

diff --git a/core/integration/features/auctions/0043-MKTL-010.feature b/core/integration/features/auctions/0043-MKTL-010.feature
@@ -19,7 +19,7 @@ Feature: Ensure the markets expire if they cannot leave opening auction within t
       | market.auction.maximumDuration               | 100s  |
     And the markets:
       | id        | quote name | asset | risk model           | margin calculator         | auction duration | fees           | price monitoring | data source config     | decimal places | linear slippage factor | quadratic slippage factor | sla params      | is passed |
-      | ETH/DEC20 | ETH        | ETH   | my-simple-risk-model | default-margin-calculator | 5                | my-fees-config | default-none     | default-eth-for-future | 2              | 1e6                    | 1e6                       | default-futures | true      |
+      | ETH/DEC20 | ETH        | ETH   | my-simple-risk-model | default-margin-calculator | 5                | my-fees-config | default-none     | default-eth-for-future | 2              | 0.25                   | 0                         | default-futures | true      |
 
   @Expires
   Scenario: Covers 0043-MKTL-010

diff --git a/core/integration/features/auctions/2952-opening-auction-uncrossing-decimals.feature b/core/integration/features/auctions/2952-opening-auction-uncrossing-decimals.feature
@@ -14,7 +14,7 @@ Feature: Set up a market, with an opening auction, then uncross the book. Make s
       | 0.004     | 0.001              |
     And the markets:
       | id        | quote name | asset | risk model           | margin calculator         | auction duration | fees           | price monitoring | data source config     | decimal places | linear slippage factor | quadratic slippage factor | sla params      |
-      | ETH/DEC20 | ETH        | ETH   | my-simple-risk-model | default-margin-calculator | 1                | my-fees-config | default-none     | default-eth-for-future | 2              | 1e6                    | 1e6                       | default-futures |
+      | ETH/DEC20 | ETH        | ETH   | my-simple-risk-model | default-margin-calculator | 1                | my-fees-config | default-none     | default-eth-for-future | 2              | 0.25                   | 0                         | default-futures |
     And the following network parameters are set:
       | name                                    | value |
       | limits.markets.maxPeggedOrders          | 2     |

diff --git a/core/integration/features/auctions/2952-opening-auction-uncrossing.feature b/core/integration/features/auctions/2952-opening-auction-uncrossing.feature
@@ -11,7 +11,7 @@ Feature: Set up a market, with an opening auction, then uncross the book. Make s
       | 0.004     | 0.001              |
     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/DEC20 | ETH        | ETH   | my-simple-risk-model | default-margin-calculator | 1                | my-fees-config | default-none     | default-eth-for-future | 1e6                    | 1e6                       | default-futures |
+      | ETH/DEC20 | ETH        | ETH   | my-simple-risk-model | default-margin-calculator | 1                | my-fees-config | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures |
     And the following network parameters are set:
       | name                                    | value |
       | limits.markets.maxPeggedOrders          | 2     |

diff --git a/core/integration/features/auctions/5460-market-order-cannot-trade-due-to-auction.feature b/core/integration/features/auctions/5460-market-order-cannot-trade-due-to-auction.feature
@@ -25,7 +25,7 @@ Feature: Test for issue 5460
       | 43200   | 0.9999999   | 60                |
     And the markets:
       | id        | quote name | asset | liquidity monitoring | risk model              | margin calculator         | auction duration | fees          | price monitoring   | data source config     | decimal places | position decimal places | linear slippage factor | quadratic slippage factor | sla params      |
-      | ETH/DEC21 | ETH        | ETH   | lqm-params           | log-normal-risk-model-1 | default-margin-calculator | 10               | fees-config-1 | price-monitoring-1 | default-eth-for-future | 5              | 5                       | 1e6                    | 1e6                       | default-futures |
+      | ETH/DEC21 | ETH        | ETH   | lqm-params           | log-normal-risk-model-1 | default-margin-calculator | 10               | fees-config-1 | price-monitoring-1 | default-eth-for-future | 5              | 5                       | 0.25                   | 0                         | default-futures |
     And the parties deposit on asset's general account the following amount:
       | party    | asset | amount            |
       | party0   | ETH   | 100000000000000   |

diff --git a/core/integration/features/auctions/5468-opening-auction-uncross-with-wash-trades.feature b/core/integration/features/auctions/5468-opening-auction-uncross-with-wash-trades.feature
@@ -4,7 +4,7 @@ Feature: Set up a market, with an opening auction, then uncross the book in pres
 
