Merge pull request #10765 from vegaprotocol/10763-restart-external-twap

fix: reinitialise external TWAP when we leave opening auction so we p…

core/products/perpetual.go

@@ -208,8 +208,8 @@ func (c *cachedTWAP) unwind(t int64) (*num.Uint, int) {
 	return nil, 0
 }
 
-// getTwapAsNilOrString return nil when TWAP cannot be calculated and a string (as pointer) otherwise.
-func (c *cachedTWAP) getTwapAsNilOrString(t int64) *string {
+// getTWAP will return the TWAP if we have enough data, else nil.
+func (c *cachedTWAP) getTWAP(t int64) *string {
 	if !c.dataAvailable(t) {
 		return nil
 	}
@@ -594,13 +594,16 @@ func (p *Perpetual) UpdateAuctionState(ctx context.Context, enter bool) {
 
 	// left first auction, we can start the first funding-period
 	p.startedAt = t
-	// store internal data submitted at the end of opening auction
+
+	// we might have been sent useful internal points before officially leaving opening auction, such as
+	// the uncrossing price, so we make sure we keep those.
 	temp := p.internalTWAP
 	p.internalTWAP = NewCachedTWAP(p.log, t, p.auctions)
 	for _, pt := range temp.points {
 		p.internalTWAP.addPoint(pt)
 	}
-	p.broker.Send(events.NewFundingPeriodEvent(ctx, p.id, p.seq, p.startedAt, nil, nil, nil, p.internalTWAP.getTwapAsNilOrString(p.startedAt), p.externalTWAP.getTwapAsNilOrString(p.startedAt)))
+	p.externalTWAP = NewCachedTWAP(p.log, t, p.auctions)
+	p.broker.Send(events.NewFundingPeriodEvent(ctx, p.id, p.seq, p.startedAt, nil, nil, nil, p.internalTWAP.getTWAP(p.startedAt), p.externalTWAP.getTWAP(p.startedAt)))
 }
 
 // SubmitDataPoint this will add a data point produced internally by the core node.
@@ -729,7 +732,7 @@ func (p *Perpetual) handleSettlementCue(ctx context.Context, t int64) {
 
 	if !p.haveDataBeforeGivenTime(t) || t == p.startedAt {
 		// we have no points, or the interval is zero length so we just start a new interval
-		p.broker.Send(events.NewFundingPeriodEvent(ctx, p.id, p.seq, p.startedAt, ptr.From(t), nil, nil, p.internalTWAP.getTwapAsNilOrString(t), p.externalTWAP.getTwapAsNilOrString(t)))
+		p.broker.Send(events.NewFundingPeriodEvent(ctx, p.id, p.seq, p.startedAt, ptr.From(t), nil, nil, p.internalTWAP.getTWAP(t), p.externalTWAP.getTWAP(t)))
 		p.startNewFundingPeriod(ctx, t)
 		return
 	}
@@ -825,7 +828,7 @@ func (p *Perpetual) startNewFundingPeriod(ctx context.Context, endAt int64) {
 		evts = append(evts, events.NewFundingPeriodDataPointEvent(ctx, p.id, dp.price.String(), dp.t, p.seq, dataPointSourceInternal, iTWAP))
 	}
 	// send event to say our new period has started
-	p.broker.Send(events.NewFundingPeriodEvent(ctx, p.id, p.seq, p.startedAt, nil, nil, nil, p.internalTWAP.getTwapAsNilOrString(p.startedAt), p.externalTWAP.getTwapAsNilOrString(p.startedAt)))
+	p.broker.Send(events.NewFundingPeriodEvent(ctx, p.id, p.seq, p.startedAt, nil, nil, nil, p.internalTWAP.getTWAP(p.startedAt), p.externalTWAP.getTWAP(p.startedAt)))
 	if len(evts) > 0 {
 		p.broker.SendBatch(evts)
 	}

core/products/perpetual_test.go

@@ -45,7 +45,7 @@ import (
 )
 
 func TestPeriodicSettlement(t *testing.T) {
-	t.Run("incoming data ignored before leaving opening auction", testIncomingExternalDataIgnoredBeforeLeavingOpeningAuction)
+	t.Run("twap calculations after leaving opening auction", testTWAPAfterOpeningAuction)
 	t.Run("period end with no data point", testPeriodEndWithNoDataPoints)
 	t.Run("equal internal and external prices", testEqualInternalAndExternalPrices)
 	t.Run("constant difference long pays short", testConstantDifferenceLongPaysShort)
@@ -128,26 +128,45 @@ func TestRealData(t *testing.T) {
 	}
 }
 
-func testIncomingExternalDataIgnoredBeforeLeavingOpeningAuction(t *testing.T) {
+func testTWAPAfterOpeningAuction(t *testing.T) {
 	perp := testPerpetual(t)
 	defer perp.ctrl.Finish()
 
 	ctx := context.Background()
 
+	now := time.Unix(2000, 0).UnixNano()
+
 	// no error because its really a callback from the oracle engine, but we expect no events
-	perp.perpetual.AddTestExternalPoint(ctx, num.UintOne(), 2000)
+	perp.perpetual.AddTestExternalPoint(ctx, num.UintOne(), now)
 	data := perp.perpetual.GetData(2000)
 	require.Nil(t, data)
 
 	// internal data point recevied without error
-	perp.broker.EXPECT().Send(gomock.AssignableToTypeOf(&events.FundingPeriodDataPoint{})).Times(1)
-	err := perp.perpetual.SubmitDataPoint(ctx, num.UintOne(), 2000)
+	perp.broker.EXPECT().Send(gomock.Any()).Times(1)
+	err := perp.perpetual.SubmitDataPoint(ctx, num.NewUint(100000), now)
 	data = perp.perpetual.GetData(2000)
 	assert.NoError(t, err)
 	require.Nil(t, data)
 
 	// check that settlement cues are ignored, we expect no events when it is
 	perp.perpetual.PromptSettlementCue(ctx, 4000)
+
+	// now leaving opening auction
+	perp.broker.EXPECT().Send(gomock.Any()).Times(1)
+	perp.ts.EXPECT().GetTimeNow().Times(1).Return(time.Unix(2000, 0))
+	perp.perpetual.UpdateAuctionState(ctx, false)
+
+	// send in an external data-point which actually hits before opening auction time because it took a while to wobble through
+	perp.broker.EXPECT().Send(gomock.Any()).Times(1)
+	perp.perpetual.AddTestExternalPoint(ctx, num.NewUint(100000), now-int64(time.Minute))
+	fundingPayment := getFundingPayment(t, perp, now)
+	require.Equal(t, "0", fundingPayment)
+
+	// now another data point but both at the same time
+	dp := &testDataPoint{price: num.NewUint(200000), t: now + int64(time.Second)}
+	submitPointWithDifference(t, perp, dp, 0)
+	fundingPayment = getFundingPayment(t, perp, now+int64(time.Minute))
+	require.Equal(t, "0", fundingPayment)
 }
 
 func testPeriodEndWithNoDataPoints(t *testing.T) {
@@ -954,6 +973,7 @@ func submitPointWithDifference(t *testing.T, perp *tstPerp, p *testDataPoint, di
 	var internalPrice *num.Uint
 	perp.broker.EXPECT().Send(gomock.Any()).Times(2)
 	perp.perpetual.AddTestExternalPoint(ctx, p.price, p.t)
+	internalPrice = p.price.Clone()
 
 	if diff > 0 {
 		internalPrice = num.UintZero().Add(p.price, num.NewUint(uint64(diff)))