Merge pull request #11281 from vegaprotocol/fix-tradable-volume

fix: AMM tradable-volume query should respect its fair-price

Author: wwestgarth

core/execution/amm/engine_test.go

@@ -265,10 +265,10 @@ func testSubmitOrderAcrossAMMBoundary(t *testing.T) {
 
 	// second round, 2 orders moving all pool's to the upper boundary of the second shortest
 	assert.Equal(t, "2124", orders[3].Price.String())
-	assert.Equal(t, "2125", orders[4].Price.String())
+	assert.Equal(t, "2124", orders[4].Price.String())
 
 	// third round, 1 orders moving the last pool to its boundary
-	assert.Equal(t, "2175", orders[5].Price.String())
+	assert.Equal(t, "2174", orders[5].Price.String())
 }
 
 func testSubmitOrderAcrossAMMBoundarySell(t *testing.T) {
@@ -333,7 +333,7 @@ func testBestPricesAndVolume(t *testing.T) {
 		whenAMMIsSubmitted(t, tst, submit)
 	}
 
-	tst.pos.EXPECT().GetPositionsByParty(gomock.Any()).Times(9).Return(
+	tst.pos.EXPECT().GetPositionsByParty(gomock.Any()).AnyTimes().Return(
 		[]events.MarketPosition{&marketPosition{size: 0, averageEntry: num.NewUint(0)}},
 	)
 
@@ -344,9 +344,6 @@ func testBestPricesAndVolume(t *testing.T) {
 	assert.Equal(t, 35781, int(avolume))
 
 	// test GetVolumeAtPrice returns the same volume given best bid/ask
-	tst.pos.EXPECT().GetPositionsByParty(gomock.Any()).Times(6 * 2).Return(
-		[]events.MarketPosition{&marketPosition{size: 0, averageEntry: num.NewUint(0)}},
-	)
 	bvAt := tst.engine.GetVolumeAtPrice(bid, types.SideSell)
 	assert.Equal(t, bvolume, bvAt)
 	avAt := tst.engine.GetVolumeAtPrice(ask, types.SideBuy)

core/execution/amm/pool.go

@@ -572,6 +572,17 @@ func (p *Pool) TradableVolumeInRange(side types.Side, price1 *num.Uint, price2 *
 		st, nd = nd, st
 	}
 
+	fp := p.fairPrice()
+	if side == types.SideSell {
+		// want all buy volume so everything below fair price
+		nd = num.Min(fp, nd)
+	}
+
+	if side == types.SideBuy {
+		// want all sell volume so everything above fair price
+		st = num.Max(fp, st)
+	}
+
 	var other *curve
 	var volume uint64
 	// get the curve based on the pool's current position, if the position is zero we take the curve the trade will put us in

core/execution/amm/pool_test.go

@@ -78,18 +78,42 @@ func testTradeableVolumeInRange(t *testing.T) {
 			expectedVolume: 702,
 		},
 		{
-			name:           "trade causes sign to flip and volume crosses curves",
+			name:           "buy trade causes sign to flip and full volume crosses curves",
+			price1:         num.NewUint(500),
+			price2:         num.NewUint(3500),
+			side:           types.SideBuy,
+			expectedVolume: 1337,
+			position:       700, // position at full lower boundary, incoming is by so whole volume of both curves is available
+		},
+		{
+			name:           "sell trade causes sign to flip and full volume crosses curves",
+			price1:         num.NewUint(500),
+			price2:         num.NewUint(3500),
+			side:           types.SideSell,
+			expectedVolume: 1337,
+			position:       -700, // position at full upper boundary, incoming is by so whole volume of both curves is available
+		},
+		{
+			name:           "buy trade causes sign to flip and partial volume across both curves",
+			price1:         num.NewUint(500),
+			price2:         num.NewUint(3500),
+			side:           types.SideBuy,
+			expectedVolume: 986,
+			position:       350,
+		},
+		{
+			name:           "sell trade causes sign to flip and partial volume across both curves",
 			price1:         num.NewUint(500),
 			price2:         num.NewUint(3500),
 			side:           types.SideSell,
-			expectedVolume: 1337, // 635 + 702
-			position:       10,
+			expectedVolume: 1053,
+			position:       -350,
 		},
 	}
 
 	for _, tt := range tests {
 		t.Run(tt.name, func(t *testing.T) {
-			ensurePosition(t, p.pos, tt.position, num.UintZero())
+			ensurePositionN(t, p.pos, tt.position, num.UintZero(), 2)
 			volume := p.pool.TradableVolumeInRange(tt.side, tt.price1, tt.price2)
 			assert.Equal(t, int(tt.expectedVolume), int(volume))
 		})
@@ -100,17 +124,17 @@ func testPoolPositionFactor(t *testing.T) {
 	p := newTestPoolWithPositionFactor(t, num.DecimalFromInt64(1000))
 	defer p.ctrl.Finish()
 
-	ensurePosition(t, p.pos, 0, num.UintZero())
+	ensurePositionN(t, p.pos, 0, num.UintZero(), 2)
 	volume := p.pool.TradableVolumeInRange(types.SideBuy, num.NewUint(2000), num.NewUint(2200))
 	// with position factot of 1 the volume is 635
 	assert.Equal(t, int(635395), int(volume))
 
