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Remove obsolete initial mark price network parameter #3041

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Mar 10, 2021
Merged

Remove obsolete initial mark price network parameter #3041

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7599fe0
Remove obsolete initial mark price network parameter
ValentinTrinque Mar 9, 2021
e697466
Create mark price (set to 99) for LP commitment test
EVODelavega Mar 9, 2021
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5 changes: 0 additions & 5 deletions cmd/vega/init.go
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Original file line number Diff line number Diff line change
Expand Up @@ -174,7 +174,6 @@ func createDefaultMarkets(confpath string) ([]string, error) {
settlementAsset string
quoteName string
maturity time.Time
initialMarkPrice uint64
settlementValue uint64
sigma float64
riskAversionParameter float64
Expand All @@ -187,7 +186,6 @@ 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,
Expand All @@ -200,7 +198,6 @@ 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,
Expand All @@ -213,7 +210,6 @@ 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,
Expand Down Expand Up @@ -252,7 +248,6 @@ func createDefaultMarkets(confpath string) ([]string, error) {
"product:futures",
},
},
InitialMarkPrice: skel.initialMarkPrice,
Product: &proto.Instrument_Future{
Future: &proto.Future{
QuoteName: skel.quoteName,
Expand Down
40 changes: 38 additions & 2 deletions execution/margin_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -12,16 +12,52 @@ import (
)

func TestMargins(t *testing.T) {
party1 := "party1"
party1, party2, party3 := "party1", "party2", "party3"
now := time.Unix(10, 0)
closingAt := time.Unix(10000000000, 0)
tm := getTestMarket(t, now, closingAt, nil, nil)
price := uint64(100)
size := uint64(100)

addAccount(tm, party1)
addAccount(tm, party2)
addAccount(tm, party3)
tm.broker.EXPECT().Send(gomock.Any()).AnyTimes()

order1 := &types.Order{
Status: types.Order_STATUS_ACTIVE,
Type: types.Order_TYPE_LIMIT,
TimeInForce: types.Order_TIME_IN_FORCE_GTC,
Id: "someid12",
Side: types.Side_SIDE_BUY,
PartyId: party2,
MarketId: tm.market.GetID(),
Size: size,
Price: price,
Remaining: size,
CreatedAt: now.UnixNano(),
Reference: "party2-buy-order",
}
order2 := &types.Order{
Status: types.Order_STATUS_ACTIVE,
Type: types.Order_TYPE_LIMIT,
TimeInForce: types.Order_TIME_IN_FORCE_GTC,
Id: "someid123",
Side: types.Side_SIDE_SELL,
PartyId: party3,
MarketId: tm.market.GetID(),
Size: size,
Price: price,
Remaining: size,
CreatedAt: now.UnixNano(),
Reference: "party3-buy-order",
}
_, err := tm.market.SubmitOrder(context.TODO(), order1)
assert.NoError(t, err)
confirmation, err := tm.market.SubmitOrder(context.TODO(), order2)
assert.NoError(t, err)
assert.Equal(t, 1, len(confirmation.Trades))

orderBuy := &types.Order{
Status: types.Order_STATUS_ACTIVE,
Type: types.Order_TYPE_LIMIT,
Expand All @@ -37,7 +73,7 @@ func TestMargins(t *testing.T) {
Reference: "party1-buy-order",
}
// Create an order to amend
confirmation, err := tm.market.SubmitOrder(context.TODO(), orderBuy)
confirmation, err = tm.market.SubmitOrder(context.TODO(), orderBuy)
if !assert.NoError(t, err) {
t.Fatalf("Error: %v", err)
}
Expand Down
10 changes: 1 addition & 9 deletions execution/market.go
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Original file line number Diff line number Diff line change
Expand Up @@ -58,8 +58,6 @@ 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 ...
Expand Down Expand Up @@ -249,19 +247,14 @@ 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,
Expand Down Expand Up @@ -307,7 +300,6 @@ func NewMarket(
mkt: mkt,
closingAt: closingAt,
currentTime: now,
markPrice: tradableInstrument.Instrument.InitialMarkPrice,
matching: book,
tradableInstrument: tradableInstrument,
risk: riskEngine,
Expand Down
115 changes: 111 additions & 4 deletions execution/market_test.go
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Original file line number Diff line number Diff line change
Expand Up @@ -331,7 +331,6 @@ func getMarket(closingAt time.Time, pMonitorSettings *types.PriceMonitoringSetti
"product:futures",
},
},
InitialMarkPrice: 99,
Product: &types.Instrument_Future{
Future: &types.Future{
Maturity: closingAt.Format(time.RFC3339),
Expand Down Expand Up @@ -556,7 +555,7 @@ func TestMarketGetMarginOnNewOrderEmptyBook(t *testing.T) {
}