     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/DEC19 | BTC        | BTC   | default-simple-risk-model-4 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 1e6                    | 1e6                       | default-futures |
+      | ETH/DEC19 | BTC        | BTC   | default-simple-risk-model-4 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures |
 
   Scenario: Set up opening auction with wash trades and uncross
     # setup accounts

diff --git a/core/integration/features/auctions/opening-auction-expiry.feature b/core/integration/features/auctions/opening-auction-expiry.feature
@@ -6,7 +6,7 @@ Feature: Set up a market, create indiciative price different to actual opening a
       | 0.1  | 0.1   | 2           | -3            | 0.2                    |
     Given 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/DEC19 | BTC        | BTC   | my-simple-risk-model | default-margin-calculator | 5                | default-none | default-basic    | default-eth-for-future | 1e6                    | 1e6                       | default-futures |
+      | ETH/DEC19 | BTC        | BTC   | my-simple-risk-model | default-margin-calculator | 5                | default-none | default-basic    | default-eth-for-future | 0.25                   | 0                         | default-futures |
     And the following network parameters are set:
       | name                                    | value |
       | market.auction.minimumDuration          | 5     |

diff --git a/core/integration/features/auctions/opening-auction-indicative-price.feature b/core/integration/features/auctions/opening-auction-indicative-price.feature
@@ -4,7 +4,7 @@ Feature: Set up a market, create indiciative price different to actual opening a
 
     Given 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/DEC19 | BTC        | BTC   | default-log-normal-risk-model | default-margin-calculator | 8                | default-none | default-basic    | default-eth-for-future | 1e6                    | 1e6                       | default-futures |
+      | ETH/DEC19 | BTC        | BTC   | default-log-normal-risk-model | default-margin-calculator | 8                | default-none | default-basic    | default-eth-for-future | 0.25                   | 0                         | default-futures |
     And the following network parameters are set:
       | name                           | value |
       | market.auction.minimumDuration | 8     |

diff --git a/core/integration/features/auctions/opening-auction-price.feature b/core/integration/features/auctions/opening-auction-price.feature
@@ -6,7 +6,7 @@ Feature: Set up a market, create indiciative price different to actual opening a
       | 0.1  | 0.1   | 2           | -3            | 0.2                    |
     Given 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/DEC19 | BTC        | BTC   | my-simple-risk-model | default-margin-calculator | 5                | default-none | default-basic    | default-eth-for-future | 1e6                    | 1e6                       | default-futures |
+      | ETH/DEC19 | BTC        | BTC   | my-simple-risk-model | default-margin-calculator | 5                | default-none | default-basic    | default-eth-for-future | 0.25                   | 0                         | default-futures |
     And the following network parameters are set:
       | name                                    | value |
       | market.auction.minimumDuration          | 5     |
@@ -104,15 +104,11 @@ Feature: Set up a market, create indiciative price different to actual opening a
       | buy  | 5900  | 16     |
       | buy  | 1000  |  1     |
 
-    # party2_maintenance:= 8*10000*0.1 + 8*max(0, 6100-10000) = 8000 + 0 = 8000
+    # party2_maintenance:= 8*10000*(0.1+0.25) = 28000
     And the parties should have the following margin levels:
-      | party  | market id | maintenance | search | initial | release |
-      | party2 | ETH/DEC19 |  8000       |  8800  |  9600   | 11200   |
-      | party1 | ETH/DEC19 | 45900       | 50490  | 55080   | 64260   |
-    Then the parties should have the following account balances:
-      | party  | asset | market id | margin | general  |
-      | party2 | BTC   | ETH/DEC19 |  9600  | 99990400 |
-      | party1 | BTC   | ETH/DEC19 | 55080  | 99944920 |
+      | party  | market id | maintenance |
+      | party2 | ETH/DEC19 | 28000       |
+      | party1 | ETH/DEC19 | 31500       |
     And the market data for the market "ETH/DEC19" should be:
       | mark price | trading mode            | horizon | min bound | max bound | ref price |
       | 10000      | TRADING_MODE_CONTINUOUS | 5       | 9997      | 10002     | 10000     |
@@ -178,13 +174,9 @@ Feature: Set up a market, create indiciative price different to actual opening a
 
