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Merge pull request #11600 from vegaprotocol/total_fee_ACs
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chore: add ACs for total fees
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@ze97286
ze97286 authored Aug 19, 2024
2 parents 3a47950 + 76599a9 commit ec3b3c2
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142 changes: 134 additions & 8 deletions core/integration/features/0084-VDPR-012.feature
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Original file line number Diff line number Diff line change
Expand Up @@ -19,8 +19,7 @@ Feature: At the start of an epoch, each parties volume_discount_factor is reeval
| network.markPriceUpdateMaximumFrequency | 0s |
| limits.markets.maxPeggedOrders | 6 |
| market.auction.minimumDuration | 1 |
| market.fee.factors.infrastructureFee | 0.001 |
| market.fee.factors.makerFee | 0.004 |


#risk factor short:3.5569036
#risk factor long:0.801225765
Expand All @@ -37,8 +36,13 @@ Feature: At the start of an epoch, each parties volume_discount_factor is reeval
| id | decimal places |
| ETH | 0 |
And the fees configuration named "fees-config-1":
| maker fee | infrastructure fee |
| 0.0004 | 0.001 |
| maker fee | infrastructure fee | liquidity fee method | liquidity fee constant |
| 0.0004 | 0.001 | METHOD_CONSTANT | 0 |

And the fees configuration named "fees-config-2":
| maker fee | infrastructure fee | liquidity fee method | liquidity fee constant | buy back fee | treasury fee |
| 0 | 0 | METHOD_CONSTANT | 0.1 | 0.001 | 0.002 |

And the price monitoring named "price-monitoring":
| horizon | probability | auction extension |
| 3600 | 0.99 | 3 |
Expand All @@ -47,10 +51,6 @@ Feature: At the start of an epoch, each parties volume_discount_factor is reeval
| price range | commitment min time fraction | performance hysteresis epochs | sla competition factor |
| 0.5 | 0.6 | 1 | 1.0 |

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 |
| ETH/MAR24 | ETH | ETH | lqm-params | log-normal-risk-model | margin-calculator-1 | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 1e0 | 0 | SLA-22 |

And the following network parameters are set:
| name | value |
| market.liquidity.bondPenaltyParameter | 0.2 |
Expand All @@ -65,6 +65,114 @@ Feature: At the start of an epoch, each parties volume_discount_factor is reeval
Given the average block duration is "1"
@Now
Scenario: 001: Check that the volume discount factor is updated after each epoch
Given 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 |
| ETH/MAR24 | ETH | ETH | lqm-params | log-normal-risk-model | margin-calculator-1 | 2 | fees-config-1 | price-monitoring | default-eth-for-future | 1e0 | 0 | SLA-22 |

Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| lp1 | ETH | 10000000 |
| party1 | ETH | 10000000 |
| party2 | ETH | 10000000 |
| party3 | ETH | 10000000 |

And the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp_1 | lp1 | ETH/MAR24 | 100000 | 0.02 | submission |

Then the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party1 | ETH/MAR24 | buy | 10 | 900 | 0 | TYPE_LIMIT | TIF_GTC |
| party1 | ETH/MAR24 | buy | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC |
| lp1 | ETH/MAR24 | buy | 100 | 990 | 0 | TYPE_LIMIT | TIF_GTC |
| lp1 | ETH/MAR24 | sell | 100 | 1010 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | ETH/MAR24 | sell | 10 | 1100 | 0 | TYPE_LIMIT | TIF_GTC |
| party2 | ETH/MAR24 | sell | 1 | 1000 | 0 | TYPE_LIMIT | TIF_GTC |

Then the opening auction period ends for market "ETH/MAR24"
And the following trades should be executed:
| buyer | price | size | seller |
| party1 | 1000 | 1 | party2 |
And the market data for the market "ETH/MAR24" should be:
| mark price | trading mode | horizon | min bound | max bound | target stake | supplied stake | open interest |
| 1000 | TRADING_MODE_CONTINUOUS | 3600 | 973 | 1027 | 3556 | 100000 | 1 |
And the party "party3" has the following discount infra factor "0"

Then the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party3 | ETH/MAR24 | buy | 1 | 0 | 1 | TYPE_MARKET | TIF_IOC |
| party3 | ETH/MAR24 | sell | 1 | 0 | 1 | TYPE_MARKET | TIF_IOC |
When the network moves ahead "1" epochs
And the party "party3" has the following discount infra factor "0.005"
And the party "party3" has the following discount liquidity factor "0.006"
And the party "party3" has the following discount maker factor "0.007"

Then the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party3 | ETH/MAR24 | buy | 20 | 0 | 1 | TYPE_MARKET | TIF_IOC |
| party3 | ETH/MAR24 | sell | 20 | 0 | 1 | TYPE_MARKET | TIF_IOC |
When the network moves ahead "1" epochs
And the party "party3" has the following discount infra factor "0.01"
And the party "party3" has the following discount liquidity factor "0.012"
And the party "party3" has the following discount maker factor "0.014"

# when trade_value_for_fee_purposes>0, then total fee should be maker_fee_after_referral_discount+ treasury_fee + buyback_fee when fee_factor[infrastructure] = 0, fee_factor[liquidity] = 0 (0083-RFPR-053)
# now lets reset the infra fee to 0 and do a trade with party 3:
And the following network parameters are set:
| name | value |
| market.fee.factors.makerFee | 0.1 |
| market.fee.factors.infrastructureFee | 0 |
| market.fee.factors.buybackFee | 0.001 |
| market.fee.factors.treasuryFee | 0.002 |

