Merge pull request #11548 from vegaprotocol/11486-amm-negative-dps

fix: AMMs can now be submitted on markets with more decimal-places th…
vegaprotocol · Aug 8, 2024 · c8af335 · c8af335
2 parents 750a0ef + 2d24268
commit c8af335
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -27,6 +27,7 @@
 
 - [11521](https://github.com/vegaprotocol/vega/issues/11521) - Restore `AMM` position factor when loading from a snapshot.
 - [11526](https://github.com/vegaprotocol/vega/issues/11526) - `EstimateAMMBounds` now respects the market's decimal places.
+- [11486](https://github.com/vegaprotocol/vega/issues/11486) - `AMMs` can now be submitted on markets with more decimal places than asset decimal places.
 - [11540](https://github.com/vegaprotocol/vega/issues/11540) - Fix spam check for spots to use not double count quantum.
 - [11542](https://github.com/vegaprotocol/vega/issues/11542) - Fix non determinism in lottery ranking.
 

diff --git a/core/execution/amm/engine.go b/core/execution/amm/engine.go
@@ -174,7 +174,7 @@ func New(
 		priceFactor:           priceFactor,
 		positionFactor:        positionFactor,
 		parties:               parties,
-		oneTick:               oneTick,
+		oneTick:               num.Max(num.UintOne(), oneTick),
 	}
 }
 

diff --git a/core/execution/amm/pool.go b/core/execution/amm/pool.go
@@ -150,7 +150,7 @@ func NewPool(
 		position:             position,
 		priceFactor:          priceFactor,
 		positionFactor:       positionFactor,
-		oneTick:              oneTick,
+		oneTick:              num.Max(num.UintOne(), oneTick),
 		status:               types.AMMPoolStatusActive,
 		maxCalculationLevels: maxCalculationLevels,
 		fpCache:              map[int64]*num.Uint{},
@@ -249,7 +249,7 @@ func NewPoolFromProto(
 		upper:          upperCu,
 		priceFactor:    priceFactor,
 		positionFactor: positionFactor,
-		oneTick:        oneTick,
+		oneTick:        num.Max(num.UintOne(), oneTick),
 		status:         state.Status,
 	}, nil
 }

diff --git a/core/execution/future/market.go b/core/execution/future/market.go
@@ -5358,7 +5358,8 @@ func (m *Market) getRebasingOrder(
 ) (*types.Order, error) {
 	var volume uint64
 	fairPrice := pool.BestPrice(nil)
-	oneTick, _ := num.UintFromDecimal(num.DecimalOne().Mul(m.priceFactor))
+	oneTick, _ := num.UintFromDecimal(m.priceFactor)
+	oneTick = num.Max(num.UintOne(), oneTick)
 
