test: add fee support and docs

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>

core/integration/docs/positions.md

@@ -0,0 +1,38 @@
+## Verifying positions and PnL
+
+At its heart, we are testing a trading platform. Therefore, we need to have the ability to verify the positions held by traders, and their realised or unrealised profit and loss (PnL). The data-node component implements a positions API which collates data events sent out when parties trade, positions are marked to market or settled, when perpetual markets process a funding payment, etc...
+The integration test framework implements a number of steps to verify whether or not a trade took place, verifying [individual transfer data](transfers.md). In addition to this, the integration test framework implements a step that allows us to verify the position data analogous to the data-node API.
+
+```cucumber
+Then the parties should have the following profit and loss:
+  | market id | party      | volume | unrealised pnl | realised pnl | status                        | taker fees | taker fees since | maker fees | maker fees since | other fees | other fees since | funding payments | funding payments since |
+  | ETH/DEC19 | trader2    | 0      | 0              | 0            | POSITION_STATUS_ORDERS_CLOSED | 0          | 0                | 0          | 0                | 0          | 0                | 0                | 0                      |
+  | ETH/DEC19 | trader3    | 0      | 0              | -162         | POSITION_STATUS_CLOSED_OUT    | 0          | 0                | 0          | 0                | 0          | 0                | 0                | 0                      |
+  | ETH/DEC19 | auxiliary1 | -10    | -900           | 0            |                               | 0          | 0                | 0          | 0                | 0          | 0                | 0                | 0                      |
+  | ETH/DEC19 | auxiliary2 | 5      | 475            | 586          |                               | 0          | 0                | 0          | 0                | 1          | 0                | 0                | 0                      |
+ ```
+
+ Where the fields are defined as follows:
+
+ ```
+ | name                   | type           | required |
+ |------------------------|----------------|----------|
+ | market id              | string         | no       |
+ | party                  | string         | yes      |
+ | volume                 | int64          | yes      |
+ | unrealised pnl         | Int            | yes      |
+ | realised pnl           | Int            | yes      |
+ | status                 | PositionStatus | no       |
+ | taker fees             | Uint           | no       |
+ | maker fees             | Uint           | no       |
+ | other fees             | Uint           | no       |
+ | taker fees since       | Uint           | no       |
+ | maker fees since       | Uint           | no       |
+ | other fees since       | Uint           | no       |
+ | funding payments       | Int            | no       |
+ | funding payments since | Int            | no       |
+ | is amm                 | bool           | no       |
+ ```
+
+Details for the [`PositionStatus` type](types.md#Position-status)
+

core/integration/docs/types.md

@@ -2,6 +2,15 @@
 
 Below is a list of types used in the docs and the possible values
 
+## Position status
+
+Possible values for `PositionStatus` are:
+
+* POSITION_STATUS_UNSPECIFIED
+* POSITION_STATUS_ORDERS_CLOSED
+* POSITION_STATUS_CLOSED_OUT
+* POSITION_STATUS_DISTRESSED
+
 ## Auction trigger
 
 Possible values for `AuctionTrigger` are:

core/integration/features/zero-position.feature

@@ -142,11 +142,11 @@ Feature: Closeout scenarios
       | trader3 | USD   | ETH/DEC19 | 0      | 0       |
 
     Then the parties should have the following profit and loss:
-      | party      | volume | unrealised pnl | realised pnl | status                        |
-      | trader2    | 0      | 0              | 0            | POSITION_STATUS_ORDERS_CLOSED |
-      | trader3    | 0      | 0              | -162         | POSITION_STATUS_CLOSED_OUT    |
-      | auxiliary1 | -10    | -900           | 0            |                               |
-      | auxiliary2 | 5      | 475            | 586          |                               |
+      | party      | volume | unrealised pnl | realised pnl | status                        | taker fees | taker fees since | maker fees | maker fees since | other fees | other fees since | funding payments | funding payments since |
+      | trader2    | 0      | 0              | 0            | POSITION_STATUS_ORDERS_CLOSED | 0          | 0                | 0          | 0                | 0          | 0                | 0                | 0                      |
+      | trader3    | 0      | 0              | -162         | POSITION_STATUS_CLOSED_OUT    | 0          | 0                | 0          | 0                | 0          | 0                | 0                | 0                      |
+      | auxiliary1 | -10    | -900           | 0            |                               | 0          | 0                | 0          | 0                | 0          | 0                | 0                | 0                      |
+      | auxiliary2 | 5      | 475            | 586          |                               | 0          | 0                | 0          | 0                | 1          | 0                | 0                | 0                      |
     And the insurance pool balance should be "0" for the market "ETH/DEC19"
     When the parties place the following orders:
       | party      | market id | side | price | volume | resulting trades | type       | tif     | reference       |

core/integration/steps/parties_should_have_the_following_profit_and_loss.go

@@ -48,6 +48,8 @@ func positionAPIProduceTheFollowingRow(exec Execution, positionService *plugins.
