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Merge pull request #10941 from vegaprotocol/spot-ioc-acs
test: add coverage for spot ACs
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core/integration/features/spot/orders/0068-MATC-061.feature
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| Feature: Spot market order tests. Covers 0068-MATC-061, 0068-MATC-062, 0068-MATC-063, 0068-MATC-064, 0068-MATC-065. | ||
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| Background: | ||
| Given time is updated to "2024-01-01T00:00:00Z" | ||
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| Given the following network parameters are set: | ||
| | name | value | | ||
| | network.markPriceUpdateMaximumFrequency | 0s | | ||
| | market.value.windowLength | 1h | | ||
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| Given the following assets are registered: | ||
| | id | decimal places | | ||
| | ETH | 2 | | ||
| | BTC | 2 | | ||
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| Given the fees configuration named "fees-config-1": | ||
| | maker fee | infrastructure fee | | ||
| | 0.01 | 0.03 | | ||
| Given the log normal risk model named "lognormal-risk-model-1": | ||
| | risk aversion | tau | mu | r | sigma | | ||
| | 0.001 | 0.01 | 0 | 0.0 | 1.2 | | ||
| And the price monitoring named "price-monitoring-1": | ||
| | horizon | probability | auction extension | | ||
| | 3600 | 0.999 | 10 | | ||
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| And the spot markets: | ||
| | id | name | base asset | quote asset | risk model | auction duration | fees | price monitoring | decimal places | position decimal places | sla params | | ||
| | BTC/ETH | BTC/ETH | BTC | ETH | lognormal-risk-model-1 | 1 | fees-config-1 | price-monitoring-1 | 2 | 2 | default-basic | | ||
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| # setup accounts | ||
| Given the parties deposit on asset's general account the following amount: | ||
| | party | asset | amount | | ||
| | party1 | ETH | 10000 | | ||
| | party1 | BTC | 1000 | | ||
| | party2 | ETH | 10000 | | ||
| | party4 | BTC | 1000 | | ||
| | party5 | BTC | 1000 | | ||
| And the average block duration is "1" | ||
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| # Place some orders to get out of auction | ||
| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | | ||
| | party1 | BTC/ETH | buy | 1 | 998 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | party1 | BTC/ETH | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | party5 | BTC/ETH | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | | ||
| | party5 | BTC/ETH | sell | 1 | 1050 | 0 | TYPE_LIMIT | TIF_GTC | | ||
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| And the opening auction period ends for market "BTC/ETH" | ||
| When the network moves ahead "1" blocks | ||
| Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/ETH" | ||
| And the mark price should be "1000" for the market "BTC/ETH" | ||
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| Scenario: 0068-MATC-061: Incoming MARKET orders will be matched against the opposite side of the book. | ||
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| # set up the book with some volume the market order will uncross with | ||
| When the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party1 | BTC/ETH | buy | 5 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | p1-ioc-pas | | ||
| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party5 | BTC/ETH | sell | 2 | 0 | 1 | TYPE_MARKET | TIF_IOC | p5-ioc-agg | | ||
| Then the following trades should be executed: | ||
| | buyer | price | size | seller | | ||
| | party1 | 1000 | 2 | party5 | | ||
| And the orders should have the following status: | ||
| | party | reference | status | | ||
| | party1 | p1-ioc-pas | STATUS_ACTIVE | | ||
| | party5 | p5-ioc-agg | STATUS_FILLED | | ||
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| When the network moves ahead "1" blocks | ||
| Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/ETH" | ||
| And the market data for the market "BTC/ETH" should be: | ||
| | mark price | trading mode | horizon | min bound | max bound | target stake | supplied stake | open interest | | ||
| | 1000 | TRADING_MODE_CONTINUOUS | 3600 | 959 | 1042 | 0 | 0 | 0 | | ||
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| Scenario: 0068-MATC-062: If not enough volume is available to fully fill the order, the remaining will be cancelled. | ||
