feat: long block auction

CHANGELOG.md

@@ -29,6 +29,7 @@
 - [11357](https://github.com/vegaprotocol/vega/issues/11357) - Support historical game scores
 - [11023](https://github.com/vegaprotocol/vega/issues/11023) - Add proposed fees to `vAMM` data.
 - [11028](https://github.com/vegaprotocol/vega/issues/11028) - Add API to estimate order book depth based on `vAMM`.
+- [11400](https://github.com/vegaprotocol/vega/issues/11400) - Add support for long block auction.
 
 ### 🐛 Fixes
 

core/execution/common/interfaces.go

@@ -100,6 +100,7 @@ type AuctionState interface {
 	price.AuctionState
 	// are we in auction, and what auction are we in?
 	ExtendAuctionSuspension(delta types.AuctionDuration)
+	ExtendAuctionLongBlock(delta types.AuctionDuration)
 	InAuction() bool
 	IsOpeningAuction() bool
 	IsPriceAuction() bool
@@ -128,6 +129,7 @@ type AuctionState interface {
 	Changed() bool
 	UpdateMaxDuration(ctx context.Context, d time.Duration)
 	StartGovernanceSuspensionAuction(t time.Time)
+	StartLongBlockAuction(t time.Time, d int64)
 	EndGovernanceSuspensionAuction()
 }
 
@@ -361,6 +363,7 @@ type CommonMarket interface {
 	UpdateMarketState(ctx context.Context, changes *types.MarketStateUpdateConfiguration) error
 	GetFillPrice(volume uint64, side types.Side) (*num.Uint, error)
 	Mkt() *types.Market
+	EnterLongBlockAuction(ctx context.Context, duration int64)
 
 	IsOpeningAuction() bool
 

core/execution/engine.go

@@ -343,6 +343,12 @@ func (e *Engine) StartOpeningAuction(ctx context.Context, marketID string) error
 	return ErrMarketDoesNotExist
 }
 
+func (e *Engine) EnterLongBlockAuction(ctx context.Context, duration int64) {
+	for _, mkt := range e.allMarkets {
+		mkt.EnterLongBlockAuction(ctx, duration)
+	}
+}
+
 func (e *Engine) SucceedMarket(ctx context.Context, successor, parent string) error {
 	return e.succeedOrRestore(ctx, successor, parent, false)
 }
@@ -1383,10 +1389,18 @@ func (e *Engine) BlockEnd(ctx context.Context) {
 	}
 }
 
-func (e *Engine) BeginBlock(ctx context.Context) {
+func (e *Engine) BeginBlock(ctx context.Context, prevBlockDuration time.Duration) {
 	for _, mkt := range e.allMarketsCpy {
 		mkt.BeginBlock(ctx)
 	}
+	longBlockAuctionDuration := e.npv.lbadTable.GetLongBlockAuctionDurationForBlockDuration(prevBlockDuration)
+	if longBlockAuctionDuration == nil {
+		return
+	}
+	auctionDurationInSeconds := int64(longBlockAuctionDuration.Seconds())
+	for _, mkt := range e.allMarketsCpy {
+		mkt.EnterLongBlockAuction(ctx, auctionDurationInSeconds)
+	}
 }
 
 func (e *Engine) GetMarketState(mktID string) (types.MarketState, error) {

core/execution/engine_netparams.go

@@ -64,6 +64,9 @@ type netParamsValues struct {
 
 	// only used for protocol upgrade to v0.74
 	chainID uint64
+
+	// network wide auction duration
+	lbadTable *types.LongBlockAuctionDurationTable
 }
 
 func defaultNetParamsValues() netParamsValues {
@@ -273,6 +276,24 @@ func (e *Engine) OnMarketLiquidityV2ProvidersFeeCalculationTimeStep(_ context.Co
 	return nil
 }
 
+func (e *Engine) OnNetworkWideAuctionDurationUpdated(ctx context.Context, v interface{}) error {
+	if e.log.IsDebug() {
+		e.log.Debug("update network wide auction duration",
+			logging.Reflect("network-wide-auction-duration", v),
+		)
+	}
+	lbadTable, ok := v.(*vega.LongBlockAuctionDurationTable)
+	if !ok {
+		return errors.New("invalid long block auction duration table")
+	}
+	lbads, err := types.LongBlockAuctionDurationTableFromProto(lbadTable)
+	if err != nil {
+		return err
+	}
+	e.npv.lbadTable = lbads
+	return nil
+}
+
 func (e *Engine) OnMarketMarginScalingFactorsUpdate(ctx context.Context, v interface{}) error {
 	if e.log.IsDebug() {
 		e.log.Debug("update market scaling factors",

core/execution/future/market.go

@@ -1498,6 +1498,23 @@ func (m *Market) uncrossOrderAtAuctionEnd(ctx context.Context) {
 	m.uncrossOnLeaveAuction(ctx)
 }
 