 	var pos []*types.Position
 	// check position status if needed
 	ps, checkPS := row.positionState()
+	checkFees := row.checkFees()
+	checkFunding := row.checkFunding()
 	party := row.party()
 	readableParty := party
 	if row.isAMM() {
@@ -79,12 +81,22 @@ func positionAPIProduceTheFollowingRow(exec Execution, positionService *plugins.
 		}
 
 		if areSamePosition(pos, row) {
-			if !checkPS {
+			if !checkFees && !checkFunding && !checkPS {
 				return nil
 			}
-			// check state if required
-			states, _ := positionService.GetPositionStatesByParty(party)
-			if len(states) == 1 && states[0] == ps {
+			match := true
+			if checkFees {
+				match = feesMatch(pos, row)
+			}
+			if checkFunding && match {
+				match = fundingMatches(pos, row)
+			}
+			if checkPS && match {
+				// check state if required
+				states, _ := positionService.GetPositionStatesByParty(party)
+				match = len(states) == 1 && states[0] == ps
+			}
+			if match {
 				return nil
 			}
 		}
@@ -109,15 +121,19 @@ func errProfitAndLossValuesForParty(pos []*types.Position, row pnlRow) error {
 	}
 	return formatDiff(
 		fmt.Sprintf("invalid positions values for party(%v)", row.party()),
+		row.diffMap(),
 		map[string]string{
-			"volume":         i64ToS(row.volume()),
-			"unrealised PNL": row.unrealisedPNL().String(),
-			"realised PNL":   row.realisedPNL().String(),
-		},
-		map[string]string{
-			"volume":         i64ToS(pos[0].OpenVolume),
-			"unrealised PNL": pos[0].UnrealisedPnl.String(),
-			"realised PNL":   pos[0].RealisedPnl.String(),
+			"volume":                 i64ToS(pos[0].OpenVolume),
+			"unrealised PNL":         pos[0].UnrealisedPnl.String(),
+			"realised PNL":           pos[0].RealisedPnl.String(),
+			"taker fees":             pos[0].TakerFeesPaid.String(),
+			"taker fees since":       pos[0].TakerFeesPaidSince.String(),
+			"maker fees":             pos[0].MakerFeesReceived.String(),
+			"maker fees since":       pos[0].MakerFeesReceivedSince.String(),
+			"other fees":             pos[0].FeesPaid.String(),
+			"other fees since":       pos[0].FeesPaidSince.String(),
+			"funding payments":       pos[0].FundingPaymentAmount.String(),
+			"funding payments since": pos[0].FundingPaymentAmountSince.String(),
 		},
 	)
 }
@@ -133,6 +149,52 @@ func areSamePosition(pos []*types.Position, row pnlRow) bool {
 		pos[0].UnrealisedPnl.Equals(row.unrealisedPNL())
 }
 
+func feesMatch(pos []*types.Position, row pnlRow) bool {
+	if len(pos) == 0 {
+		return false
+	}
+	taker, ok := row.takerFees()
+	if ok && !taker.EQ(pos[0].TakerFeesPaid) {
+		return false
+	}
+	maker, ok := row.makerFees()
+	if ok && !maker.EQ(pos[0].MakerFeesReceived) {
+		return false
+	}
+	other, ok := row.otherFees()
+	if ok && !other.EQ(pos[0].FeesPaid) {
+		return false
+	}
+	taker, ok = row.takerFeesSince()
+	if ok && !taker.EQ(pos[0].TakerFeesPaidSince) {
+		return false
+	}
+	maker, ok = row.makerFeesSince()
+	if ok && !maker.EQ(pos[0].MakerFeesReceivedSince) {
+		return false
+	}
+	other, ok = row.otherFeesSince()
+	if ok && !other.EQ(pos[0].FeesPaidSince) {
+		return false
+	}
+	return true
+}
+
+func fundingMatches(pos []*types.Position, row pnlRow) bool {
+	if len(pos) == 0 {
+		return false
+	}
+	fp, ok := row.fundingPayment()
+	if ok && !fp.EQ(pos[0].FundingPaymentAmount) {
+		return false
+	}
+	fp, ok = row.fundingPaymentSince()
+	if ok && !fp.EQ(pos[0].FundingPaymentAmountSince) {
+		return false
+	}
+	return true
+}
+
 func errCannotGetPositionForParty(party string, err error) error {
