Merge pull request #11731 from Nebula-DEX/feature/locked-sell

chore: implement an allow list on market for the sell side

Author: jeremyletang

core/execution/common/errors.go

@@ -91,4 +91,6 @@ var (
 	// ErrSettlementDataOutOfRange is returned when a capped future receives settlement data that is outside of the acceptable range (either > max price, or neither 0 nor max for binary settlements).
 	ErrSettlementDataOutOfRange = errors.New("settlement data is outside of the price cap")
 	ErrAMMBoundsOutsidePriceCap = errors.New("an AMM bound is outside of the price cap")
+	// ErrSellOrderNotAllowed no sell orders are allowed in the current state.
+	ErrSellOrderNotAllowed = errors.New("sell order not allowed")
 )

core/execution/future/market_snapshot.go

@@ -220,6 +220,7 @@ func NewMarketFromSnapshot(
 	marketType := mkt.MarketType()
 
 	markPriceCalculator := common.NewCompositePriceCalculatorFromSnapshot(ctx, em.CurrentMarkPrice, timeService, oracleEngine, em.MarkPriceCalculator)
+
 	market := &Market{
 		log:                           log,
 		mkt:                           mkt,

core/execution/spot/market.go

@@ -142,7 +142,8 @@ type Market struct {
 	minDuration time.Duration
 	epoch       types.Epoch
 
-	pap *ProtocolAutomatedPurchase
+	pap            *ProtocolAutomatedPurchase
+	allowedSellers map[string]struct{}
 }
 
 // NewMarket creates a new market using the market framework configuration and creates underlying engines.
@@ -226,6 +227,12 @@ func NewMarket(
 	els := common.NewEquityShares(num.DecimalZero())
 	// @TODO pass in AMM
 	marketLiquidity := common.NewMarketLiquidity(log, liquidity, collateralEngine, broker, book, els, marketActivityTracker, feeEngine, common.SpotMarketType, mkt.ID, quoteAsset, priceFactor, mkt.LiquiditySLAParams.PriceRange, nil)
+
+	allowedSellers := map[string]struct{}{}
+	for _, v := range mkt.AllowedSellers {
+		allowedSellers[v] = struct{}{}
+	}
+
 	market := &Market{
 		log:                           log,
 		idgen:                         nil,
@@ -266,6 +273,7 @@ func NewMarket(
 		stopOrders:                    stoporders.New(log),
 		expiringStopOrders:            common.NewExpiringOrders(),
 		banking:                       banking,
+		allowedSellers:                allowedSellers,
 	}
 	liquidity.SetGetStaticPricesFunc(market.getBestStaticPricesDecimal)
 
@@ -310,6 +318,11 @@ func (m *Market) Update(ctx context.Context, config *types.Market) error {
 	m.liquidity.UpdateMarketConfig(riskModel, m.pMonitor)
 	m.updateLiquidityFee(ctx)
 
+	clear(m.allowedSellers)
+	for _, v := range config.AllowedSellers {
+		m.allowedSellers[v] = struct{}{}
+	}
+
 	if tickSizeChanged {
 		tickSizeInAsset, _ := num.UintFromDecimal(m.mkt.TickSize.ToDecimal().Mul(m.priceFactor))
 		peggedOrders := m.matching.GetActivePeggedOrderIDs()
@@ -1259,6 +1272,16 @@ func (m *Market) SubmitStopOrdersWithIDGeneratorAndOrderIDs(
 		return nil, common.ErrTradingNotAllowed
 	}
 
+	if fallsBelow != nil && fallsBelow.OrderSubmission != nil && !m.canSubmitMaybeSell(fallsBelow.Party, fallsBelow.OrderSubmission.Side) {
+		rejectStopOrders(types.StopOrderRejectionSellOrderNotAllowed, fallsBelow, risesAbove)
+		return nil, common.ErrSellOrderNotAllowed
+	}
+
+	if risesAbove != nil && risesAbove.OrderSubmission != nil && !m.canSubmitMaybeSell(risesAbove.Party, risesAbove.OrderSubmission.Side) {
+		rejectStopOrders(types.StopOrderRejectionSellOrderNotAllowed, risesAbove, risesAbove)
+		return nil, common.ErrSellOrderNotAllowed
+	}
+
 	now := m.timeService.GetTimeNow()
 	orderCnt := 0
 	if fallsBelow != nil {
@@ -1468,6 +1491,13 @@ func (m *Market) SubmitOrderWithIDGeneratorAndOrderID(ctx context.Context, order
 		return nil, common.ErrTradingNotAllowed
 	}
 
