Remove obsolete initial mark price network parameter

cmd/vega/init.go

@@ -172,7 +172,6 @@ func createDefaultMarkets(confpath string) ([]string, error) {
 		settlementAsset        string
 		quoteName              string
 		maturity               time.Time
-		initialMarkPrice       uint64
 		settlementValue        uint64
 		sigma                  float64
 		riskAversionParameter  float64
@@ -185,7 +184,6 @@ func createDefaultMarkets(confpath string) ([]string, error) {
 			quoteName:              "VUSD",
 			settlementAsset:        "VUSD",
 			maturity:               time.Date(2020, 12, 31, 23, 59, 59, 0, time.UTC),
-			initialMarkPrice:       1410000,
 			settlementValue:        1500000,
 			riskAversionParameter:  0.001,
 			sigma:                  1.5,
@@ -198,7 +196,6 @@ func createDefaultMarkets(confpath string) ([]string, error) {
 			quoteName:              "VUSD",
 			settlementAsset:        "VUSD",
 			maturity:               time.Date(2020, 10, 30, 22, 59, 59, 0, time.UTC),
-			initialMarkPrice:       130000,
 			settlementValue:        126000,
 			riskAversionParameter:  0.01,
 			sigma:                  0.09,
@@ -211,7 +208,6 @@ func createDefaultMarkets(confpath string) ([]string, error) {
 			quoteName:              "BTC",
 			settlementAsset:        "BTC",
 			maturity:               time.Date(2020, 12, 31, 23, 59, 59, 0, time.UTC),
-			initialMarkPrice:       10000,
 			settlementValue:        98123,
 			riskAversionParameter:  0.001,
 			sigma:                  2.0,
@@ -250,7 +246,6 @@ func createDefaultMarkets(confpath string) ([]string, error) {
 							"product:futures",
 						},
 					},
-					InitialMarkPrice: skel.initialMarkPrice,
 					Product: &proto.Instrument_Future{
 						Future: &proto.Future{
 							QuoteName: skel.quoteName,

execution/market.go

@@ -57,8 +57,6 @@ var (
 	ErrMarginCheckFailed = errors.New("margin check failed")
 	// ErrMarginCheckInsufficient signals that a margin had not enough funds
 	ErrMarginCheckInsufficient = errors.New("insufficient margin")
-	// ErrInvalidInitialMarkPrice signals that the initial mark price for a market is invalid
-	ErrInvalidInitialMarkPrice = errors.New("invalid initial mark price (mkprice <= 0)")
 	// ErrMissingGeneralAccountForParty ...
 	ErrMissingGeneralAccountForParty = errors.New("missing general account for party")
 	// ErrNotEnoughVolumeToZeroOutNetworkOrder ...
@@ -246,19 +244,14 @@ func NewMarket(
 		return nil, errors.Wrap(err, "unable to instantiate a new market")
 	}
 
-	if tradableInstrument.Instrument.InitialMarkPrice == 0 {
-		return nil, ErrInvalidInitialMarkPrice
-	}
-
 	closingAt, err := tradableInstrument.Instrument.GetMarketClosingTime()
 	if err != nil {
 		return nil, errors.Wrap(err, "unable to get market closing time")
 	}
 
 	// @TODO -> the raw auctionstate shouldn't be something exposed to the matching engine
 	// as far as matching goes: it's either an auction or not
-	book := matching.NewOrderBook(log, matchingConfig, mkt.Id,
-		tradableInstrument.Instrument.InitialMarkPrice, as.InAuction())
+	book := matching.NewOrderBook(log, matchingConfig, mkt.Id, as.InAuction())
 	asset := tradableInstrument.Instrument.Product.GetAsset()
 	riskEngine := risk.NewEngine(
 		log,
@@ -303,7 +296,6 @@ func NewMarket(
 		mkt:                mkt,
 		closingAt:          closingAt,
 		currentTime:        now,
-		markPrice:          tradableInstrument.Instrument.InitialMarkPrice,
 		matching:           book,
 		tradableInstrument: tradableInstrument,
 		risk:               riskEngine,

execution/market_test.go

@@ -314,7 +314,6 @@ func getMarket(closingAt time.Time, pMonitorSettings *types.PriceMonitoringSetti
 						"product:futures",
 					},
 				},
-				InitialMarkPrice: 99,
 				Product: &types.Instrument_Future{
 					Future: &types.Future{
 						Maturity: closingAt.Format(time.RFC3339),

