feat: add pap state to market data

vegaprotocol · Sep 30, 2024 · 690c1ef · 690c1ef
1 parent 6418019
commit 690c1ef
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diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -18,6 +18,7 @@
 - [11642](https://github.com/vegaprotocol/vega/issues/11642) - `AMMs` with empty price levels are now allowed.
 - [11685](https://github.com/vegaprotocol/vega/issues/11685) - Automated purchase support added.  
 - [11711](https://github.com/vegaprotocol/vega/issues/11711) - Manage closed team membership by updating the allow list.
+- [11722](https://github.com/vegaprotocol/vega/issues/11722) - Expose active protocol automated purchase identifier in market data API. 
 
 ### 🐛 Fixes
 

diff --git a/commands/transfer_funds.go b/commands/transfer_funds.go
@@ -109,7 +109,7 @@ func checkTransfer(cmd *commandspb.Transfer) (e Errors) {
 	} else {
 		switch k := cmd.Kind.(type) {
 		case *commandspb.Transfer_OneOff:
-			if cmd.ToAccountType != vega.AccountType_ACCOUNT_TYPE_GLOBAL_REWARD && cmd.ToAccountType != vega.AccountType_ACCOUNT_TYPE_GENERAL && cmd.ToAccountType != vega.AccountType_ACCOUNT_TYPE_UNSPECIFIED && cmd.ToAccountType != vega.AccountType_ACCOUNT_TYPE_NETWORK_TREASURY {
+			if cmd.ToAccountType != vega.AccountType_ACCOUNT_TYPE_GLOBAL_REWARD && cmd.ToAccountType != vega.AccountType_ACCOUNT_TYPE_GENERAL && cmd.ToAccountType != vega.AccountType_ACCOUNT_TYPE_UNSPECIFIED && cmd.ToAccountType != vega.AccountType_ACCOUNT_TYPE_NETWORK_TREASURY && cmd.ToAccountType != vega.AccountType_ACCOUNT_TYPE_BUY_BACK_FEES {
 				errs.AddForProperty("transfer.to_account_type", errors.New("account type is not valid for one off transfer"))
 			}
 			if k.OneOff.GetDeliverOn() < 0 {

diff --git a/core/execution/spot/market.go b/core/execution/spot/market.go
@@ -441,6 +441,18 @@ func (m *Market) GetMarketData() types.MarketData {
 		mode = m.mkt.TradingMode
 	}
 
+	var papState *vega.ProtocolAutomatedPurchaseData
+	if m.pap != nil {
+		var activeOrder *string
+		if len(m.pap.activeOrder) > 0 {
+			activeOrder = &m.pap.activeOrder
+		}
+		papState = &vega.ProtocolAutomatedPurchaseData{
+			Id:      m.pap.ID,
+			OrderId: activeOrder,
+		}
+	}
+
 	return types.MarketData{
 		Market:                    m.GetID(),
 		BestBidPrice:              m.priceToMarketPrecision(bestBidPrice),
@@ -471,6 +483,7 @@ func (m *Market) GetMarketData() types.MarketData {
 		MarketValueProxy:          m.lastMarketValueProxy.BigInt().String(),
 		LiquidityProviderFeeShare: m.equityShares.LpsToLiquidityProviderFeeShare(m.liquidity.GetAverageLiquidityScores()),
 		LiquidityProviderSLA:      m.liquidityEngine.LiquidityProviderSLAStats(m.timeService.GetTimeNow()),
+		PAPState:                  papState,
 	}
 }
 
@@ -690,6 +703,8 @@ func (m *Market) OnTick(ctx context.Context, t time.Time) bool {
 		return true
 	}
 
+	m.checkPAP(ctx)
+
 	// first we expire orders
 	if !m.closed && m.canTrade() {
 		expired := m.removeExpiredOrders(ctx, t.UnixNano())
@@ -3544,3 +3559,5 @@ func (m *Market) getACcountTypesForPAP() (types.AccountType, types.AccountType,
 	}
 	return m.pap.getACcountTypesForPAP()
 }
+
+func (m *Market) BeginBlock(ctx context.Context) {}
diff --git a/core/execution/spot/protocol_automated_purchase.go b/core/execution/spot/protocol_automated_purchase.go
@@ -346,8 +346,8 @@ func (m *Market) stopPAP(ctx context.Context) {
 	m.pap.nextAuctionAmount = nil
 }
 
