Merge pull request #11234 from vegaprotocol/feature/11217

feat: allow market proposals to override risk factors
vegaprotocol · May 15, 2024 · 4a5ca8b · 4a5ca8b
2 parents 1262a7b + 3da8755
commit 4a5ca8b
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Showing 13 changed files with 1,192 additions and 469 deletions.
diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -14,11 +14,13 @@
 
 - [11209](https://github.com/vegaprotocol/vega/issues/11209) - Publish ongoing games data.
 - [11196](https://github.com/vegaprotocol/vega/issues/11196) - Add an active field in the price monitoring bounds payload.
+- [11211](https://github.com/vegaprotocol/vega/issues/11211) - Liquidation engine includes `vAMM` shapes as available volume.
+- [11217](https://github.com/vegaprotocol/vega/issues/11217) - Allow market proposals to override risk factors.
 
 ### 🐛 Fixes
 
 - [11066](https://github.com/vegaprotocol/vega/issues/11066) - Ensure vesting statistics match vesting accounts numbers.
-- [11279](https://github.com/vegaprotocol/vega/issues/11279) - Handle properly the case of multiple transfers for the same game id. 
+- [11279](https://github.com/vegaprotocol/vega/issues/11279) - Handle properly the case of multiple transfers for the same game id.
 
 
 ## 0.76.1
@@ -67,7 +69,6 @@
 - [11143](https://github.com/vegaprotocol/vega/issues/11143) - Add support for new asset proposal in batch governance proposal
 - [11182](https://github.com/vegaprotocol/vega/issues/11182) - Remove reduce only restriction on spot markets stop orders.
 - [11153](https://github.com/vegaprotocol/vega/issues/11153) - Add check on start-up that bridge `RPC-endpoints` are functional.
-- [11211](https://github.com/vegaprotocol/vega/issues/11211) - Liquidation engine includes `vAMM` shapes as available volume.
 
 ### 🐛 Fixes
 

diff --git a/commands/proposal_submission.go b/commands/proposal_submission.go
@@ -2276,6 +2276,33 @@ func checkNewLogNormalRiskParameters(params *protoTypes.NewMarketConfiguration_L
 		return errs.FinalAddForProperty("new_market.changes.risk_parameters.log_normal.params.r", errors.New("must be between [-1,1]"))
 	}
 
+	// if not nil, both short and long must be specified and correct
+	if params.LogNormal.RiskFactorOverride != nil {
+		short := params.LogNormal.RiskFactorOverride.Short
+		long := params.LogNormal.RiskFactorOverride.Long
+		if len(short) <= 0 {
+			return errs.FinalAddForProperty("new_market.changes.risk_parameters.log_normal.risk_factor_override.short", ErrIsRequired)
+		}
+
+		d, err := num.DecimalFromString(short)
+		if err != nil {
+			errs.AddForProperty("new_market.changes.risk_parameters.log_normal.risk_factor_override.short", ErrIsNotValidNumber)
+		} else if d.LessThanOrEqual(num.DecimalZero()) {
+			errs.AddForProperty("new_market.changes.risk_parameters.log_normal.risk_factor_override.short", ErrMustBePositive)
+		}
+
+		if len(long) <= 0 {
+			return errs.FinalAddForProperty("new_market.changes.risk_parameters.log_normal.risk_factor_override.long", ErrIsRequired)
+		}
+
+		d, err = num.DecimalFromString(long)
+		if err != nil {
+			errs.AddForProperty("new_market.changes.risk_parameters.log_normal.risk_factor_override.long", ErrIsNotValidNumber)
+		} else if d.LessThanOrEqual(num.DecimalZero()) {
+			errs.AddForProperty("new_market.changes.risk_parameters.log_normal.risk_factor_override.long", ErrMustBePositive)
+		}
+	}
+
 	return errs
 }
 
@@ -2314,6 +2341,33 @@ func checkUpdateLogNormalRiskParameters(params *protoTypes.UpdateMarketConfigura
 		return errs.FinalAddForProperty("update_market.changes.risk_parameters.log_normal.params.r", ErrIsNotValidNumber)
 	}
 
+	// if not nil, both short and long must be specified and correct
+	if params.LogNormal.RiskFactorOverride != nil {
+		short := params.LogNormal.RiskFactorOverride.Short
+		long := params.LogNormal.RiskFactorOverride.Long
+		if len(short) <= 0 {
+			errs.AddForProperty("update_market.changes.risk_parameters.log_normal.risk_factor_override.short", ErrIsRequired)
+		}
+
+		d, err := num.DecimalFromString(short)
+		if err != nil {
+			errs.AddForProperty("update_market.changes.risk_parameters.log_normal.risk_factor_override.short", ErrIsNotValidNumber)
+		} else if d.LessThanOrEqual(num.DecimalZero()) {
+			errs.AddForProperty("update_market.changes.risk_parameters.log_normal.risk_factor_override.short", ErrMustBePositive)
+		}
+
+		if len(long) <= 0 {
+			errs.AddForProperty("update_market.changes.risk_parameters.log_normal.risk_factor_override.long", ErrIsRequired)
+		}
+
+		d, err = num.DecimalFromString(long)
+		if err != nil {
+			errs.AddForProperty("update_market.changes.risk_parameters.log_normal.risk_factor_override.long", ErrIsNotValidNumber)
+		} else if d.LessThanOrEqual(num.DecimalZero()) {
+			errs.AddForProperty("update_market.changes.risk_parameters.log_normal.risk_factor_override.long", ErrMustBePositive)
+		}
+	}
+
 	return errs
 }
 