func TestMarketGetMarginOnFailNoFund(t *testing.T) {
party1 := "party1"
party1, party2, party3 := "party1", "party2", "party3"
now := time.Unix(10, 0)
closingAt := time.Unix(10000000000, 0)
tm := getTestMarket(t, now, closingAt, nil, nil)
Expand All @@ -565,6 +564,42 @@ func TestMarketGetMarginOnFailNoFund(t *testing.T) {
// this will create 2 traders, credit their account
// and move some monies to the market
addAccountWithAmount(tm, party1, 0)
addAccountWithAmount(tm, party2, 1000000)
addAccountWithAmount(tm, party3, 1000000)

order1 := &types.Order{
Status: types.Order_STATUS_ACTIVE,
Type: types.Order_TYPE_LIMIT,
TimeInForce: types.Order_TIME_IN_FORCE_GTC,
Id: "someid12",
Side: types.Side_SIDE_BUY,
PartyId: party2,
MarketId: tm.market.GetID(),
Size: 100,
Price: 100,
Remaining: 100,
CreatedAt: now.UnixNano(),
Reference: "party2-buy-order",
}
order2 := &types.Order{
Status: types.Order_STATUS_ACTIVE,
Type: types.Order_TYPE_LIMIT,
TimeInForce: types.Order_TIME_IN_FORCE_GTC,
Id: "someid123",
Side: types.Side_SIDE_SELL,
PartyId: party3,
MarketId: tm.market.GetID(),
Size: 100,
Price: 100,
Remaining: 100,
CreatedAt: now.UnixNano(),
Reference: "party3-buy-order",
}
_, err := tm.market.SubmitOrder(context.TODO(), order1)
assert.NoError(t, err)
confirmation, err := tm.market.SubmitOrder(context.TODO(), order2)
assert.NoError(t, err)
assert.Equal(t, 1, len(confirmation.Trades))

// submit orders
// party1 buys
Expand All @@ -589,7 +624,7 @@ func TestMarketGetMarginOnFailNoFund(t *testing.T) {
tm.broker.EXPECT().Send(gomock.Any()).AnyTimes()
// tm.transferResponseStore.EXPECT().Add(gomock.Any()).AnyTimes()

_, err := tm.market.SubmitOrder(context.Background(), orderBuy)
_, err = tm.market.SubmitOrder(context.Background(), orderBuy)
assert.NotNil(t, err)
assert.EqualError(t, err, "margin check failed")
}
Expand Down Expand Up @@ -1590,14 +1625,86 @@ func TestHandleLPCommitmentChange(t *testing.T) {
ctx := context.Background()
party1 := "party1"
party2 := "party2"
party3 := "party3"
party4 := "party4"
now := time.Unix(10, 0)
closingAt := time.Unix(10000000000, 0)
tm := getTestMarket(t, now, closingAt, nil, nil)
var matchingPrice uint64 = 111

addAccount(tm, party1)
addAccount(tm, party2)
addAccount(tm, party3)
addAccount(tm, party4)
tm.broker.EXPECT().Send(gomock.Any()).AnyTimes()
price := uint64(99)

