Merge pull request #11152 from vegaprotocol/10995-liquidation-range

10995 liquidation range

CHANGELOG.md

@@ -28,6 +28,7 @@
 - [1102](https://github.com/vegaprotocol/core-test-coverage/issues/1102) - Add coverage for `0042-LIQF-084`
 - [11121](https://github.com/vegaprotocol/vega/issues/11121) - Remove auction trigger staleness functionality
 - [11127](https://github.com/vegaprotocol/vega/issues/11127) - Price monitoring engine should record all observations with the same weight
+- [10995](https://github.com/vegaprotocol/vega/issues/10995) - Liquidation range defined by its own parameter.
 
 ### 🐛 Fixes
 

commands/proposal_submission.go

@@ -1084,6 +1084,10 @@ func checkLiquidationStrategy(params *protoTypes.LiquidationStrategy, parent str
 	} else if params.DisposalTimeStep > 3600 {
 		errs.AddForProperty(fmt.Sprintf("%s.liquidation_strategy.disposal_time_step", parent), ErrMustBeAtMost3600)
 	}
+	slippage, err := num.DecimalFromString(params.DisposalSlippageRange)
+	if err != nil || slippage.IsNegative() || slippage.IsZero() {
+		errs.AddForProperty(fmt.Sprintf("%s.liquidation_strategy.disposal_slippage_range", parent), ErrMustBePositive)
+	}
 	return errs
 }
 

commands/proposal_submission_new_market_test.go

@@ -6152,10 +6152,11 @@ func testFutureMarketSubmissionWithValidLiquidationStrategySucceeds(t *testing.T
 							},
 						},
 						LiquidationStrategy: &vegapb.LiquidationStrategy{
-							DisposalTimeStep:    20,
-							DisposalFraction:    "0.05",
-							FullDisposalSize:    20,
-							MaxFractionConsumed: "0.01",
+							DisposalTimeStep:      20,
+							DisposalFraction:      "0.05",
+							FullDisposalSize:      20,
+							MaxFractionConsumed:   "0.01",
+							DisposalSlippageRange: "0.1",
 						},
 					},
 				},
@@ -6166,6 +6167,7 @@ func testFutureMarketSubmissionWithValidLiquidationStrategySucceeds(t *testing.T
 	assert.Empty(t, err.Get("proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_fraction"))
 	assert.Empty(t, err.Get("proposal_submission.terms.change.new_market.changes.liquidation_strategy.max_fraction_consumed"))
 	assert.Empty(t, err.Get("proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_time_step"))
+	assert.Empty(t, err.Get("proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_slippage_range"))
 }
 