+func (m *Market) EnterLongBlockAuction(ctx context.Context, duration int64) {
+	m.mkt.State = types.MarketStateSuspended
+	m.mkt.TradingMode = types.MarketTradingModelLongBlockAuction
+	if m.as.InAuction() {
+		m.as.ExtendAuctionLongBlock(types.AuctionDuration{Duration: duration})
+		evt := m.as.AuctionExtended(ctx, m.timeService.GetTimeNow())
+		if evt != nil {
+			m.broker.Send(evt)
+		}
+	} else {
+		m.as.StartLongBlockAuction(m.timeService.GetTimeNow(), duration)
+		m.tradableInstrument.Instrument.UpdateAuctionState(ctx, true)
+		m.enterAuction(ctx)
+		m.broker.Send(events.NewMarketUpdatedEvent(ctx, *m.mkt))
+	}
+}
+
 func (m *Market) UpdateMarketState(ctx context.Context, changes *types.MarketStateUpdateConfiguration) error {
 	_, blockHash := vegacontext.TraceIDFromContext(ctx)
 	// make deterministic ID for this market, concatenate

core/execution/spot/market.go

@@ -487,6 +487,22 @@ func (m *Market) uncrossOrderAtAuctionEnd(ctx context.Context) {
 	m.uncrossOnLeaveAuction(ctx)
 }
 
+func (m *Market) EnterLongBlockAuction(ctx context.Context, duration int64) {
+	m.mkt.State = types.MarketStateSuspended
+	m.mkt.TradingMode = types.MarketTradingModelLongBlockAuction
+	if m.as.InAuction() {
+		m.as.ExtendAuctionLongBlock(types.AuctionDuration{Duration: duration})
+		evt := m.as.AuctionExtended(ctx, m.timeService.GetTimeNow())
+		if evt != nil {
+			m.broker.Send(evt)
+		}
+	} else {
+		m.as.StartLongBlockAuction(m.timeService.GetTimeNow(), duration)
+		m.enterAuction(ctx)
+		m.broker.Send(events.NewMarketUpdatedEvent(ctx, *m.mkt))
+	}
+}
+
 func (m *Market) UpdateMarketState(ctx context.Context, changes *types.MarketStateUpdateConfiguration) error {
 	_, blockHash := vegacontext.TraceIDFromContext(ctx)
 	// make deterministic ID for this market, concatenate

core/integration/stubs/time_stub.go

@@ -43,6 +43,13 @@ func (t *TimeStub) SetTimeNow(_ context.Context, newNow time.Time) {
 	t.SetTime(newNow)
 }
 
+func (t *TimeStub) SetPrevTime(newNow time.Time) {
+}
+
+func (t *TimeStub) GetTimeLastBatch() time.Time {
+	return time.Time{}
+}
+
 func (t *TimeStub) SetTime(newNow time.Time) {
 	t.now = newNow
 	ctx := vegacontext.WithTraceID(context.Background(), vgcrypto.RandomHash())

core/monitor/auction.go

@@ -105,6 +105,15 @@ func (a *AuctionState) StartPriceAuction(t time.Time, d *types.AuctionDuration)
 	a.end = d
 }
 
+func (a *AuctionState) StartLongBlockAuction(t time.Time, d int64) {
+	a.mode = types.MarketTradingModelLongBlockAuction
+	a.trigger = types.AuctionTriggerLongBlock
+	a.start = true
+	a.stop = false
+	a.begin = &t
+	a.end = &types.AuctionDuration{Duration: d}
+}
+
 func (a *AuctionState) StartGovernanceSuspensionAuction(t time.Time) {
 	a.mode = types.MarketTradingModeSuspendedViaGovernance
 	a.trigger = types.AuctionTriggerGovernanceSuspension
@@ -156,6 +165,14 @@ func (a *AuctionState) ExtendAuctionPrice(delta types.AuctionDuration) {
 	a.ExtendAuction(delta)
 }
 
