From 97fd8c8959f011e025c718e5c14ade6f147ad115 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 11:18:12 +0100
Subject: [PATCH 01/14] feat: use liquidation parameter to set price range

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 CHANGELOG.md                              |   1 +
 core/execution/future/liquidation.go      |   2 +-
 core/execution/future/market.go           |  17 +++-
 core/execution/future/market_snapshot.go  |   2 +-
 core/execution/liquidation/engine.go      |  29 +++---
 core/execution/liquidation/engine_test.go |  78 ++++++----------
 core/execution/liquidation/mocks/mocks.go |  41 +--------
 core/types/liquidation.go                 |   6 ++
 protos/sources/vega/markets.proto         |   3 +
 protos/vega/markets.pb.go                 | 105 ++++++++++++----------
 10 files changed, 132 insertions(+), 152 deletions(-)

diff --git a/CHANGELOG.md b/CHANGELOG.md
index 52cc25d56df..ab481de1b0a 100644
--- a/CHANGELOG.md
+++ b/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
 
diff --git a/core/execution/future/liquidation.go b/core/execution/future/liquidation.go
index 55b6284dd0d..b430083db9d 100644
--- a/core/execution/future/liquidation.go
+++ b/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.getMarketMidPrice())
 	if order == nil {
 		return nil
 	}
diff --git a/core/execution/future/market.go b/core/execution/future/market.go
index 069a2b61b7b..ed3c8611b52 100644
--- a/core/execution/future/market.go
+++ b/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{
@@ -709,6 +709,21 @@ func (m *Market) midPrice() *num.Uint {
 	return midPrice
 }
 
+func (m *Market) getMarketMidPrice() *num.Uint {
+	mp := num.UintZero()
+	if m.as.InAuction() {
+		return mp
+	}
+	bb, _, _ := m.matching.BestBidPriceAndVolume()
+	if bb.IsZero() {
+		return mp
+	}
+	if bo, _, _ := m.matching.BestOfferPriceAndVolume(); !bo.IsZero() {
+		return mp.Div(num.Sum(bb, bo), num.NewUint(2))
+	}
+	return mp
+}
+
 func (m *Market) GetMarketData() types.MarketData {
 	bestBidPrice, bestBidVolume, _ := m.matching.BestBidPriceAndVolume()
 	bestOfferPrice, bestOfferVolume, _ := m.matching.BestOfferPriceAndVolume()
diff --git a/core/execution/future/market_snapshot.go b/core/execution/future/market_snapshot.go
index 4578204ac11..30fbb7314af 100644
--- a/core/execution/future/market_snapshot.go
+++ b/core/execution/future/market_snapshot.go
@@ -187,7 +187,7 @@ func NewMarketFromSnapshot(
 	if mkt.LiquidationStrategy == nil {
 		mkt.LiquidationStrategy = liquidation.GetLegacyStrat()
 	}
-	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 {
diff --git a/core/execution/liquidation/engine.go b/core/execution/liquidation/engine.go
index 8df84c4c36a..3448e7db939 100644
--- a/core/execution/liquidation/engine.go
+++ b/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).
@@ -87,7 +83,11 @@ var (
 		DisposalFraction:    num.DecimalOne(),
 		FullDisposalSize:    math.MaxUint64,
 		MaxFractionConsumed: num.DecimalOne(),
+		DisposalSlippage:    num.DecimalFromFloat(10.0),
 	}
+
+	// just because we use it for min-max
+	dOne = num.DecimalFromFloat(1.0)
 )
 
 // GetDefaultStrat is exporeted, expected to be used to update existing proposals on protocol upgrade
@@ -103,7 +103,7 @@ 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 +116,6 @@ 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 +131,20 @@ func (e *Engine) Update(cfg *types.LiquidationStrategy) {
 	e.cfg = cfg
 }
 
-func (e *Engine) OnTick(ctx context.Context, now time.Time) (*types.Order, error) {
+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) {
 		return nil, nil
 	}
-	minP, maxP, err := e.ml.ValidOrdersPriceRange()
-	if err != nil {
-		return nil, err
+
+	// get the min/max price from the range based on slippage paramter
+	mpDec := num.DecimalFromUint(midPrice)
+	minP := num.UintZero()
+	if e.cfg.DisposalSlippage.LessThan(dOne) {
+		minD := mpDec.Mul(dOne.Sub(e.cfg.DisposalSlippage))
+		minP, _ = num.UintFromDecimal(minD)
 	}
+	maxD := mpDec.Mul(dOne.Add(e.cfg.DisposalSlippage))
+	maxP, _ := num.UintFromDecimal(maxD)
 
 	minB, maxB := e.pmon.GetValidPriceRange()
 
diff --git a/core/execution/liquidation/engine_test.go b/core/execution/liquidation/engine_test.go
index 196906f48bb..9fff759c66b 100644
--- a/core/execution/liquidation/engine_test.go
+++ b/core/execution/liquidation/engine_test.go
@@ -17,7 +17,6 @@ package liquidation_test
 
 import (
 	"context"
-	"errors"
 	"fmt"
 	"testing"
 	"time"
@@ -41,7 +40,6 @@ type tstEngine struct {
 	*liquidation.Engine
 	ctrl   *gomock.Controller
 	book   *mocks.MockBook
-	ml     *mocks.MockMarketLiquidity
 	idgen  *mocks.MockIDGen
 	as     *cmocks.MockAuctionState
 	broker *bmocks.MockBroker
@@ -107,23 +105,22 @@ func TestNetworkReducesOverTime(t *testing.T) {
 	require.Equal(t, len(closed), len(pos))
 	require.Equal(t, len(closed), len(parties))
 	require.Equal(t, closed[0].Party(), parties[0])
+	midPrice := num.NewUint(100)
 
 	t.Run("call to ontick within the time step does nothing", func(t *testing.T) {
 		now = now.Add(2 * time.Second)
 		eng.as.EXPECT().InAuction().Times(1).Return(false)
-		order, err := eng.OnTick(ctx, now)
+		order, err := eng.OnTick(ctx, now, midPrice)
 		require.Nil(t, order)
 		require.NoError(t, err)
 	})
 
 	t.Run("after the time step passes, the first batch is disposed of", func(t *testing.T) {
 		now = now.Add(3 * time.Second)
-		minP, maxP := num.UintZero(), num.UintOne()
 		eng.as.EXPECT().InAuction().Times(1).Return(false)
-		eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(minP, maxP, nil)
 		// return a large volume so the full step is disposed
 		eng.book.EXPECT().GetVolumeAtPrice(gomock.Any(), gomock.Any()).Times(1).Return(uint64(1000))
-		order, err := eng.OnTick(ctx, now)
+		order, err := eng.OnTick(ctx, now, midPrice)
 		require.NoError(t, err)
 		require.NotNil(t, order)
 		require.Equal(t, uint64(5), order.Size)
@@ -132,7 +129,7 @@ func TestNetworkReducesOverTime(t *testing.T) {
 	t.Run("ensure the next time step is set", func(t *testing.T) {
 		now = now.Add(2 * time.Second)
 		eng.as.EXPECT().InAuction().Times(1).Return(false)
-		order, err := eng.OnTick(ctx, now)
+		order, err := eng.OnTick(ctx, now, midPrice)
 		require.Nil(t, order)
 		require.NoError(t, err)
 	})
@@ -142,28 +139,16 @@ func TestNetworkReducesOverTime(t *testing.T) {
 		// pass another step
 		now = now.Add(3 * time.Second)
 		eng.as.EXPECT().InAuction().Times(1).Return(true)
-		order, err := eng.OnTick(ctx, now)
+		order, err := eng.OnTick(ctx, now, midPrice)
 		require.Nil(t, order)
 		require.NoError(t, err)
 	})
 
-	t.Run("when not in auction, if there is no price range, there is no trade", func(t *testing.T) {
-		eng.as.EXPECT().InAuction().Times(1).Return(false)
-		mlErr := errors.New("some error")
-		eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(nil, nil, mlErr)
-		order, err := eng.OnTick(ctx, now)
-		require.Nil(t, order)
-		require.Error(t, err)
-		require.Equal(t, mlErr, err)
-	})
-
 	t.Run("No longer in auction and we have a price range finally generates the order", func(t *testing.T) {
-		minP, maxP := num.UintZero(), num.UintOne()
 		eng.as.EXPECT().InAuction().Times(1).Return(false)
-		eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(minP, maxP, nil)
 		// return a large volume so the full step is disposed
 		eng.book.EXPECT().GetVolumeAtPrice(gomock.Any(), gomock.Any()).Times(1).Return(uint64(1000))
-		order, err := eng.OnTick(ctx, now)
+		order, err := eng.OnTick(ctx, now, midPrice)
 		require.NoError(t, err)
 		require.NotNil(t, order)
 		require.Equal(t, uint64(5), order.Size)
@@ -191,12 +176,10 @@ func TestNetworkReducesOverTime(t *testing.T) {
 		totalSize++
 		// now increase time by 4 seconds should dispose 5.1 -> 5
 		now = now.Add(4 * time.Second)
-		minP, maxP := num.UintZero(), num.UintOne()
 		eng.as.EXPECT().InAuction().Times(1).Return(false)
-		eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(minP, maxP, nil)
 		// return a large volume so the full step is disposed
 		eng.book.EXPECT().GetVolumeAtPrice(gomock.Any(), gomock.Any()).Times(1).Return(uint64(1000))
-		order, err := eng.OnTick(ctx, now)
+		order, err := eng.OnTick(ctx, now, midPrice)
 		require.NoError(t, err)
 		require.NotNil(t, order)
 		require.Equal(t, uint64(num.DecimalFromFloat(float64(totalSize)).Div(num.DecimalFromFloat(float64(10))).Ceil().IntPart()), order.Size)
@@ -205,7 +188,7 @@ func TestNetworkReducesOverTime(t *testing.T) {
 	t.Run("Updating the config changes the time left until the next step", func(t *testing.T) {
 		now = now.Add(time.Second)
 		eng.as.EXPECT().InAuction().Times(1).Return(false)
-		order, err := eng.OnTick(ctx, now)
+		order, err := eng.OnTick(ctx, now, midPrice)
 		require.Nil(t, order)
 		require.NoError(t, err)
 		// 4s to go, but...
@@ -213,12 +196,10 @@ func TestNetworkReducesOverTime(t *testing.T) {
 		eng.Update(config.DeepClone())
 		now = now.Add(2 * time.Second)
 		// only 3 seconds later and we dispose of the next batch
-		minP, maxP := num.UintZero(), num.UintOne()
 		eng.as.EXPECT().InAuction().Times(1).Return(false)
-		eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(minP, maxP, nil)
 		// return a large volume so the full step is disposed
 		eng.book.EXPECT().GetVolumeAtPrice(gomock.Any(), gomock.Any()).Times(1).Return(uint64(1000))
-		order, err = eng.OnTick(ctx, now)
+		order, err = eng.OnTick(ctx, now, midPrice)
 		require.NoError(t, err)
 		require.NotNil(t, order)
 		require.Equal(t, uint64(num.DecimalFromFloat(float64(totalSize)).Div(num.DecimalFromFloat(float64(10))).Ceil().IntPart()), order.Size)
@@ -237,12 +218,10 @@ func TestNetworkReducesOverTime(t *testing.T) {
 		require.True(t, uint64(eng.GetNetworkPosition().Size()) <= config.FullDisposalSize)
 		now = now.Add(3 * time.Second)
 		// only 3 seconds later and we dispose of the next batch
-		minP, maxP := num.UintZero(), num.UintOne()
 		eng.as.EXPECT().InAuction().Times(1).Return(false)
-		eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(minP, maxP, nil)
 		// return a large volume so the full step is disposed
 		eng.book.EXPECT().GetVolumeAtPrice(gomock.Any(), gomock.Any()).Times(1).Return(uint64(1000))
-		order, err := eng.OnTick(ctx, now)
+		order, err := eng.OnTick(ctx, now, midPrice)
 		require.NoError(t, err)
 		require.NotNil(t, order)
 		require.Equal(t, config.FullDisposalSize, order.Size)
@@ -255,8 +234,10 @@ func testOrderbookHasNoVolume(t *testing.T) {
 	eng := getTestEngine(t, mID, nil)
 	defer eng.Finish()
 
+	minP, midPrice := num.NewUint(90), num.NewUint(100)
+	// make sure the lower bound does not override the price range
 	eng.pmon.EXPECT().GetValidPriceRange().AnyTimes().Return(
-		num.NewWrappedDecimal(num.UintZero(), num.DecimalZero()),
+		num.NewWrappedDecimal(num.NewUint(90), num.DecimalFromFloat(90.0)),
 		num.NewWrappedDecimal(num.MaxUint(), num.MaxDecimal()),
 	)
 