 	var until *num.Uint
 	switch side {

diff --git a/core/integration/features/amm/0090-VAMM-market-dp.feature b/core/integration/features/amm/0090-VAMM-market-dp.feature
@@ -0,0 +1,175 @@
+Feature: vAMM rebasing when created or amended
+
+  Background:
+    Given the average block duration is "1"
+    And the margin calculator named "margin-calculator-1":
+      | search factor | initial factor | release factor |
+      | 1.2           | 1.5            | 1.7            |
+    And the log normal risk model named "log-normal-risk-model":
+      | risk aversion | tau                   | mu | r   | sigma |
+      | 0.001         | 0.0011407711613050422 | 0  | 0.9 | 3.0   |
+    And the liquidity monitoring parameters:
+      | name       | triggering ratio | time window | scaling factor |
+      | lqm-params | 1.00             | 20s         | 1              |
+
+    And the following network parameters are set:
+      | name                                                | value |
+      | market.value.windowLength                           | 60s   |
+      | network.markPriceUpdateMaximumFrequency             | 0s    |
+      | limits.markets.maxPeggedOrders                      | 6     |
+      | market.auction.minimumDuration                      | 1     |
+      | market.fee.factors.infrastructureFee                | 0.001 |
+      | market.fee.factors.makerFee                         | 0.004 |
+      | spam.protection.max.stopOrdersPerMarket             | 5     |
+      | market.liquidity.equityLikeShareFeeFraction         | 1     |
+	    | market.amm.minCommitmentQuantum                     | 1     |
+      | market.liquidity.bondPenaltyParameter               | 0.2   |
+      | market.liquidity.stakeToCcyVolume                   | 1     |
+      | market.liquidity.successorLaunchWindowLength        | 1h    |
+      | market.liquidity.sla.nonPerformanceBondPenaltySlope | 0   |
+      | market.liquidity.sla.nonPerformanceBondPenaltyMax   | 0.6   |
+      | validators.epoch.length                             | 10s   |
+      | market.liquidity.earlyExitPenalty                   | 0.25  |
+      | market.liquidity.maximumLiquidityFeeFactorLevel     | 0.25  |
+    #risk factor short:3.5569036
+    #risk factor long:0.801225765
+    And the following assets are registered:
+      | id  | decimal places |
+      | USD | 2              |
+    And the fees configuration named "fees-config-1":
+      | maker fee | infrastructure fee |
+      | 0.0004    | 0.001              |
+
+    And the liquidity sla params named "SLA-22":
+      | price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
+      | 0.5         | 0.6                          | 1                             | 1.0                    |
+
+    And the oracle spec for settlement data filtering data from "0xCAFECAFE19" named "termination-oracle":
+      | property         | type         | binding         | decimals |
+      | prices.ETH.value | TYPE_INTEGER | settlement data | 0        |
+
+    And the oracle spec for trading termination filtering data from "0xCAFECAFE19" named "termination-oracle":
+      | property           | type         | binding             |
+      | trading.terminated | TYPE_BOOLEAN | trading termination |
+
+    And the markets:
+      | id        | quote name | asset | liquidity monitoring | risk model            | margin calculator   | auction duration | fees          | price monitoring | data source config     | linear slippage factor | quadratic slippage factor | sla params | decimal places | position decimal places |
+      | ETH/MAR22 | USD        | USD   | lqm-params           | log-normal-risk-model | margin-calculator-1 | 2                | fees-config-1 | default-none     | termination-oracle     | 1e0                    | 0                         | SLA-22     | 3              | -1                      |       
+
+    # Setting up the accounts and vAMM submission now is part of the background, because we'll be running scenarios 0090-VAMM-006 through 0090-VAMM-014 on this setup
+    Given the parties deposit on asset's general account the following amount:
+      | party  | asset | amount   |
+      | lp1    | USD   | 10000000 |
+      | lp2    | USD   | 10000000 |
+      | lp3    | USD   | 10000000 |
+      | party1 | USD   | 10000000 |
+      | party2 | USD   | 10000000 |
+      | party3 | USD   | 10000000 |
+      | party4 | USD   | 10000000 |
+      | party5 | USD   | 10000000 |
+      | vamm1  | USD   | 1000000000 |
+      | vamm2  | USD   | 1000000000 |
+
+
+    And the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
+      | lp1    | ETH/MAR22 | buy  | 20     | 400    | 0                | TYPE_LIMIT | TIF_GTC | lp1-b     |
+      | party5 | ETH/MAR22 | buy  | 20     | 900    | 0                | TYPE_LIMIT | TIF_GTC | lp1-b     |
+      | party1 | ETH/MAR22 | buy  | 1      | 1000   | 0                | TYPE_LIMIT | TIF_GTC |           |
+      | party2 | ETH/MAR22 | sell | 1      | 1000   | 0                | TYPE_LIMIT | TIF_GTC |           |
+      | party3 | ETH/MAR22 | sell | 10     | 1100   | 0                | TYPE_LIMIT | TIF_GTC |           |
