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feat: add tests for rebate cap
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‎core/integration/features/volume-rebate/0095-HVMR-cap.feature

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Feature: Volume rebate program - rebate cap
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Background:
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# Initialise the network and register the assets
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Given the average block duration is "1"
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And the following network parameters are set:
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| name | value |
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| market.fee.factors.makerFee | 0.01 |
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| market.fee.factors.infrastructureFee | 0.01 |
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| network.markPriceUpdateMaximumFrequency | 0s |
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| validators.epoch.length | 20s |
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| market.auction.minimumDuration | 1 |
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And the following assets are registered:
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| id | decimal places | quantum |
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| USD-0-1 | 0 | 1 |
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# Initialise the parties and deposit assets
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Given the parties deposit on asset's general account the following amount:
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| party | asset | amount |
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| aux1 | USD-0-1 | 1000000 |
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| aux2 | USD-0-1 | 1000000 |
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# Setup the markets
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Given the price monitoring named "price-monitoring":
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| horizon | probability | auction extension |
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| 3600 | 0.99 | 1 |
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And the markets:
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| id | quote name | asset | risk model | margin calculator | auction duration | fees | price monitoring | data source config | linear slippage factor | quadratic slippage factor | sla params | decimal places | position decimal places |
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| BTC/USD-0-1 | USD | USD-0-1 | default-log-normal-risk-model | default-margin-calculator | 1 | default-none | price-monitoring | default-eth-for-future | 1e-3 | 0 | default-futures | 0 | 0 |
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And the parties place the following orders:
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| party | market id | side | volume | price | resulting trades | type | tif |
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| aux1 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC |
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| aux2 | BTC/USD-0-1 | sell | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC |
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When the network moves ahead "2" blocks
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Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/USD-0-1"
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Given the parties deposit on asset's general account the following amount:
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| party | asset | amount |
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| party1 | USD-0-1 | 1000000 |
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| party2 | USD-0-1 | 1000000 |
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Scenario Outline: Fixed buyback, treasury and rebate factors. Rebate capped correctly where necessary. (0095-HVMR-029)(0095-HVMR-030)(0095-HVMR-31)
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Given the following network parameters are set:
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| name | value |
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| market.fee.factors.buybackFee | <buyback> |
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| market.fee.factors.treasuryFee | <treasury> |
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And the volume rebate program tiers named "vrt":
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| fraction | rebate |
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| 0.0001 | 0.001 |
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| 0.5000 | <rebate factor> |
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And the volume rebate program:
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| id | tiers | closing timestamp | window length |
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| id | vrt | 0 | 1 |
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And the network moves ahead "1" epochs
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Given the parties place the following orders:
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| party | market id | side | volume | price | resulting trades | type | tif | error |
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| party1 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 1 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
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| party2 | BTC/USD-0-1 | buy | 2 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 2 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
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When the network moves ahead "1" blocks
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Then the following trades should be executed:
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| buyer | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
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| party1 | aux1 | 1 | 50000 | sell | 0 | 500 |
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| party2 | aux1 | 2 | 50000 | sell | 0 | 1000 |
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Given the network moves ahead "1" epochs
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And the parties place the following orders:
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| party | market id | side | volume | price | resulting trades | type | tif | error |
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| party1 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| party2 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 2 | 50000 | 2 | TYPE_LIMIT | TIF_GTC | |
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When the network moves ahead "1" blocks
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Then the following trades should be executed:
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| buyer | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
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| party1 | aux1 | 1 | 50000 | sell | 0 | 50 |
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| party2 | aux1 | 1 | 50000 | sell | 0 | <rebate amount> |
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Then the following transfers should happen:
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| from | to | from account | to account | market id | amount | asset | type |
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| | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | 50 | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
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| | party2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | <rebate amount> | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