 	return fmt.Errorf("error getting party position, party(%v), err(%v)", party, err)
 }
@@ -147,6 +209,14 @@ func parseProfitAndLossTable(table *godog.Table) []RowWrapper {
 		"status",
 		"market id",
 		"is amm",
+		"taker fees",
+		"taker fees since",
+		"maker fees",
+		"maker fees since",
+		"other fees",
+		"other fees since",
+		"funding payments",
+		"funding payments since",
 	})
 }
 
@@ -191,3 +261,130 @@ func (r pnlRow) isAMM() bool {
 	}
 	return r.row.MustBool("is amm")
 }
+
+func (r pnlRow) takerFees() (*num.Uint, bool) {
+	if !r.row.HasColumn("taker fees") {
+		return nil, false
+	}
+	return r.row.MustUint("taker fees"), true
+}
+
+func (r pnlRow) takerFeesSince() (*num.Uint, bool) {
+	if !r.row.HasColumn("taker fees since") {
+		return nil, false
+	}
+	return r.row.MustUint("taker fees since"), true
+}
+
+func (r pnlRow) makerFees() (*num.Uint, bool) {
+	if !r.row.HasColumn("maker fees") {
+		return nil, false
+	}
+	return r.row.MustUint("maker fees"), true
+}
+
+func (r pnlRow) makerFeesSince() (*num.Uint, bool) {
+	if !r.row.HasColumn("maker fees since") {
+		return nil, false
+	}
+	return r.row.MustUint("maker fees since"), true
+}
+
+func (r pnlRow) otherFees() (*num.Uint, bool) {
+	if !r.row.HasColumn("other fees") {
+		return nil, false
+	}
+	return r.row.MustUint("other fees"), true
+}
+
+func (r pnlRow) otherFeesSince() (*num.Uint, bool) {
+	if !r.row.HasColumn("other fees since") {
+		return nil, false
+	}
+	return r.row.MustUint("other fees since"), true
+}
+
+func (r pnlRow) fundingPayment() (*num.Int, bool) {
+	if !r.row.HasColumn("funding payments") {
+		return nil, false
+	}
+	return r.row.MustInt("funding payments"), true
+}
+
+func (r pnlRow) fundingPaymentSince() (*num.Int, bool) {
+	if !r.row.HasColumn("funding payments since") {
+		return nil, false
+	}
+	return r.row.MustInt("funding payments since"), true
+}
+
+func (r pnlRow) checkFees() bool {
+	if _, taker := r.takerFees(); taker {
+		return true
+	}
+	if _, maker := r.makerFees(); maker {
+		return true
+	}
+	if _, other := r.otherFees(); other {
+		return true
+	}
+	if _, ok := r.takerFeesSince(); ok {
+		return true
+	}
+	if _, ok := r.makerFeesSince(); ok {
+		return true
+	}
+	if _, ok := r.otherFeesSince(); ok {
+		return true
+	}
+	return false
+}
+
+func (r pnlRow) checkFunding() bool {
+	if _, ok := r.fundingPayment(); ok {
+		return true
+	}
+	_, ok := r.fundingPaymentSince()
+	return ok
+}
+
+func (r pnlRow) diffMap() map[string]string {
+	m := map[string]string{
+		"volume":                 i64ToS(r.volume()),
+		"unrealised PNL":         r.unrealisedPNL().String(),
+		"realised PNL":           r.realisedPNL().String(),
+		"taker fees":             "",
+		"taker fees since":       "",
+		"maker fees":             "",
+		"maker fees since":       "",
+		"other fees":             "",
+		"other fees since":       "",
+		"funding payments":       "",
+		"funding payments since": "",
+	}
+	if v, ok := r.takerFees(); ok {
+		m["taker fees"] = v.String()
+	}
+	if v, ok := r.makerFees(); ok {
+		m["maker fees"] = v.String()
+	}
+	if v, ok := r.otherFees(); ok {
+		m["other fees"] = v.String()
+	}
+	if v, ok := r.takerFeesSince(); ok {
+		m["taker fees since"] = v.String()
+	}
+	if v, ok := r.makerFeesSince(); ok {
+		m["maker fees since"] = v.String()
+	}
+	if v, ok := r.otherFeesSince(); ok {
+		m["other fees since"] = v.String()
+	}
+	if v, ok := r.fundingPayment(); ok {
+		m["funding payments"] = v.String()
+	}
+	if v, ok := r.fundingPaymentSince(); ok {
+		m["funding payments since"] = v.String()
+	}
+	return m
+}