-// BeginBlock checks if a pap has expired, if so and it.
-func (m *Market) BeginBlock(ctx context.Context) {
+// checkPAP checks if a pap has expired, if so and it.
+func (m *Market) checkPAP(ctx context.Context) {
 	// no pap - nothing to do
 	if m.pap == nil {
 		return

diff --git a/core/integration/features/pap/0097-PAPU-021.feature b/core/integration/features/pap/0097-PAPU-021.feature
@@ -0,0 +1,106 @@
+Feature: Given the program currently has no funds earmarked for an auction, if a program's expiry timestamp is reached, the program will be cancelled and no further auctions will take place. (0097-PAPU-021).
+
+    Background:
+        Given the log normal risk model named "log-normal-risk-model":
+            | risk aversion | tau | mu | r | sigma |
+            | 0.000001      | 0.1 | 0  | 0 | 1.0   |
+        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     |
+            | validators.epoch.length                 | 60m   |
+        And the liquidity monitoring parameters:
+            | name       | triggering ratio | time window | scaling factor |
+            | lqm-params | 1.0              | 20s         | 1              |
+        And the fees configuration named "fees-config-1":
+            | maker fee | infrastructure fee |
+            | 0.0004    | 0.001              |
+        And the price monitoring named "price-monitoring":
+            | horizon | probability | auction extension |
+            | 3600    | 0.99        | 30                |
+        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 following network parameters are set:
+            | name                           | value |
+            | limits.markets.maxPeggedOrders | 2     |
+        And the following assets are registered:
+            | id  | decimal places |
+            | ETH | 0              |
+
+        And the spot markets:
+            | id      | name    | base asset | quote asset | liquidity monitoring | risk model            | auction duration | fees          | price monitoring | sla params |
+            | BTC/ETH | BTC/ETH | BTC        | ETH         | lqm-params           | log-normal-risk-model | 2                | fees-config-1 | price-monitoring | SLA-22     |
+
+        Given the parties deposit on asset's general account the following amount:
+            | party  | asset | amount     |
+            | party1 | ETH   | 1000000000 |
+            | party2 | ETH   | 1000000000 |
+            | party3 | ETH   | 1000000000 |
+            | party1 | BTC   | 1000000000 |
+            | party3 | BTC   | 1000000000 |
+            | lpprov | ETH   | 1000000000 |
+            | lpprov | BTC   | 1000000000 |
+
+        When the parties submit the following liquidity provision:
+            | id  | party  | market id | commitment amount | fee | lp type    |
+            | lp1 | lpprov | BTC/ETH   | 937000            | 0.1 | submission |
+            | lp1 | lpprov | BTC/ETH   | 937000            | 0.1 | submission |
+        And the parties place the following pegged iceberg orders:
+            | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
+            | lpprov | BTC/ETH   | 2         | 1                    | buy  | MID              | 50     | 100    |
+            | lpprov | BTC/ETH   | 2         | 1                    | sell | MID              | 50     | 100    |
+
+        # place orders and generate trades - slippage 100
+        And the parties place the following orders:
+            | party  | market id | side | volume | price   | resulting trades | type       | tif     | reference |
+            | party2 | BTC/ETH   | buy  | 1      | 950000  | 0                | TYPE_LIMIT | TIF_GTC | t2-b-1    |
+            | party1 | BTC/ETH   | buy  | 1      | 1000000 | 0                | TYPE_LIMIT | TIF_GFA | t1-b-1    |
+            | party3 | BTC/ETH   | sell | 1      | 1000000 | 0                | TYPE_LIMIT | TIF_GTC | t2-s-1    |
+
+        When the opening auction period ends for market "BTC/ETH"
+
+        And the following trades should be executed:
+            | buyer  | price   | size | seller |
+            | party1 | 1000000 | 1    | party3 |
+        And the mark price should be "1000000" for the market "BTC/ETH"
+
+        And the composite price oracles from "0xCAFECAFE2":
+            | name         | price property   | price type   | price decimals |
+            | price_oracle | prices.ETH.value | TYPE_INTEGER | 0              |
+
+        And the time triggers oracle spec is:
+            | name                      | initial   | every |