@@ -280,11 +261,9 @@ func testOrderbookHasNoVolume(t *testing.T) {
 	require.Equal(t, len(closed), len(parties))
 	require.Equal(t, closed[0].Party(), parties[0])
 	// now when we close out, the book returns a volume of 0 is available
-	minP, maxP := num.UintZero(), num.UintOne()
 	eng.as.EXPECT().InAuction().Times(1).Return(false)
-	eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(minP, maxP, nil)
 	eng.book.EXPECT().GetVolumeAtPrice(minP, types.SideBuy).Times(1).Return(uint64(0))
-	order, err := eng.OnTick(ctx, now)
+	order, err := eng.OnTick(ctx, now, midPrice)
 	require.NoError(t, err)
 	require.Nil(t, order)
 }
@@ -297,6 +276,7 @@ func testOrderbookFractionRounding(t *testing.T) {
 		DisposalFraction:    num.DecimalOne(),
 		FullDisposalSize:    1000000, // plenty
 		MaxFractionConsumed: num.DecimalFromFloat(0.5),
+		DisposalSlippage:    num.DecimalFromFloat(10),
 	}
 	eng := getTestEngine(t, mID, &config)
 	defer eng.Finish()
@@ -330,11 +310,10 @@ func testOrderbookFractionRounding(t *testing.T) {
 	require.Equal(t, closed[0].Party(), parties[0])
 	// now the available volume on the book is 1, with the fraction that gets rounded to 0.5
 	// which should be rounded UP to 1.
-	minP, maxP := num.UintZero(), num.UintOne()
+	minP, midPrice := num.UintZero(), num.NewUint(100)
 	eng.as.EXPECT().InAuction().Times(1).Return(false)
-	eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(minP, maxP, nil)
 	eng.book.EXPECT().GetVolumeAtPrice(minP, types.SideBuy).Times(1).Return(uint64(1))
-	order, err := eng.OnTick(ctx, now)
+	order, err := eng.OnTick(ctx, now, midPrice)
 	require.NoError(t, err)
 	require.Equal(t, uint64(1), order.Size)
 }
@@ -347,6 +326,7 @@ func testOrderbookExceedsVolume(t *testing.T) {
 		DisposalFraction:    num.DecimalOne(),
 		FullDisposalSize:    1000000, // plenty
 		MaxFractionConsumed: num.DecimalFromFloat(0.5),
+		DisposalSlippage:    num.DecimalFromFloat(10),
 	}
 	eng := getTestEngine(t, mID, &config)
 	defer eng.Finish()
@@ -378,12 +358,11 @@ func testOrderbookExceedsVolume(t *testing.T) {
 	require.Equal(t, len(closed), len(pos))
 	require.Equal(t, len(closed), len(parties))
 	require.Equal(t, closed[0].Party(), parties[0])
-	minP, maxP := num.UintZero(), num.UintOne()
+	minP, midPrice := num.UintZero(), num.NewUint(100)
 	eng.as.EXPECT().InAuction().Times(1).Return(false)
-	eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(minP, maxP, nil)
 	// orderbook has 100x the available volume, with a factor of 0.5, that's still 50x
 	eng.book.EXPECT().GetVolumeAtPrice(minP, types.SideBuy).Times(1).Return(uint64(netVol * 10))
-	order, err := eng.OnTick(ctx, now)
+	order, err := eng.OnTick(ctx, now, midPrice)
 	require.NoError(t, err)
 	require.Equal(t, uint64(netVol), order.Size)
 }
@@ -396,12 +375,13 @@ func testOrderCappedByPriceMonitor(t *testing.T) {
 		DisposalFraction:    num.DecimalOne(),
 		FullDisposalSize:    1000000, // plenty
 		MaxFractionConsumed: num.DecimalFromFloat(0.5),
+		DisposalSlippage:    num.DecimalFromFloat(10),
 	}
 	eng := getTestEngine(t, mID, &config)
 	defer eng.Finish()
 
 	// these are the bounds given by the order book
-	minP, maxP := num.NewUint(100), num.NewUint(200)
+	midPrice := num.NewUint(150)
 
 	// these are the price monitoring bounds
 	minB := num.NewUint(150)
@@ -434,11 +414,10 @@ func testOrderCappedByPriceMonitor(t *testing.T) {
 	require.Equal(t, closed[0].Party(), parties[0])
 
 	eng.as.EXPECT().InAuction().Times(1).Return(false)
-	eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(minP, maxP, nil)
 
 	// we will check for volume at the price monitoring minimum
 	eng.book.EXPECT().GetVolumeAtPrice(minB, types.SideBuy).Times(1).Return(uint64(netVol * 10))
-	order, err := eng.OnTick(ctx, now)
+	order, err := eng.OnTick(ctx, now, midPrice)
 	require.NoError(t, err)
 	require.Equal(t, uint64(netVol), order.Size)
 }
@@ -501,11 +480,10 @@ func TestLegacySupport(t *testing.T) {
 	require.Equal(t, len(closed), len(parties))
 	require.Equal(t, closed[0].Party(), parties[0])
 	// now we should see an order for size 15 returned
-	minP, maxP := num.UintZero(), num.UintOne()
+	minP, midPrice := num.UintZero(), num.NewUint(100)
 	eng.as.EXPECT().InAuction().Times(1).Return(false)
-	eng.ml.EXPECT().ValidOrdersPriceRange().Times(1).Return(minP, maxP, nil)
 	eng.book.EXPECT().GetVolumeAtPrice(minP, types.SideBuy).Times(1).Return(uint64(netVol))
-	order, err := eng.OnTick(ctx, now)
+	order, err := eng.OnTick(ctx, now, midPrice)
 	require.NoError(t, err)
 	require.Equal(t, uint64(netVol), order.Size)
 	// now reduce the network size through distressed short position
@@ -533,7 +511,7 @@ func TestLegacySupport(t *testing.T) {
 	require.Equal(t, closed[0].Party(), parties[0])
 	require.Equal(t, netVol, eng.GetNetworkPosition().Size())
 	// now we should see no error, and no order returned
-	order, err = eng.OnTick(ctx, now)
+	order, err = eng.OnTick(ctx, now, midPrice)
 	require.NoError(t, err)
 	require.Nil(t, order)
 	// now just make sure stopping for snapshots works as expected
@@ -625,19 +603,17 @@ func getTestEngine(t *testing.T, marketID string, config *types.LiquidationStrat
 	t.Helper()
 	ctrl := gomock.NewController(t)
 	book := mocks.NewMockBook(ctrl)
-	ml := mocks.NewMockMarketLiquidity(ctrl)
 	idgen := mocks.NewMockIDGen(ctrl)
 	as := cmocks.NewMockAuctionState(ctrl)
 	broker := bmocks.NewMockBroker(ctrl)
 	tSvc := cmocks.NewMockTimeService(ctrl)
 	pe := mocks.NewMockPositions(ctrl)
 	pmon := mocks.NewMockPriceMonitor(ctrl)
-	engine := liquidation.New(logging.NewDevLogger(), config, marketID, broker, book, as, tSvc, ml, pe, pmon)
+	engine := liquidation.New(logging.NewDevLogger(), config, marketID, broker, book, as, tSvc, pe, pmon)
 	return &tstEngine{
 		Engine: engine,
 		ctrl:   ctrl,
 		book:   book,
-		ml:     ml,
 		idgen:  idgen,
 		as:     as,
 		broker: broker,
diff --git a/core/execution/liquidation/mocks/mocks.go b/core/execution/liquidation/mocks/mocks.go
index 24b220e4eab..36564847590 100644
--- a/core/execution/liquidation/mocks/mocks.go
+++ b/core/execution/liquidation/mocks/mocks.go
@@ -1,5 +1,5 @@
 // Code generated by MockGen. DO NOT EDIT.
-// Source: code.vegaprotocol.io/vega/core/execution/liquidation (interfaces: Book,MarketLiquidity,IDGen,Positions,PriceMonitor)
+// Source: code.vegaprotocol.io/vega/core/execution/liquidation (interfaces: Book,IDGen,Positions,PriceMonitor)
 
 // Package mocks is a generated GoMock package.
 package mocks
@@ -53,45 +53,6 @@ func (mr *MockBookMockRecorder) GetVolumeAtPrice(arg0, arg1 interface{}) *gomock
 	return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "GetVolumeAtPrice", reflect.TypeOf((*MockBook)(nil).GetVolumeAtPrice), arg0, arg1)
 }
 
-// MockMarketLiquidity is a mock of MarketLiquidity interface.
-type MockMarketLiquidity struct {
-	ctrl     *gomock.Controller
-	recorder *MockMarketLiquidityMockRecorder
-}
-
-// MockMarketLiquidityMockRecorder is the mock recorder for MockMarketLiquidity.
-type MockMarketLiquidityMockRecorder struct {
-	mock *MockMarketLiquidity
-}
-
-// NewMockMarketLiquidity creates a new mock instance.
-func NewMockMarketLiquidity(ctrl *gomock.Controller) *MockMarketLiquidity {
-	mock := &MockMarketLiquidity{ctrl: ctrl}
-	mock.recorder = &MockMarketLiquidityMockRecorder{mock}
-	return mock
-}
-
-// EXPECT returns an object that allows the caller to indicate expected use.
-func (m *MockMarketLiquidity) EXPECT() *MockMarketLiquidityMockRecorder {
-	return m.recorder
-}
-
-// ValidOrdersPriceRange mocks base method.
-func (m *MockMarketLiquidity) ValidOrdersPriceRange() (*num.Uint, *num.Uint, error) {
-	m.ctrl.T.Helper()
-	ret := m.ctrl.Call(m, "ValidOrdersPriceRange")
-	ret0, _ := ret[0].(*num.Uint)
-	ret1, _ := ret[1].(*num.Uint)
-	ret2, _ := ret[2].(error)
-	return ret0, ret1, ret2
-}
-
-// ValidOrdersPriceRange indicates an expected call of ValidOrdersPriceRange.
-func (mr *MockMarketLiquidityMockRecorder) ValidOrdersPriceRange() *gomock.Call {
-	mr.mock.ctrl.T.Helper()
-	return mr.mock.ctrl.RecordCallWithMethodType(mr.mock, "ValidOrdersPriceRange", reflect.TypeOf((*MockMarketLiquidity)(nil).ValidOrdersPriceRange))
-}
-
 // MockIDGen is a mock of IDGen interface.
 type MockIDGen struct {
 	ctrl     *gomock.Controller
diff --git a/core/types/liquidation.go b/core/types/liquidation.go
index 8a57cb4abb7..429f0d64ec3 100644
--- a/core/types/liquidation.go
+++ b/core/types/liquidation.go
@@ -28,6 +28,7 @@ type LiquidationStrategy struct {
 	DisposalFraction    num.Decimal
 	FullDisposalSize    uint64
 	MaxFractionConsumed num.Decimal
+	DisposalSlippage    num.Decimal // this has to be a pointer for the time being, with the need to default to 0.1
 }
 
 type LiquidationNode struct {
@@ -109,11 +110,16 @@ func LiquidationStrategyFromProto(p *vegapb.LiquidationStrategy) (*LiquidationSt
 	if err != nil {
 		return nil, err
 	}
+	slippage, err := num.DecimalFromString(p.DisposalSlippageRange)
+	if err != nil {
+		return nil, err
+	}
 	return &LiquidationStrategy{
 		DisposalTimeStep:    time.Second * time.Duration(p.DisposalTimeStep),
 		DisposalFraction:    df,
 		FullDisposalSize:    p.FullDisposalSize,
 		MaxFractionConsumed: mfc,
+		DisposalSlippage:    slippage,
 	}, nil
 }
 
diff --git a/protos/sources/vega/markets.proto b/protos/sources/vega/markets.proto
index ffc510ae131..4a801fb3727 100644
--- a/protos/sources/vega/markets.proto
+++ b/protos/sources/vega/markets.proto
@@ -413,6 +413,9 @@ message LiquidationStrategy {
   uint64 full_disposal_size = 3;
   // Max fraction of the total volume of the orderbook, within liquidity bounds, that the network can use to close its position; range 0 through 1.
   string max_fraction_consumed = 4;
+  // Decimal > 0 defining the price range within which the network will trade to dispose of its position. Retroactively defaults to 0.1 (10%).
+  // The value can be > 1, if set to 1.5, the minimum price will be 0 (min(0, mid_price * (1 - 1.))), the maximum price will be mid_price * (1 + 1.5).
+  string disposal_slippage_range = 5;
 }
 
 enum CompositePriceType {
diff --git a/protos/vega/markets.pb.go b/protos/vega/markets.pb.go
index 05049616413..99e0f6c93c6 100644
--- a/protos/vega/markets.pb.go
+++ b/protos/vega/markets.pb.go
@@ -2333,6 +2333,9 @@ type LiquidationStrategy struct {
 	FullDisposalSize uint64 `protobuf:"varint,3,opt,name=full_disposal_size,json=fullDisposalSize,proto3" json:"full_disposal_size,omitempty"`
 	// Max fraction of the total volume of the orderbook, within liquidity bounds, that the network can use to close its position; range 0 through 1.
 	MaxFractionConsumed string `protobuf:"bytes,4,opt,name=max_fraction_consumed,json=maxFractionConsumed,proto3" json:"max_fraction_consumed,omitempty"`
+	// Decimal > 0 defining the price range within which the network will trade to dispose of its position. Retroactively defaults to 0.1 (10%).
+	// The value can be > 1, if set to 1.5, the minimum price will be 0 (min(0, mid_price * (1 - 1.))), the maximum price will be mid_price * (1 + 1.5).
+	DisposalSlippageRange string `protobuf:"bytes,5,opt,name=disposal_slippage_range,json=disposalSlippageRange,proto3" json:"disposal_slippage_range,omitempty"`
 }
 
 func (x *LiquidationStrategy) Reset() {
@@ -2395,6 +2398,13 @@ func (x *LiquidationStrategy) GetMaxFractionConsumed() string {
 	return ""
 }
 
