Merge pull request #11557 from vegaprotocol/high-volume-maker-rebate-FT

feat: add FT for high volume maker rebate
vegaprotocol · Aug 13, 2024 · f2ad5d3 · f2ad5d3
2 parents 131edd1 + 6744f30
commit f2ad5d3
Showing 1 changed file with 101 additions and 15 deletions.
diff --git a/core/integration/features/fees/0029-FEES-high_volume_maker.feature b/core/integration/features/fees/0029-FEES-high_volume_maker.feature
@@ -1,4 +1,4 @@
-Feature: Discounts from multiple sources
+Feature: high volume maker fee rebate 
 
   Background:
 
@@ -20,6 +20,8 @@ Feature: Discounts from multiple sources
       | name                                                    | value      |
       | market.fee.factors.infrastructureFee                    | 0.01       |
       | market.fee.factors.makerFee                             | 0.01       |
+      | market.fee.factors.buybackFee                           | 0.001      |
+      | market.fee.factors.treasuryFee                          | 0.002      |
       | market.auction.minimumDuration                          | 1          |
       | limits.markets.maxPeggedOrders                          | 4          |
       | referralProgram.minStakedVegaTokens                     | 0          |
@@ -29,12 +31,13 @@ Feature: Discounts from multiple sources
 
     And the volume rebate program tiers named "vrt":
       | fraction | rebate |
-      | 0.1      | 0.2    |
+      | 0.2      | 0.001  |
+      | 0.3      | 0.002  |
 
     And the volume rebate program:
       | id  | tiers | closing timestamp | window length |
-      | id1 | vrt   | 0                 | 7             |
- 
+      | id1 | vrt   | 0                 | 2             |
+
     And the network moves ahead "1" epochs
 
     # Initialse the assets and markets
@@ -58,26 +61,109 @@ Feature: Discounts from multiple sources
       | lpprov2 | USD   | 1000000000 |
       | aux1    | USD   | 1000000000 |
       | aux2    | USD   | 1000000000 |
+      | trader1 | USD   | 1000000000 |
+      | trader2 | USD   | 1000000000 |
+      | trader3 | USD   | 1000000000 |
 
     # Exit the opening auction
     Given the parties submit the following liquidity provision:
-      | id  | party   | market id   | commitment amount | fee  | lp type    |
-      | lp1 | lpprov  | ETH/USD | 1000000           | 0.01 | submission |
-   
+      | id  | party  | market id | commitment amount | fee  | lp type    |
+      | lp1 | lpprov | ETH/USD   | 1000000           | 0.01 | submission |
+
     And the parties place the following pegged iceberg orders:
-      | party   | market id   | peak size | minimum visible size | side | pegged reference | volume | offset |
-      | lpprov  | ETH/USD | 5000      | 1000                 | buy  | BID              | 10000  | 1      |
-      | lpprov  | ETH/USD | 5000      | 1000                 | sell | ASK              | 10000  | 1      |
+      | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
+      | lpprov | ETH/USD   | 5000      | 1000                 | buy  | BID              | 10000  | 1      |
+      | lpprov | ETH/USD   | 5000      | 1000                 | sell | ASK              | 10000  | 1      |
 
     When the parties place the following orders:
-      | party | market id   | side | volume | price | resulting trades | type       | tif     |
-      | aux1  | ETH/USD | buy  | 1      | 990   | 0                | TYPE_LIMIT | TIF_GTC |
-      | aux1  | ETH/USD | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
-      | aux2  | ETH/USD | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
-      | aux2  | ETH/USD | sell | 1      | 1100  | 0                | TYPE_LIMIT | TIF_GTC |
+      | party | market id | side | volume | price | resulting trades | type       | tif     |
+      | aux1  | ETH/USD   | buy  | 1      | 990   | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux1  | ETH/USD   | buy  | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | ETH/USD   | sell | 1      | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux2  | ETH/USD   | sell | 1      | 1100  | 0                | TYPE_LIMIT | TIF_GTC |
 
     Then the opening auction period ends for market "ETH/USD"
     And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "ETH/USD"
 
