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feat: create a ft for isolated margin rf greater than 1 #10839

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Mar 12, 2024
Merged

feat: create a ft for isolated margin rf greater than 1 #10839

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2fc9447
feat: create a ft for isolated margin rf greater than 1
Jiajia-Cui Mar 7, 2024
d174ea0
feat: add MTM
Jiajia-Cui Mar 7, 2024
ea2bc17
test: update scenario after margin fix
EVODelavega Mar 12, 2024
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114 changes: 114 additions & 0 deletions core/integration/features/margin/0019-MCAL-208.feature
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Original file line number Diff line number Diff line change
@@ -0,0 +1,114 @@
Feature: test when isolated margin risk factor > 1
Background:
Given the average block duration is "1"
And the following network parameters are set:
| name | value |
| network.markPriceUpdateMaximumFrequency | 0s |
| limits.markets.maxPeggedOrders | 6 |
| market.auction.minimumDuration | 1 |
And the price monitoring named "my-price-monitoring-1":
| horizon | probability | auction extension |
| 5 | 0.99 | 6 |

And the liquidity monitoring parameters:
| name | triggering ratio | time window | scaling factor |
| lqm-params | 0.00 | 24h | 1e-9 |
And the simple risk model named "simple-risk-model":
| long | short | max move up | min move down | probability of trading |
| 0.8 | 1 | 100 | -100 | 0.2 |
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 | position decimal places | sla params |
| ETH/FEB23 | ETH | USD | lqm-params | simple-risk-model | default-margin-calculator | 1 | default-none | my-price-monitoring-1 | default-eth-for-future | 0.25 | 0 | 2 | default-futures |

Scenario: 0019-MCAL-208
Given the parties deposit on asset's general account the following amount:
| party | asset | amount |
| trader1 | USD | 100000000000 |
| trader2 | USD | 100000000000 |
| trader3 | USD | 100000 |
| trader4 | USD | 100000000000 |
| lprov1 | USD | 100000000000 |

And the parties submit the following liquidity provision:
| id | party | market id | commitment amount | fee | lp type |
| lp1 | lprov1 | ETH/FEB23 | 1000 | 0.1 | submission |

And the parties place the following orders with ticks:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| trader1 | ETH/FEB23 | buy | 1000 | 14900 | 0 | TYPE_LIMIT | TIF_GTC | |
| trader1 | ETH/FEB23 | buy | 300 | 15600 | 0 | TYPE_LIMIT | TIF_GTC | |
| lprov1 | ETH/FEB23 | buy | 100 | 15700 | 0 | TYPE_LIMIT | TIF_GTC | lp-buy-1 |
| trader3 | ETH/FEB23 | buy | 300 | 15800 | 0 | TYPE_LIMIT | TIF_GTC | |
| lprov1 | ETH/FEB23 | sell | 300 | 15800 | 0 | TYPE_LIMIT | TIF_GTC | lp-sell-1 |
| trader2 | ETH/FEB23 | sell | 600 | 15820 | 0 | TYPE_LIMIT | TIF_GTC | t2-sell-1 |
| trader2 | ETH/FEB23 | sell | 300 | 200000 | 0 | TYPE_LIMIT | TIF_GTC | |
| trader2 | ETH/FEB23 | sell | 1000 | 200100 | 0 | TYPE_LIMIT | TIF_GTC | |

When the network moves ahead "2" blocks
Then the market data for the market "ETH/FEB23" should be:
| mark price | trading mode | horizon | min bound | max bound | target stake | supplied stake | open interest |
| 15800 | TRADING_MODE_CONTINUOUS | 5 | 15701 | 15899 | 0 | 1000 | 300 |

And the parties should have the following account balances:
| party | asset | market id | margin | general | bond |
| trader3 | USD | ETH/FEB23 | 59724 | 40276 | |

When the parties place the following pegged orders:
| party | market id | side | volume | pegged reference | offset | reference |
| lprov1 | ETH/FEB23 | buy | 100 | BID | 10 | buy_peg_1 |
| lprov1 | ETH/FEB23 | buy | 200 | BID | 20 | buy_peg_2 |