governance/market.go

@@ -90,14 +90,12 @@ func createInstrument(
 	input *types.InstrumentConfiguration,
 	tags []string,
 ) (*types.Instrument, error) {
-	intialMarkPrice, _ := netp.GetInt(netparams.MarketInitialMarkPrice)
 	result := &types.Instrument{
 		Name: input.Name,
 		Code: input.Code,
 		Metadata: &types.InstrumentMetadata{
 			Tags: tags,
 		},
-		InitialMarkPrice: uint64(intialMarkPrice),
 	}
 
 	if err := assignProduct(netp, input, result); err != nil {

integration/README.md

@@ -33,7 +33,7 @@ The `-v` flag tells `go test` to run with verbose output (sending logging to std
 To run only certain tests (feature files), you can simply add the paths to a given feature file to the command:
 
 ```shell
-go test -v ./integration/... -godog.format=pretty $(pwd)/integration/features/simple.feature
+go test -v ./integration/... -godog.format=pretty $(pwd)/integration/features/my-feature.feature
 ```
 
 ## Race detection and cache
@@ -51,7 +51,7 @@ Should there be tests that are intermittently failing, this could indicate a dat
 go test -v -count=1 -race ./integration/... -godog.format=pretty
 
 # Same as above, but only run a specific feature file:
-go test -v -count=1 -race ./integration/... -godog.format=pretty $(pwd)/integration/feature/core.feature
+go test -v -count=1 -race ./integration/... -godog.format=pretty $(pwd)/integration/feature/my-feature-test.feature
 ```
 
 Race detection is a complex thing to do, so it will make running tests significantly slower. The pipeline runs the tests with race detection, so this shouldn't be required to do locally.
@@ -66,6 +66,6 @@ Feature: A feature that reproduces some system test
   Background:
     Given the insurance pool initial balance for the markets is "0":
     And the execution engine have these markets:
-      | name      | baseName | quoteName | asset | markprice | risk model | lamd/long              | tau/short              | mu | r  | sigma | release factor | initial factor | search factor | settlementPrice | openAuction | trading mode | makerFee | infrastructureFee | liquidityFee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | Prob of trading |
-      | ETH/DEC20 | ETH      | ETH       | ETH   | 100       | simple     | 0.08628781058136630000 | 0.09370922348428490000 | -1 | -1 | -1    | 1.4            | 1.2            | 1.1           | 100             | 1           | continuous   |    0.004 |             0.001 |          0.3 |                 0  |                |             |                 | 0.1             |
+      | name      | baseName | quoteName | asset | risk model | lamd/long              | tau/short              | mu | r  | sigma | release factor | initial factor | search factor | settlementPrice | openAuction | trading mode | makerFee | infrastructureFee | liquidityFee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | Prob of trading |
+      | ETH/DEC20 | ETH      | ETH       | ETH   | simple     | 0.08628781058136630000 | 0.09370922348428490000 | -1 | -1 | -1    | 1.4            | 1.2            | 1.1           | 100             | 1           | continuous   |    0.004 |             0.001 |          0.3 |                 0  |                |             |                 | 0.1             |
 ```

integration/core_test.go

@@ -28,31 +28,27 @@ var (
 
 func initialiseMarket(row *gherkin.TableRow, mkt *proto.Market) {
 	// the header of the feature file (ie where to find the data in the row) looks like this:
-	// | name      | markprice | risk model | lamd | tau         | mu | r | sigma     | release factor | initial factor | search factor |
+	// | name      | risk model | lamd | tau         | mu | r | sigma     | release factor | initial factor | search factor |
 
-	// general stuff like name, ID, code, asset, and initial mark price
-	// mkt.TradingMode = proto.Market_TRADING_MODE_CONTINUOUS
-	// mkt.State = proto.Market_STATE_ACTIVE
+	// general stuff like name, ID, code, asset
 	parts := strings.Split(row.Cells[0].Value, "/")
-	mkt.Id = fmt.Sprintf("Crypto/%s/Futures/%s", parts[0], parts[1])
+	mkt.Id = val(row, 0)
 	mkt.TradableInstrument.Instrument.Code = fmt.Sprintf("FX:%s%s", parts[0], parts[1])
 	prod := mkt.TradableInstrument.Instrument.GetFuture()
 	prod.SettlementAsset = parts[0]
 	mkt.TradableInstrument.Instrument.Product = &proto.Instrument_Future{
 		Future: prod,
 	} // set asset, reassign the product
-	mkt.TradableInstrument.Instrument.InitialMarkPrice, _ = strconv.ParseUint(row.Cells[1].Value, 10, 64)
 