order1 := &types.Order{
Type: types.Order_TYPE_LIMIT,
TimeInForce: types.Order_TIME_IN_FORCE_GTC,
Status: types.Order_STATUS_ACTIVE,
Id: "someid3",
Side: types.Side_SIDE_SELL,
PartyId: party3,
MarketId: tm.market.GetID(),
Size: 1,
Price: price,
Remaining: 1,
CreatedAt: now.UnixNano(),
Reference: "party3-sell-order-1",
}
order2 := &types.Order{
Type: types.Order_TYPE_LIMIT,
TimeInForce: types.Order_TIME_IN_FORCE_GTC,
Status: types.Order_STATUS_ACTIVE,
Id: "someid4",
Side: types.Side_SIDE_BUY,
PartyId: party4,
MarketId: tm.market.GetID(),
Size: 1,
Price: price,
Remaining: 1,
CreatedAt: now.UnixNano(),
Reference: "party4-sell-order-1",
}
_, err := tm.market.SubmitOrder(context.TODO(), order1)
assert.NoError(t, err)
confirmationSell, err := tm.market.SubmitOrder(ctx, order2)
assert.NoError(t, err)
require.Equal(t, 1, len(confirmationSell.Trades))
order1 = &types.Order{
Type: types.Order_TYPE_LIMIT,
TimeInForce: types.Order_TIME_IN_FORCE_GTC,
Status: types.Order_STATUS_ACTIVE,
Id: "someid5",
Side: types.Side_SIDE_SELL,
PartyId: party4,
MarketId: tm.market.GetID(),
Size: 1,
Price: price,
Remaining: 1,
CreatedAt: now.UnixNano(),
Reference: "party5-sell-order-1",
}
order2 = &types.Order{
Type: types.Order_TYPE_LIMIT,
TimeInForce: types.Order_TIME_IN_FORCE_GTC,
Status: types.Order_STATUS_ACTIVE,
Id: "someid6",
Side: types.Side_SIDE_BUY,
PartyId: party3,
MarketId: tm.market.GetID(),
Size: 1,
Price: price,
Remaining: 1,
CreatedAt: now.UnixNano(),
Reference: "party6-sell-order-1",
}
_, err = tm.market.SubmitOrder(context.TODO(), order1)
assert.NoError(t, err)
confirmationSell, err = tm.market.SubmitOrder(ctx, order2)
assert.NoError(t, err)
require.Equal(t, 1, len(confirmationSell.Trades))

//TODO (WG 07/01/21): Currently limit orders need to be present on order book for liquidity provision submission to work, remove once fixed.
orderSell1 := &types.Order{
Expand All @@ -1615,7 +1722,7 @@ func TestHandleLPCommitmentChange(t *testing.T) {
ExpiresAt: closingAt.UnixNano(),
Reference: "party2-sell-order-1",
}
confirmationSell, err := tm.market.SubmitOrder(ctx, orderSell1)
confirmationSell, err = tm.market.SubmitOrder(ctx, orderSell1)
require.NotNil(t, confirmationSell)
require.NoError(t, err)

Expand Down
5 changes: 1 addition & 4 deletions governance/market.go
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Original file line number Diff line number Diff line change
Expand Up @@ -91,18 +91,15 @@ func assignTradingMode(definition *types.NewMarketConfiguration, target *types.M
}

func createInstrument(
netp NetParams,
input *types.InstrumentConfiguration,
tags []string,
) (*types.Instrument, types.ProposalError, error) {
initialMarkPrice, _ := netp.GetInt(netparams.MarketInitialMarkPrice)
result := &types.Instrument{
Name: input.Name,
Code: input.Code,
Metadata: &types.InstrumentMetadata{
Tags: tags,
},
InitialMarkPrice: uint64(initialMarkPrice),
}

if perr, err := assignProduct(input, result); err != nil {
Expand Down Expand Up @@ -140,7 +137,7 @@ func createMarket(
if perr, err := validateNewMarket(currentTime, definition, assets, true, netp, openingAuctionDuration); err != nil {
return nil, perr, err
}
instrument, perr, err := createInstrument(netp, definition.Instrument, definition.Metadata)
instrument, perr, err := createInstrument(definition.Instrument, definition.Metadata)
if err != nil {
return nil, perr, err
}
Expand Down
10 changes: 5 additions & 5 deletions integration/features/1779-cannot-place-network-order.feature
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Expand Up @@ -3,20 +3,20 @@ 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 | quote name | asset | mark price | risk model | lamd/long | tau/short | mu/max move up | r/min move down | sigma | release factor | initial factor | search factor | settlement price | auction duration | maker fee | infrastructure fee | liquidity fee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | prob. of trading | oracle spec pub. keys | oracle spec property | oracle spec property type | oracle spec binding |
| ETH/DEC19 | ETH | ETH | 1000 | simple | 0.11 | 0.1 | 0 | 0 | 0 | 1.4 | 1.2 | 1.1 | 42 | 0 | 0 | 0 | 0 | 0 | | | | 0.1 | 0xDEADBEEF,0xCAFEDOOD | prices.ETH.value | TYPE_INTEGER | prices.ETH.value |
| name | quote name | asset | risk model | lamd/long | tau/short | mu/max move up | r/min move down | sigma | release factor | initial factor | search factor | settlement price | auction duration | maker fee | infrastructure fee | liquidity fee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | prob. of trading | oracle spec pub. keys | oracle spec property | oracle spec property type | oracle spec binding |
| ETH/DEC19 | ETH | ETH | simple | 0.11 | 0.1 | 0 | 0 | 0 | 1.4 | 1.2 | 1.1 | 42 | 0 | 0 | 0 | 0 | 0 | | | | 0.1 | 0xDEADBEEF,0xCAFEDOOD | prices.ETH.value | TYPE_INTEGER | prices.ETH.value |
And oracles broadcast data signed with "0xDEADBEEF":
| name | value |
| prices.ETH.value | 42 |