+            | auction_schedule          | 172713601 | 30    |
+            | auction_vol_snap_schedule | 172713600 | 30    |
+
+        And the average block duration is "1"
+
+        And the parties deposit on asset's general account the following amount:
+            | party                                                            | asset | amount |
+            | f0b40ebdc5b92cf2cf82ff5d0c3f94085d23d5ec2d37d0b929e177c6d4d37e4c | BTC   | 50000  |
+        Given time is updated to "2024-09-24T00:00:00Z"
+
+    Scenario: pap is not funded and expires nothing gets earmarked (0097-PAPU-021)
+        When the protocol automated purchase is defined as:
+            | id    | from | from account type          | to account type               | market id | price oracle | price oracle staleness tolerance | oracle offset factor | auction schedule oracle | auction volume snapshot schedule oracle | auction duration | minimum auction size | maximum auction size | expiry timestamp |
+            | 12345 | BTC  | ACCOUNT_TYPE_BUY_BACK_FEES | ACCOUNT_TYPE_NETWORK_TREASURY | BTC/ETH   | price_oracle | 10s                              | 1.01                 | auction_schedule        | auction_vol_snap_schedule               | 60s              | 100                  | 200                  | 1727136030       |
+
+        And the active pap id should be "12345" for the market "BTC/ETH"
+
+        Then the oracles broadcast data with block time signed with "0xCAFECAFE2":
+            | name             | value   | time offset |
+            | prices.ETH.value | 1000000 | -1s         |
+
+        And the network moves ahead "120" blocks
+        And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/ETH"
+        And the active pap id should be "none" for the market "BTC/ETH"
+        And the active pap order id should be "none" for the market "BTC/ETH"
+
+
+
diff --git a/core/integration/features/pap/0097-PAPU-022.feature b/core/integration/features/pap/0097-PAPU-022.feature
@@ -0,0 +1,113 @@
+Feature: Given the program currently has earmarked funds for an auction but is not yet in the auction, if a program's expiry timestamp is reached, the program will be cancelled, the earmarked funds released and no further auctions will take place. (0097-PAPU-022).
+    Background:
+        Given the log normal risk model named "log-normal-risk-model":
+            | risk aversion | tau | mu | r | sigma |
+            | 0.000001      | 0.1 | 0  | 0 | 1.0   |
+        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     |
+            | validators.epoch.length                 | 60m   |
+        And the liquidity monitoring parameters:
+            | name       | triggering ratio | time window | scaling factor |
+            | lqm-params | 1.0              | 20s         | 1              |
+        And the fees configuration named "fees-config-1":
+            | maker fee | infrastructure fee |
+            | 0.0004    | 0.001              |
+        And the price monitoring named "price-monitoring":
+            | horizon | probability | auction extension |
+            | 3600    | 0.99        | 30                |
+        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 following network parameters are set:
+            | name                           | value |
+            | limits.markets.maxPeggedOrders | 2     |
+        And the following assets are registered:
+            | id  | decimal places |
+            | ETH | 0              |
+
+        And the spot markets:
+            | id      | name    | base asset | quote asset | liquidity monitoring | risk model            | auction duration | fees          | price monitoring | sla params |
+            | BTC/ETH | BTC/ETH | BTC        | ETH         | lqm-params           | log-normal-risk-model | 2                | fees-config-1 | price-monitoring | SLA-22     |
+
+        Given the parties deposit on asset's general account the following amount:
+            | party  | asset | amount     |
+            | party1 | ETH   | 1000000000 |
+            | party2 | ETH   | 1000000000 |
+            | party3 | ETH   | 1000000000 |
+            | party1 | BTC   | 1000000000 |
+            | party3 | BTC   | 1000000000 |
+            | lpprov | ETH   | 1000000000 |
+            | lpprov | BTC   | 1000000000 |
+
+        When the parties submit the following liquidity provision:
+            | id  | party  | market id | commitment amount | fee | lp type    |
+            | lp1 | lpprov | BTC/ETH   | 937000            | 0.1 | submission |