+func (a *AuctionState) ExtendAuctionLongBlock(delta types.AuctionDuration) {
+	t := types.AuctionTriggerLongBlock
+	if a.trigger != t {
+		a.extension = &t
+	}
+	a.ExtendAuction(delta)
+}
+
 func (a *AuctionState) ExtendAuctionSuspension(delta types.AuctionDuration) {
 	t := types.AuctionTriggerGovernanceSuspension
 	a.extension = &t

core/netparams/checks/checks.go

@@ -44,6 +44,37 @@ func SpamPoWHashFunction(supportedFunctions []string) func(string) error {
 	}
 }
 
+func LongBlockAuctionDurationTable() func(interface{}, interface{}) error {
+	return func(v interface{}, _ interface{}) error {
+		lbadTable, ok := v.(*types.LongBlockAuctionDurationTable)
+		if !ok {
+			return fmt.Errorf("invalid long block auction duration table")
+		}
+		seenThresholds := map[string]struct{}{}
+		for i, tad := range lbadTable.ThresholdAndDuration {
+			thr, err := time.ParseDuration(tad.Threshold)
+			if err != nil {
+				return fmt.Errorf("invalid long block auction duration table - threshold at index %d is not a valid duration", i)
+			}
+			if thr.Nanoseconds() <= 0 {
+				return fmt.Errorf("invalid long block auction duration table - threshold at index %d is not a positive duration", i)
+			}
+			dur, err := time.ParseDuration(tad.Duration)
+			if err != nil {
+				return fmt.Errorf("invalid long block auction duration table - duration at index %d is not a valid duration", i)
+			}
+			if dur.Nanoseconds() <= 0 {
+				return fmt.Errorf("invalid long block auction duration table - duration at index %d is not a positive duration", i)
+			}
+			if _, ok := seenThresholds[tad.Threshold]; ok {
+				return fmt.Errorf("invalid long block auction duration table - duplicate threshold")
+			}
+			seenThresholds[tad.Threshold] = struct{}{}
+		}
+		return nil
+	}
+}
+
 func MarginScalingFactor() func(interface{}, interface{}) error {
 	return func(v interface{}, _ interface{}) error {
 		sf := v.(*types.ScalingFactors)

core/netparams/checks/checks_test.go

@@ -0,0 +1,91 @@
+// Copyright (C) 2023 Gobalsky Labs Limited
+//
+// This program is free software: you can redistribute it and/or modify
+// it under the terms of the GNU Affero General Public License as
+// published by the Free Software Foundation, either version 3 of the
+// License, or (at your option) any later version.
+//
+// This program is distributed in the hope that it will be useful,
+// but WITHOUT ANY WARRANTY; without even the implied warranty of
+// MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+// GNU Affero General Public License for more details.
+//
+// You should have received a copy of the GNU Affero General Public License
+// along with this program.  If not, see <http://www.gnu.org/licenses/>.
+
+package checks_test
+
+import (
+	"testing"
+
+	"code.vegaprotocol.io/vega/core/netparams/checks"
+	types "code.vegaprotocol.io/vega/protos/vega"
+
+	"github.com/stretchr/testify/require"
+)
+
+func TestLongBlockChecks(t *testing.T) {
+	// wrong type - error
+	type Junk struct{}
+	require.Equal(t, "invalid long block auction duration table", checks.LongBlockAuctionDurationTable()(&Junk{}, &Junk{}).Error())
+
+	// empty - is fine
+	table := &types.LongBlockAuctionDurationTable{}
+	require.NoError(t, checks.LongBlockAuctionDurationTable()(table, nil))
+
+	// invalid threshold at index 0 - error
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "banana", Duration: "1s"}}
+	require.Equal(t, "invalid long block auction duration table - threshold at index 0 is not a valid duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "-1", Duration: "1s"}}
+	require.Equal(t, "invalid long block auction duration table - threshold at index 0 is not a valid duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "-1s", Duration: "1s"}}
+	require.Equal(t, "invalid long block auction duration table - threshold at index 0 is not a positive duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "0s", Duration: "1s"}}
+	require.Equal(t, "invalid long block auction duration table - threshold at index 0 is not a positive duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	// invalid duration a index 0 - error
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "banana"}}
+	require.Equal(t, "invalid long block auction duration table - duration at index 0 is not a valid duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "-1"}}
+	require.Equal(t, "invalid long block auction duration table - duration at index 0 is not a valid duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "-1s"}}
+	require.Equal(t, "invalid long block auction duration table - duration at index 0 is not a positive duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "0s"}}
+	require.Equal(t, "invalid long block auction duration table - duration at index 0 is not a positive duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	// invalid threshold at index 1 - error
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "1s"}, {Threshold: "banana", Duration: "1s"}}
+	require.Equal(t, "invalid long block auction duration table - threshold at index 1 is not a valid duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "1s"}, {Threshold: "-1", Duration: "1s"}}
+	require.Equal(t, "invalid long block auction duration table - threshold at index 1 is not a valid duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "1s"}, {Threshold: "-1s", Duration: "1s"}}
+	require.Equal(t, "invalid long block auction duration table - threshold at index 1 is not a positive duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "1s"}, {Threshold: "0s", Duration: "1s"}}
+	require.Equal(t, "invalid long block auction duration table - threshold at index 1 is not a positive duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	// invalid duration a index 1 - error
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "1s"}, {Threshold: "1s", Duration: "banana"}}
+	require.Equal(t, "invalid long block auction duration table - duration at index 1 is not a valid duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "1s"}, {Threshold: "1s", Duration: "-1"}}
+	require.Equal(t, "invalid long block auction duration table - duration at index 1 is not a valid duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "1s"}, {Threshold: "1s", Duration: "-1s"}}
+	require.Equal(t, "invalid long block auction duration table - duration at index 1 is not a positive duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "1s"}, {Threshold: "1s", Duration: "0s"}}
+	require.Equal(t, "invalid long block auction duration table - duration at index 1 is not a positive duration", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+
+	// duplicate threshold - error
+	table.ThresholdAndDuration = []*types.LongBlockAuction{{Threshold: "1s", Duration: "1s"}, {Threshold: "1s", Duration: "100s"}}
+	require.Equal(t, "invalid long block auction duration table - duplicate threshold", checks.LongBlockAuctionDurationTable()(table, nil).Error())
+}