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Examples:
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| buyback | treasury | rebate factor | rebate amount |
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| 0.001 | 0.001 | 0.001 | 50 |
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| 0.001 | 0.001 | 0.002 | 100 |
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| 0.001 | 0.001 | 0.003 | 100 |
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| 0.002 | 0.000 | 0.001 | 50 |
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| 0.002 | 0.000 | 0.002 | 100 |
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| 0.002 | 0.000 | 0.003 | 100 |
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| 0.000 | 0.002 | 0.001 | 50 |
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| 0.000 | 0.002 | 0.002 | 100 |
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| 0.000 | 0.002 | 0.003 | 100 |
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Scenario Outline: Fixed buyback and treasury factors. Variable rebate factors. Rebate capped correctly where necessary. (0095-HVMR-032)(0095-HVMR-033)
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Given the following network parameters are set:
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| name | value |
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| market.fee.factors.buybackFee | <buyback> |
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| market.fee.factors.treasuryFee | <treasury> |
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And the volume rebate program tiers named "vrt":
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| fraction | rebate |
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| 0.0001 | 0.001 |
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| 0.5000 | <initial rebate factor> |
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And the volume rebate program:
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| id | tiers | closing timestamp | window length |
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| id | vrt | 0 | 1 |
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And the network moves ahead "1" epochs
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Given the parties place the following orders:
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| party | market id | side | volume | price | resulting trades | type | tif | error |
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| party1 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 1 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
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| party2 | BTC/USD-0-1 | buy | 2 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 2 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
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When the network moves ahead "1" blocks
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Then the following trades should be executed:
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| buyer | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
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| party1 | aux1 | 1 | 50000 | sell | 0 | 500 |
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| party2 | aux1 | 2 | 50000 | sell | 0 | 1000 |
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Given the network moves ahead "1" epochs
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And the parties place the following orders:
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| party | market id | side | volume | price | resulting trades | type | tif | error |
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| party1 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| party2 | BTC/USD-0-1 | buy | 2 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 3 | 50000 | 2 | TYPE_LIMIT | TIF_GTC | |
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When the network moves ahead "1" blocks
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Then the following trades should be executed:
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| buyer | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
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| party1 | aux1 | 1 | 50000 | sell | 0 | 50 |
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| party2 | aux1 | 2 | 50000 | sell | 0 | <initial rebate amount> |
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Then the following transfers should happen:
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| from | to | from account | to account | market id | amount | asset | type |
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| | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | 50 | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
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| | party2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | <initial rebate amount> | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
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Given the volume rebate program tiers named "vrt":
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| fraction | rebate |
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| 0.0001 | 0.001 |
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| 0.5000 | <updated rebate factor> |
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And the volume rebate program:
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| id | tiers | closing timestamp | window length |
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| id | vrt | 0 | 2 |
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# Note, we are having to forward two epochs here to ensure the
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# program is updated and then the updated benefits are used to set
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# the rebate factor. In future, this may be reworked so the program
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# is upated before the rebates are set on the same epoch boundary.
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When the network moves ahead "2" epochs
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And the parties place the following orders:
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| party | market id | side | volume | price | resulting trades | type | tif | error |
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| party1 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| party2 | BTC/USD-0-1 | buy | 2 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 3 | 50000 | 2 | TYPE_LIMIT | TIF_GTC | |
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And the network moves ahead "1" blocks
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Then the following trades should be executed:
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| buyer | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
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| party1 | aux1 | 1 | 50000 | sell | 0 | 50 |
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| party2 | aux1 | 2 | 50000 | sell | 0 | <updated rebate amount> |
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Then the following transfers should happen:
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| from | to | from account | to account | market id | amount | asset | type |
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| | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | 50 | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
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| | party2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | <updated rebate amount> | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
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Examples:
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| buyback | treasury | initial rebate factor | initial rebate amount | updated rebate factor | updated rebate amount |