+	if !m.canSubmitMaybeSell(order.Party, order.Side) {
+		order.Status = types.OrderStatusRejected
+		order.Reason = types.OrderErrorSellOrderNotAllowed
+		m.broker.Send(events.NewOrderEvent(ctx, order))
+		return nil, common.ErrSellOrderNotAllowed
+	}
+
 	conf, _, err := m.submitOrder(ctx, order)
 	if err != nil {
 		return nil, err
@@ -2876,6 +2906,19 @@ func (m *Market) canTrade() bool {
 		m.mkt.State == types.MarketStateSuspendedViaGovernance
 }
 
+func (m *Market) canSubmitMaybeSell(party string, side types.Side) bool {
+	// buy side
+	// or network party
+	// or no empty allowedSellers list
+	// are always fine
+	if len(m.allowedSellers) <= 0 || side == types.SideBuy || party == types.NetworkParty {
+		return true
+	}
+
+	_, isAllowed := m.allowedSellers[party]
+	return isAllowed
+}
+
 // cleanupOnReject removes all resources created while the market was on PREPARED state.
 // at this point no fees would have been collected or anything like this.
 func (m *Market) cleanupOnReject(ctx context.Context) {

core/execution/spot/market_snapshot.go

@@ -148,6 +148,10 @@ func NewMarketFromSnapshot(
 	}
 
 	now := timeService.GetTimeNow()
+	allowedSellers := map[string]struct{}{}
+	for _, v := range mkt.AllowedSellers {
+		allowedSellers[v] = struct{}{}
+	}
 	market := &Market{
 		log:                           log,
 		mkt:                           mkt,
@@ -190,6 +194,7 @@ func NewMarketFromSnapshot(
 		hasTraded:                     em.HasTraded,
 		orderHoldingTracker:           NewHoldingAccountTracker(mkt.ID, log, collateralEngine),
 		banking:                       banking,
+		allowedSellers:                allowedSellers,
 	}
 	liquidity.SetGetStaticPricesFunc(market.getBestStaticPricesDecimal)
 	for _, p := range em.Parties {

core/execution/spot/market_test.go

@@ -36,6 +36,7 @@ import (
 	"code.vegaprotocol.io/vega/core/types"
 	"code.vegaprotocol.io/vega/libs/crypto"
 	"code.vegaprotocol.io/vega/libs/num"
+	"code.vegaprotocol.io/vega/libs/ptr"
 	"code.vegaprotocol.io/vega/logging"
 	"code.vegaprotocol.io/vega/protos/vega"
 
@@ -182,6 +183,17 @@ func newTestMarket(
 	pMonitorSettings *types.PriceMonitoringSettings,
 	openingAuctionDuration *types.AuctionDuration,
 	now time.Time,
+) *testMarket {
+	t.Helper()
+	return newTestMarketWithAllowedSellers(t, pMonitorSettings, openingAuctionDuration, now, nil)
+}
+
+func newTestMarketWithAllowedSellers(
+	t *testing.T,
+	pMonitorSettings *types.PriceMonitoringSettings,
+	openingAuctionDuration *types.AuctionDuration,
+	now time.Time,
+	allowedSellers []string,
 ) *testMarket {
 	t.Helper()
 	base := "BTC"
@@ -202,6 +214,7 @@ func newTestMarket(
 
 	statevarEngine := stubs.NewStateVar()
 	mkt := getMarketWithDP(base, quote, pMonitorSettings, openingAuctionDuration, quoteDP, positionDP)
+	mkt.AllowedSellers = allowedSellers
 