+func (x *LiquidationStrategy) GetDisposalSlippageRange() string {
+	if x != nil {
+		return x.DisposalSlippageRange
+	}
+	return ""
+}
+
 // Mark price configuration parameters.
 type CompositePriceConfiguration struct {
 	state         protoimpl.MessageState
@@ -2925,7 +2935,7 @@ var file_vega_markets_proto_rawDesc = []byte{
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@@ -2938,51 +2948,54 @@ var file_vega_markets_proto_rawDesc = []byte{
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+	0x75, 0x72, 0x63, 0x65, 0x73, 0x5f, 0x73, 0x70, 0x65, 0x63, 0x5f, 0x62, 0x69, 0x6e, 0x64, 0x69,
+	0x6e, 0x67, 0x18, 0x08, 0x20, 0x03, 0x28, 0x0b, 0x32, 0x22, 0x2e, 0x76, 0x65, 0x67, 0x61, 0x2e,
+	0x53, 0x70, 0x65, 0x63, 0x42, 0x69, 0x6e, 0x64, 0x69, 0x6e, 0x67, 0x46, 0x6f, 0x72, 0x43, 0x6f,
+	0x6d, 0x70, 0x6f, 0x73, 0x69, 0x74, 0x65, 0x50, 0x72, 0x69, 0x63, 0x65, 0x52, 0x16, 0x64, 0x61,
+	0x74, 0x61, 0x53, 0x6f, 0x75, 0x72, 0x63, 0x65, 0x73, 0x53, 0x70, 0x65, 0x63, 0x42, 0x69, 0x6e,
+	0x64, 0x69, 0x6e, 0x67, 0x2a, 0xa3, 0x01, 0x0a, 0x12, 0x43, 0x6f, 0x6d, 0x70, 0x6f, 0x73, 0x69,
+	0x74, 0x65, 0x50, 0x72, 0x69, 0x63, 0x65, 0x54, 0x79, 0x70, 0x65, 0x12, 0x24, 0x0a, 0x20, 0x43,
+	0x4f, 0x4d, 0x50, 0x4f, 0x53, 0x49, 0x54, 0x45, 0x5f, 0x50, 0x52, 0x49, 0x43, 0x45, 0x5f, 0x54,
+	0x59, 0x50, 0x45, 0x5f, 0x55, 0x4e, 0x53, 0x50, 0x45, 0x43, 0x49, 0x46, 0x49, 0x45, 0x44, 0x10,
+	0x00, 0x12, 0x21, 0x0a, 0x1d, 0x43, 0x4f, 0x4d, 0x50, 0x4f, 0x53, 0x49, 0x54, 0x45, 0x5f, 0x50,
+	0x52, 0x49, 0x43, 0x45, 0x5f, 0x54, 0x59, 0x50, 0x45, 0x5f, 0x57, 0x45, 0x49, 0x47, 0x48, 0x54,
+	0x45, 0x44, 0x10, 0x01, 0x12, 0x1f, 0x0a, 0x1b, 0x43, 0x4f, 0x4d, 0x50, 0x4f, 0x53, 0x49, 0x54,
+	0x45, 0x5f, 0x50, 0x52, 0x49, 0x43, 0x45, 0x5f, 0x54, 0x59, 0x50, 0x45, 0x5f, 0x4d, 0x45, 0x44,
+	0x49, 0x41, 0x4e, 0x10, 0x02, 0x12, 0x23, 0x0a, 0x1f, 0x43, 0x4f, 0x4d, 0x50, 0x4f, 0x53, 0x49,
+	0x54, 0x45, 0x5f, 0x50, 0x52, 0x49, 0x43, 0x45, 0x5f, 0x54, 0x59, 0x50, 0x45, 0x5f, 0x4c, 0x41,
+	0x53, 0x54, 0x5f, 0x54, 0x52, 0x41, 0x44, 0x45, 0x10, 0x03, 0x42, 0x27, 0x5a, 0x25, 0x63, 0x6f,
+	0x64, 0x65, 0x2e, 0x76, 0x65, 0x67, 0x61, 0x70, 0x72, 0x6f, 0x74, 0x6f, 0x63, 0x6f, 0x6c, 0x2e,
+	0x69, 0x6f, 0x2f, 0x76, 0x65, 0x67, 0x61, 0x2f, 0x70, 0x72, 0x6f, 0x74, 0x6f, 0x73, 0x2f, 0x76,
+	0x65, 0x67, 0x61, 0x62, 0x06, 0x70, 0x72, 0x6f, 0x74, 0x6f, 0x33,
 }
 
 var (

From 93fe7a6064675612641541226aee4a570b639721 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 12:01:07 +0100
Subject: [PATCH 02/14] test: fix integration tests to work with new disposal
 slippage parameter

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 core/execution/liquidation/snapshot.go            |  6 +++++-
 .../features/closeouts/0012-POSR-009.feature      |  4 ++--
 .../features/closeouts/0012-POSR-010.feature      |  4 ++--
 .../closeout-long-with-custom-strategy.feature    |  6 +++---
 .../features/liquidation/0012-POSR-012.feature    | 15 ++++++++++-----
 ...work_disposing_position_outside_bounds.feature |  8 ++++----
 .../features/verified/network_pnl.feature         |  6 +++---
 .../features/verified/network_pnl_funding.feature |  4 ++--
 .../verified/network_position_disposal.feature    |  7 ++++---
 .../defaults/liquidation-config/AC-013-strat.json |  3 ++-
 .../default-liquidation-strat.json                |  3 ++-
 .../legacy-liquidation-strategy.json              |  3 ++-
 .../slow-liquidation-strat.json                   |  3 ++-
 .../integration/steps/the_liquidation_strategy.go |  6 ++++++
 core/types/liquidation.go                         | 13 +++++++++----
 15 files changed, 58 insertions(+), 33 deletions(-)

diff --git a/core/execution/liquidation/snapshot.go b/core/execution/liquidation/snapshot.go
index 22391889686..a8b1767cd67 100644
--- a/core/execution/liquidation/snapshot.go
+++ b/core/execution/liquidation/snapshot.go
@@ -57,9 +57,13 @@ func (e *Engine) LoadState(ctx context.Context, pl *types.Payload) ([]types.Stat
 		if d.Config != nil {
 			e.cfg = d.Config.DeepClone()
 		} else {
-			// @NOTE this can be removed after protocol upgrade has completed
+			// this can probably be removed now
 			e.cfg = GetLegacyStrat()
 		}
+		// @NOTE this should have a protocol upgrade guard around it
+		if e.cfg.DisposalFraction.IsZero() {
+			e.cfg.DisposalFraction = defaultStrat.DisposalSlippage
+		}
 	default:
 		return nil, types.ErrUnknownSnapshotType
 	}
diff --git a/core/integration/features/closeouts/0012-POSR-009.feature b/core/integration/features/closeouts/0012-POSR-009.feature
index 72cf1b3ce68..c4ebdf8a504 100644
--- a/core/integration/features/closeouts/0012-POSR-009.feature
+++ b/core/integration/features/closeouts/0012-POSR-009.feature
@@ -2,8 +2,8 @@ Feature: When a party is distressed and gets closed out the network's position g
 
   Background:
     Given the liquidation strategies:
-      | name           | disposal step | disposal fraction | full disposal size | max fraction consumed |
-      | disposal-strat | 10            | 1.0               | 1000               | 1.0                   |
+      | name           | disposal step | disposal fraction | full disposal size | max fraction consumed | disposal slippage range |
+      | disposal-strat | 10            | 1.0               | 1000               | 1.0                   | 0.1                     |
 
     Given the markets:
       | id        | quote name | asset | risk model                  | margin calculator                  | auction duration | fees         | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params      | liquidation strategy |
diff --git a/core/integration/features/closeouts/0012-POSR-010.feature b/core/integration/features/closeouts/0012-POSR-010.feature
index 57a39148ef5..f0da894e5c2 100644
--- a/core/integration/features/closeouts/0012-POSR-010.feature
+++ b/core/integration/features/closeouts/0012-POSR-010.feature
@@ -3,8 +3,8 @@ Feature: When the network party holds a non-zero position and there are not enou
 
   Background:
     Given the liquidation strategies:
-      | name           | disposal step | disposal fraction | full disposal size | max fraction consumed |
-      | disposal-strat | 1000          | 1.0               | 1000               | 1.0                   |
+      | name           | disposal step | disposal fraction | full disposal size | max fraction consumed | disposal slippage range |
+      | disposal-strat | 1000          | 1.0               | 1000               | 1.0                   | 0.1                     |
 
     Given the markets:
       | id        | quote name | asset | risk model                  | margin calculator                  | auction duration | fees         | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params      | liquidation strategy |
diff --git a/core/integration/features/closeouts/closeout-long-with-custom-strategy.feature b/core/integration/features/closeouts/closeout-long-with-custom-strategy.feature
index 4b7a7e9a6b1..a90744bd720 100644
--- a/core/integration/features/closeouts/closeout-long-with-custom-strategy.feature
+++ b/core/integration/features/closeouts/closeout-long-with-custom-strategy.feature
@@ -1,10 +1,10 @@
 Feature: Same as 1847-closeout-long test, but with a custom liquidation strategy in place
 
   Background:
-    # disposal strategy every 5 seconds, 20% until 10 or less, max 10% of the book used
+    # disposal strategy every 5 seconds, 20% until 10 or less, max 10% of the book used, slippage is set to 10 so price range is always wide enough
     Given the liquidation strategies:
-      | name             | disposal step | disposal fraction | full disposal size | max fraction consumed |
-      | disposal-strat-1 | 5             | 0.2               | 10                 | 0.1                   |
+      | name             | disposal step | disposal fraction | full disposal size | max fraction consumed | disposal slippage range |
+      | disposal-strat-1 | 5             | 0.2               | 10                 | 0.1                   | 10                      |
     And the markets:
       | id        | quote name | asset | risk model                  | margin calculator         | auction duration | fees         | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params      | liquidation strategy |
       | ETH/DEC19 | BTC        | BTC   | default-simple-risk-model-4 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures | disposal-strat-1     |
diff --git a/core/integration/features/liquidation/0012-POSR-012.feature b/core/integration/features/liquidation/0012-POSR-012.feature
index a671211c734..137aba24788 100644
--- a/core/integration/features/liquidation/0012-POSR-012.feature
+++ b/core/integration/features/liquidation/0012-POSR-012.feature
@@ -1,9 +1,14 @@
 Feature: 0012-POSR-012 Update the liquidation strategy through market update
 