 type compositePriceConfigCase struct {
@@ -6587,10 +6589,11 @@ func testFutureMarketSubmissionWithInvalidLiquidationStrategyFails(t *testing.T)
 							},
 						},
 						LiquidationStrategy: &vegapb.LiquidationStrategy{
-							DisposalTimeStep:    20,
-							DisposalFraction:    "0.05",
-							FullDisposalSize:    20,
-							MaxFractionConsumed: "0.01",
+							DisposalTimeStep:      20,
+							DisposalFraction:      "0.05",
+							FullDisposalSize:      20,
+							MaxFractionConsumed:   "0.01",
+							DisposalSlippageRange: "0.1",
 						},
 					},
 				},
@@ -6604,28 +6607,41 @@ func testFutureMarketSubmissionWithInvalidLiquidationStrategyFails(t *testing.T)
 	}{
 		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_fraction": {
 			ls: &vegapb.LiquidationStrategy{
-				DisposalTimeStep:    20,
-				DisposalFraction:    "123",
-				FullDisposalSize:    20,
-				MaxFractionConsumed: "0.01",
+				DisposalTimeStep:      20,
+				DisposalFraction:      "123",
+				FullDisposalSize:      20,
+				MaxFractionConsumed:   "0.01",
+				DisposalSlippageRange: "0.1",
 			},
 			err: commands.ErrMustBeBetween01,
 		},
 		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.max_fraction_consumed": {
 			ls: &vegapb.LiquidationStrategy{
-				DisposalTimeStep:    20,
-				DisposalFraction:    "0.1",
-				FullDisposalSize:    20,
-				MaxFractionConsumed: "-0.1",
+				DisposalTimeStep:      20,
+				DisposalFraction:      "0.1",
+				FullDisposalSize:      20,
+				MaxFractionConsumed:   "-0.1",
+				DisposalSlippageRange: "100", // large values are fine
 			},
 			err: commands.ErrMustBeBetween01,
 		},
 		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_time_step": {
 			ls: &vegapb.LiquidationStrategy{
-				DisposalTimeStep:    0,
-				DisposalFraction:    "0.1",
-				FullDisposalSize:    20,
-				MaxFractionConsumed: "0.1",
+				DisposalTimeStep:      0,
+				DisposalFraction:      "0.1",
+				FullDisposalSize:      20,
+				MaxFractionConsumed:   "0.1",
+				DisposalSlippageRange: "0.5",
+			},
+			err: commands.ErrMustBePositive,
+		},
+		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_slippage_range": {
+			ls: &vegapb.LiquidationStrategy{
+				DisposalTimeStep:      5,
+				DisposalFraction:      "0.1",
+				FullDisposalSize:      20,
+				MaxFractionConsumed:   "0.1",
+				DisposalSlippageRange: "-0.5",
 			},
 			err: commands.ErrMustBePositive,
 		},
@@ -6634,6 +6650,7 @@ func testFutureMarketSubmissionWithInvalidLiquidationStrategyFails(t *testing.T)
 		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_fraction",
 		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.max_fraction_consumed",
 		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_time_step",
+		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_slippage_range",
 	}
 	for ec, exp := range data {
 		nm := submission.Terms.GetNewMarket()
@@ -6659,31 +6676,44 @@ func testFutureMarketSubmissionWithInvalidLiquidationStrategyFails(t *testing.T)
 	}{
 		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_fraction": {
 			ls: &vegapb.LiquidationStrategy{
-				DisposalTimeStep:    20,
-				DisposalFraction:    "-2",
-				FullDisposalSize:    20,
-				MaxFractionConsumed: "0.01",
+				DisposalTimeStep:      20,
+				DisposalFraction:      "-2",
+				FullDisposalSize:      20,
+				MaxFractionConsumed:   "0.01",
+				DisposalSlippageRange: "0.5",
 			},
 			err: commands.ErrMustBeBetween01,
 		},
 		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.max_fraction_consumed": {
 			ls: &vegapb.LiquidationStrategy{
-				DisposalTimeStep:    20,
-				DisposalFraction:    "0.1",
-				FullDisposalSize:    20,
-				MaxFractionConsumed: "2",
+				DisposalTimeStep:      20,
+				DisposalFraction:      "0.1",
+				FullDisposalSize:      20,
+				MaxFractionConsumed:   "2",
+				DisposalSlippageRange: "0.5",
 			},
 			err: commands.ErrMustBeBetween01,
 		},
 		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_time_step": {
 			ls: &vegapb.LiquidationStrategy{
-				DisposalTimeStep:    3601,
-				DisposalFraction:    "0.1",
-				FullDisposalSize:    20,
-				MaxFractionConsumed: "0.1",
+				DisposalTimeStep:      3601,
+				DisposalFraction:      "0.1",
+				FullDisposalSize:      20,
+				MaxFractionConsumed:   "0.1",
+				DisposalSlippageRange: "0.5",
 			},
 			err: commands.ErrMustBeAtMost3600,
 		},
+		"proposal_submission.terms.change.new_market.changes.liquidation_strategy.disposal_slippage_range": {
+			ls: &vegapb.LiquidationStrategy{
+				DisposalTimeStep:      5,
+				DisposalFraction:      "0.1",
+				FullDisposalSize:      20,
+				MaxFractionConsumed:   "0.1",
+				DisposalSlippageRange: "0", // zero or missing values fail, too
+			},
+			err: commands.ErrMustBePositive,
+		},
 	}
 	for ec, exp := range data {
 		nm := submission.Terms.GetNewMarket()

core/execution/future/liquidation.go

@@ -30,7 +30,7 @@ func (m *Market) checkNetwork(ctx context.Context, now time.Time) error {
 		return nil
 	}
 	// this only returns an error if we couldn't get the price range, incidating no orders on book
-	order, _ := m.liquidation.OnTick(ctx, now)
+	order, _ := m.liquidation.OnTick(ctx, now, m.midPrice())
 	if order == nil {
 		return nil
 	}

core/execution/future/market.go

@@ -290,7 +290,7 @@ func NewMarket(
 	if mkt.LiquidationStrategy == nil {
 		mkt.LiquidationStrategy = liquidation.GetLegacyStrat()
 	}
-	le := liquidation.New(log, mkt.LiquidationStrategy, mkt.GetID(), broker, book, auctionState, timeService, marketLiquidity, positionEngine, pMonitor)
+	le := liquidation.New(log, mkt.LiquidationStrategy, mkt.GetID(), broker, book, auctionState, timeService, positionEngine, pMonitor)
 
 	marketType := mkt.MarketType()
 	market := &Market{
@@ -963,6 +963,11 @@ func (m *Market) PostRestore(ctx context.Context) error {
 		}
 	}
 
+	// Disposal slippage was set as part of this upgrade, send event to ensure datanode is updated.
+	if vegacontext.InProgressUpgradeFromMultiple(ctx, "v0.75.8", "v0.75.7") {
+		m.broker.Send(events.NewMarketUpdatedEvent(ctx, *m.mkt))
+	}
+
 	return nil
 }
 

core/execution/future/market_snapshot.go

@@ -186,8 +186,11 @@ func NewMarketFromSnapshot(
 	// this can be removed once this parameter is no longer optional
 	if mkt.LiquidationStrategy == nil {
 		mkt.LiquidationStrategy = liquidation.GetLegacyStrat()
+	} else if mkt.LiquidationStrategy.DisposalSlippage.IsZero() {
+		// @TODO check for migration from v0.75.8, strictly speaking, not doing so should have the same effect, though...
+		mkt.LiquidationStrategy.DisposalSlippage = mkt.LiquiditySLAParams.PriceRange
 	}
-	le := liquidation.New(log, mkt.LiquidationStrategy, mkt.GetID(), broker, book, as, timeService, marketLiquidity, positionEngine, pMonitor)
+	le := liquidation.New(log, mkt.LiquidationStrategy, mkt.GetID(), broker, book, as, timeService, positionEngine, pMonitor)
 
 	partyMargin := make(map[string]num.Decimal, len(em.PartyMarginFactors))
 	for _, pmf := range em.PartyMarginFactors {

core/execution/liquidation/engine.go

@@ -32,7 +32,7 @@ import (
 	"code.vegaprotocol.io/vega/logging"
 )
 