+            | lp1 | lpprov | BTC/ETH   | 937000            | 0.1 | submission |
+        And the parties place the following pegged iceberg orders:
+            | party  | market id | peak size | minimum visible size | side | pegged reference | volume | offset |
+            | lpprov | BTC/ETH   | 2         | 1                    | buy  | MID              | 50     | 100    |
+            | lpprov | BTC/ETH   | 2         | 1                    | sell | MID              | 50     | 100    |
+
+        # place orders and generate trades - slippage 100
+        And the parties place the following orders:
+            | party  | market id | side | volume | price   | resulting trades | type       | tif     | reference |
+            | party2 | BTC/ETH   | buy  | 1      | 950000  | 0                | TYPE_LIMIT | TIF_GTC | t2-b-1    |
+            | party1 | BTC/ETH   | buy  | 1      | 1000000 | 0                | TYPE_LIMIT | TIF_GFA | t1-b-1    |
+            | party3 | BTC/ETH   | sell | 1      | 1000000 | 0                | TYPE_LIMIT | TIF_GTC | t2-s-1    |
+
+        When the opening auction period ends for market "BTC/ETH"
+
+        And the following trades should be executed:
+            | buyer  | price   | size | seller |
+            | party1 | 1000000 | 1    | party3 |
+        And the mark price should be "1000000" for the market "BTC/ETH"
+
+        And the composite price oracles from "0xCAFECAFE2":
+            | name         | price property   | price type   | price decimals |
+            | price_oracle | prices.ETH.value | TYPE_INTEGER | 0              |
+
+        And the time triggers oracle spec is:
+            | name                      | initial    | every |
+            | auction_schedule          | 1727136030 | 30    |
+            | auction_vol_snap_schedule | 1727136000 | 30    |
+
+        And the average block duration is "1"
+
+        And the parties deposit on asset's general account the following amount:
+            | party                                                            | asset | amount |
+            | f0b40ebdc5b92cf2cf82ff5d0c3f94085d23d5ec2d37d0b929e177c6d4d37e4c | BTC   | 50000  |
+        Given time is updated to "2024-09-24T00:00:00Z"
+        And the parties submit the following one off transfers:
+            | id | from                                                             | from_account_type    | to                                                               | to_account_type            | asset | amount | delivery_time        |
+            | 1  | f0b40ebdc5b92cf2cf82ff5d0c3f94085d23d5ec2d37d0b929e177c6d4d37e4c | ACCOUNT_TYPE_GENERAL | 0000000000000000000000000000000000000000000000000000000000000000 | ACCOUNT_TYPE_BUY_BACK_FEES | BTC   | 5000   | 2024-09-23T00:00:00Z |
+
+        And the buy back fees balance should be "5000" for the asset "BTC"
+
+    Scenario: pap is not funded and expires nothing gets earmarked (0097-PAPU-021)
+        When the protocol automated purchase is defined as:
+            | id    | from | from account type          | to account type               | market id | price oracle | price oracle staleness tolerance | oracle offset factor | auction schedule oracle | auction volume snapshot schedule oracle | auction duration | minimum auction size | maximum auction size | expiry timestamp |
+            | 12345 | BTC  | ACCOUNT_TYPE_BUY_BACK_FEES | ACCOUNT_TYPE_NETWORK_TREASURY | BTC/ETH   | price_oracle | 10s                              | 1.01                 | auction_schedule        | auction_vol_snap_schedule               | 60s              | 100                  | 200                  | 1727136020       |
+
+        Then the oracles broadcast data with block time signed with "0xCAFECAFE2":
+            | name             | value   | time offset |
+            | prices.ETH.value | 1000000 | -1s         |
+
+        # volume snapshot is taken
+        And the network moves ahead "5" blocks
+        Then the automated purchase program for market "BTC/ETH" should have a snapshot balance of "200"
+
+        # the auction trigger is ticked after the expiration
+        And the network moves ahead "30" blocks
+        And the trading mode should be "TRADING_MODE_CONTINUOUS" for the market "BTC/ETH"
+
+        # the program is cancelled, funds are unearmarked and the balance remained fully in the source account
+        And the buy back fees balance should be "5000" for the asset "BTC"
+        And the active pap id should be "none" for the market "BTC/ETH"
+        And the active pap order id should be "none" for the market "BTC/ETH"