Merge pull request #2239 from vegaprotocol/feature/check-for-funds-to…

…-release

ensure margin accounts funds are release each time a position goes back completely to 0.

collateral/engine.go

@@ -1318,6 +1318,39 @@ func (e *Engine) RemoveDistressed(ctx context.Context, traders []events.MarketPo
 	return &resp, nil
 }
 
+func (e *Engine) ClearPartyMarginAccount(ctx context.Context, party, market, asset string) (*types.TransferResponse, error) {
+	acc, err := e.GetAccountByID(e.accountID(market, party, asset, types.AccountType_ACCOUNT_TYPE_MARGIN))
+	if err != nil {
+		return nil, err
+	}
+	resp := types.TransferResponse{
+		Transfers: []*types.LedgerEntry{},
+	}
+
+	if acc.Balance > 0 {
+		genAcc, err := e.GetAccountByID(e.accountID(noMarket, party, asset, types.AccountType_ACCOUNT_TYPE_GENERAL))
+		if err != nil {
+			return nil, err
+		}
+
+		resp.Transfers = append(resp.Transfers, &types.LedgerEntry{
+			FromAccount: acc.Id,
+			ToAccount:   genAcc.Id,
+			Amount:      acc.Balance,
+			Reference:   types.TransferType_TRANSFER_TYPE_MARGIN_HIGH.String(),
+			Type:        types.TransferType_TRANSFER_TYPE_MARGIN_HIGH.String(),
+			Timestamp:   e.currentTime,
+		})
+		if err := e.IncrementBalance(ctx, genAcc.Id, acc.Balance); err != nil {
+			return nil, err
+		}
+		if err := e.UpdateBalance(ctx, acc.Id, 0); err != nil {
+			return nil, err
+		}
+	}
+	return &resp, nil
+}
+
 // CreateMarketAccounts will create all required accounts for a market once
 // a new market is accepted through the network
 func (e *Engine) CreateMarketAccounts(ctx context.Context, marketID, asset string, insurance uint64) (insuranceID, settleID string, err error) {

collateral/engine_test.go

@@ -42,6 +42,7 @@ func TestCollateralTransfer(t *testing.T) {
 	t.Run("test collecting sells - cases where settle account is full + where insurance pool is tapped", testDistributeWin)
 	t.Run("test collecting both buys and sells - Successfully collect buy and sell in a single call", testProcessBoth)
 	t.Run("test distribution insufficient funds - Transfer losses (partial), distribute wins pro-rate", testProcessBothProRated)
+	t.Run("test releas party margin account", testReleasePartyMarginAccount)
 }
 
 func TestCollateralMarkToMarket(t *testing.T) {
@@ -98,6 +99,36 @@ func testFeesTransferContinuousNoTransfer(t *testing.T) {
 	assert.Nil(t, err)
 }
 
+func testReleasePartyMarginAccount(t *testing.T) {
+	eng := getTestEngine(t, "test-market", 0)
+	defer eng.Finish()
+
+	trader := "mytrader"
+	// create trader
+	eng.broker.EXPECT().Send(gomock.Any()).Times(4)
+	gen, err := eng.Engine.CreatePartyGeneralAccount(context.Background(), trader, testMarketAsset)
+	mar, err := eng.Engine.CreatePartyMarginAccount(context.Background(), trader, testMarketID, testMarketAsset)
+	assert.Nil(t, err)
+
+	// add funds
+	eng.broker.EXPECT().Send(gomock.Any()).Times(1)
+	err = eng.Engine.UpdateBalance(context.Background(), gen, 100)
+	assert.Nil(t, err)
+	eng.broker.EXPECT().Send(gomock.Any()).Times(1)
+	err = eng.Engine.UpdateBalance(context.Background(), mar, 500)
+	assert.Nil(t, err)
+
+	eng.broker.EXPECT().Send(gomock.Any()).Times(2)
+	_, err = eng.ClearPartyMarginAccount(
+		context.Background(), trader, testMarketID, testMarketAsset)
+	assert.NoError(t, err)
+	generalAcc, _ := eng.GetAccountByID(gen)
+	assert.Equal(t, 600, int(generalAcc.Balance))
+	marginAcc, _ := eng.GetAccountByID(mar)
+	assert.Equal(t, 0, int(marginAcc.Balance))
+
+}
+
 func testFeeTransferContinuousNoFunds(t *testing.T) {
 	eng := getTestEngine(t, "test-market", 0)
 	defer eng.Finish()
@@ -127,6 +158,7 @@ func testFeeTransferContinuousNoFunds(t *testing.T) {
 		context.Background(), testMarketID, testMarketAsset, transferFeesReq)
 	assert.Nil(t, transfers)
 	assert.EqualError(t, err, collateral.ErrInsufficientFundsToPayFees.Error())
+
 }
 
 func testFeeTransferContinuousNotEnoughFunds(t *testing.T) {

execution/market.go

@@ -631,6 +631,33 @@ func (m *Market) validateAccounts(ctx context.Context, order *types.Order) error
 	return nil
 }
 