-//go:generate go run github.com/golang/mock/mockgen -destination mocks/mocks.go -package mocks code.vegaprotocol.io/vega/core/execution/liquidation Book,MarketLiquidity,IDGen,Positions,PriceMonitor
+//go:generate go run github.com/golang/mock/mockgen -destination mocks/mocks.go -package mocks code.vegaprotocol.io/vega/core/execution/liquidation Book,IDGen,Positions,PriceMonitor
 
 type PriceMonitor interface {
 	GetValidPriceRange() (num.WrappedDecimal, num.WrappedDecimal)
@@ -42,10 +42,6 @@ type Book interface {
 	GetVolumeAtPrice(price *num.Uint, side types.Side) uint64
 }
 
-type MarketLiquidity interface {
-	ValidOrdersPriceRange() (*num.Uint, *num.Uint, error)
-}
-
 type IDGen interface {
 	NextID() string
 }
@@ -66,7 +62,6 @@ type Engine struct {
 	as       common.AuctionState
 	nextStep time.Time
 	tSvc     common.TimeService
-	ml       MarketLiquidity
 	position Positions
 	stopped  bool
 	pmon     PriceMonitor
@@ -79,6 +74,7 @@ var (
 		DisposalFraction:    num.DecimalFromFloat(0.1),
 		FullDisposalSize:    20,
 		MaxFractionConsumed: num.DecimalFromFloat(0.05),
+		DisposalSlippage:    num.DecimalFromFloat(0.1),
 	}
 
 	// this comes closest to the existing behaviour (trying to close the network position in full in one go).
@@ -87,6 +83,7 @@ var (
 		DisposalFraction:    num.DecimalOne(),
 		FullDisposalSize:    math.MaxUint64,
 		MaxFractionConsumed: num.DecimalOne(),
+		DisposalSlippage:    num.DecimalFromFloat(10.0),
 	}
 )
 
@@ -103,7 +100,7 @@ func GetLegacyStrat() *types.LiquidationStrategy {
 	return legacyStrat.DeepClone()
 }
 
-func New(log *logging.Logger, cfg *types.LiquidationStrategy, mktID string, broker common.Broker, book Book, as common.AuctionState, tSvc common.TimeService, ml MarketLiquidity, pe Positions, pmon PriceMonitor) *Engine {
+func New(log *logging.Logger, cfg *types.LiquidationStrategy, mktID string, broker common.Broker, book Book, as common.AuctionState, tSvc common.TimeService, pe Positions, pmon PriceMonitor) *Engine {
 	// NOTE: This can be removed after protocol upgrade
 	if cfg == nil {
 		cfg = legacyStrat.DeepClone()
@@ -116,7 +113,6 @@ func New(log *logging.Logger, cfg *types.LiquidationStrategy, mktID string, brok
 		book:     book,
 		as:       as,
 		tSvc:     tSvc,
-		ml:       ml,
 		position: pe,
 		pos:      &Pos{},
 		pmon:     pmon,
@@ -132,14 +128,21 @@ func (e *Engine) Update(cfg *types.LiquidationStrategy) {
 	e.cfg = cfg
 }
 
-func (e *Engine) OnTick(ctx context.Context, now time.Time) (*types.Order, error) {
-	if e.pos.open == 0 || e.as.InAuction() || e.nextStep.After(now) {
+func (e *Engine) OnTick(ctx context.Context, now time.Time, midPrice *num.Uint) (*types.Order, error) {
+	if e.pos.open == 0 || e.as.InAuction() || e.nextStep.After(now) || midPrice.IsZero() {
 		return nil, nil
 	}
-	minP, maxP, err := e.ml.ValidOrdersPriceRange()
-	if err != nil {
-		return nil, err
+
+	one := num.DecimalOne()
+	// get the min/max price from the range based on slippage parameter
+	mpDec := num.DecimalFromUint(midPrice)
+	minP := num.UintZero()
+	if e.cfg.DisposalSlippage.LessThan(one) {
+		minD := mpDec.Mul(one.Sub(e.cfg.DisposalSlippage))
+		minP, _ = num.UintFromDecimal(minD)
 	}
+	maxD := mpDec.Mul(one.Add(e.cfg.DisposalSlippage))
+	maxP, _ := num.UintFromDecimal(maxD)
 
 	minB, maxB := e.pmon.GetValidPriceRange()