 	as := monitor.NewAuctionState(&mkt, now)
 	epoch := mocks.NewMockEpochEngine(ctrl)
@@ -302,3 +315,51 @@ func getGTCLimitOrder(tm *testMarket,
 	}
 	return order
 }
+
+//nolint:unparam
+func getStopOrderSubmission(tm *testMarket,
+	now time.Time,
+	id string,
+	side1 types.Side,
+	side2 types.Side,
+	partyID string,
+	size uint64,
+	price uint64,
+) *types.StopOrdersSubmission {
+	return &types.StopOrdersSubmission{
+		RisesAbove: &types.StopOrderSetup{
+			OrderSubmission: &types.OrderSubmission{
+				Type:        types.OrderTypeLimit,
+				TimeInForce: types.OrderTimeInForceGTC,
+				Side:        side1,
+				MarketID:    tm.market.GetID(),
+				Size:        size,
+				Price:       num.NewUint(price),
+				Reference:   "marketorder",
+			},
+			Expiry: &types.StopOrderExpiry{
+				ExpiryStrategy: ptr.From(types.StopOrderExpiryStrategyCancels),
+			},
+			Trigger:             types.NewTrailingStopOrderTrigger(types.StopOrderTriggerDirectionRisesAbove, num.DecimalFromFloat(0.9)),
+			SizeOverrideSetting: types.StopOrderSizeOverrideSettingNone,
+			SizeOverrideValue:   nil,
+		},
+		FallsBelow: &types.StopOrderSetup{
+			OrderSubmission: &types.OrderSubmission{
+				Type:        types.OrderTypeLimit,
+				TimeInForce: types.OrderTimeInForceGTC,
+				Side:        side2,
+				MarketID:    tm.market.GetID(),
+				Size:        size,
+				Price:       num.NewUint(price),
+				Reference:   "marketorder",
+			},
+			Expiry: &types.StopOrderExpiry{
+				ExpiryStrategy: ptr.From(types.StopOrderExpiryStrategyCancels),
+			},
+			Trigger:             types.NewTrailingStopOrderTrigger(types.StopOrderTriggerDirectionRisesAbove, num.DecimalFromFloat(0.9)),
+			SizeOverrideSetting: types.StopOrderSizeOverrideSettingNone,
+			SizeOverrideValue:   nil,
+		},
+	}
+}

core/execution/spot/spot_execution_test.go

@@ -21,10 +21,12 @@ import (
 	"time"
 
 	"code.vegaprotocol.io/vega/core/execution/common"
+	"code.vegaprotocol.io/vega/core/idgeneration"
 	"code.vegaprotocol.io/vega/core/types"
 	vegacontext "code.vegaprotocol.io/vega/libs/context"
 	"code.vegaprotocol.io/vega/libs/crypto"
 	"code.vegaprotocol.io/vega/libs/num"
+	"code.vegaprotocol.io/vega/libs/ptr"
 
 	"github.com/stretchr/testify/require"
 )
@@ -164,6 +166,100 @@ func TestAmend(t *testing.T) {
 	require.Equal(t, "60000", haBalance1.Balance.String())
 }
 