 	// whether it's lambd/tau or short/long depends on the risk model
-	lambdShort, _ := strconv.ParseFloat(row.Cells[3].Value, 64)
-	tauLong, _ := strconv.ParseFloat(row.Cells[4].Value, 64)
+	lambdShort, _ := strconv.ParseFloat(row.Cells[2].Value, 64)
+	tauLong, _ := strconv.ParseFloat(row.Cells[3].Value, 64)
 	// we'll always need to use these
-	release, _ := strconv.ParseFloat(row.Cells[8].Value, 64)
-	initial, _ := strconv.ParseFloat(row.Cells[9].Value, 64)
-	search, _ := strconv.ParseFloat(row.Cells[10].Value, 64)
-	//openAuctionDuration, _ := strconv.ParseInt(row.Cells[11].Value, 10, 64)
-	if row.Cells[12].Value != "continuous" {
-		batchDuration, _ := strconv.ParseInt(row.Cells[12].Value, 10, 64)
+	release, _ := strconv.ParseFloat(row.Cells[7].Value, 64)
+	initial, _ := strconv.ParseFloat(row.Cells[8].Value, 64)
+	search, _ := strconv.ParseFloat(row.Cells[9].Value, 64)
+	if row.Cells[11].Value != "continuous" {
+		batchDuration, _ := strconv.ParseInt(row.Cells[11].Value, 10, 64)
 		mkt.TradingModeConfig = &proto.Market_Discrete{
 			Discrete: &proto.DiscreteTrading{
 				DurationNs: batchDuration,
@@ -68,7 +64,9 @@ func initialiseMarket(row *gherkin.TableRow, mkt *proto.Market) {
 	}
 
 	// simple risk model:
-	if row.Cells[2].Value == "simple" {
+	fmt.Printf("Market %v\n", logging.Market(*mkt).String)
+
+	if row.Cells[1].Value == "simple" {
 		mkt.TradableInstrument.RiskModel = &proto.TradableInstrument_SimpleRiskModel{
 			SimpleRiskModel: &proto.SimpleRiskModel{
 				Params: &proto.SimpleModelParams{
@@ -80,9 +78,9 @@ func initialiseMarket(row *gherkin.TableRow, mkt *proto.Market) {
 		return
 	}
 	// for now, default to/assume future (forward risk model)
-	mu, _ := strconv.ParseFloat(row.Cells[5].Value, 64)
-	r, _ := strconv.ParseFloat(row.Cells[6].Value, 64)
-	sigma, _ := strconv.ParseFloat(row.Cells[7].Value, 64)
+	mu, _ := strconv.ParseFloat(row.Cells[4].Value, 64)
+	r, _ := strconv.ParseFloat(row.Cells[5].Value, 64)
+	sigma, _ := strconv.ParseFloat(row.Cells[6].Value, 64)
 	// No opening auction for now
 	//mkt.OpeningAuction.Duration = openAuctionDuration
 	mkt.TradableInstrument.RiskModel = &proto.TradableInstrument_LogNormalRiskModel{
@@ -177,7 +175,11 @@ func theMarket(mSetup *gherkin.DataTable) error {
 		return err
 	}
 
-	m.StartOpeningAuction(context.Background())
+	err = m.StartOpeningAuction(context.Background())
+	if err != nil {
+		return err
+	}
+
 	mktsetup.core = m
 	core = m
 	return nil

integration/execution_layer_test.go

@@ -798,7 +798,7 @@ func theMarkPriceForTheMarketIs(market, markPriceStr string) error {
 	}
 
 	if mktdata.MarkPrice != markPrice {
-		return fmt.Errorf("mark price if wrong for market(%v), expected(%v) got(%v)", market, markPrice, mktdata.MarkPrice)
+		return fmt.Errorf("mark price is wrong for market(%v), expected(%v) got(%v)", market, markPrice, mktdata.MarkPrice)
 	}
 
 	return nil
@@ -991,17 +991,17 @@ func accountID(marketID, partyID, asset string, _ty int32) string {
 }
 
 func baseMarket(row *gherkin.TableRow) types.Market {
-	horizons, err := i64arr(row, 21, ",")
+	horizons, err := i64arr(row, 20, ",")
 	if err != nil {
-		log.Fatalf("Can't parse horizons (%v) to int64 array: %v", row.Cells[21].Value, err)
+		log.Fatalf("Can't parse horizons (%v) to int64 array: %v", row.Cells[20].Value, err)
 	}
-	probs, err := f64arr(row, 22, ",")
+	probs, err := f64arr(row, 21, ",")
 	if err != nil {
-		log.Fatalf("Can't parse probabilities (%v) to float64 array: %v", row.Cells[22].Value, err)
+		log.Fatalf("Can't parse probabilities (%v) to float64 array: %v", row.Cells[21].Value, err)
 	}
-	durations, err := i64arr(row, 23, ",")
+	durations, err := i64arr(row, 22, ",")
 	if err != nil {
-		log.Fatalf("Can't parse durations (%v) to int64 array: %v", row.Cells[23].Value, err)
+		log.Fatalf("Can't parse durations (%v) to int64 array: %v", row.Cells[22].Value, err)
 	}
 	n := len(horizons)
 	if n != len(probs) || n != len(durations) {
@@ -1020,11 +1020,11 @@ func baseMarket(row *gherkin.TableRow) types.Market {
 		Parameters: &types.PriceMonitoringParameters{
 			Triggers: triggs,
 		},
-		UpdateFrequency: i64val(row, 20),
+		UpdateFrequency: i64val(row, 19),
 	}
 
 	openingAuction := &types.AuctionDuration{
-		Duration: i64val(row, 15),
+		Duration: i64val(row, 14),
 	}
 
 	if openingAuction.Duration <= 0 {
@@ -1038,9 +1038,9 @@ func baseMarket(row *gherkin.TableRow) types.Market {
 		DecimalPlaces: 2,
 		Fees: &types.Fees{
 			Factors: &types.FeeFactors{
-				LiquidityFee:      val(row, 19),
-				InfrastructureFee: val(row, 18),
-				MakerFee:          val(row, 17),
+				LiquidityFee:      val(row, 18),
+				InfrastructureFee: val(row, 17),
+				MakerFee:          val(row, 16),
 			},
 		},
 		TradableInstrument: &types.TradableInstrument{
@@ -1054,15 +1054,14 @@ func baseMarket(row *gherkin.TableRow) types.Market {
 						"product:futures",
 					},
 				},
-				InitialMarkPrice: u64val(row, 4),
 				Product: &types.Instrument_Future{
 					Future: &types.Future{
 						Maturity: marketExpiry,
 						Oracle: &types.Future_EthereumEvent{
 							EthereumEvent: &types.EthereumEvent{
 								ContractId: "0x0B484706fdAF3A4F24b2266446B1cb6d648E3cC1",
 								Event:      "price_changed",
-								Value:      u64val(row, 14),
+								Value:      u64val(row, 13),
 							},
 						},
 						SettlementAsset: val(row, 3),
@@ -1073,19 +1072,19 @@ func baseMarket(row *gherkin.TableRow) types.Market {
 			RiskModel: &types.TradableInstrument_SimpleRiskModel{
 				SimpleRiskModel: &types.SimpleRiskModel{
 					Params: &types.SimpleModelParams{
-						FactorLong:           f64val(row, 6),
-						FactorShort:          f64val(row, 7),
-						MaxMoveUp:            f64val(row, 8),
-						MinMoveDown:          f64val(row, 9),
-						ProbabilityOfTrading: f64val(row, 24),
+						FactorLong:           f64val(row, 5),
+						FactorShort:          f64val(row, 6),
+						MaxMoveUp:            f64val(row, 7),
+						MinMoveDown:          f64val(row, 8),
+						ProbabilityOfTrading: f64val(row, 23),
 					},
 				},
 			},
 			MarginCalculator: &types.MarginCalculator{
 				ScalingFactors: &types.ScalingFactors{
-					SearchLevel:       f64val(row, 13),
-					InitialMargin:     f64val(row, 12),
-					CollateralRelease: f64val(row, 11),
+					SearchLevel:       f64val(row, 12),
+					InitialMargin:     f64val(row, 11),
+					CollateralRelease: f64val(row, 10),
 				},
 			},
 		},
@@ -1099,15 +1098,15 @@ func baseMarket(row *gherkin.TableRow) types.Market {
 			ScalingFactor: 10,
 		},
 	}
-	if val(row, 5) == "forward" {
+	if val(row, 4) == "forward" {
 		mkt.TradableInstrument.RiskModel = &types.TradableInstrument_LogNormalRiskModel{
 			LogNormalRiskModel: &types.LogNormalRiskModel{
-				RiskAversionParameter: f64val(row, 6), // 6
-				Tau:                   f64val(row, 7), // 7
+				RiskAversionParameter: f64val(row, 5), // 5
+				Tau:                   f64val(row, 6), // 6
 				Params: &types.LogNormalModelParams{
-					Mu:    f64val(row, 8),  // 8
-					R:     f64val(row, 9),  // 9
-					Sigma: f64val(row, 10), //10
+					Mu:    f64val(row, 7), // 7
+					R:     f64val(row, 8), // 8
+					Sigma: f64val(row, 9), //9
 				},
 			},
 		}