     When the network moves ahead "1" blocks
     Then the parties should have the following margin levels:
-      | party  | market id | maintenance | initial |
-      | party2 | ETH/DEC19 | 8000        | 9600    |
+      | party  | market id | maintenance |
+      | party2 | ETH/DEC19 | 28000       |
 
-    And the parties should have the following account balances:
-      | party  | asset | market id | margin | general  |
-      | party2 | BTC   | ETH/DEC19 |  9600  | 99990400 |
-      | party1 | BTC   | ETH/DEC19 | 48960  | 99951040 |
     And the market data for the market "ETH/DEC19" should be:
       | mark price | trading mode            | horizon | min bound | max bound | ref price |
       | 10000      | TRADING_MODE_CONTINUOUS | 5       | 9997      | 10002     | 10000     |
@@ -264,13 +256,9 @@ Feature: Set up a market, create indiciative price different to actual opening a
 
     When the network moves ahead "1" blocks
     Then the parties should have the following margin levels:
-      | party  | market id | maintenance | initial |
-      | party2 | ETH/DEC19 | 8000        | 9600    |
-      | party1 | ETH/DEC19 | 45900       | 55080   |
-    And the parties should have the following account balances:
-      | party  | asset | market id | margin | general  |
-      | party2 | BTC   | ETH/DEC19 |  9600  | 99990400 |
-      | party1 | BTC   | ETH/DEC19 | 55080  | 99944920 |
+      | party  | market id | maintenance |
+      | party2 | ETH/DEC19 | 28000       |
+      | party1 | ETH/DEC19 | 31500       |
     Then the parties should have the following profit and loss:
       | party  | volume | unrealised pnl | realised pnl |
       | party2 | -8     | 0              | 0            |
@@ -363,8 +351,8 @@ Feature: Set up a market, create indiciative price different to actual opening a
     When the network moves ahead "1" blocks
     Then the parties should have the following account balances:
       | party  | asset | market id | margin | general  |
-      | party2 | BTC   | ETH/DEC19 |  9600  | 99990400 |
-      | party1 | BTC   | ETH/DEC19 | 42840  | 99957160 |
+      | party2 | BTC   | ETH/DEC19 | 33600  | 99966400 |
+      | party1 | BTC   | ETH/DEC19 | 29400  | 99970600 |
     And the market data for the market "ETH/DEC19" should be:
       | mark price | trading mode            | horizon | min bound | max bound | ref price |
       | 10000      | TRADING_MODE_CONTINUOUS | 5       | 9997      | 10002     | 10000     |

diff --git a/core/integration/features/auctions/opening-auction-uncross.feature b/core/integration/features/auctions/opening-auction-uncross.feature
@@ -4,7 +4,7 @@ Feature: Set up a market, with an opening auction, then uncross the book
 
     Given 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/DEC19 | BTC        | BTC   | default-simple-risk-model-4 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 1e6                    | 1e6                       | default-futures |
+      | ETH/DEC19 | BTC        | BTC   | default-simple-risk-model-4 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures |
     And the parties deposit on asset's general account the following amount:
       | party  | asset | amount    |
       | party1 | BTC   | 100000000 |
@@ -70,8 +70,8 @@ Feature: Set up a market, with an opening auction, then uncross the book
       | party2 | t2-s-3    | STATUS_FILLED    |
     Then the parties should have the following account balances:
       | party  | asset | market id | margin | general |
-      | party2 | BTC   | ETH/DEC19 | 9600   | 39080   |
-      | party1 | BTC   | ETH/DEC19 | 48960  | 1280    |
+      | party2 | BTC   | ETH/DEC19 | 33600  | 15080   |
+      | party1 | BTC   | ETH/DEC19 | 33600  | 16640   |
 
   Scenario: Uncross auction via order amendment
     When the parties place the following orders: