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core/integration/features/spot/liquidity_provision/0044-LIME-054.feature
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| Feature: Spot market SLA | ||
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| Scenario: 001 0044-LIME-054,For a market that is in opening auction and LP has committed liquidity: | ||
| #- When a LP increases their commitment then: | ||
| # - It takes effect immediately for the purposes of LP stake supplied to the market | ||
| # - In terms of the liquidity they are expected to supply: this only takes effect from the start of the next epoch | ||
| Given time is updated to "2023-07-20T00:00:00Z" | ||
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| Given the fees configuration named "fees-config-1": | ||
| | maker fee | infrastructure fee | | ||
| | 0 | 0 | | ||
| Given the log normal risk model named "lognormal-risk-model-1": | ||
| | risk aversion | tau | mu | r | sigma | | ||
| | 0.001 | 0.01 | 0 | 0.0 | 1.2 | | ||
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| And the price monitoring named "price-monitoring-1": | ||
| | horizon | probability | auction extension | | ||
| | 360000 | 0.999 | 300 | | ||
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| And the liquidity sla params named "SLA-1": | ||
| | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor | | ||
| | 1 | 0.6 | 2 | 0.2 | | ||
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| Given the following assets are registered: | ||
| | id | decimal places | | ||
| | ETH | 1 | | ||
| | BTC | 1 | | ||
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| And the following network parameters are set: | ||
| | name | value | | ||
| | network.markPriceUpdateMaximumFrequency | 2s | | ||
| | market.liquidity.earlyExitPenalty | 0.25 | | ||
| | market.liquidity.bondPenaltyParameter | 0.2 | | ||
| | market.liquidity.sla.nonPerformanceBondPenaltySlope | 0.4 | | ||
| | market.liquidity.sla.nonPerformanceBondPenaltyMax | 0.4 | | ||
| | market.liquidity.maximumLiquidityFeeFactorLevel | 0.4 | | ||
| | validators.epoch.length | 4s | | ||
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| And the spot markets: | ||
| | id | name | base asset | quote asset | risk model | auction duration | fees | price monitoring | sla params | | ||
| | BTC/ETH | BTC/ETH | BTC | ETH | lognormal-risk-model-1 | 1 | fees-config-1 | price-monitoring-1 | SLA-1 | | ||
| And the following network parameters are set: | ||
| | name | value | | ||
| | market.liquidity.providersFeeCalculationTimeStep | 1s | | ||
| | market.liquidity.stakeToCcyVolume | 1 | | ||
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| Given the parties deposit on asset's general account the following amount: | ||
| | party | asset | amount | | ||
| | party1 | ETH | 10000 | | ||
| | party2 | BTC | 500 | | ||
| | lp1 | ETH | 4000 | | ||
| | lp1 | BTC | 60 | | ||
| | lp2 | ETH | 4000 | | ||
| | lp2 | BTC | 60 | | ||
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| And the average block duration is "1" | ||
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| Given the liquidity monitoring parameters: | ||
| | name | triggering ratio | time window | scaling factor | | ||
| | updated-lqm-params | 0.2 | 20s | 0.8 | | ||
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| When the spot markets are updated: | ||
| | id | liquidity monitoring | linear slippage factor | quadratic slippage factor | | ||
| | BTC/ETH | updated-lqm-params | 0.5 | 0.5 | | ||
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| When the parties submit the following liquidity provision: | ||
| | id | party | market id | commitment amount | fee | lp type | | ||
| | lp1 | lp1 | BTC/ETH | 1000 | 0.1 | submission | | ||
| | lp2 | lp2 | BTC/ETH | 2000 | 0.1 | submission | | ||
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| Then the network moves ahead "1" blocks | ||
| And the network treasury balance should be "0" for the asset "ETH" | ||
| Then the party "lp1" lp liquidity bond account balance should be "1000" for the market "BTC/ETH" | ||
| Then the party "lp2" lp liquidity bond account balance should be "2000" for the market "BTC/ETH" | ||
| And the supplied stake should be "3000" for the market "BTC/ETH" | ||
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| Then the network moves ahead "1" blocks | ||
| And the network treasury balance should be "0" for the asset "ETH" | ||
| Then the party "lp1" lp liquidity bond account balance should be "1000" for the market "BTC/ETH" | ||
| Then the party "lp2" lp liquidity bond account balance should be "2000" for the market "BTC/ETH" | ||
| And the supplied stake should be "3000" for the market "BTC/ETH" | ||
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| # # place orders and generate trades | ||
| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | only | | ||
| | party1 | BTC/ETH | buy | 6 | 8 | 0 | TYPE_LIMIT | TIF_GTC | party-order5 | | | ||
| | party1 | BTC/ETH | buy | 1 | 15 | 0 | TYPE_LIMIT | TIF_GTC | party-order3 | | | ||
| | party2 | BTC/ETH | sell | 1 | 15 | 0 | TYPE_LIMIT | TIF_GTC | party-order4 | | | ||
| | party2 | BTC/ETH | sell | 6 | 24 | 0 | TYPE_LIMIT | TIF_GTC | party-order6 | | | ||
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| When the network moves ahead "2" blocks | ||
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| Then the market data for the market "BTC/ETH" should be: | ||
| | mark price | trading mode | auction trigger | target stake | supplied stake | open interest | | ||
| | 15 | TRADING_MODE_CONTINUOUS | AUCTION_TRIGGER_UNSPECIFIED | 2400 | 3000 | 0 | | ||
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| Then the network moves ahead "4" blocks | ||
| And the network treasury balance should be "1200" for the asset "ETH" | ||
| Then the party "lp1" lp liquidity bond account balance should be "600" for the market "BTC/ETH" | ||
| Then the party "lp2" lp liquidity bond account balance should be "1200" for the market "BTC/ETH" | ||
| And the supplied stake should be "1800" for the market "BTC/ETH" |