Then the parties should have the following margin levels:
| party | market id | maintenance | search | initial | release | margin mode | margin factor | order |
| trader3 | ETH/FEB23 | 49770 | 54747 | 59724 | 69678 | cross margin | 0 | 0 |
And the parties should have the following account balances:
| party | asset | market id | margin | general | bond |
| trader3 | USD | ETH/FEB23 | 59724 | 40276 | |

When the parties place the following orders with ticks:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| trader3 | ETH/FEB23 | buy | 10 | 15500 | 0 | TYPE_LIMIT | TIF_GTC | t3-buy |
Then the parties should have the following margin levels:
| party | market id | maintenance | search | initial | release | margin mode | margin factor | order |
| trader3 | ETH/FEB23 | 51034 | 56137 | 61240 | 71447 | cross margin | 0 | 0 |
And the parties should have the following account balances:
| party | asset | market id | margin | general |
| trader3 | USD | ETH/FEB23 | 61240 | 38760 |

When the parties submit update margin mode:
| party | market | margin_mode | margin_factor | error |
| trader3 | ETH/FEB23 | isolated margin | 1.3 | |
Then the parties should have the following margin levels:
| party | market id | maintenance | search | initial | release | margin mode | margin factor | order |
| trader3 | ETH/FEB23 | 49770 | 0 | 59724 | 0 | isolated margin | 1.3 | 2015 |
And the parties should have the following account balances:
| party | asset | market id | margin | general | order margin |
| trader3 | USD | ETH/FEB23 | 61620 | 36365 | 2015 |

# amend the order to increase the required margin, the order remains on the book without issue
When the parties amend the following orders:
| party | reference | price | size delta | tif | error |
| trader3 | t3-buy | 15500 | 20 | TIF_GTC | |
Then the orders should have the following status:
| party | reference | status |
| trader3 | t3-buy | STATUS_ACTIVE |
And the parties should have the following margin levels:
| party | market id | maintenance | search | initial | release | margin mode | margin factor | order |
| trader3 | ETH/FEB23 | 49770 | 0 | 59724 | 0 | isolated margin | 1.3 | 6045 |
And the parties should have the following account balances:
| party | asset | market id | margin | general | order margin |
| trader3 | USD | ETH/FEB23 | 61620 | 32335 | 6045 |

When the parties place the following orders with ticks:
| party | market id | side | volume | price | resulting trades | type | tif | reference |
| trader1 | ETH/FEB23 | buy | 10 | 15820 | 1 | TYPE_LIMIT | TIF_GTC | trader2-buy |

#mark price changed triggers MTM win for trader3: 3*20=60
And the network moves ahead "1" blocks
Then the parties should have the following margin levels:
| party | market id | maintenance | search | initial | release | margin mode | margin factor | order |
| trader3 | ETH/FEB23 | 49833 | 0 | 59799 | 0 | isolated margin | 1.3 | 6045 |
And the parties should have the following account balances:
| party | asset | market id | margin | general | order margin |
| trader3 | USD | ETH/FEB23 | 61680 | 32335 | 6045 |

15 changes: 9 additions & 6 deletions core/integration/steps/the_parties_update_margin_mode.go
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Original file line number Diff line number Diff line change
Expand Up @@ -44,13 +44,16 @@ func ThePartiesUpdateMarginMode(
if r.HasColumn("margin_factor") && marginMode == types.MarginModeIsolatedMargin {
factor = num.MustDecimalFromString(r.MustStr("margin_factor"))
}
expErr := ""
if r.HasColumn("error") && len(r.Str("error")) > 0 {
expErr = r.Str("error")
}
err := execution.UpdateMarginMode(context.Background(), party, market, marginMode, factor)
if r.HasColumn("error") && len(r.Str("error")) > 0 && (err == nil || err != nil && r.Str("error") != err.Error()) {
gotError := ""
if err != nil {
gotError = err.Error()
}
return fmt.Errorf("invalid error expected %v got %v", r.Str("error"), gotError)
if err != nil && len(expErr) == 0 {
return fmt.Errorf("unexpected error when updating margin mode: %v", err)
}
if len(expErr) > 0 && (err == nil || err != nil && expErr != err.Error()) {
return fmt.Errorf("invalid error expected %v got %v", expErr, err)
}
}

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