   Background:
-    Given the markets:
-      | id        | quote name | asset | risk model                  | margin calculator         | auction duration | fees         | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params      | liquidation strategy   |
-      | ETH/DEC19 | BTC        | BTC   | default-simple-risk-model-4 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures | slow-liquidation-strat |
+    Given the liquidation strategies:
+      | name             | disposal step | disposal fraction | full disposal size | max fraction consumed | disposal slippage range |
+      | slow-liquidation | 100           | 0.2               | 1                  | 0.2                   | 0.5                     |
+      | fast-liquidation | 10            | 0.1               | 20                 | 0.05                  | 0.5                     |
+
+    And the markets:
+      | id        | quote name | asset | risk model                  | margin calculator         | auction duration | fees         | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params      | liquidation strategy |
+      | ETH/DEC19 | BTC        | BTC   | default-simple-risk-model-4 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures | slow-liquidation     |
     And the following network parameters are set:
       | name                                    | value |
       | market.auction.minimumDuration          | 1     |
@@ -97,8 +102,8 @@ Feature: 0012-POSR-012 Update the liquidation strategy through market update
       | tt_10 | 100   | 1    | network |
     # Now update the market
     When the markets are updated:
-      | id        | linear slippage factor | quadratic slippage factor | liquidation strategy      |
-      | ETH/DEC19 | 0.25                   | 0                         | default-liquidation-strat |
+      | id        | linear slippage factor | quadratic slippage factor | liquidation strategy |
+      | ETH/DEC19 | 0.25                   | 0                         | fast-liquidation     |
     # Now the network should dispose of its entire position
     When the network moves ahead "11" blocks
     Then the parties should have the following profit and loss:
diff --git a/core/integration/features/verified/network_disposing_position_outside_bounds.feature b/core/integration/features/verified/network_disposing_position_outside_bounds.feature
index dd716b083da..5a30951f1ac 100644
--- a/core/integration/features/verified/network_disposing_position_outside_bounds.feature
+++ b/core/integration/features/verified/network_disposing_position_outside_bounds.feature
@@ -16,9 +16,9 @@ Feature: Disposing position outside bounds
 
     # Configure the markets
     Given the liquidation strategies:
-      | name                | disposal step | disposal fraction | full disposal size | max fraction consumed |
-      | liquidation-strat-1 | 1             | 0.5               | 0                  | 1                     |
-      | liquidation-strat-2 | 1             | 1                 | 0                  | 0.5                   |
+      | name                | disposal step | disposal fraction | full disposal size | max fraction consumed | disposal slippage range |
+      | liquidation-strat-1 | 1             | 0.5               | 0                  | 1                     | 0.1                     |
+      | liquidation-strat-2 | 1             | 1                 | 0                  | 0.5                   | 0.1                     |
     And the price monitoring named "price-monitoring":
       | horizon | probability | auction extension |
       | 6200    | 0.99        | 5                 |
@@ -357,4 +357,4 @@ Feature: Disposing position outside bounds
     When the network moves ahead "1" blocks
     Then the parties should have the following profit and loss:
       | party   | volume | unrealised pnl | realised pnl |
-      | network | 1      | 0              | 0            |
\ No newline at end of file
+      | network | 1      | 0              | 0            |
diff --git a/core/integration/features/verified/network_pnl.feature b/core/integration/features/verified/network_pnl.feature
index f83815733c8..8e74f30cb3e 100644
--- a/core/integration/features/verified/network_pnl.feature
+++ b/core/integration/features/verified/network_pnl.feature
@@ -13,9 +13,9 @@ Feature: Profit and loss for network a running liquidation strategy
 
     # Configure the markets
     Given the liquidation strategies:
-      | name                | disposal step | disposal fraction | full disposal size | max fraction consumed |
-      | liquidation-strat-1 | 3600          | 0.5               | 0                  | 1                     |
-      | liquidation-strat-2 | 5             | 0.5               | 0                  | 1                     |
+      | name                | disposal step | disposal fraction | full disposal size | max fraction consumed | disposal slippage range |
+      | liquidation-strat-1 | 3600          | 0.5               | 0                  | 1                     | 0.1                     |
+      | liquidation-strat-2 | 5             | 0.5               | 0                  | 1                     | 0.1                     |
 
     And the markets:
       | id        | quote name | asset    | risk model                    | margin calculator         | auction duration | fees         | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | liquidation strategy | sla params    |
diff --git a/core/integration/features/verified/network_pnl_funding.feature b/core/integration/features/verified/network_pnl_funding.feature
index 1268913c3c1..f7df129a0b0 100644
--- a/core/integration/features/verified/network_pnl_funding.feature
+++ b/core/integration/features/verified/network_pnl_funding.feature
@@ -15,8 +15,8 @@ Feature: Network profit and loss consideres funding
       | name        | asset | settlement property | settlement type | schedule property | schedule type  | margin funding factor | interest rate | clamp lower bound | clamp upper bound | quote name | settlement decimals |
       | perp-oracle | ETH   | perp.ETH.value      | TYPE_INTEGER    | perp.funding.cue  | TYPE_TIMESTAMP | 0.9                   | 0.1           | 0                 | 0                 | ETH        | 0                   |
     Given the liquidation strategies:
-      | name                | disposal step | disposal fraction | full disposal size | max fraction consumed |
-      | liquidation-strat-1 | 3600          | 0.5               | 0                  | 1                     |
+      | name                | disposal step | disposal fraction | full disposal size | max fraction consumed | disposal slippage range |
+      | liquidation-strat-1 | 3600          | 0.5               | 0                  | 1                     | 0.1                     |
     And the markets:
       | id        | quote name | asset | risk model                    | margin calculator         | auction duration | fees         | price monitoring | data source config | linear slippage factor | quadratic slippage factor | liquidation strategy | sla params    | market type |
       | ETH/MAR22 | ETH        | ETH   | default-log-normal-risk-model | default-margin-calculator | 1                | default-none | default-none     | perp-oracle        | 0.001                  | 0                         | liquidation-strat-1  | default-basic | perp        |
diff --git a/core/integration/features/verified/network_position_disposal.feature b/core/integration/features/verified/network_position_disposal.feature
index 753e29ffb4c..8fdb500de8b 100644
--- a/core/integration/features/verified/network_position_disposal.feature
+++ b/core/integration/features/verified/network_position_disposal.feature
@@ -12,10 +12,11 @@ Feature: Network disposing position
       | id       | decimal places | quantum |
       | USD.0.10 | 0              | 10      |
 
+    # disposal strat 1 set to 0.5 for scenario at line 244
     Given the liquidation strategies:
-      | name             | disposal step | disposal fraction | full disposal size | max fraction consumed |
-      | disposal-strat-1 | 5             | 0.2               | 0                  | 0.1                   |
-      | disposal-strat-2 | 5             | 0.2               | 5                  | 0.1                   |
+      | name             | disposal step | disposal fraction | full disposal size | max fraction consumed | disposal slippage range |
+      | disposal-strat-1 | 5             | 0.2               | 0                  | 0.1                   | 0.5                     |
+      | disposal-strat-2 | 5             | 0.2               | 5                  | 0.1                   | 0.1                     |
 
     And the log normal risk model named "log-normal-risk-model-1":
       | risk aversion | tau           | mu | r | sigma |
diff --git a/core/integration/steps/market/defaults/liquidation-config/AC-013-strat.json b/core/integration/steps/market/defaults/liquidation-config/AC-013-strat.json
index bf1aa2d901e..6d93f5c820f 100644
--- a/core/integration/steps/market/defaults/liquidation-config/AC-013-strat.json
+++ b/core/integration/steps/market/defaults/liquidation-config/AC-013-strat.json
@@ -2,5 +2,6 @@
     "disposal_time_step": 10,
     "disposal_fraction": "0.5",
     "full_disposal_size": 50,
-    "max_fraction_consumed": "0.01"
+    "max_fraction_consumed": "0.01",
+    "disposal_slippage_range": "0.1"
 }
diff --git a/core/integration/steps/market/defaults/liquidation-config/default-liquidation-strat.json b/core/integration/steps/market/defaults/liquidation-config/default-liquidation-strat.json
index f3479abb0d8..b588c887942 100644
--- a/core/integration/steps/market/defaults/liquidation-config/default-liquidation-strat.json
+++ b/core/integration/steps/market/defaults/liquidation-config/default-liquidation-strat.json
@@ -2,5 +2,6 @@
     "disposal_time_step": 10,
     "disposal_fraction": "0.1",
     "full_disposal_size": 20,
-    "max_fraction_consumed": "0.05"
+    "max_fraction_consumed": "0.05",
+    "disposal_slippage_range": "0.1"
 }
diff --git a/core/integration/steps/market/defaults/liquidation-config/legacy-liquidation-strategy.json b/core/integration/steps/market/defaults/liquidation-config/legacy-liquidation-strategy.json
index d1e1b7ff1a2..c4326c07d37 100644
--- a/core/integration/steps/market/defaults/liquidation-config/legacy-liquidation-strategy.json
+++ b/core/integration/steps/market/defaults/liquidation-config/legacy-liquidation-strategy.json
@@ -2,5 +2,6 @@
     "disposal_time_step": 0,
     "disposal_fraction": "1",
     "full_disposal_size": 18446744073709551615,
-    "max_fraction_consumed": "1"
+    "max_fraction_consumed": "1",
+    "disposal_slippage_range": "10"
 }
diff --git a/core/integration/steps/market/defaults/liquidation-config/slow-liquidation-strat.json b/core/integration/steps/market/defaults/liquidation-config/slow-liquidation-strat.json
index ca90c3c07e4..b8728b29785 100644
--- a/core/integration/steps/market/defaults/liquidation-config/slow-liquidation-strat.json
+++ b/core/integration/steps/market/defaults/liquidation-config/slow-liquidation-strat.json
@@ -2,6 +2,7 @@
     "disposal_time_step": 100,
     "disposal_fraction": "0.2",
     "full_disposal_size": 1,
-    "max_fraction_consumed": "0.2"
+    "max_fraction_consumed": "0.2",
+    "disposal_slippage_range": "0.1"
 }
 
diff --git a/core/integration/steps/the_liquidation_strategy.go b/core/integration/steps/the_liquidation_strategy.go
index 1f9dce0ef23..4ce274dafde 100644
--- a/core/integration/steps/the_liquidation_strategy.go
+++ b/core/integration/steps/the_liquidation_strategy.go
@@ -43,6 +43,7 @@ func parseLiquidationStrategyTable(table *godog.Table) []RowWrapper {
 		"disposal fraction",
 		"full disposal size",
 		"max fraction consumed",
+		"disposal slippage range",
 	}, nil)
 }
 
@@ -56,6 +57,7 @@ func (l lsRow) liquidationStrategy() *types.LiquidationStrategy {
 		DisposalFraction:    l.disposalFraction(),
 		FullDisposalSize:    l.fullDisposalSize(),
 		MaxFractionConsumed: l.maxFraction(),
+		DisposalSlippage:    l.disposalSlippage(),
 	}
 }
 
@@ -79,3 +81,7 @@ func (l lsRow) fullDisposalSize() uint64 {
 func (l lsRow) maxFraction() num.Decimal {
 	return l.r.MustDecimal("max fraction consumed")
 }
+
+func (l lsRow) disposalSlippage() num.Decimal {
+	return l.r.MustDecimal("disposal slippage range")
+}
diff --git a/core/types/liquidation.go b/core/types/liquidation.go
index 429f0d64ec3..5d8959a6886 100644
--- a/core/types/liquidation.go
+++ b/core/types/liquidation.go
@@ -124,11 +124,16 @@ func LiquidationStrategyFromProto(p *vegapb.LiquidationStrategy) (*LiquidationSt
 }
 
 func (l *LiquidationStrategy) IntoProto() *vegapb.LiquidationStrategy {
+	slip := ""
+	if !l.DisposalSlippage.IsZero() {
+		slip = l.DisposalSlippage.String()
+	}
 	return &vegapb.LiquidationStrategy{
-		DisposalTimeStep:    int64(l.DisposalTimeStep / time.Second),
-		DisposalFraction:    l.DisposalFraction.String(),
-		FullDisposalSize:    l.FullDisposalSize,
-		MaxFractionConsumed: l.MaxFractionConsumed.String(),
+		DisposalTimeStep:      int64(l.DisposalTimeStep / time.Second),
+		DisposalFraction:      l.DisposalFraction.String(),
+		FullDisposalSize:      l.FullDisposalSize,
+		MaxFractionConsumed:   l.MaxFractionConsumed.String(),
+		DisposalSlippageRange: slip,
 	}
 }
 

From 790eba68bc4c1ffbfbb98d9bf543fdfeab25af79 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 12:36:32 +0100
Subject: [PATCH 03/14] test: tweak integration, fix unit tests after adding
 validation to the new parameter