integration/features/1779-cannot-place-network-order.feature

@@ -3,17 +3,17 @@ Feature: Cannot place an network order
   Background:
     Given the insurance pool initial balance for the markets is "0":
     And the execution engine have these markets:
-      | name      | baseName | quoteName | asset | markprice | risk model | lamd/long | tau/short | mu | r | sigma | release factor | initial factor | search factor | settlementPrice | openAuction | trading mode | makerFee | infrastructureFee | liquidityFee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | Prob of trading |
-      | ETH/DEC19 | BTC      | ETH       | ETH   |      1000 | simple     |      0.11 |       0.1 |  0 | 0 |     0 |            1.4 |            1.2 |           1.1 |              42 |           0 | continuous   |        0 |                 0 |            0 |                 0  |                |             |                 | 0.1             |
+      | name      | baseName | quoteName | asset | risk model | lamd/long | tau/short | mu | r | sigma | release factor | initial factor | search factor | settlementPrice | openAuction | trading mode | makerFee | infrastructureFee | liquidityFee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | Prob of trading |
+      | ETH/DEC19 | BTC      | ETH       | ETH   | simple     | 0.11      | 0.1       | 0  | 0 | 0     | 1.4            | 1.2            | 1.1           | 42              | 0           | continuous   | 0        | 0                 | 0            | 0                  |                |             |                 | 0.1             |
 
   Scenario: an order is rejected if a trader try to place an order with type NETWORK
     Given the following traders:
       | name    | amount |
-      | trader1 |      1 |
+      | trader1 | 1      |
     Then I Expect the traders to have new general account:
       | name    | asset |
       | trader1 | ETH   |
     And "trader1" general accounts balance is "1"
     Then traders place following failing orders:
-      | trader  | id        | type | volume | price | error              | type    |
-      | trader1 | ETH/DEC19 | sell |      1 |  1000 | invalid order type | TYPE_NETWORK |
+      | trader  | id        | type | volume | price | error              | type         |
+      | trader1 | ETH/DEC19 | sell | 1      | 1000  | invalid order type | TYPE_NETWORK |

integration/features/1847-closeout-long-with-fees.feature

@@ -3,8 +3,8 @@ Feature: Long close-out test (see ln 293 of system-tests/grpc/trading/tradesTest
   Background:
     Given the insurance pool initial balance for the markets is "0":
     And the execution engine have these markets:
-      | name      | baseName | quoteName | asset | markprice | risk model | lamd/long | tau/short | mu | r  | sigma | release factor | initial factor | search factor | settlementPrice | openAuction | trading mode | makerFee | infrastructureFee | liquidityFee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | Prob of trading |
-      | ETH/DEC19 | ETH      | BTC       | BTC   | 100       | simple     | 0.1       | 0.1       | -1 | -1 | -1    | 1.4            | 1.2            | 1.1           | 100             | 0           | continuous   | 0.00025  | 0.0005            | 0.001        |                 0  |                |             |                 | 0.1             |
+      | name      | baseName | quoteName | asset | risk model | lamd/long | tau/short | mu | r  | sigma | release factor | initial factor | search factor | settlementPrice | openAuction | trading mode | makerFee | infrastructureFee | liquidityFee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | Prob of trading |
+      | ETH/DEC19 | ETH      | BTC       | BTC   | simple     | 0.1       | 0.1       | -1 | -1 | -1    | 1.4            | 1.2            | 1.1           | 100             | 0           | continuous   | 0.00025  | 0.0005            | 0.001        | 0                  |                |             |                 | 0.1             |
 
   Scenario: https://drive.google.com/file/d/1bYWbNJvG7E-tcqsK26JMu2uGwaqXqm0L/view
     # setup accounts