diff --git a/commands/proposal_submission_new_market_test.go b/commands/proposal_submission_new_market_test.go
@@ -189,6 +189,8 @@ func TestCheckProposalSubmissionForNewMarket(t *testing.T) {
 	t.Run("Submitting a new spot market with invalid liquidity fee settings", testLiquidityFeeSettingsSpot)
 	t.Run("Submitting a new market with invalid mark price configuration ", testCompositePriceConfiguration)
 	t.Run("Submitting a new market with invalid tick size fails and with valid tick size succeeds", testNewMarketTickSize)
+
+	t.Run("Log Normal risk factor overrides", testNewLogNormalRiskParametersChangeSubmissionWithOverrides)
 }
 
 type tickSizeCase struct {
@@ -2497,6 +2499,129 @@ func testNewLogNormalRiskParametersChangeSubmissionWithLogNormalRiskParametersSu
 	assert.NotContains(t, err.Get("proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal"), commands.ErrIsRequired)
 }
 
+func testNewLogNormalRiskParametersChangeSubmissionWithOverrides(t *testing.T) {
+	cases := []struct {
+		desc     string
+		get      string
+		override *vegapb.RiskFactorOverride
+		err      string
+	}{
+		{
+			desc:     "no override is valid",
+			get:      "proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal.risk_factor_override",
+			override: nil,
+			err:      "",
+		},
+		{
+			desc:     "non nil, but with empty short",
+			get:      "proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal.risk_factor_override.short",
+			override: &vegapb.RiskFactorOverride{},
+			err:      "is required",
+		},
+		{
+			desc: "non nil, but with bad value short",
+			get:  "proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal.risk_factor_override.short",
+			override: &vegapb.RiskFactorOverride{
+				Short: "asd",
+			},
+			err: "is not a valid number",
+		},
+		{
+			desc: "non nil, but with negative short",
+			get:  "proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal.risk_factor_override.short",
+			override: &vegapb.RiskFactorOverride{
+				Short: "-1",
+			},
+			err: "must be positive",
+		},
+		{
+			desc: "non nil, but with 0 short",
+			get:  "proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal.risk_factor_override.short",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0",
+			},
+			err: "must be positive",
+		},
+		{
+			desc: "non nil, but with empty long",
+			get:  "proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal.risk_factor_override.long",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0.1",
+			},
+			err: "is required",
+		},
+		{
+			desc: "non nil, but with bad value long",
+			get:  "proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal.risk_factor_override.long",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0.1",
+				Long:  "asd",
+			},
+			err: "is not a valid number",
+		},
+		{
+			desc: "non nil, but with negative long",
+			get:  "proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal.risk_factor_override.long",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0.1",
+				Long:  "-1",
+			},
+			err: "must be positive",
+		},
+		{
+			desc: "non nil, but with 0 long",
+			get:  "proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal.risk_factor_override.long",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0.1",
+				Long:  "0",
+			},
+			err: "must be positive",
+		},
+		{
+			desc: "both valid",
+			get:  "proposal_submission.terms.change.new_market.changes.risk_parameters.log_normal.risk_factor_override",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0.1",
+				Long:  "0.1",
+			},
+			err: "",
+		},
+	}
+
+	for _, c := range cases {
+		err := checkProposalSubmission(&commandspb.ProposalSubmission{
+			Terms: &vegapb.ProposalTerms{
+				Change: &vegapb.ProposalTerms_NewMarket{
+					NewMarket: &vegapb.NewMarket{
+						Changes: &vegapb.NewMarketConfiguration{
+							RiskParameters: &vegapb.NewMarketConfiguration_LogNormal{
+								LogNormal: &vegapb.LogNormalRiskModel{
+									RiskAversionParameter: 0.1,
+									Tau:                   1,
+									Params: &vegapb.LogNormalModelParams{
+										Mu:    0,
+										Sigma: 0.1,
+										R:     0,
+									},
+									RiskFactorOverride: c.override,
+								},
+							},
+						},
+					},
+				},
+			},
+		})
+
+		if len(c.err) <= 0 {
+			// no error
+			assert.Len(t, err.Get(c.get), 0, c.desc)
+			continue
+		}
+
+		assert.Contains(t, err.Get(c.get), errors.New(c.err), "test: %v, err: %v", c.desc, err)
+	}
+}
+
 func testNewLogNormalRiskParametersChangeSubmissionWithoutParamsFails(t *testing.T) {
 	err := checkProposalSubmission(&commandspb.ProposalSubmission{
 		Terms: &vegapb.ProposalTerms{