+func (m *Market) releaseMarginExcess(ctx context.Context, partyID string) {
+	// if this position went 0
+	pos, ok := m.position.GetPositionByPartyID(partyID)
+	if !ok {
+		// position was never created or party went distressed and don't exist
+		// all good we can return
+		return
+	}
+
+	// now chec if all  buy/sell/size are 0
+	if pos.Buy() != 0 || pos.Sell() != 0 || pos.Size() != 0 || pos.VWBuy() != 0 || pos.VWSell() != 0 {
+		// position is not 0, nothing to release surely
+		return
+	}
+
+	asset, _ := m.mkt.GetAsset()
+	transfers, err := m.collateral.ClearPartyMarginAccount(
+		ctx, partyID, m.GetID(), asset)
+	if err != nil {
+		m.log.Error("unable to clear party margin account", logging.Error(err))
+		return
+	}
+	evt := events.NewTransferResponse(
+		ctx, []*types.TransferResponse{transfers})
+	m.broker.Send(evt)
+}
+
 // SubmitOrder submits the given order
 func (m *Market) SubmitOrder(ctx context.Context, order *types.Order) (*types.OrderConfirmation, error) {
 	timer := metrics.NewTimeCounter(m.mkt.Id, "market", "SubmitOrder")
@@ -692,6 +719,10 @@ func (m *Market) SubmitOrder(ctx context.Context, order *types.Order) (*types.Or
 		return nil, ErrMarginCheckFailed
 	}
 
+	// from here we may have assigned some margin.
+	// we add the check to roll it back in case we have a 0 positions after this
+	defer m.releaseMarginExcess(ctx, order.PartyID)
+
 	// If we are not in an opening auction, apply fees
 	var trades []*types.Trade
 	if m.mkt.OpeningAuction == nil &&
@@ -1541,6 +1572,8 @@ func (m *Market) CancelOrder(ctx context.Context, partyID, orderID string) (*typ
 		return nil, types.ErrInvalidPartyID
 	}
 
+	defer m.releaseMarginExcess(ctx, partyID)
+
 	cancellation, err := m.matching.CancelOrder(order)
 	if cancellation == nil || err != nil {
 		if m.log.GetLevel() == logging.DebugLevel {

integration/features/ensure-funds-are-released.feature

@@ -0,0 +1,92 @@
+Feature: Test margins releases on position = 0
+
+  Background:
+    Given the insurance pool initial balance for the markets is "0":
+    And the executon 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 |
+      | ETH/DEC19 | ETH      | BTC       | BTC   |        94 | simple     |       0.2 |       0.1 |  0 | 0.016 |   2.0 |              5 |              4 |           3.2 |              42 |           0 | continuous   |        0 |                 0 |            0 |
+
+  Scenario: No margin left for fok order as first order
+# setup accounts
+    Given the following traders:
+      | name             |     amount |
+      | traderGuy        | 1000000000 |
+    Then I Expect the traders to have new general account:
+      | name             | asset |
+      | traderGuy        | BTC   |
+
+# setup previous mark price
+    Then traders place following orders:
+      | trader           | id        | type | volume |    price | resulting trades | type  | tif |
+
+    Then traders place following orders:
+      | trader    | id        | type | volume | price | resulting trades | type       | tif     |
+      | traderGuy | ETH/DEC19 | buy  |     13 | 15000 |                0 | TYPE_LIMIT | TIF_FOK |
+
+# checking margins
+    Then I expect the trader to have a margin:
+      | trader    | asset | id        | margin |   general |
+      | traderGuy | BTC   | ETH/DEC19 |      0 | 1000000000 |
+
+  Scenario: No margin left for wash trade
+# setup accounts
+    Given the following traders:
+      | name             |     amount |
+      | traderGuy        | 1000000000 |
+    Then I Expect the traders to have new general account:
+      | name             | asset |
+      | traderGuy        | BTC   |
+
+# setup previous mark price
+    Then traders place following orders:
+      | trader           | id        | type | volume |    price | resulting trades | type  | tif |
+
+    Then traders place following orders:
+      | trader    | id        | type | volume | price | resulting trades | type       | tif     |
+      | traderGuy | ETH/DEC19 | buy  |     13 | 15000 |                0 | TYPE_LIMIT | TIF_GTC |
+
+# checking margins
+    Then I expect the trader to have a margin:
+      | trader    | asset | id        | margin |   general |
+      | traderGuy | BTC   | ETH/DEC19 |      980 | 999999020 |
+
+# now we place an order which would wash trade and see
+    Then traders place following orders:
+      | trader    | id        | type | volume | price | resulting trades | type       | tif     |
+      | traderGuy | ETH/DEC19 | sell |     13 | 15000 |                0 | TYPE_LIMIT | TIF_GTC |
+
+# checking margins, should have the margins required for the current order
+    Then I expect the trader to have a margin:
+      | trader    | asset | id        | margin |   general |
+      | traderGuy | BTC   | ETH/DEC19 |    980 | 999999020 |
+
+  Scenario: No margin left after cancelling order and getting back to 0 position
+# setup accounts
+    Given the following traders:
+      | name             |     amount |
+      | traderGuy        | 1000000000 |
+    Then I Expect the traders to have new general account:
+      | name             | asset |
+      | traderGuy        | BTC   |
+
+# setup previous mark price
+    Then traders place following orders:
+      | trader           | id        | type | volume |    price | resulting trades | type  | tif |
+
+    Then traders place following orders with references:
+      | trader    | id        | type | volume | price | resulting trades | type       | tif     | reference |
+      | traderGuy | ETH/DEC19 | buy  |     13 | 15000 |                0 | TYPE_LIMIT | TIF_GTC | ref-1 |
+
+# checking margins
+    Then I expect the trader to have a margin:
+      | trader    | asset | id        | margin |   general |
+      | traderGuy | BTC   | ETH/DEC19 |      980 | 999999020 |
+
+# cancel the order
+    Then traders cancels the following orders reference:
+      | trader    | reference |
+      | traderGuy | ref-1     |
+
+    Then I expect the trader to have a margin:
+      | trader    | asset | id        | margin |   general |
+      | traderGuy | BTC   | ETH/DEC19 |      0 | 1000000000 |