Merge pull request #9575 from vegaprotocol/update-sla-stats

Add new SLA stats
vegaprotocol · Sep 27, 2023 · 2b4cf98 · 2b4cf98
2 parents 1fb26aa + 7341133
commit 2b4cf98
Show file tree

Hide file tree

Showing 13 changed files with 1,624 additions and 1,309 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -111,8 +111,9 @@
 - [9478](https://github.com/vegaprotocol/vega/issues/8764) - Add SLA statistics to market data and liquidity provision APIs.
 - [9558](https://github.com/vegaprotocol/vega/issues/9558) - Feature tests for relative return metric transfers and reward
 - [9559](https://github.com/vegaprotocol/vega/issues/9559) - Feature tests for return volatility metric transfers and reward
-- [9564](https://github.com/vegaprotocol/vega/issues/9564) - Fix error message for too many staking tiers. 
+- [9564](https://github.com/vegaprotocol/vega/issues/9564) - Fix error message for too many staking tiers.
 - [8421](https://github.com/vegaprotocol/vega/issues/8421) - Markets that spend too long in opening auction should be cancelled.
+- [9575](https://github.com/vegaprotocol/vega/issues/9575) - Expand SLA statistics by required liquidity and notional volumes.
 
 ### 🐛 Fixes
 

diff --git a/core/liquidity/v2/engine.go b/core/liquidity/v2/engine.go
@@ -89,6 +89,9 @@ type slaPerformance struct {
 	lastEpochBondPenalty      string
 	lastEpochFeePenalty       string
 	lastEpochTimeBookFraction string
+	requiredLiquidity         string
+	notionalVolumeBuys        string
+	notionalVolumeSells       string
 }
 
 type SlaPenalties struct {

diff --git a/core/liquidity/v2/sla.go b/core/liquidity/v2/sla.go
@@ -179,6 +179,11 @@ func (e *Engine) doesLPMeetsCommitment(
 
 	requiredLiquidity := e.stakeToCcyVolume.Mul(lp.CommitmentAmount.ToDecimal())
 
+	// safe stats
+	e.slaPerformance[party].requiredLiquidity = requiredLiquidity.String()
+	e.slaPerformance[party].notionalVolumeBuys = notionalVolumeBuys.String()
+	e.slaPerformance[party].notionalVolumeSells = notionalVolumeSells.String()
+
 	return notionalVolumeBuys.GreaterThanOrEqual(requiredLiquidity) &&
 		notionalVolumeSells.GreaterThanOrEqual(requiredLiquidity)
 }
@@ -256,6 +261,9 @@ func (e *Engine) LiquidityProviderSLAStats(now time.Time) []*types.LiquidityProv
 			LastEpochFeePenalty:              commitment.lastEpochFeePenalty,
 			LastEpochBondPenalty:             commitment.lastEpochBondPenalty,
 			HysteresisPeriodFeePenalties:     hysteresisPeriodFeePenalties,
+			RequiredLiquidity:                commitment.requiredLiquidity,
+			NotionalVolumeBuys:               commitment.notionalVolumeBuys,
+			NotionalVolumeSells:              commitment.notionalVolumeSells,
 		})
 	}
 

diff --git a/core/liquidity/v2/snapshot.go b/core/liquidity/v2/snapshot.go
@@ -405,6 +405,9 @@ func (e *snapshotV2) loadPerformances(performances *snapshotpb.LiquidityV2Perfor
 			lastEpochTimeBookFraction: partyPerformance.LastEpochFractionOfTimeOnBook,
 			lastEpochBondPenalty:      partyPerformance.LastEpochBondPenalty,
 			lastEpochFeePenalty:       partyPerformance.LastEpochFeePenalty,
+			requiredLiquidity:         partyPerformance.RequiredLiquidity,
+			notionalVolumeBuys:        partyPerformance.NotionalVolumeBuys,
+			notionalVolumeSells:       partyPerformance.NotionalVolumeSells,
 		}
 	}
 

diff --git a/datanode/gateway/graphql/generated.go b/datanode/gateway/graphql/generated.go
diff --git a/datanode/gateway/graphql/models.go b/datanode/gateway/graphql/models.go
diff --git a/datanode/gateway/graphql/schema.graphql b/datanode/gateway/graphql/schema.graphql
@@ -396,6 +396,12 @@ type LiquidityProviderSLA {
   lastEpochBondPenalty: String!
   "Determines how the fee penalties from past epochs affect future fee revenue."
   hysteresisPeriodFeePenalties: [String!]
+  "Represents the total amount of funds LP must supply. The amount to be supplied is in the market’s settlement currency, spread on both buy and sell sides of the order book within a defined range."
+  requiredLiquidity: String!
+  "Notional volume of orders within the range provided on the buy side of the book."
+  notionalVolumeBuys: String!
+  "Notional volume of orders within the range provided on the sell side of the book."
+  notionalVolumeSells: String!
 }
 
 "The SLA statistics for each liquidity provider"
@@ -412,6 +418,12 @@ type ObservableLiquidityProviderSLA {
   lastEpochBondPenalty: String!
   "Determines how the fee penalties from past epochs affect future fee revenue."
   hysteresisPeriodFeePenalties: [String!]
+  "Represents the total amount of funds LP must supply. The amount to be supplied is in the market’s settlement currency, spread on both buy and sell sides of the order book within a defined range."
+  requiredLiquidity: String!
+  "Notional volume of orders within the range provided on the buy side of the book."
+  notionalVolumeBuys: String!
+  "Notional volume of orders within the range provided on the sell side of the book."
+  notionalVolumeSells: String!
 }
 