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 commands/proposal_submission.go               |  4 +
 .../proposal_submission_new_market_test.go    | 94 ++++++++++++-------
 core/governance/engine_new_market_test.go     |  7 ++
 core/governance/engine_test.go                |  3 +
 core/governance/market.go                     |  3 +
 .../liquidation/0012-POSR-012.feature         |  5 +-
 .../slow-liquidation-strat.json               |  2 +-
 7 files changed, 82 insertions(+), 36 deletions(-)

diff --git a/commands/proposal_submission.go b/commands/proposal_submission.go
index 7b08a896cab..05c1b510ce7 100644
--- a/commands/proposal_submission.go
+++ b/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
 }
 
diff --git a/commands/proposal_submission_new_market_test.go b/commands/proposal_submission_new_market_test.go
index bc46a9bf7d9..461e5e9a102 100644
--- a/commands/proposal_submission_new_market_test.go
+++ b/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()
diff --git a/core/governance/engine_new_market_test.go b/core/governance/engine_new_market_test.go
index 5698a86a175..6fbd9c5c415 100644
--- a/core/governance/engine_new_market_test.go
+++ b/core/governance/engine_new_market_test.go
@@ -474,6 +474,7 @@ func testSubmittingProposalWithInternalTimeSettlingForNewMarketFails(t *testing.
 							DisposalFraction:    num.DecimalFromFloat(0.1),
 							FullDisposalSize:    20,
 							MaxFractionConsumed: num.DecimalFromFloat(0.01),
+							DisposalSlippage:    num.DecimalFromFloat(0.1),
 						},
 						TickSize: num.UintOne(),
 					},
@@ -555,6 +556,7 @@ func testSubmittingProposalWithEmptySettlingDataForNewMarketFails(t *testing.T)
 							DisposalFraction:    num.DecimalFromFloat(0.1),
 							FullDisposalSize:    20,
 							MaxFractionConsumed: num.DecimalFromFloat(0.01),
+							DisposalSlippage:    num.DecimalFromFloat(0.1),
 						},
 						TickSize: num.UintOne(),
 					},
@@ -645,6 +647,7 @@ func testSubmittingProposalWithEmptyTerminationDataForNewMarketFails(t *testing.
 							DisposalFraction:    num.DecimalFromFloat(0.1),
 							FullDisposalSize:    20,
 							MaxFractionConsumed: num.DecimalFromFloat(0.01),
+							DisposalSlippage:    num.DecimalFromFloat(0.1),
 						},
 						TickSize: num.UintOne(),
 					},
@@ -760,6 +763,7 @@ func testSubmittingProposalWithInternalTimeTerminationWithLessThanEqualCondition
 							DisposalFraction:    num.DecimalFromFloat(0.1),
 							FullDisposalSize:    20,
 							MaxFractionConsumed: num.DecimalFromFloat(0.01),
+							DisposalSlippage:    num.DecimalFromFloat(0.1),
 						},
 						TickSize: num.UintOne(),
 					},
@@ -830,6 +834,7 @@ func testSubmittingProposalWithInternalTimeTerminationWithLessThanEqualCondition
 							DisposalFraction:    num.DecimalFromFloat(0.1),
 							FullDisposalSize:    20,
 							MaxFractionConsumed: num.DecimalFromFloat(0.01),
+							DisposalSlippage:    num.DecimalFromFloat(0.1),
 						},
 						TickSize: num.UintOne(),
 					},
@@ -965,6 +970,7 @@ func testSubmittingProposalWithInternalTimeTriggerTerminationFails(t *testing.T)
 							DisposalFraction:    num.DecimalFromFloat(0.1),
 							FullDisposalSize:    20,
 							MaxFractionConsumed: num.DecimalFromFloat(0.01),
+							DisposalSlippage:    num.DecimalFromFloat(0.1),
 						},
 						TickSize: num.UintOne(),
 					},
@@ -1066,6 +1072,7 @@ func testSubmittingProposalWithInternalTimeTriggerSettlementFails(t *testing.T)
 							DisposalFraction:    num.DecimalFromFloat(0.1),
 							FullDisposalSize:    20,
 							MaxFractionConsumed: num.DecimalFromFloat(0.01),
+							DisposalSlippage:    num.DecimalFromFloat(0.1),
 						},
 						TickSize: num.UintOne(),
 					},
diff --git a/core/governance/engine_test.go b/core/governance/engine_test.go
index 873992cafa8..6e35d338a6b 100644
--- a/core/governance/engine_test.go
+++ b/core/governance/engine_test.go
@@ -1628,6 +1628,7 @@ func newMarketTerms(termFilter *dstypes.SpecFilter, termBinding *datasource.Spec
 					DisposalFraction:    num.DecimalFromFloat(0.1),
 					FullDisposalSize:    20,
 					MaxFractionConsumed: num.DecimalFromFloat(0.01),
+					DisposalSlippage:    num.DecimalFromFloat(0.1),
 				},
 				TickSize: num.NewUint(1),
 			},
@@ -1718,6 +1719,7 @@ func newPerpsMarketTerms(termFilter *dstypes.SpecFilter, binding *datasource.Spe
 					DisposalFraction:    num.DecimalFromFloat(0.1),
 					FullDisposalSize:    20,
 					MaxFractionConsumed: num.DecimalFromFloat(0.01),
+					DisposalSlippage:    num.DecimalFromFloat(0.1),
 				},
 				TickSize: num.UintOne(),
 			},
@@ -1911,6 +1913,7 @@ func updateMarketTerms(termFilter *dstypes.SpecFilter, termBinding *datasource.S
 					DisposalFraction:    num.DecimalFromFloat(0.1),
 					FullDisposalSize:    20,
 					MaxFractionConsumed: num.DecimalFromFloat(0.01),
+					DisposalSlippage:    num.DecimalFromFloat(0.1),
 				},
 				TickSize: num.UintOne(),
 			},
diff --git a/core/governance/market.go b/core/governance/market.go
index 5b32d961a8b..a3509939ff5 100644
--- a/core/governance/market.go
+++ b/core/governance/market.go
@@ -705,6 +705,9 @@ func validateLiquidationStrategy(ls *types.LiquidationStrategy) (types.ProposalE
 	} else if ls.DisposalTimeStep > time.Hour {
 		return types.ProposalErrorInvalidMarket, fmt.Errorf("liquidation strategy time step can't be more than 1h")
 	}
+	if ls.DisposalSlippage.IsZero() || ls.DisposalSlippage.IsNegative() {
+		return types.ProposalErrorInvalidMarket, fmt.Errorf("liquidation strategy must specify a disposal slippage range > 1")
+	}
 	return types.ProposalErrorUnspecified, nil
 }
 
diff --git a/core/integration/features/liquidation/0012-POSR-012.feature b/core/integration/features/liquidation/0012-POSR-012.feature
index 137aba24788..45b002f8e6d 100644
--- a/core/integration/features/liquidation/0012-POSR-012.feature
+++ b/core/integration/features/liquidation/0012-POSR-012.feature
@@ -3,12 +3,11 @@ Feature: 0012-POSR-012 Update the liquidation strategy through market update
   Background:
     Given the liquidation strategies:
       | name             | disposal step | disposal fraction | full disposal size | max fraction consumed | disposal slippage range |
-      | slow-liquidation | 100           | 0.2               | 1                  | 0.2                   | 0.5                     |
       | fast-liquidation | 10            | 0.1               | 20                 | 0.05                  | 0.5                     |
 
     And the markets:
-      | id        | quote name | asset | risk model                  | margin calculator         | auction duration | fees         | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params      | liquidation strategy |
-      | ETH/DEC19 | BTC        | BTC   | default-simple-risk-model-4 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures | slow-liquidation     |
+      | id        | quote name | asset | risk model                  | margin calculator         | auction duration | fees         | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params      | liquidation strategy   |
+      | ETH/DEC19 | BTC        | BTC   | default-simple-risk-model-4 | default-margin-calculator | 1                | default-none | default-none     | default-eth-for-future | 0.25                   | 0                         | default-futures | slow-liquidation-strat |
     And the following network parameters are set:
       | name                                    | value |
       | market.auction.minimumDuration          | 1     |
diff --git a/core/integration/steps/market/defaults/liquidation-config/slow-liquidation-strat.json b/core/integration/steps/market/defaults/liquidation-config/slow-liquidation-strat.json
index b8728b29785..7b158419faf 100644
--- a/core/integration/steps/market/defaults/liquidation-config/slow-liquidation-strat.json
+++ b/core/integration/steps/market/defaults/liquidation-config/slow-liquidation-strat.json
@@ -3,6 +3,6 @@
     "disposal_fraction": "0.2",
     "full_disposal_size": 1,
     "max_fraction_consumed": "0.2",
-    "disposal_slippage_range": "0.1"
+    "disposal_slippage_range": "0.5"
 }
 

From 9b0a8de3f55797cd3d08bf1159d1db53efe15c93 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 12:46:22 +0100
Subject: [PATCH 04/14] test: add coverage for proposal disposal slippage
 validation

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 core/governance/engine_new_market_test.go | 26 +++++++++++++++++++++++
 1 file changed, 26 insertions(+)

diff --git a/core/governance/engine_new_market_test.go b/core/governance/engine_new_market_test.go
index 6fbd9c5c415..f1098922354 100644
--- a/core/governance/engine_new_market_test.go
+++ b/core/governance/engine_new_market_test.go
@@ -57,6 +57,7 @@ func TestProposalForNewMarket(t *testing.T) {
 	t.Run("Submitting a duplicated proposal with internal time termination for new market fails", testSubmittingDuplicatedProposalWithInternalTimeTerminationForNewMarketFails)
 	t.Run("Submitting a proposal for new market with bad risk parameter fails", testSubmittingProposalForNewMarketWithBadRiskParameterFails)
 	t.Run("Submitting a proposal for new market with internal time termination with bad risk parameter fails", testSubmittingProposalForNewMarketWithInternalTimeTerminationWithBadRiskParameterFails)
+	t.Run("Submitting a proposal for a ne market without disposal slippage range fails", testSubmittingProposalWithoutDisposalSlippageFails)
 
 	t.Run("Rejecting a proposal for new market succeeds", testRejectingProposalForNewMarketSucceeds)
 
@@ -1233,6 +1234,31 @@ func testSubmittingProposalForNewMarketWithInternalTimeTerminationWithBadRiskPar
 	assert.Contains(t, err.Error(), "invalid risk parameter")
 }
 
+func testSubmittingProposalWithoutDisposalSlippageFails(t *testing.T) {
+	eng := getTestEngine(t, time.Now())
+	// given
+	party := eng.newValidParty("a-valid-party", 1)
+	eng.ensureAllAssetEnabled(t)
+
+	proposal := eng.newProposalForNewMarket(party.Id, eng.tsvc.GetTimeNow().Add(2*time.Hour), nil, nil, false)
+	proposal.Terms.GetNewMarket().Changes.LiquidationStrategy = &types.LiquidationStrategy{
+		DisposalTimeStep:    10,
+		DisposalFraction:    num.DecimalFromFloat(0.2),
+		FullDisposalSize:    10,
+		MaxFractionConsumed: num.DecimalFromFloat(0.5),
+	}
+
+	// setup
+	eng.broker.EXPECT().Send(gomock.Any()).Times(1)
+
+	// when
+	_, err := eng.submitProposal(t, proposal)
+
+	// then
+	require.Error(t, err)
+	assert.Contains(t, err.Error(), "liquidation strategy time step has to be 1s or more")
+}
+
 func testOutOfRangeRiskParamFail(t *testing.T, lnm *types.LogNormalRiskModel) {
 	t.Helper()
 	eng := getTestEngine(t, time.Now())

From 0555e41aa3dcd206f428c0da287c17c53de93850 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 12:56:42 +0100
Subject: [PATCH 05/14] chore: comment out scenario without implementation

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 core/integration/features/orders/stoporders_spot.feature | 4 ++--
 1 file changed, 2 insertions(+), 2 deletions(-)

diff --git a/core/integration/features/orders/stoporders_spot.feature b/core/integration/features/orders/stoporders_spot.feature
index b63d303dbe6..0053bcbb910 100644
--- a/core/integration/features/orders/stoporders_spot.feature
+++ b/core/integration/features/orders/stoporders_spot.feature
@@ -1258,7 +1258,7 @@ Feature: stop orders
       | party1 | USDT/ETH  | STATUS_PENDING   | stop3     |
       | party1 | USDT/ETH  | STATUS_PENDING   | stop4     |
 
-  Scenario: An OCO stop order with expiration time T with both sides set to execute at that time will be rejected on submission (0014-ORDT-176)
+  #Scenario: An OCO stop order with expiration time T with both sides set to execute at that time will be rejected on submission (0014-ORDT-176)
   #   # setup accounts
   #   Given time is updated to "2019-11-30T00:00:00Z"
   #   Given the parties deposit on asset's general account the following amount:
@@ -1395,4 +1395,4 @@ Feature: stop orders
   #     | party2 | BTC/ETH   | STATUS_STOPPED | stop2-2   |
   #     | party2 | BTC/ETH   | STATUS_EXPIRED | stop2-1   |
 
-  
\ No newline at end of file
+  

From 6e8ab48e36b316494c29b12f4bd7d6437557ad32 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 13:20:46 +0100
Subject: [PATCH 06/14] chore: review