+      | lp1    | ETH/MAR22 | sell | 10     | 1600   | 0                | TYPE_LIMIT | TIF_GTC | lp1-s     |
+    When the opening auction period ends for market "ETH/MAR22"
+    Then the following trades should be executed:
+      | buyer  | price  | size | seller |
+      | party1 | 1000   | 1    | party2 |
+
+
+    Then the parties submit the following AMM:
+      | party | market id | amount | slippage | base  | lower bound  | upper bound  | proposed fee |
+      | vamm1 | ETH/MAR22 | 100000  | 0.05    | 1000  | 900          | 1100         | 0.03         |
+    Then the AMM pool status should be:
+      | party | market id | amount | status        | base | lower bound | upper bound | 
+      | vamm1 | ETH/MAR22 | 100000 | STATUS_ACTIVE | 1000 | 900         | 1100        | 
+
+    And set the following AMM sub account aliases:
+      | party | market id | alias    |
+      | vamm1 | ETH/MAR22 | vamm1-id |
+
+    And the market data for the market "ETH/MAR22" should be:
+      | mark price | trading mode              | best bid price | best offer price | best bid volume | best offer volume |
+      | 1000        | TRADING_MODE_CONTINUOUS  | 990            | 1010             | 5               | 4                 |
+
+  @VAMM
+  Scenario: Incoming order at AMM best price
+
+  # AMM's has a BUY at 99 so a SELL at that price should match
+  When the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
+      | party1 | ETH/MAR22 | sell | 1      | 990   | 1                | TYPE_LIMIT | TIF_GTC |           |
+  Then the following trades should be executed:
+      | buyer     | price | size | seller    | is amm |
+      | vamm1-id  | 990   | 1    | party1    | true   |
+
+  @VAMM
+  Scenario: Incoming order at AMM best price and orderbook volume exists at that price
+
+  # AMM's has a BUY at 99 so a SELL at that price should match
+  When the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
+      | party2 | ETH/MAR22 | buy  | 150    | 990    | 0               | TYPE_LIMIT | TIF_GTC |           |
+      | party1 | ETH/MAR22 | sell | 150    | 990    | 2               | TYPE_LIMIT | TIF_GTC |           |
+
+  # incoming move AMM to a fair-price of 990, then we take the orderbook volume at 990
+  Then the following trades should be executed:
+      | buyer     | price | size | seller    | is amm |
+      | vamm1-id  | 990   | 5    | party1    | true   |
+      | party2    | 990   | 145  | party1    | true   |
+
+
+  @VAMM
+  Scenario: Incoming order at AMM best price and orderbook volume exists at FAIR PRICE
+
+  # AMM's has a BUY at 99 so a SELL at that price should match
+  When the parties place the following orders:
+      | party  | market id | side | volume | price  | resulting trades | type       | tif     | reference |
+      | party2 | ETH/MAR22 | buy  | 146    | 1000   | 0                | TYPE_LIMIT | TIF_GTC |           |
+      | party1 | ETH/MAR22 | sell | 150    | 990    | 2                | TYPE_LIMIT | TIF_GTC |           |
+
+  # incoming absorbs order at fair price, then we take volume from AMM
+  Then the following trades should be executed:
+      | buyer     | price  | size | seller    | is amm |
+      | party2    | 1000   | 146  | party1    | true   |
+      | vamm1-id  | 990    | 4    | party1    | true   |
+
+
+  @VAMM
+  Scenario: Incoming order at AMM fair price and orderbook volume exists at FAIR PRICE
+
+  # AMM's has a BUY at 99 so a SELL at 100 should not match
+  When the parties place the following orders:
+      | party  | market id | side | volume | price | resulting trades | type       | tif     | reference |
+      | party2 | ETH/MAR22 | buy  | 100    | 1000   | 0                | TYPE_LIMIT | TIF_GTC |           |
+      | party1 | ETH/MAR22 | sell | 150    | 1000   | 1                | TYPE_LIMIT | TIF_GTC |           |
+
+  # incoming absorbs order at fair price, then we take volume from AMM
+  Then the following trades should be executed:
+      | buyer     | price  | size | seller    | is amm |
+      | party2    | 1000   | 100  | party1    | true   |
+
+  @VAMM
+  Scenario: Incoming order at AMM fair price and orderbook volume exists at FAIR PRICE and at AMM best price
+  When the parties place the following orders:
+      | party  | market id | side | volume | price  | resulting trades | type       | tif     | reference |
+      | party2 | ETH/MAR22 | buy  | 50     | 1000   | 0                | TYPE_LIMIT | TIF_GTC |           |
+      | party2 | ETH/MAR22 | buy  | 50     | 990    | 0                | TYPE_LIMIT | TIF_GTC |           |
+      | party1 | ETH/MAR22 | sell | 60     | 990    | 3                | TYPE_LIMIT | TIF_GTC |           |
+
+  # incoming absorbs order at fair price, then we take volume from AMM
+  Then the following trades should be executed:
+      | buyer     | price | size | seller    | is amm |
+      | party2    | 1000  | 50   | party1    | true   |
+      | vamm1-id  | 990   | 5    | party1    | true   |
+      | party2    | 990   | 5    | party1    | true   |
+
+  When the network moves ahead "1" blocks