+  Scenario: When there is `high_volume_market_maker_rebate`, `high_volume_maker_fee` should be taken from the `treasury/buyback_fee` components with value `high_volume_maker_fee = high_volume_factor * trade_value_for_fee_purposes` (0029-FEES-042, 0029-FEES-043, 0029-FEES-044, 0029-FEES-047)
+
+    Given the parties place the following orders:
+      | party   | market id | side | volume | price | resulting trades | type       | tif     |
+      | trader1 | ETH/USD   | sell | 210    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | trader2 | ETH/USD   | sell | 310    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | trader3 | ETH/USD   | sell | 480    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux1    | ETH/USD   | buy  | 1000   | 1000  | 3                | TYPE_LIMIT | TIF_GTC |
+
+    And the network moves ahead "1" epochs
+    Given the parties place the following orders:
+      | party   | market id | side | volume | price | resulting trades | type       | tif     |
+      | trader1 | ETH/USD   | sell | 210    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | trader2 | ETH/USD   | sell | 310    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | trader3 | ETH/USD   | sell | 480    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux1    | ETH/USD   | buy  | 1000   | 1000  | 3                | TYPE_LIMIT | TIF_GTC |
+
+    And the network moves ahead "1" epochs
+    Given the parties place the following orders:
+      | party   | market id | side | volume | price | resulting trades | type       | tif     |
+      | trader1 | ETH/USD   | sell | 210    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | trader2 | ETH/USD   | sell | 310    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | trader3 | ETH/USD   | sell | 480    | 1000  | 0                | TYPE_LIMIT | TIF_GTC |
+      | aux1    | ETH/USD   | buy  | 1000   | 1000  | 3                | TYPE_LIMIT | TIF_GTC |
+
+    Then the following trades should be executed:
+      | buyer | price | size | seller  |
+      | aux1  | 1000  | 210  | trader1 |
+      | aux1  | 1000  | 310  | trader2 |
+      | aux1  | 1000  | 480  | trader3 |
+
+    And the network moves ahead "1" epochs
+
+    # trade_value_for_fee_purposes for trade between aux1 and trader1 = size_of_trade * price_of_trade = 21 * 100 = 2100
+    # treasury_fee = 0.002*2100=4.2
+    # buyback_fee = 0.001*2100=2.1
+    # treasury_fee = treasury_fee *(1 - high_volume_maker_fee / (treasury_fee + buyback_fee)) = 4.2*(1-2.1/(4.2+2.1))=2.8
+    # buyback_fee = buyback_fee*(1 - high_volume_maker_fee / (treasury_fee + buyback_fee)) =2.1*(1-2.1/(4.2+2.1))=1.4
+
+    # trade_value_for_fee_purposes for trade between aux1 and trader2 = size_of_trade * price_of_trade = 31 * 100 = 3100
+    # treasury_fee = 0.002*3100=6.2
+    # buyback_fee = 0.001*3100=3.1
+    # treasury_fee = treasury_fee *(1 - high_volume_maker_fee / (treasury_fee + buyback_fee)) = 6.2*(1-6.2/(6.2+3.1))=2.07
+    # buyback_fee = buyback_fee*(1 - high_volume_maker_fee / (treasury_fee + buyback_fee)) =3.1*(1-6.2/(6.2+3.1))=1.03
+
+
+    # trade_value_for_fee_purposes for trade between aux1 and trader3 = size_of_trade * price_of_trade = 48 * 100 = 4800
+    # treasury_fee = 0.002*4800=9.6
+    # buyback_fee = 0.001*4800=4.8
+    # treasury_fee = treasury_fee *(1 - high_volume_maker_fee / (treasury_fee + buyback_fee)) = 9.6*(1-9.6/(9.6+4.8))=3.2
+    # buyback_fee = buyback_fee*(1 - high_volume_maker_fee / (treasury_fee + buyback_fee)) =4.8*(1-9.6/(9.6+4.8))=1.6
+
+    # trade_value_for_fee_purposes for trader1 = size_of_trade * price_of_trade = 21 * 100 = 2100
+    # maker_fee =  fee_factor[maker]  * trade_value_for_fee_purposes = 0.01 * 2100 = 21
+    # high_marker_fee_rebate_receive=0.001 * 2100=2.1
+
+    # trade_value_for_fee_purposes for trader2 = size_of_trade * price_of_trade = 31 * 100 = 3100
+    # maker_fee =  fee_factor[maker]  * trade_value_for_fee_purposes = 0.01 * 3100 = 31
+    # high_marker_fee_rebate_receive=0.002 * 3100=6.2
+
+    # trade_value_for_fee_purposes for trader3 = size_of_trade * price_of_trade = 48 * 100 = 4800
+    # maker_fee =  fee_factor[maker]  * trade_value_for_fee_purposes = 0.01 * 4800 = 48
+    # high_marker_fee_rebate_receive=0.002 * 4800=9.6
+
+    And the following transfers should happen:
+      | from   | to      | from account            | to account                    | market id | amount | asset |
+      | aux1   |         | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_NETWORK_TREASURY |           | 28     | USD   |
+      | aux1   |         | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_NETWORK_TREASURY |           | 20     | USD   |
+      | aux1   |         | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_NETWORK_TREASURY |           | 31     | USD   |
+      | aux1   |         | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_BUY_BACK_FEES    |           | 14     | USD   |
+      | aux1   |         | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_BUY_BACK_FEES    |           | 10     | USD   |
+      | aux1   |         | ACCOUNT_TYPE_GENERAL    | ACCOUNT_TYPE_BUY_BACK_FEES    |           | 15     | USD   |
+      | market | trader1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL          | ETH/USD   | 210    | USD   |
+      | market | trader1 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL          | ETH/USD   | 21     | USD   |
+      | market | trader2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL          | ETH/USD   | 310    | USD   |
+      | market | trader2 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL          | ETH/USD   | 62     | USD   |
+      | market | trader3 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL          | ETH/USD   | 480    | USD   |
+      | market | trader3 | ACCOUNT_TYPE_FEES_MAKER | ACCOUNT_TYPE_GENERAL          | ETH/USD   | 96     | USD   |
+
+