| # set up the book with some volume the market order will partially uncross with | ||
| When the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party1 | BTC/ETH | buy | 2 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | p1-ioc-pas | | ||
| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party5 | BTC/ETH | sell | 5 | 0 | 2 | TYPE_MARKET | TIF_IOC | p5-ioc-agg | | ||
| Then the following trades should be executed: | ||
| | buyer | price | size | seller | | ||
| | party1 | 1000 | 2 | party5 | | ||
| | party1 | 998 | 1 | party5 | | ||
| # filled the order of party 1, the remainder of p5's order is marked as partially filled. | ||
| And the orders should have the following status: | ||
| | party | reference | status | | ||
| | party1 | p1-ioc-pas | STATUS_FILLED | | ||
| | party5 | p5-ioc-agg | STATUS_PARTIALLY_FILLED | | ||
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| # To ensure the order is cancelled (meaning in a final state) let's ensure we can't amend the order: | ||
| When the parties amend the following orders: | ||
| | party | reference | tif | size delta | error | | ||
| | party5 | p5-ioc-agg | TIF_IOC | -1 | OrderError: Invalid Order ID | | ||
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| When the network moves ahead "1" blocks | ||
| Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/ETH" | ||
| And the market data for the market "BTC/ETH" should be: | ||
| | mark price | trading mode | horizon | min bound | max bound | target stake | supplied stake | open interest | | ||
| | 998 | TRADING_MODE_CONTINUOUS | 3600 | 959 | 1042 | 0 | 0 | 0 | | ||
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| Scenario: 0068-MATC-064: If there is no match the order will be cancelled. (0068-MATC-063: Incoming LIMIT orders will be matched against the opposite side of the book) | ||
| # set up the book with some volume the market order will uncross with | ||
| When the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party5 | BTC/ETH | sell | 2 | 1000 | 0 | TYPE_LIMIT | TIF_IOC | p5-ioc-agg | | ||
| Then the orders should have the following status: | ||
| | party | reference | status | | ||
| | party5 | p5-ioc-agg | STATUS_STOPPED | | ||
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| When the network moves ahead "1" blocks | ||
| Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/ETH" | ||
| And the market data for the market "BTC/ETH" should be: | ||
| | mark price | trading mode | horizon | min bound | max bound | target stake | supplied stake | open interest | | ||
| | 1000 | TRADING_MODE_CONTINUOUS | 3600 | 959 | 1042 | 0 | 0 | 0 | | ||
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| Scenario: 0068-MATC-065: If there is a partial match then the remaining will be cancelled. (0068-MATC-063: Incoming LIMIT orders will be matched against the opposite side of the book) | ||
| # set up the book with some volume the limit order will partially uncross with | ||
| When the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party1 | BTC/ETH | buy | 2 | 1000 | 0 | TYPE_LIMIT | TIF_GTC | p1-ioc-pas | | ||
| And the parties place the following orders: | ||
| | party | market id | side | volume | price | resulting trades | type | tif | reference | | ||
| | party5 | BTC/ETH | sell | 5 | 1000 | 1 | TYPE_LIMIT | TIF_IOC | p5-ioc-agg | | ||
| Then the following trades should be executed: | ||
| | buyer | price | size | seller | | ||
| | party1 | 1000 | 2 | party5 | | ||
| # filled the order of party 1, the remainder of p5's order is marked as partially filled. | ||
| And the orders should have the following status: | ||
| | party | reference | status | | ||
| | party1 | p1-ioc-pas | STATUS_FILLED | | ||
| | party5 | p5-ioc-agg | STATUS_PARTIALLY_FILLED | | ||
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| # To ensure the order is cancelled (meaning in a final state) let's ensure we can't amend the order: | ||
| When the parties amend the following orders: | ||
| | party | reference | tif | size delta | error | | ||
| | party5 | p5-ioc-agg | TIF_IOC | -1 | OrderError: Invalid Order ID | | ||
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| When the network moves ahead "1" blocks | ||
| Then the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/ETH" | ||
| And the market data for the market "BTC/ETH" should be: | ||
| | mark price | trading mode | horizon | min bound | max bound | target stake | supplied stake | open interest | | ||
| | 1000 | TRADING_MODE_CONTINUOUS | 3600 | 959 | 1042 | 0 | 0 | 0 | |