diff --git a/commands/proposal_submission_update_market_test.go b/commands/proposal_submission_update_market_test.go
@@ -139,6 +139,7 @@ func TestCheckProposalSubmissionForUpdateMarket(t *testing.T) {
 	t.Run("Submitting a market update with invalid intenal composite price configuration", testUpdatePerpsMarketChangeSubmissionWithInternalCompositePriceConfig)
 	t.Run("Submitting a market update with invalid tick size fails and valid tick size succeeds", testUpdateMarketTickSize)
 	t.Run("Submitting a spot market update with invalid liquifity fee settings", testUpdateLiquidityFeeSettingsSpot)
+	t.Run("Update Log Normal with overrides", testUpdateLogNormalRiskParametersChangeSubmissionWithOverrides)
 }
 
 func testUpdateMarketTickSize(t *testing.T) {
@@ -2184,6 +2185,129 @@ func testUpdateSimpleRiskParametersChangeSubmissionWithRightProbabilityOfTrading
 	}
 }
 
+func testUpdateLogNormalRiskParametersChangeSubmissionWithOverrides(t *testing.T) {
+	cases := []struct {
+		desc     string
+		get      string
+		override *vegapb.RiskFactorOverride
+		err      string
+	}{
+		{
+			desc:     "no override is valid",
+			get:      "proposal_submission.terms.change.update_market.changes.risk_parameters.log_normal.risk_factor_override",
+			override: nil,
+			err:      "",
+		},
+		{
+			desc:     "non nil, but with empty short",
+			get:      "proposal_submission.terms.change.update_market.changes.risk_parameters.log_normal.risk_factor_override.short",
+			override: &vegapb.RiskFactorOverride{},
+			err:      "is required",
+		},
+		{
+			desc: "non nil, but with bad value short",
+			get:  "proposal_submission.terms.change.update_market.changes.risk_parameters.log_normal.risk_factor_override.short",
+			override: &vegapb.RiskFactorOverride{
+				Short: "asd",
+			},
+			err: "is not a valid number",
+		},
+		{
+			desc: "non nil, but with negative short",
+			get:  "proposal_submission.terms.change.update_market.changes.risk_parameters.log_normal.risk_factor_override.short",
+			override: &vegapb.RiskFactorOverride{
+				Short: "-1",
+			},
+			err: "must be positive",
+		},
+		{
+			desc: "non nil, but with 0 short",
+			get:  "proposal_submission.terms.change.update_market.changes.risk_parameters.log_normal.risk_factor_override.short",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0",
+			},
+			err: "must be positive",
+		},
+		{
+			desc: "non nil, but with empty long",
+			get:  "proposal_submission.terms.change.update_market.changes.risk_parameters.log_normal.risk_factor_override.long",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0.1",
+			},
+			err: "is required",
+		},
+		{
+			desc: "non nil, but with bad value long",
+			get:  "proposal_submission.terms.change.update_market.changes.risk_parameters.log_normal.risk_factor_override.long",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0.1",
+				Long:  "asd",
+			},
+			err: "is not a valid number",
+		},
+		{
+			desc: "non nil, but with negative long",
+			get:  "proposal_submission.terms.change.update_market.changes.risk_parameters.log_normal.risk_factor_override.long",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0.1",
+				Long:  "-1",
+			},
+			err: "must be positive",
+		},
+		{
+			desc: "non nil, but with 0 long",
+			get:  "proposal_submission.terms.change.update_market.changes.risk_parameters.log_normal.risk_factor_override.long",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0.1",
+				Long:  "0",
+			},
+			err: "must be positive",
+		},
+		{
+			desc: "both valid",
+			get:  "proposal_submission.terms.change.update_market.changes.risk_parameters.log_normal.risk_factor_override",
+			override: &vegapb.RiskFactorOverride{
+				Short: "0.1",
+				Long:  "0.1",
+			},
+			err: "",
+		},
+	}
+
+	for _, c := range cases {
+		err := checkProposalSubmission(&commandspb.ProposalSubmission{
+			Terms: &vegapb.ProposalTerms{
+				Change: &vegapb.ProposalTerms_UpdateMarket{
+					UpdateMarket: &vegapb.UpdateMarket{
+						Changes: &vegapb.UpdateMarketConfiguration{
+							RiskParameters: &vegapb.UpdateMarketConfiguration_LogNormal{
+								LogNormal: &vegapb.LogNormalRiskModel{
+									RiskAversionParameter: 0.1,
+									Tau:                   1,
+									Params: &vegapb.LogNormalModelParams{
+										Mu:    0,
+										Sigma: 0.1,
+										R:     0,
+									},
+									RiskFactorOverride: c.override,
+								},
+							},
+						},
+					},
+				},
+			},
+		})
+
+		if len(c.err) <= 0 {
+			// no error
+			assert.Len(t, err.Get(c.get), 0, c.desc)
+			continue
+		}
+
+		assert.Contains(t, err.Get(c.get), errors.New(c.err), "test: %v, err: %v", c.desc, err)
+	}
+}
+
 func testUpdateLogNormalRiskParametersChangeSubmissionWithoutLogNormalRiskParametersFails(t *testing.T) {
 	err := checkProposalSubmission(&commandspb.ProposalSubmission{
 		Terms: &protoTypes.ProposalTerms{