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 core/execution/liquidation/engine.go      | 11 ++++-------
 core/governance/engine_new_market_test.go |  4 ++--
 core/governance/market.go                 |  2 +-
 3 files changed, 7 insertions(+), 10 deletions(-)

diff --git a/core/execution/liquidation/engine.go b/core/execution/liquidation/engine.go
index 3448e7db939..a9479ee1dde 100644
--- a/core/execution/liquidation/engine.go
+++ b/core/execution/liquidation/engine.go
@@ -85,9 +85,6 @@ var (
 		MaxFractionConsumed: num.DecimalOne(),
 		DisposalSlippage:    num.DecimalFromFloat(10.0),
 	}
-
-	// just because we use it for min-max
-	dOne = num.DecimalFromFloat(1.0)
 )
 
 // GetDefaultStrat is exporeted, expected to be used to update existing proposals on protocol upgrade
@@ -136,14 +133,14 @@ func (e *Engine) OnTick(ctx context.Context, now time.Time, midPrice *num.Uint)
 		return nil, nil
 	}
 
-	// get the min/max price from the range based on slippage paramter
+	// get the min/max price from the range based on slippage parameter
 	mpDec := num.DecimalFromUint(midPrice)
 	minP := num.UintZero()
-	if e.cfg.DisposalSlippage.LessThan(dOne) {
-		minD := mpDec.Mul(dOne.Sub(e.cfg.DisposalSlippage))
+	if e.cfg.DisposalSlippage.LessThan(num.DecimalZero()) {
+		minD := mpDec.Mul(num.DecimalZero().Sub(e.cfg.DisposalSlippage))
 		minP, _ = num.UintFromDecimal(minD)
 	}
-	maxD := mpDec.Mul(dOne.Add(e.cfg.DisposalSlippage))
+	maxD := mpDec.Mul(num.DecimalZero().Add(e.cfg.DisposalSlippage))
 	maxP, _ := num.UintFromDecimal(maxD)
 
 	minB, maxB := e.pmon.GetValidPriceRange()
diff --git a/core/governance/engine_new_market_test.go b/core/governance/engine_new_market_test.go
index f1098922354..60f41707749 100644
--- a/core/governance/engine_new_market_test.go
+++ b/core/governance/engine_new_market_test.go
@@ -1242,7 +1242,7 @@ func testSubmittingProposalWithoutDisposalSlippageFails(t *testing.T) {
 
 	proposal := eng.newProposalForNewMarket(party.Id, eng.tsvc.GetTimeNow().Add(2*time.Hour), nil, nil, false)
 	proposal.Terms.GetNewMarket().Changes.LiquidationStrategy = &types.LiquidationStrategy{
-		DisposalTimeStep:    10,
+		DisposalTimeStep:    time.Second * 10,
 		DisposalFraction:    num.DecimalFromFloat(0.2),
 		FullDisposalSize:    10,
 		MaxFractionConsumed: num.DecimalFromFloat(0.5),
@@ -1256,7 +1256,7 @@ func testSubmittingProposalWithoutDisposalSlippageFails(t *testing.T) {
 
 	// then
 	require.Error(t, err)
-	assert.Contains(t, err.Error(), "liquidation strategy time step has to be 1s or more")
+	assert.Contains(t, err.Error(), "liquidation strategy must specify a disposal slippage range > 0")
 }
 
 func testOutOfRangeRiskParamFail(t *testing.T, lnm *types.LogNormalRiskModel) {
diff --git a/core/governance/market.go b/core/governance/market.go
index a3509939ff5..8f9378a3b28 100644
--- a/core/governance/market.go
+++ b/core/governance/market.go
@@ -706,7 +706,7 @@ func validateLiquidationStrategy(ls *types.LiquidationStrategy) (types.ProposalE
 		return types.ProposalErrorInvalidMarket, fmt.Errorf("liquidation strategy time step can't be more than 1h")
 	}
 	if ls.DisposalSlippage.IsZero() || ls.DisposalSlippage.IsNegative() {
-		return types.ProposalErrorInvalidMarket, fmt.Errorf("liquidation strategy must specify a disposal slippage range > 1")
+		return types.ProposalErrorInvalidMarket, fmt.Errorf("liquidation strategy must specify a disposal slippage range > 0")
 	}
 	return types.ProposalErrorUnspecified, nil
 }

From 0b7819fe2faab15304ee99d5689efc222bc370ce Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 13:41:17 +0100
Subject: [PATCH 07/14] test: fix type unit tests

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 core/types/governance_new_market_test.go | 9 +++++----
 1 file changed, 5 insertions(+), 4 deletions(-)

diff --git a/core/types/governance_new_market_test.go b/core/types/governance_new_market_test.go
index ecd8510b40c..e8fc923325a 100644
--- a/core/types/governance_new_market_test.go
+++ b/core/types/governance_new_market_test.go
@@ -160,10 +160,11 @@ func TestNewMarketProposalMapping(t *testing.T) {
 							SlaCompetitionFactor:        "0.5",
 						},
 						LiquidationStrategy: &vegapb.LiquidationStrategy{
-							DisposalTimeStep:    300,
-							DisposalFraction:    "0.1",
-							FullDisposalSize:    20,
-							MaxFractionConsumed: "0.01",
+							DisposalTimeStep:      300,
+							DisposalFraction:      "0.1",
+							FullDisposalSize:      20,
+							MaxFractionConsumed:   "0.01",
+							DisposalSlippageRange: "0.1",
 						},
 						TickSize: "1",
 					},

From b93764a0c8df68057d6ea5aa830843d4d68dd147 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 14:22:05 +0100
Subject: [PATCH 08/14] chore: review fixes

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 core/execution/liquidation/engine.go | 9 +++++----
 protos/sources/vega/markets.proto    | 2 +-
 protos/vega/markets.pb.go            | 2 +-
 3 files changed, 7 insertions(+), 6 deletions(-)

diff --git a/core/execution/liquidation/engine.go b/core/execution/liquidation/engine.go
index a9479ee1dde..71884c8c4e0 100644
--- a/core/execution/liquidation/engine.go
+++ b/core/execution/liquidation/engine.go
@@ -129,18 +129,19 @@ func (e *Engine) Update(cfg *types.LiquidationStrategy) {
 }
 
 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) {
+	if e.pos.open == 0 || e.as.InAuction() || e.nextStep.After(now) || midPrice.IsZero() {
 		return nil, nil
 	}
 
+	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(num.DecimalZero()) {
-		minD := mpDec.Mul(num.DecimalZero().Sub(e.cfg.DisposalSlippage))
+	if e.cfg.DisposalSlippage.LessThan(one) {
+		minD := mpDec.Mul(one.Sub(e.cfg.DisposalSlippage))
 		minP, _ = num.UintFromDecimal(minD)
 	}
-	maxD := mpDec.Mul(num.DecimalZero().Add(e.cfg.DisposalSlippage))
+	maxD := mpDec.Mul(one.Add(e.cfg.DisposalSlippage))
 	maxP, _ := num.UintFromDecimal(maxD)
 
 	minB, maxB := e.pmon.GetValidPriceRange()
diff --git a/protos/sources/vega/markets.proto b/protos/sources/vega/markets.proto
index 4a801fb3727..5335d966c70 100644
--- a/protos/sources/vega/markets.proto
+++ b/protos/sources/vega/markets.proto
@@ -414,7 +414,7 @@ message LiquidationStrategy {
   // Max fraction of the total volume of the orderbook, within liquidity bounds, that the network can use to close its position; range 0 through 1.
   string max_fraction_consumed = 4;
   // Decimal > 0 defining the price range within which the network will trade to dispose of its position. Retroactively defaults to 0.1 (10%).
-  // The value can be > 1, if set to 1.5, the minimum price will be 0 (min(0, mid_price * (1 - 1.))), the maximum price will be mid_price * (1 + 1.5).
+  // The value can be > 1, if set to 1.5, the minimum price will be 0 (max(0, mid_price * (1 - 1.5))), the maximum price will be mid_price * (1 + 1.5).
   string disposal_slippage_range = 5;
 }
 
diff --git a/protos/vega/markets.pb.go b/protos/vega/markets.pb.go
index 99e0f6c93c6..f5ffbcfc665 100644
--- a/protos/vega/markets.pb.go
+++ b/protos/vega/markets.pb.go
@@ -2334,7 +2334,7 @@ type LiquidationStrategy struct {
 	// Max fraction of the total volume of the orderbook, within liquidity bounds, that the network can use to close its position; range 0 through 1.
 	MaxFractionConsumed string `protobuf:"bytes,4,opt,name=max_fraction_consumed,json=maxFractionConsumed,proto3" json:"max_fraction_consumed,omitempty"`
 	// Decimal > 0 defining the price range within which the network will trade to dispose of its position. Retroactively defaults to 0.1 (10%).
-	// The value can be > 1, if set to 1.5, the minimum price will be 0 (min(0, mid_price * (1 - 1.))), the maximum price will be mid_price * (1 + 1.5).
+	// The value can be > 1, if set to 1.5, the minimum price will be 0 (max(0, mid_price * (1 - 1.5))), the maximum price will be mid_price * (1 + 1.5).
 	DisposalSlippageRange string `protobuf:"bytes,5,opt,name=disposal_slippage_range,json=disposalSlippageRange,proto3" json:"disposal_slippage_range,omitempty"`
 }
 

From e7827146e36c2d441cdc2529d20d7bd0904e6cd2 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 14:24:58 +0100
Subject: [PATCH 09/14] fix: remove duplicate mid-price func

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 core/execution/future/liquidation.go |  2 +-
 core/execution/future/market.go      | 15 ---------------
 2 files changed, 1 insertion(+), 16 deletions(-)

diff --git a/core/execution/future/liquidation.go b/core/execution/future/liquidation.go
index b430083db9d..2f3cb0b3733 100644
--- a/core/execution/future/liquidation.go
+++ b/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, m.getMarketMidPrice())
+	order, _ := m.liquidation.OnTick(ctx, now, m.midPrice())
 	if order == nil {
 		return nil
 	}
diff --git a/core/execution/future/market.go b/core/execution/future/market.go
index ed3c8611b52..302d486c90e 100644
--- a/core/execution/future/market.go
+++ b/core/execution/future/market.go
@@ -709,21 +709,6 @@ func (m *Market) midPrice() *num.Uint {
 	return midPrice
 }
 
-func (m *Market) getMarketMidPrice() *num.Uint {
-	mp := num.UintZero()
-	if m.as.InAuction() {
-		return mp
-	}
-	bb, _, _ := m.matching.BestBidPriceAndVolume()
-	if bb.IsZero() {
-		return mp
-	}
-	if bo, _, _ := m.matching.BestOfferPriceAndVolume(); !bo.IsZero() {
-		return mp.Div(num.Sum(bb, bo), num.NewUint(2))
-	}
-	return mp
-}
-
 func (m *Market) GetMarketData() types.MarketData {
 	bestBidPrice, bestBidVolume, _ := m.matching.BestBidPriceAndVolume()
 	bestOfferPrice, bestOfferVolume, _ := m.matching.BestOfferPriceAndVolume()

From a587816267cc1c025d448d21a695b7104abf1585 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 15:43:42 +0100
Subject: [PATCH 10/14] feat: add migration checks and events to governance
 engine

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 core/execution/future/market_snapshot.go |  3 ++
 core/governance/snapshot.go              | 51 ++++++++++++++++++++++++
 2 files changed, 54 insertions(+)

diff --git a/core/execution/future/market_snapshot.go b/core/execution/future/market_snapshot.go
index 30fbb7314af..7d5209c5f51 100644
--- a/core/execution/future/market_snapshot.go
+++ b/core/execution/future/market_snapshot.go
@@ -186,6 +186,9 @@ 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, positionEngine, pMonitor)
 
diff --git a/core/governance/snapshot.go b/core/governance/snapshot.go
index 7f7d5532016..706d5c42415 100644
--- a/core/governance/snapshot.go
+++ b/core/governance/snapshot.go
@@ -21,6 +21,7 @@ import (
 
 	"code.vegaprotocol.io/vega/core/events"
 	"code.vegaprotocol.io/vega/core/types"
+	vgcontext "code.vegaprotocol.io/vega/libs/context"
 	"code.vegaprotocol.io/vega/libs/num"
 	"code.vegaprotocol.io/vega/libs/proto"
 	"code.vegaprotocol.io/vega/logging"
@@ -74,6 +75,30 @@ func (e *Engine) OnStateLoaded(ctx context.Context) error {
 		}
 	}
 