+func TestMarketWithAllowedSellers(t *testing.T) {
+	now := time.Now()
+	ctx := context.Background()
+	ctx = vegacontext.WithTraceID(ctx, crypto.RandomHash())
+	tm := newTestMarketWithAllowedSellers(t, defaultPriceMonitorSettings, &types.AuctionDuration{Duration: 1}, now, []string{"party1", "party2"})
+
+	addAccountWithAmount(tm, "party1", 100000, "ETH")
+	addAccountWithAmount(tm, "party2", 100000, "ETH")
+	addAccountWithAmount(tm, "party3", 100000, "ETH")
+	addAccountWithAmount(tm, "party1", 100000, "BTC")
+	addAccountWithAmount(tm, "party2", 100000, "BTC")
+	addAccountWithAmount(tm, "party3", 100000, "BTC")
+	tm.market.StartOpeningAuction(ctx)
+
+	t.Run("allowed seller can post sell orders", func(t *testing.T) {
+		order1 := getGTCLimitOrder(tm, now, crypto.RandomHash(), types.SideSell, "party1", 1, 300)
+		_, err := tm.market.SubmitOrder(ctx, order1.IntoSubmission(), order1.Party, crypto.RandomHash())
+		require.NoError(t, err)
+		order2 := getGTCLimitOrder(tm, now, crypto.RandomHash(), types.SideSell, "party2", 1, 300)
+		_, err = tm.market.SubmitOrder(ctx, order2.IntoSubmission(), order2.Party, crypto.RandomHash())
+		require.NoError(t, err)
+	})
+
+	t.Run("allowed seller can post buy orders", func(t *testing.T) {
+		order1 := getGTCLimitOrder(tm, now, crypto.RandomHash(), types.SideBuy, "party1", 2, 200)
+		_, err := tm.market.SubmitOrder(ctx, order1.IntoSubmission(), order1.Party, crypto.RandomHash())
+		require.NoError(t, err)
+		order2 := getGTCLimitOrder(tm, now, crypto.RandomHash(), types.SideBuy, "party2", 2, 200)
+		_, err = tm.market.SubmitOrder(ctx, order2.IntoSubmission(), order2.Party, crypto.RandomHash())
+		require.NoError(t, err)
+	})
+
+	t.Run("non allowed seller cannot post sell orders", func(t *testing.T) {
+		order1 := getGTCLimitOrder(tm, now, crypto.RandomHash(), types.SideSell, "party3", 2, 300)
+		_, err := tm.market.SubmitOrder(ctx, order1.IntoSubmission(), order1.Party, crypto.RandomHash())
+		require.EqualError(t, err, "sell order not allowed")
+	})
+
+	t.Run("non allowed seller can post buy orders", func(t *testing.T) {
+		order1 := getGTCLimitOrder(tm, now, crypto.RandomHash(), types.SideBuy, "party3", 2, 200)
+		_, err := tm.market.SubmitOrder(ctx, order1.IntoSubmission(), order1.Party, crypto.RandomHash())
+		require.NoError(t, err)
+	})
+
+	t.Run("exit auction", func(t *testing.T) {
+		order1 := getGTCLimitOrder(tm, now, crypto.RandomHash(), types.SideBuy, "party1", 2, 30000)
+		_, err := tm.market.SubmitOrder(ctx, order1.IntoSubmission(), order1.Party, crypto.RandomHash())
+		require.NoError(t, err)
+
+		order2 := getGTCLimitOrder(tm, now, crypto.RandomHash(), types.SideSell, "party2", 1, 30000)
+		_, err = tm.market.SubmitOrder(ctx, order2.IntoSubmission(), order2.Party, crypto.RandomHash())
+		require.NoError(t, err)
+
+		tm.market.OnTick(ctx, now.Add(2*time.Second))
+		md := tm.market.GetMarketData()
+		require.Equal(t, types.MarketTradingModeContinuous, md.MarketTradingMode)
+	})
+
+	t.Run("increase max stop orders per parties", func(t *testing.T) {
+		tm.market.OnMarketPartiesMaximumStopOrdersUpdate(
+			context.Background(), num.NewUint(1000))
+	})
+
+	t.Run("allowed seller can post sell stop orders", func(t *testing.T) {
+		idgen := idgeneration.New(crypto.RandomHash())
+		order1 := getStopOrderSubmission(tm, now, crypto.RandomHash(), types.SideSell, types.SideBuy, "party1", 1, 300)
+		_, err := tm.market.SubmitStopOrdersWithIDGeneratorAndOrderIDs(ctx, order1, "party1", idgen, ptr.From(idgen.NextID()), ptr.From(idgen.NextID()))
+		require.NoError(t, err)
+
+		order2 := getStopOrderSubmission(tm, now, crypto.RandomHash(), types.SideSell, types.SideBuy, "party2", 1, 300)
+		_, err = tm.market.SubmitStopOrdersWithIDGeneratorAndOrderIDs(ctx, order2, "party2", idgen, ptr.From(idgen.NextID()), ptr.From(idgen.NextID()))
+		require.NoError(t, err)
+
+		order3 := getStopOrderSubmission(tm, now, crypto.RandomHash(), types.SideBuy, types.SideSell, "party1", 1, 300)
+		_, err = tm.market.SubmitStopOrdersWithIDGeneratorAndOrderIDs(ctx, order3, "party1", idgen, ptr.From(idgen.NextID()), ptr.From(idgen.NextID()))
+		require.NoError(t, err)
+
+		order4 := getStopOrderSubmission(tm, now, crypto.RandomHash(), types.SideBuy, types.SideSell, "party2", 1, 300)
+		_, err = tm.market.SubmitStopOrdersWithIDGeneratorAndOrderIDs(ctx, order4, "party2", idgen, ptr.From(idgen.NextID()), ptr.From(idgen.NextID()))
+		require.NoError(t, err)
+	})
+
+	t.Run("non allowed seller cannot post sell stop orders", func(t *testing.T) {
+		idgen := idgeneration.New(crypto.RandomHash())
+		order1 := getStopOrderSubmission(tm, now, crypto.RandomHash(), types.SideSell, types.SideBuy, "party3", 1, 300)
+		_, err := tm.market.SubmitStopOrdersWithIDGeneratorAndOrderIDs(ctx, order1, "party3", idgen, ptr.From(idgen.NextID()), ptr.From(idgen.NextID()))
+		require.EqualError(t, err, "sell order not allowed")
+
+		order2 := getStopOrderSubmission(tm, now, crypto.RandomHash(), types.SideBuy, types.SideSell, "party3", 1, 300)
+		_, err = tm.market.SubmitStopOrdersWithIDGeneratorAndOrderIDs(ctx, order2, "party3", idgen, ptr.From(idgen.NextID()), ptr.From(idgen.NextID()))
+		require.EqualError(t, err, "sell order not allowed")
+	})
+}
+
 func TestCancelAll(t *testing.T) {
 	now := time.Now()
 	ctx := context.Background()