core/netparams/defaults.go

@@ -67,6 +67,7 @@ var (
 
 func defaultNetParams() map[string]value {
 	m := map[string]value{
+		NetworkWideAuctionDuration:    NewJSON(&proto.LongBlockAuctionDurationTable{}, checks.LongBlockAuctionDurationTable()).Mutable(true).MustUpdate(`{"threshold_and_duration": [{"threshold":"30s","duration":"1m"},{"threshold":"40s","duration":"10m"},{"threshold":"2m","duration":"1h"}]}`),
 		MinimalMarginQuantumMultiple:  NewDecimal(gteD0).Mutable(true).MustUpdate("0"),
 		MinimalHoldingQuantumMultiple: NewDecimal(gteD0).Mutable(true).MustUpdate("0"),
 

core/netparams/keys.go

@@ -21,6 +21,8 @@ const (
 	AMMMarketTradingEnabled   = "limits.markets.ammPoolEnabled"
 	EthereumOraclesEnabled    = "ethereum.oracles.enabled"
 
+	NetworkWideAuctionDuration = "network.wide.auctionDuration"
+
 	MarketMarginScalingFactors        = "market.margin.scalingFactors"
 	MarketFeeFactorsMakerFee          = "market.fee.factors.makerFee"
 	MarketFeeFactorsInfrastructureFee = "market.fee.factors.infrastructureFee"
@@ -282,6 +284,7 @@ var Deprecated = map[string]struct{}{
 }
 
 var AllKeys = map[string]struct{}{
+	NetworkWideAuctionDuration:                                   {},
 	RewardsUpdateFrequency:                                       {},
 	SpamProtectionMaxUpdatePartyProfile:                          {},
 	SpamProtectionUpdateProfileMinFunds:                          {},

core/processor/abci.go

@@ -1342,7 +1342,8 @@ func (app *App) OnBeginBlock(blockHeight uint64, blockHash string, blockTime tim
 	app.protocolUpgradeService.BeginBlock(ctx, blockHeight)
 	app.top.BeginBlock(ctx, blockHeight, proposer)
 	app.balanceChecker.BeginBlock(ctx)
-	app.exec.BeginBlock(ctx)
+	blockDuration := app.currentTimestamp.Sub(app.previousTimestamp)
+	app.exec.BeginBlock(ctx, blockDuration)
 	return ctx
 }