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 |
4 changes: 2 additions & 2 deletions integration/features/1847-closeout-long-with-fees.feature
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Expand Up @@ -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 | quote name | asset | mark price | risk model | lamd/long | tau/short | mu/max move up | r/min move down | sigma | release factor | initial factor | search factor | settlement price | auction duration | maker fee | infrastructure fee | liquidity fee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | prob. of trading | oracle spec pub. keys | oracle spec property | oracle spec property type | oracle spec binding |
| ETH/DEC19 | BTC | BTC | 100 | simple | 0.1 | 0.1 | -1 | -1 | -1 | 1.4 | 1.2 | 1.1 | 100 | 0 | 0.00025 | 0.0005 | 0.001 | 0 | | | | 0.1 | 0xDEADBEEF,0xCAFEDOOD | prices.ETH.value | TYPE_INTEGER | prices.ETH.value |
| name | quote name | asset | risk model | lamd/long | tau/short | mu/max move up | r/min move down | sigma | release factor | initial factor | search factor | settlement price | auction duration | maker fee | infrastructure fee | liquidity fee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | prob. of trading | oracle spec pub. keys | oracle spec property | oracle spec property type | oracle spec binding |
| ETH/DEC19 | BTC | BTC | simple | 0.1 | 0.1 | -1 | -1 | -1 | 1.4 | 1.2 | 1.1 | 100 | 0 | 0.00025 | 0.0005 | 0.001 | 0 | | | | 0.1 | 0xDEADBEEF,0xCAFEDOOD | prices.ETH.value | TYPE_INTEGER | prices.ETH.value |
And oracles broadcast data signed with "0xDEADBEEF":
| name | value |
| prices.ETH.value | 100 |
Expand Down
4 changes: 2 additions & 2 deletions integration/features/1847-closeout-long.feature
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Original file line number Diff line number Diff line change
Expand Up @@ -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 | quote name | asset | mark price | risk model | lamd/long | tau/short | mu/max move up | r/min move down | sigma | release factor | initial factor | search factor | settlement price | auction duration | maker fee | infrastructure fee | liquidity fee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | prob. of trading | oracle spec pub. keys | oracle spec property | oracle spec property type | oracle spec binding |
| ETH/DEC19 | BTC | BTC | 100 | simple | 0.1 | 0.1 | -1 | -1 | -1 | 1.4 | 1.2 | 1.1 | 100 | 0 | 0 | 0 | 0 | 0 | | | | 0.1 | 0xDEADBEEF,0xCAFEDOOD | prices.ETH.value | TYPE_INTEGER | prices.ETH.value |
| name | quote name | asset | risk model | lamd/long | tau/short | mu/max move up | r/min move down | sigma | release factor | initial factor | search factor | settlement price | auction duration | maker fee | infrastructure fee | liquidity fee | p. m. update freq. | p. m. horizons | p. m. probs | p. m. durations | prob. of trading | oracle spec pub. keys | oracle spec property | oracle spec property type | oracle spec binding |
| ETH/DEC19 | BTC | BTC | simple | 0.1 | 0.1 | -1 | -1 | -1 | 1.4 | 1.2 | 1.1 | 100 | 0 | 0 | 0 | 0 | 0 | | | | 0.1 | 0xDEADBEEF,0xCAFEDOOD | prices.ETH.value | TYPE_INTEGER | prices.ETH.value |
And oracles broadcast data signed with "0xDEADBEEF":
| name | value |
| prices.ETH.value | 100 |
Expand Down
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