+	// update market events may require updating to set the liquidation strategy slippage
+	if vgcontext.InProgressUpgradeFrom(ctx, "v0.75.8") {
+		evts := make([]events.Event, 0, len(e.activeProposals)/2)
+		for _, p := range e.activeProposals {
+			if !p.Proposal.IsMarketUpdate() {
+				continue
+			}
+			mID := p.Proposal.MarketUpdate().MarketID
+			changes := p.Proposal.MarketUpdate().Changes
+			if changes.LiquidationStrategy != nil && changes.LiquidationStrategy.DisposalSlippage.IsZero() {
+				existingMarket, ok := e.markets.GetMarket(mID, false)
+				if !ok {
+					continue
+				}
+				// execution engine has already been restored at this point, so we can get the current slippage value from the market itself.
+				changes.LiquidationStrategy.DisposalSlippage = existingMarket.LiquidationStrategy.DisposalSlippage
+				evts = append(evts, events.NewProposalEvent(ctx, *p.Proposal))
+			}
+		}
+		if len(evts) > 0 {
+			e.broker.SendBatch(evts)
+		}
+	}
+
 	return nil
 }
 
@@ -252,6 +277,11 @@ func (e *Engine) restoreActiveProposals(ctx context.Context, active *types.Gover
 	vevts := []events.Event{}
 	e.log.Debug("restoring active proposals snapshot", logging.Int("nproposals", len(active.Proposals)))
 	for _, p := range active.Proposals {
+		if vgcontext.InProgressUpgradeFrom(ctx, "v0.75.8") {
+			if p.Proposal.IsNewMarket() || p.Proposal.IsMarketUpdate() {
+				setLiquidationSlippage(p.Proposal)
+			}
+		}
 		pp := &proposal{
 			Proposal:     p.Proposal,
 			yes:          votesAsMap(p.Yes),
@@ -287,6 +317,22 @@ func (e *Engine) restoreActiveProposals(ctx context.Context, active *types.Gover
 	return err
 }
 
+func setLiquidationSlippage(p *types.Proposal) {
+	if p.IsNewMarket() {
+		if !p.NewMarket().Changes.LiquidationStrategy.DisposalSlippage.IsZero() {
+			return
+		}
+		changes := p.NewMarket().Changes
+		changes.LiquidationStrategy.DisposalSlippage = changes.LiquiditySLAParameters.PriceRange
+		return
+	}
+	// this must be a market update
+	changes := p.MarketUpdate().Changes
+	if changes.LiquidationStrategy != nil && changes.LiquiditySLAParameters != nil && changes.LiquidationStrategy.DisposalSlippage.IsZero() {
+		changes.LiquidationStrategy.DisposalSlippage = changes.LiquiditySLAParameters.PriceRange
+	}
+}
+
 func (e *Engine) restoreBatchActiveProposals(ctx context.Context, active *types.GovernanceBatchActive, p *types.Payload) error {
 	e.activeBatchProposals = make(map[string]*batchProposal, len(active.BatchProposals))
 
@@ -304,6 +350,11 @@ func (e *Engine) restoreBatchActiveProposals(ctx context.Context, active *types.
 
 		evts = append(evts, events.NewProposalEventFromProto(ctx, bp.BatchProposal.ToProto()))
 		for _, p := range bp.BatchProposal.Proposals {
+			if vgcontext.InProgressUpgradeFrom(ctx, "v0.75.8") {
+				if p.IsMarketUpdate() || p.IsNewMarket() {
+					setLiquidationSlippage(p)
+				}
+			}
 			evts = append(evts, events.NewProposalEvent(ctx, *p))
 		}
 

From 7ebde91ac08543f85aacee43aead7b906645e0d2 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 15:53:58 +0100
Subject: [PATCH 11/14] feat: emit update events on upgrade, add types to
 datanode and GQL

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 core/execution/future/market.go         |  5 ++
 datanode/entities/market.go             | 15 +++--
 datanode/gateway/graphql/generated.go   | 73 +++++++++++++++++++++++--
 datanode/gateway/graphql/schema.graphql |  2 +
 4 files changed, 87 insertions(+), 8 deletions(-)

diff --git a/core/execution/future/market.go b/core/execution/future/market.go
index 302d486c90e..8bc3fdd715e 100644
--- a/core/execution/future/market.go
+++ b/core/execution/future/market.go
@@ -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.InProgressUpgradeFrom(ctx, "v0.75.8") {
+		m.broker.Send(events.NewMarketUpdatedEvent(ctx, *m.mkt))
+	}
+
 	return nil
 }
 
diff --git a/datanode/entities/market.go b/datanode/entities/market.go
index 20fb0d3f76f..dba19da6030 100644
--- a/datanode/entities/market.go
+++ b/datanode/entities/market.go
@@ -363,6 +363,7 @@ type LiquidationStrategy struct {
 	DisposalFraction    num.Decimal   `json:"disposalFraction"`
 	FullDisposalSize    uint64        `json:"fullDisposalSize"`
 	MaxFractionConsumed num.Decimal   `json:"maxFractionConsumed"`
+	DisposalSlippage    num.Decimal   `json:"disposalSlippageRange"`
 }
 
 func LiquidationStrategyFromProto(ls *vega.LiquidationStrategy) LiquidationStrategy {
@@ -371,20 +372,26 @@ func LiquidationStrategyFromProto(ls *vega.LiquidationStrategy) LiquidationStrat
 	}
 	df, _ := num.DecimalFromString(ls.DisposalFraction)
 	mfc, _ := num.DecimalFromString(ls.MaxFractionConsumed)
+	slip := num.DecimalZero()
+	if len(ls.DisposalSlippageRange) > 0 {
+		slip, _ = num.DecimalFromString(ls.DisposalSlippageRange)
+	}
 	return LiquidationStrategy{
 		DisposalTimeStep:    time.Duration(ls.DisposalTimeStep) * time.Second,
 		FullDisposalSize:    ls.FullDisposalSize,
 		DisposalFraction:    df,
 		MaxFractionConsumed: mfc,
+		DisposalSlippage:    slip,
 	}
 }
 
 func (l LiquidationStrategy) IntoProto() *vega.LiquidationStrategy {
 	return &vega.LiquidationStrategy{
-		DisposalTimeStep:    int64(l.DisposalTimeStep / time.Second),
-		DisposalFraction:    l.DisposalFraction.String(),
-		FullDisposalSize:    l.FullDisposalSize,
-		MaxFractionConsumed: l.MaxFractionConsumed.String(),
+		DisposalTimeStep:      int64(l.DisposalTimeStep / time.Second),
+		DisposalFraction:      l.DisposalFraction.String(),
+		FullDisposalSize:      l.FullDisposalSize,
+		MaxFractionConsumed:   l.MaxFractionConsumed.String(),
+		DisposalSlippageRange: l.DisposalSlippage.String(),
 	}
 }
 
diff --git a/datanode/gateway/graphql/generated.go b/datanode/gateway/graphql/generated.go
index 4207624718b..48a6cd9e534 100644
--- a/datanode/gateway/graphql/generated.go
+++ b/datanode/gateway/graphql/generated.go
@@ -1017,10 +1017,11 @@ type ComplexityRoot struct {
 	}
 
 	LiquidationStrategy struct {
-		DisposalFraction    func(childComplexity int) int
-		DisposalTimeStep    func(childComplexity int) int
-		FullDisposalSize    func(childComplexity int) int
-		MaxFractionConsumed func(childComplexity int) int
+		DisposalFraction      func(childComplexity int) int
+		DisposalSlippageRange func(childComplexity int) int
+		DisposalTimeStep      func(childComplexity int) int
+		FullDisposalSize      func(childComplexity int) int
+		MaxFractionConsumed   func(childComplexity int) int
 	}
 
 	LiquidityFeeSettings struct {
@@ -7171,6 +7172,13 @@ func (e *executableSchema) Complexity(typeName, field string, childComplexity in
 
 		return e.complexity.LiquidationStrategy.DisposalFraction(childComplexity), true
 
+	case "LiquidationStrategy.disposalSlippageRange":
+		if e.complexity.LiquidationStrategy.DisposalSlippageRange == nil {
+			break
+		}
+
+		return e.complexity.LiquidationStrategy.DisposalSlippageRange(childComplexity), true
+
 	case "LiquidationStrategy.disposalTimeStep":
 		if e.complexity.LiquidationStrategy.DisposalTimeStep == nil {
 			break
@@ -42219,6 +42227,50 @@ func (ec *executionContext) fieldContext_LiquidationStrategy_maxFractionConsumed
 	return fc, nil
 }
 
+func (ec *executionContext) _LiquidationStrategy_disposalSlippageRange(ctx context.Context, field graphql.CollectedField, obj *vega.LiquidationStrategy) (ret graphql.Marshaler) {
+	fc, err := ec.fieldContext_LiquidationStrategy_disposalSlippageRange(ctx, field)
+	if err != nil {
+		return graphql.Null
+	}
+	ctx = graphql.WithFieldContext(ctx, fc)
+	defer func() {
+		if r := recover(); r != nil {
+			ec.Error(ctx, ec.Recover(ctx, r))
+			ret = graphql.Null
+		}
+	}()
+	resTmp, err := ec.ResolverMiddleware(ctx, func(rctx context.Context) (interface{}, error) {
+		ctx = rctx // use context from middleware stack in children
+		return obj.DisposalSlippageRange, nil
+	})
+	if err != nil {
+		ec.Error(ctx, err)
+		return graphql.Null
+	}
+	if resTmp == nil {
+		if !graphql.HasFieldError(ctx, fc) {
+			ec.Errorf(ctx, "must not be null")
+		}
+		return graphql.Null
+	}
+	res := resTmp.(string)
+	fc.Result = res
+	return ec.marshalNString2string(ctx, field.Selections, res)
+}
+
+func (ec *executionContext) fieldContext_LiquidationStrategy_disposalSlippageRange(ctx context.Context, field graphql.CollectedField) (fc *graphql.FieldContext, err error) {
+	fc = &graphql.FieldContext{
+		Object:     "LiquidationStrategy",
+		Field:      field,
+		IsMethod:   false,
+		IsResolver: false,
+		Child: func(ctx context.Context, field graphql.CollectedField) (*graphql.FieldContext, error) {
+			return nil, errors.New("field of type String does not have child fields")
+		},
+	}
+	return fc, nil
+}
+
 func (ec *executionContext) _LiquidityFeeSettings_method(ctx context.Context, field graphql.CollectedField, obj *vega.LiquidityFeeSettings) (ret graphql.Marshaler) {
 	fc, err := ec.fieldContext_LiquidityFeeSettings_method(ctx, field)
 	if err != nil {
@@ -49130,6 +49182,8 @@ func (ec *executionContext) fieldContext_Market_liquidationStrategy(ctx context.
 				return ec.fieldContext_LiquidationStrategy_fullDisposalSize(ctx, field)
 			case "maxFractionConsumed":
 				return ec.fieldContext_LiquidationStrategy_maxFractionConsumed(ctx, field)
+			case "disposalSlippageRange":
+				return ec.fieldContext_LiquidationStrategy_disposalSlippageRange(ctx, field)
 			}
 			return nil, fmt.Errorf("no field named %q was found under type LiquidationStrategy", field.Name)
 		},
@@ -54161,6 +54215,8 @@ func (ec *executionContext) fieldContext_NewMarket_liquidationStrategy(ctx conte
 				return ec.fieldContext_LiquidationStrategy_fullDisposalSize(ctx, field)
 			case "maxFractionConsumed":
 				return ec.fieldContext_LiquidationStrategy_maxFractionConsumed(ctx, field)
+			case "disposalSlippageRange":
+				return ec.fieldContext_LiquidationStrategy_disposalSlippageRange(ctx, field)
 			}
 			return nil, fmt.Errorf("no field named %q was found under type LiquidationStrategy", field.Name)
 		},
@@ -98344,6 +98400,8 @@ func (ec *executionContext) fieldContext_UpdateMarketConfiguration_liquidationSt
 				return ec.fieldContext_LiquidationStrategy_fullDisposalSize(ctx, field)
 			case "maxFractionConsumed":
 				return ec.fieldContext_LiquidationStrategy_maxFractionConsumed(ctx, field)
+			case "disposalSlippageRange":
+				return ec.fieldContext_LiquidationStrategy_disposalSlippageRange(ctx, field)
 			}
 			return nil, fmt.Errorf("no field named %q was found under type LiquidationStrategy", field.Name)
 		},
@@ -112046,6 +112104,13 @@ func (ec *executionContext) _LiquidationStrategy(ctx context.Context, sel ast.Se
 
 			out.Values[i] = ec._LiquidationStrategy_maxFractionConsumed(ctx, field, obj)
 