Then the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party3 | ETH/MAR24 | sell | 11 | 0 | 1 | TYPE_MARKET | TIF_IOC |

# trade value is 11*990 = 10,890
# infra fee is set to 0
# liquidity fee is set to 0
# maker fee before discount = 10,890 * 0.1 => 1089
# maker fee discount = 1089*0.014 => 15
# maker fee after discount = 1089-15=1074
# buyback = 11
# treasury = 22
# total = 1074 + 33
And the following trades should be executed:
| seller | price | size | buyer | seller fee | seller infrastructure fee | seller liquidity fee | seller maker fee | seller infrastructure fee volume discount | seller liquidity fee volume discount | seller maker fee volume discount |
| party3 | 990 | 11 | lp1 | 1107 | 0 | 0 | 1074 | 0 | 0 | 15 |

# when trade_value_for_fee_purposes>0, then total fee should be infrastructure_fee_after_referral_discount+ treasury_fee + buyback_fee when fee_factor[maker] = 0, fee_factor[liquidity] = 0 (0083-RFPR-055)
# now lets reset the maker fee to 0 and do a trade with party 3:
And the following network parameters are set:
| name | value |
| market.fee.factors.makerFee | 0 |
| market.fee.factors.infrastructureFee | 0.2 |

# trade value is 11*990 = 10,890
# maker fee is set to 0
# liquidity fee is set to 0
# infra fee before discount = 10,890 * 0.2 => 2178
# infra fee discount = 2178*0.01 => 21
# infra fee after discount = 2178-21=2157
# buyback = 11
# treasury = 22
# total = 2157 + 33
Then the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party3 | ETH/MAR24 | sell | 11 | 0 | 1 | TYPE_MARKET | TIF_IOC |

And the following trades should be executed:
| seller | price | size | buyer | seller fee | seller infrastructure fee | seller liquidity fee | seller maker fee | seller infrastructure fee volume discount | seller liquidity fee volume discount | seller maker fee volume discount |
| party3 | 990 | 11 | lp1 | 2190 | 2157 | 0 | 0 | 21 | 0 | 0 |


@Now
Scenario: when trade_value_for_fee_purposes>0, then total fee should be liquidity_fee_after_referral_discount+ treasury_fee + buyback_fee when fee_factor[maker] = 0, fee_factor[infrastructure] = 0 (0083-RFPR-054)
Given 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 |
| ETH/MAR24 | ETH | ETH | lqm-params | log-normal-risk-model | margin-calculator-1 | 2 | fees-config-2 | price-monitoring | default-eth-for-future | 1e0 | 0 | SLA-22 |

Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| lp1 | ETH | 10000000 |
Expand Down Expand Up @@ -111,3 +219,21 @@ Feature: At the start of an epoch, each parties volume_discount_factor is reeval
And the party "party3" has the following discount infra factor "0.01"
And the party "party3" has the following discount liquidity factor "0.012"
And the party "party3" has the following discount maker factor "0.014"

Then the parties place the following orders:
| party | market id | side | volume | price | resulting trades | type | tif |
| party3 | ETH/MAR24 | sell | 11 | 0 | 1 | TYPE_MARKET | TIF_IOC |

# trade value is 11*990 = 10,890
# infra fee is set to 0
# maker fee is set to 0
# liquidity fee before discount = 10,890 * 0.1 => 1089
# liquidity fee discount = 1089*0.012 => 13
# liquidity fee after discount = 1089-15=1076
# buyback = 11
# treasury = 22
# total = 1076 + 33
And the following trades should be executed:
| seller | price | size | buyer | seller fee | seller infrastructure fee | seller liquidity fee | seller maker fee | seller infrastructure fee volume discount | seller liquidity fee volume discount | seller maker fee volume discount |
| party3 | 990 | 11 | lp1 | 1109 | 0 | 1076 | 0 | 0 | 13 | 0 |

2 changes: 1 addition & 1 deletion core/integration/steps/the_fees_configuration.go
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Expand Up @@ -84,7 +84,7 @@ func (r feesConfigRow) infrastructureFee() string {

func (r feesConfigRow) buyBackFee() string {
if r.row.HasColumn("buy back fee") {
return r.row.MustStr("infrastructure fee")
return r.row.MustStr("buy back fee")
}
return "0"
}
Expand Down
2 changes: 1 addition & 1 deletion core/integration/steps/the_following_trades_happened.go
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Original file line number Diff line number Diff line change
Expand Up @@ -123,7 +123,7 @@ func feeToU64(fee *vega.Fee) uint64 {
if fee == nil {
return uint64(0)
}
return stringToU64(fee.InfrastructureFee) + stringToU64(fee.LiquidityFee) + stringToU64(fee.MakerFee)
return stringToU64(fee.InfrastructureFee) + stringToU64(fee.LiquidityFee) + stringToU64(fee.MakerFee) + stringToU64(fee.BuyBackFee) + stringToU64(fee.TreasuryFee)
}

func parseExecutedTradesTable(table *godog.Table) []RowWrapper {
Expand Down

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