core/governance/engine.go

@@ -1281,6 +1281,7 @@ func (e *Engine) updatedSpotMarketFromProposal(p *proposal) (*types.Market, type
 			TickSize:                  terms.Changes.TickSize,
 			LiquidityFeeSettings:      terms.Changes.LiquidityFeeSettings,
 			EnableTxReordering:        terms.Changes.EnableTxReordering,
+			AllowedSellers:            append([]string{}, terms.Changes.AllowedSellers...),
 		},
 	}
 
@@ -1339,6 +1340,7 @@ func (e *Engine) updatedMarketFromProposal(p *proposal) (*types.Market, types.Pr
 			TickSize:                      terms.Changes.TickSize,
 			EnableTxReordering:            terms.Changes.EnableTxReordering,
 			AllowedEmptyAmmLevels:         &allowedEmptyAMMLevels,
+			AllowedSellers:                append([]string{}, terms.Changes.AllowedSellers...),
 		},
 	}
 

core/governance/market.go

@@ -388,6 +388,7 @@ func buildSpotMarketFromProposal(
 		MarkPriceConfiguration:        defaultMarkPriceConfig,
 		TickSize:                      definition.Changes.TickSize,
 		EnableTxReordering:            definition.Changes.EnableTxReordering,
+		AllowedSellers:                append([]string{}, definition.Changes.AllowedSellers...),
 	}
 	if err := assignSpotRiskModel(definition.Changes, market.TradableInstrument); err != nil {
 		return nil, types.ProposalErrorUnspecified, err

core/types/governance_new_market.go

@@ -414,6 +414,7 @@ type NewMarketConfiguration struct {
 	TickSize               *num.Uint
 	EnableTxReordering     bool
 	AllowedEmptyAmmLevels  *uint64
+	AllowedSellers         []string
 }
 
 func (n NewMarketConfiguration) IntoProto() *vegapb.NewMarketConfiguration {
@@ -486,11 +487,13 @@ func (n NewMarketConfiguration) DeepClone() *NewMarketConfiguration {
 		TickSize:                n.TickSize.Clone(),
 		EnableTxReordering:      n.EnableTxReordering,
 		AllowedEmptyAmmLevels:   n.AllowedEmptyAmmLevels,
+		AllowedSellers:          append([]string{}, n.AllowedSellers...),
 	}
 	cpy.Metadata = append(cpy.Metadata, n.Metadata...)
 	if n.Instrument != nil {
 		cpy.Instrument = n.Instrument.DeepClone()
 	}
+	cpy.AllowedSellers = append(cpy.AllowedSellers, n.AllowedSellers...)
 	if n.PriceMonitoringParameters != nil {
 		cpy.PriceMonitoringParameters = n.PriceMonitoringParameters.DeepClone()
 	}