+			if out.Values[i] == graphql.Null {
+				atomic.AddUint32(&invalids, 1)
+			}
+		case "disposalSlippageRange":
+
+			out.Values[i] = ec._LiquidationStrategy_disposalSlippageRange(ctx, field, obj)
+
 			if out.Values[i] == graphql.Null {
 				atomic.AddUint32(&invalids, 1)
 			}
diff --git a/datanode/gateway/graphql/schema.graphql b/datanode/gateway/graphql/schema.graphql
index fab1e871acb..6b4ee6ac71b 100644
--- a/datanode/gateway/graphql/schema.graphql
+++ b/datanode/gateway/graphql/schema.graphql
@@ -5052,6 +5052,8 @@ type LiquidationStrategy {
   fullDisposalSize: Int!
   "Specifies the maximum size by which the network can reduce its position as a fraction of the volume on the book."
   maxFractionConsumed: String!
+  "Specifies the slippage relative to the mid prige within which the network will place orders to dispose of its position."
+  disposalSlippageRange: String!
 }
 
 "Representation of a network parameter"

From fcdbccf4fb9d222462a9eca1c009518e99dc7402 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 16:28:34 +0100
Subject: [PATCH 12/14] test: update datanode unit tests

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 datanode/networkhistory/service_test.go | 12 ++++++------
 datanode/sqlstore/markets_test.go       | 18 ++++++++++--------
 2 files changed, 16 insertions(+), 14 deletions(-)

diff --git a/datanode/networkhistory/service_test.go b/datanode/networkhistory/service_test.go
index 70571cbfd83..e41016fe3cc 100644
--- a/datanode/networkhistory/service_test.go
+++ b/datanode/networkhistory/service_test.go
@@ -379,12 +379,12 @@ func TestMain(t *testing.M) {
 		log.Infof("%s", goldenSourceHistorySegment[4000].HistorySegmentID)
 		log.Infof("%s", goldenSourceHistorySegment[5000].HistorySegmentID)
 
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[1000].HistorySegmentID, "QmbpJgGrF77bRNDFfJGvLpnUZ8pNHjyxNrDKsjj1qHRRVT", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2000].HistorySegmentID, "QmQEkwKQeLAaEeDjTRzYcSHwfqzHPceVXMsF2w2aBYMJuS", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2500].HistorySegmentID, "QmRfbQDZzJKBbaiDZpSvjbVv3NNN5aGkWrcpo3fZTEfYv4", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[3000].HistorySegmentID, "QmQbtFz37HMrM5rgKmQ2Em4YmbADj7bgCFDBDjj1wy5KQS", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[4000].HistorySegmentID, "QmUWDmXwPxkyg7ZaXhg6znZUSyndB35u8okMV1MhQYSSz8", snapshots)
-		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[5000].HistorySegmentID, "QmYdufkLtNRYDA4zmbFirtkVuNG4z4Hs1hidjpKRhcjsN5", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[1000].HistorySegmentID, "QmRM4ANS2j6wShYt9SS2njiPT1JWhZFWJCgTqxt27xz2ys", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2000].HistorySegmentID, "QmVHoDCYhP8cLqpjZKgGtKVLQdHCuqAkumiWmNNkqjZyqs", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[2500].HistorySegmentID, "QmYC6vk2VKFjkZ46MhYYPMF3RMqoN2pSMucN3vZHRYWBus", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[3000].HistorySegmentID, "QmeU5kmTSFUdx5G3QYdN3Wuo9LdDake1T5pb7ui12Em5Bq", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[4000].HistorySegmentID, "QmQ7ezyBxdQJDRoHgz4ZyFw5iDhzQY5E9hegZrtJocZtXX", snapshots)
+		panicIfHistorySegmentIdsNotEqual(goldenSourceHistorySegment[5000].HistorySegmentID, "Qmf9KNqAg4XHs8vMozBeCsDLLG1v6MDzKLebonuhK7ksaq", snapshots)
 	}, postgresRuntimePath, sqlFs)
 
 	if exitCode != 0 {
diff --git a/datanode/sqlstore/markets_test.go b/datanode/sqlstore/markets_test.go
index c630cce4f89..21728049d3f 100644
--- a/datanode/sqlstore/markets_test.go
+++ b/datanode/sqlstore/markets_test.go
@@ -552,10 +552,11 @@ func getTestMarket() *vega.Market {
 func getTestFutureMarketWithLiquidationStrategy(termInt bool) *vega.Market {
 	mkt := getTestFutureMarket(termInt)
 	mkt.LiquidationStrategy = &vega.LiquidationStrategy{
-		DisposalTimeStep:    10,
-		DisposalFraction:    "0.1",
-		FullDisposalSize:    20,
-		MaxFractionConsumed: "0.01",
+		DisposalTimeStep:      10,
+		DisposalFraction:      "0.1",
+		FullDisposalSize:      20,
+		MaxFractionConsumed:   "0.01",
+		DisposalSlippageRange: "0.1",
 	}
 	return mkt
 }
@@ -1519,10 +1520,11 @@ func setupSuccessorMarkets(t *testing.T, ctx context.Context) (*sqlstore.Markets
 	ts := sqlstore.NewParties(connectionSource)
 
 	emptyLS := &vega.LiquidationStrategy{
-		DisposalTimeStep:    0,
-		DisposalFraction:    "0",
-		FullDisposalSize:    0,
-		MaxFractionConsumed: "0",
+		DisposalTimeStep:      0,
+		DisposalFraction:      "0",
+		FullDisposalSize:      0,
+		MaxFractionConsumed:   "0",
+		DisposalSlippageRange: "0",
 	}
 	liquidationStrat := entities.LiquidationStrategyFromProto(emptyLS)
 	parentMarket := entities.Market{

From 979105472ad8f2c6621c8a2bfe656ecce4b8fd37 Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 17:15:35 +0100
Subject: [PATCH 13/14] fix: account for both mainnet and fairground versions

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 core/execution/future/market.go |  2 +-
 core/governance/snapshot.go     |  6 +++---
 libs/context/context.go         | 20 ++++++++++++++++++++
 3 files changed, 24 insertions(+), 4 deletions(-)

diff --git a/core/execution/future/market.go b/core/execution/future/market.go
index 8bc3fdd715e..f23838e5bc9 100644
--- a/core/execution/future/market.go
+++ b/core/execution/future/market.go
@@ -964,7 +964,7 @@ 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.InProgressUpgradeFrom(ctx, "v0.75.8") {
+	if vegacontext.InProgressUpgradeFromMultiple(ctx, "v0.75.8", "v0.75.7") {
 		m.broker.Send(events.NewMarketUpdatedEvent(ctx, *m.mkt))
 	}
 
diff --git a/core/governance/snapshot.go b/core/governance/snapshot.go
index 706d5c42415..6272e61a66a 100644
--- a/core/governance/snapshot.go
+++ b/core/governance/snapshot.go
@@ -76,7 +76,7 @@ func (e *Engine) OnStateLoaded(ctx context.Context) error {
 	}
 
 	// update market events may require updating to set the liquidation strategy slippage
-	if vgcontext.InProgressUpgradeFrom(ctx, "v0.75.8") {
+	if vgcontext.InProgressUpgradeFromMultiple(ctx, "v0.75.8", "v0.75.7") {
 		evts := make([]events.Event, 0, len(e.activeProposals)/2)
 		for _, p := range e.activeProposals {
 			if !p.Proposal.IsMarketUpdate() {
@@ -277,7 +277,7 @@ func (e *Engine) restoreActiveProposals(ctx context.Context, active *types.Gover
 	vevts := []events.Event{}
 	e.log.Debug("restoring active proposals snapshot", logging.Int("nproposals", len(active.Proposals)))
 	for _, p := range active.Proposals {
-		if vgcontext.InProgressUpgradeFrom(ctx, "v0.75.8") {
+		if vgcontext.InProgressUpgradeFromMultiple(ctx, "v0.75.8", "v0.75.7") {
 			if p.Proposal.IsNewMarket() || p.Proposal.IsMarketUpdate() {
 				setLiquidationSlippage(p.Proposal)
 			}
@@ -350,7 +350,7 @@ func (e *Engine) restoreBatchActiveProposals(ctx context.Context, active *types.
 
 		evts = append(evts, events.NewProposalEventFromProto(ctx, bp.BatchProposal.ToProto()))
 		for _, p := range bp.BatchProposal.Proposals {
-			if vgcontext.InProgressUpgradeFrom(ctx, "v0.75.8") {
+			if vgcontext.InProgressUpgradeFromMultiple(ctx, "v0.75.8", "v0.75.7") {
 				if p.IsMarketUpdate() || p.IsNewMarket() {
 					setLiquidationSlippage(p)
 				}
diff --git a/libs/context/context.go b/libs/context/context.go
index 8c7538145d4..9a5033a53ad 100644
--- a/libs/context/context.go
+++ b/libs/context/context.go
@@ -170,6 +170,26 @@ func InProgressUpgradeFrom(ctx context.Context, from string) bool {
 	return from == si.version && si.upgrade
 }
 
+// InProgressUpgradeFromMultiple returns whether the data in the contexts tells us that the
+// node is restoring from a snapshot taken for a protocol-upgrade by one of the given versions.
+// This can be useful in situations where mainnet and fairground are running different versions.
+func InProgressUpgradeFromMultiple(ctx context.Context, versions ...string) bool {
+	v := ctx.Value(snapshotKey)
+	if v == nil {
+		return false
+	}
+	si, ok := v.(snapshotInfo)
+	if !ok || !si.upgrade {
+		return false
+	}
+	for _, from := range versions {
+		if from == si.version {
+			return true
+		}
+	}
+	return false
+}
+
 // InProgressUpgrade returns whether the data in the contexts tells us that the
 // node is restoring from a snapshot taken for a protocol-upgrade.
 func InProgressUpgrade(ctx context.Context) bool {

From bb0a4d147e4820f29891c76d5429fe6dceb5fdcf Mon Sep 17 00:00:00 2001
From: Elias Van Ootegem <elias@vega.xyz>
Date: Thu, 18 Apr 2024 17:24:19 +0100
Subject: [PATCH 14/14] chore: clarify docs in proto

Signed-off-by: Elias Van Ootegem <elias@vega.xyz>
---
 protos/sources/vega/markets.proto | 4 ++--
 protos/vega/markets.pb.go         | 4 ++--
 2 files changed, 4 insertions(+), 4 deletions(-)

diff --git a/protos/sources/vega/markets.proto b/protos/sources/vega/markets.proto
index 5335d966c70..0e2a322377f 100644
--- a/protos/sources/vega/markets.proto
+++ b/protos/sources/vega/markets.proto
@@ -413,8 +413,8 @@ message LiquidationStrategy {
   uint64 full_disposal_size = 3;
   // Max fraction of the total volume of the orderbook, within liquidity bounds, that the network can use to close its position; range 0 through 1.
   string max_fraction_consumed = 4;
-  // Decimal > 0 defining the price range within which the network will trade to dispose of its position. Retroactively defaults to 0.1 (10%).
-  // The value can be > 1, if set to 1.5, the minimum price will be 0 (max(0, mid_price * (1 - 1.5))), the maximum price will be mid_price * (1 + 1.5).
+  // Decimal > 0 specifying the range range above and below the mid price within which the network will trade to dispose of its position.
+  // The value can be > 1. For example, if set to 1.5, the minimum price will be 0, ie max(0, mid_price * (1 - 1.5)), and the maximum price will be mid_price * (1 + 1.5).
   string disposal_slippage_range = 5;
 }
 
diff --git a/protos/vega/markets.pb.go b/protos/vega/markets.pb.go
index f5ffbcfc665..89664c3f5bc 100644
--- a/protos/vega/markets.pb.go
+++ b/protos/vega/markets.pb.go
@@ -2333,8 +2333,8 @@ type LiquidationStrategy struct {
 	FullDisposalSize uint64 `protobuf:"varint,3,opt,name=full_disposal_size,json=fullDisposalSize,proto3" json:"full_disposal_size,omitempty"`
 	// Max fraction of the total volume of the orderbook, within liquidity bounds, that the network can use to close its position; range 0 through 1.
 	MaxFractionConsumed string `protobuf:"bytes,4,opt,name=max_fraction_consumed,json=maxFractionConsumed,proto3" json:"max_fraction_consumed,omitempty"`
-	// Decimal > 0 defining the price range within which the network will trade to dispose of its position. Retroactively defaults to 0.1 (10%).
-	// The value can be > 1, if set to 1.5, the minimum price will be 0 (max(0, mid_price * (1 - 1.5))), the maximum price will be mid_price * (1 + 1.5).
+	// Decimal > 0 specifying the range range above and below the mid price within which the network will trade to dispose of its position.
+	// The value can be > 1. For example, if set to 1.5, the minimum price will be 0, ie max(0, mid_price * (1 - 1.5)), and the maximum price will be mid_price * (1 + 1.5).
 	DisposalSlippageRange string `protobuf:"bytes,5,opt,name=disposal_slippage_range,json=disposalSlippageRange,proto3" json:"disposal_slippage_range,omitempty"`
 }