-	ensurePosition(t, p.pos, 0, num.UintZero())
+	ensurePositionN(t, p.pos, 0, num.UintZero(), 2)
 	volume = p.pool.TradableVolumeInRange(types.SideSell, num.NewUint(1800), num.NewUint(2000))
 	// with position factot of 1 the volume is 702
 	assert.Equal(t, int(702411), int(volume))
 
-	ensurePosition(t, p.pos, -1, num.NewUint(2000))
+	ensurePositionN(t, p.pos, -1, num.NewUint(2000), 1)
 	// now best price should be the same as if the factor were 1, since its a price and not a volume
 	fairPrice := p.pool.BestPrice(nil)
 	assert.Equal(t, "2001", fairPrice.String())
@@ -182,30 +206,30 @@ func testOneSidedPool(t *testing.T) {
 	defer p.ctrl.Finish()
 
 	// side with liquidity returns volume
-	ensurePosition(t, p.pos, 0, num.UintZero())
+	ensurePositionN(t, p.pos, 0, num.UintZero(), 2)
 	volume := p.pool.TradableVolumeInRange(types.SideBuy, num.NewUint(2000), num.NewUint(2200))
 	assert.Equal(t, int(635), int(volume))
 
 	// empty side returns no volume
-	ensurePosition(t, p.pos, 0, num.UintZero())
+	ensurePositionN(t, p.pos, 0, num.UintZero(), 2)
 	volume = p.pool.TradableVolumeInRange(types.SideSell, num.NewUint(1800), num.NewUint(2000))
 	assert.Equal(t, int(0), int(volume))
 
 	// pool with short position and incoming sell only reports volume up to base
 	// empty side returns no volume
-	ensurePosition(t, p.pos, -10, num.UintZero())
+	ensurePositionN(t, p.pos, -10, num.UintZero(), 2)
 	volume = p.pool.TradableVolumeInRange(types.SideSell, num.NewUint(1800), num.NewUint(2200))
-	assert.Equal(t, int(635), int(volume))
+	assert.Equal(t, int(10), int(volume))
 
 	// fair price at 0 position is still ok
 	ensurePosition(t, p.pos, 0, num.UintZero())
 	price := p.pool.BestPrice(nil)
-	assert.Equal(t, price.String(), "2000")
+	assert.Equal(t, "2000", price.String())
 
 	// fair price at short position is still ok
 	ensurePosition(t, p.pos, -10, num.UintZero())
 	price = p.pool.BestPrice(nil)
-	assert.Equal(t, price.String(), "2003")
+	assert.Equal(t, "2003", price.String())
 
 	// fair price when long should panic since AMM should never be able to get into that state
 	// fair price at short position is still ok
@@ -354,22 +378,22 @@ func TestNotebook(t *testing.T) {
 
 	pos := int64(0)
 
-	ensurePosition(t, p.pos, pos, num.UintZero())
+	ensurePositionN(t, p.pos, pos, num.UintZero(), 2)
 	volume := p.pool.TradableVolumeInRange(types.SideSell, base, low)
 	assert.Equal(t, int(702), int(volume))
 
-	ensurePosition(t, p.pos, pos, num.UintZero())
+	ensurePositionN(t, p.pos, pos, num.UintZero(), 2)
 	volume = p.pool.TradableVolumeInRange(types.SideBuy, up, base)
 	assert.Equal(t, int(635), int(volume))
 
 	lowmid := num.NewUint(1900)
 	upmid := num.NewUint(2100)
 
-	ensurePosition(t, p.pos, pos, num.UintZero())
+	ensurePositionN(t, p.pos, pos, num.UintZero(), 2)
 	volume = p.pool.TradableVolumeInRange(types.SideSell, low, lowmid)
 	assert.Equal(t, int(365), int(volume))
 
-	ensurePosition(t, p.pos, pos, num.UintZero())
+	ensurePositionN(t, p.pos, pos, num.UintZero(), 2)
 	volume = p.pool.TradableVolumeInRange(types.SideBuy, upmid, up)
 	assert.Equal(t, int(306), int(volume))
 

core/integration/features/amm/0090-VAMM-006-014.feature

@@ -479,7 +479,7 @@ Feature: Ensure the vAMM positions follow the market correctly
       | 95         | TRADING_MODE_CONTINUOUS | 100       | 120       | 120              | 121              | 119            |
     And the following trades should be executed:
       | buyer  | price | size | seller   | is amm |
-      | party5 | 114   | 65   | vamm1-id | true   |
+      | party5 | 114   | 64   | vamm1-id | true   |
     # Check the resulting position, vAMM further increased their position
     When the network moves ahead "1" blocks
 	Then the parties should have the following profit and loss:
@@ -488,5 +488,5 @@ Feature: Ensure the vAMM positions follow the market correctly
       | party2   | -1     | -14            | 0            |        |
       | party3   | -350   | -3150          | 0            |        |
       | party4   | 420    | 7980           | 0            |        |
-      | party5   | 65     | 0              | 0            |        |
-      | vamm1-id | -135   | -1330          | -3500        | true   |
+      | party5   | 64     | 0              | 0            |        |
+      | vamm1-id | -134   | -1330          | -3500        | true   |