 "The liquidity commitments for this market"

diff --git a/datanode/sqlstore/liquidity_provision.go b/datanode/sqlstore/liquidity_provision.go
@@ -64,6 +64,9 @@ type LiquidityProviderSLA struct {
 	LastEpochFeePenalty              string
 	LastEpochBondPenalty             string
 	HysteresisPeriodFeePenalties     []string
+	RequiredLiquidity                string
+	NotionalVolumeBuys               string
+	NotionalVolumeSells              string
 }
 
 const (
@@ -222,6 +225,9 @@ func (lp *LiquidityProvision) ListProviders(ctx context.Context, partyID *entiti
 				LastEpochFeePenalty:              sla.LastEpochFeePenalty,
 				LastEpochBondPenalty:             sla.LastEpochBondPenalty,
 				HysteresisPeriodFeePenalties:     sla.HysteresisPeriodFeePenalties,
+				RequiredLiquidity:                sla.RequiredLiquidity,
+				NotionalVolumeBuys:               sla.NotionalVolumeBuys,
+				NotionalVolumeSells:              sla.NotionalVolumeSells,
 			}
 		}
 
@@ -284,6 +290,9 @@ select
 	coalesce(lpsla.sla ->> 'last_epoch_fraction_of_time_on_book', '') 	 as last_epoch_fraction_of_time_on_book,
 	coalesce(lpsla.sla ->> 'last_epoch_fee_penalty', '')       			 as last_epoch_fee_penalty,
 	coalesce(lpsla.sla ->> 'last_epoch_bond_penalty', '') 				 as last_epoch_bond_penalty,
+	coalesce(lpsla.sla ->> 'required_liquidity', '') 					 as required_liquidity,
+	coalesce(lpsla.sla ->> 'notional_volume_buys', '') 					 as notional_volume_buys,
+	coalesce(lpsla.sla ->> 'notional_volume_sells', '') 				 as notional_volume_sells,
 	lpsla.sla -> 'hysteresis_period_fee_penalties' 		                 as hysteresis_period_fee_penalties
 from current_market_data cmd,
 jsonb_array_elements(liquidity_provider_sla) with ordinality lpsla(sla, ordinality)
@@ -301,8 +310,8 @@ where liquidity_provider_sla != 'null' and liquidity_provider_sla is not null
 
 	// we join with the live liquidity providers table to make sure we are only returning data
 	// for liquidity providers that are currently active
-	query := fmt.Sprintf(`WITH liquidity_provider_sla(ordinality, market_id, party_id, current_epoch_fraction_of_time_on_book, last_epoch_fraction_of_time_on_book, last_epoch_fee_penalty, last_epoch_bond_penalty, hysteresis_period_fee_penalties) as (%s)
-        SELECT fs.ordinality, fs.market_id, fs.party_id, fs.current_epoch_fraction_of_time_on_book, fs.last_epoch_fraction_of_time_on_book, fs.last_epoch_fee_penalty, fs.last_epoch_bond_penalty, fs.hysteresis_period_fee_penalties
+	query := fmt.Sprintf(`WITH liquidity_provider_sla(ordinality, market_id, party_id, current_epoch_fraction_of_time_on_book, last_epoch_fraction_of_time_on_book, last_epoch_fee_penalty, last_epoch_bond_penalty, required_liquidity, notional_volume_buys, notional_volume_sells, hysteresis_period_fee_penalties) as (%s)
+        SELECT fs.ordinality, fs.market_id, fs.party_id, fs.current_epoch_fraction_of_time_on_book, fs.last_epoch_fraction_of_time_on_book, fs.last_epoch_fee_penalty, fs.last_epoch_bond_penalty, fs.required_liquidity, fs.notional_volume_buys, fs.notional_volume_sells, fs.hysteresis_period_fee_penalties
 	    FROM liquidity_provider_sla fs
         JOIN live_liquidity_provisions lps ON encode(lps.party_id, 'hex') = fs.party_id
         	AND lps.market_id = fs.market_id`, subQuery)

diff --git a/datanode/sqlstore/liquidity_provision_test.go b/datanode/sqlstore/liquidity_provision_test.go
@@ -991,6 +991,9 @@ func addLiquidityProvisionsMultiProvider(ctx context.Context, t *testing.T, bs *
 				LastEpochFeePenalty:              "0",
 				LastEpochBondPenalty:             "0",
 				HysteresisPeriodFeePenalties:     []string{"0"},
+				RequiredLiquidity:                "1000",
+				NotionalVolumeBuys:               "1010",
+				NotionalVolumeSells:              "1005",
 			})
 			md.SyntheticTime = vegaTime
 			md.VegaTime = vegaTime
@@ -1024,6 +1027,9 @@ func addLiquidityProvisionsMultiProvider(ctx context.Context, t *testing.T, bs *
 						LastEpochFeePenalty:              "0",
 						LastEpochBondPenalty:             "0",
 						HysteresisPeriodFeePenalties:     []string{"0"},
+						RequiredLiquidity:                "1000",
+						NotionalVolumeBuys:               "1010",
+						NotionalVolumeSells:              "1005",
 					},
 				})
 			}

diff --git a/protos/sources/vega/snapshot/v1/snapshot.proto b/protos/sources/vega/snapshot/v1/snapshot.proto
@@ -957,6 +957,9 @@ message LiquidityV2PerformancePerParty {
   string last_epoch_fraction_of_time_on_book = 6;
   string last_epoch_fee_penalty = 7;
   string last_epoch_bond_penalty = 8;
+  string required_liquidity = 9;
+  string notional_volume_buys = 10;
+  string notional_volume_sells = 11;
 }
 
 message LiquidityV2Scores {