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| 0.001 | 0.001 | 0.001 | 100 | 0.003 | 200 |
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| 0.002 | 0.000 | 0.001 | 100 | 0.003 | 200 |
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| 0.000 | 0.002 | 0.001 | 100 | 0.003 | 200 |
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| 0.001 | 0.001 | 0.003 | 200 | 0.001 | 100 |
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| 0.002 | 0.000 | 0.003 | 200 | 0.001 | 100 |
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| 0.000 | 0.002 | 0.003 | 200 | 0.001 | 100 |
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Scenario Outline: Fixed rebate factors. Variable treasury and buyback factors. Rebate capped correctly where necessary. (0095-HVMR-034)(0095-HVMR-035)(0095-HVMR-036)(0095-HVMR-037)(0095-HVMR-038)(0095-HVMR-039)
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Given the following network parameters are set:
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| name | value |
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| market.fee.factors.buybackFee | <initial buyback> |
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| market.fee.factors.treasuryFee | <initial treasury> |
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And the volume rebate program tiers named "vrt":
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| fraction | rebate |
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| 0.0001 | 0.001 |
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| 0.5000 | <rebate> |
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And the volume rebate program:
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| id | tiers | closing timestamp | window length |
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| id | vrt | 0 | 1 |
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And the network moves ahead "1" epochs
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Given the parties place the following orders:
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| party | market id | side | volume | price | resulting trades | type | tif | error |
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| party1 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 1 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
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| party2 | BTC/USD-0-1 | buy | 2 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 2 | 50000 | 1 | TYPE_LIMIT | TIF_GTC | |
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When the network moves ahead "1" blocks
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Then the following trades should be executed:
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| buyer | seller | size | price | aggressor side | buyer maker fee | seller maker fee |
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| party1 | aux1 | 1 | 50000 | sell | 0 | 500 |
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| party2 | aux1 | 2 | 50000 | sell | 0 | 1000 |
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Given the network moves ahead "1" epochs
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And the parties place the following orders:
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| party | market id | side | volume | price | resulting trades | type | tif | error |
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| party1 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| party2 | BTC/USD-0-1 | buy | 2 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 3 | 50000 | 2 | TYPE_LIMIT | TIF_GTC | |
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When the network moves ahead "1" blocks
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Then the following trades should be executed:
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| buyer | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
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| party1 | aux1 | 1 | 50000 | sell | 0 | 50 |
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| party2 | aux1 | 2 | 50000 | sell | 0 | <initial rebate amount> |
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Then the following transfers should happen:
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| from | to | from account | to account | market id | amount | asset | type |
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| | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | 50 | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
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| | party2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | <initial rebate amount> | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
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Given the following network parameters are set:
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| name | value |
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| market.fee.factors.buybackFee | <updated buyback> |
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| market.fee.factors.treasuryFee | <updated treasury> |
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When the network moves ahead "1" epochs
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And the parties place the following orders:
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| party | market id | side | volume | price | resulting trades | type | tif | error |
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| party1 | BTC/USD-0-1 | buy | 1 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| party2 | BTC/USD-0-1 | buy | 2 | 50000 | 0 | TYPE_LIMIT | TIF_GTC | |
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| aux1 | BTC/USD-0-1 | sell | 3 | 50000 | 2 | TYPE_LIMIT | TIF_GTC | |
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And the network moves ahead "1" blocks
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Then the following trades should be executed:
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| buyer | seller | size | price | aggressor side | buyer high volume maker fee | seller high volume maker fee |
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| party1 | aux1 | 1 | 50000 | sell | 0 | 50 |
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| party2 | aux1 | 2 | 50000 | sell | 0 | <updated rebate amount> |
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Then the following transfers should happen:
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| from | to | from account | to account | market id | amount | asset | type |
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| | party1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | 50 | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
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| | party2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL | BTC/USD-0-1 | <updated rebate amount> | USD-0-1 | TRANSFER_TYPE_HIGH_MAKER_FEE_REBATE_RECEIVE |
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Examples:
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| rebate | initial buyback | initial treasury | initial rebate amount | updated buyback | updated treasury | updated rebate amount |
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| 0.003 | 0.002 | 0.002 | 300 | 0.001 | 0.001 | 200 |
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| 0.003 | 0.004 | 0.000 | 300 | 0.002 | 0 | 200 |
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| 0.003 | 0.000 | 0.004 | 300 | 0 | 0.002 | 200 |
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| 0.003 | 0.001 | 0.001 | 200 | 0.002 | 0.002 | 300 |
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| 0.003 | 0.002 | 0.000 | 200 | 0.004 | 0 | 300 |
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| 0.003 | 0.000 | 0.002 | 200 | 0 | 0.004 | 300 |
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