Merge pull request #11475 from vegaprotocol/release/v0.77.1

Release/v0.77.1
vegaprotocol · Jul 18, 2024 · a5d58f3 · a5d58f3
2 parents a72ff4b + 3112aa0
commit a5d58f3
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diff --git a/.spelling b/.spelling
@@ -25,6 +25,7 @@ clef
 codegen
 collateralised
 cometbft
+CometBFT
 config
 cyclomatic
 dApp

diff --git a/CHANGELOG.md b/CHANGELOG.md
@@ -19,6 +19,18 @@
 - [](https://github.com/vegaprotocol/vega/issues/xxx)
 
 
+## 0.77.1
+
+### 🛠 Improvements
+
+- [11466](https://github.com/vegaprotocol/vega/issues/11466) - Update CometBFT to version `0.38.10`.
+
+### 🐛 Fixes
+
+- [11453](https://github.com/vegaprotocol/vega/issues/11453) - Fix margin for fully collateralised markets.
+- [11462](https://github.com/vegaprotocol/vega/issues/11462) - Update the time weighted notional when publishing live game scores.
+
+
 ## 0.77.0
 
 ### 🛠 Improvements
@@ -72,7 +84,6 @@
 - [11457](https://github.com/vegaprotocol/vega/issues/11457) - Fix cursor column ordering for game scores.
 - [11454](https://github.com/vegaprotocol/vega/issues/11454) - Ensure ended transfers proper handling.
 
-
 ## 0.76.1
 
 ### 🐛 Fixes

diff --git a/core/execution/common/market_activity_tracker.go b/core/execution/common/market_activity_tracker.go
@@ -1186,8 +1186,11 @@ func (mat *MarketActivityTracker) getTWNotionalPosition(asset, party string, mar
 
 	for _, mkt := range mkts {
 		if tracker, ok := mat.getMarketTracker(asset, mkt); ok {
-			if twNotional, ok := tracker.twNotional[party]; ok {
-				total.AddSum(twNotional.currentEpochTWNotional)
+			if len(tracker.epochTimeWeightedNotional) <= 0 {
+				continue
+			}
+			if twNotional, ok := tracker.epochTimeWeightedNotional[len(tracker.epochTimeWeightedNotional)-1][party]; ok {
+				total.AddSum(twNotional)
 			}
 		}
 	}

diff --git a/core/execution/common/market_activity_tracker_internal_test.go b/core/execution/common/market_activity_tracker_internal_test.go
@@ -321,6 +321,7 @@ func TestAverageNotional(t *testing.T) {
 	// (( 116 * 5000000 ) + ( 600 * 5000000 )) / 10000000 = 358
 	tracker.processNotionalEndOfEpoch(time.Unix(0, 0), time.Unix(60, 0))
 	require.Equal(t, "358", tracker.twNotional["p1"].currentEpochTWNotional.String())
+	require.Equal(t, "358", tracker.epochTimeWeightedNotional[len(tracker.epochTimeWeightedNotional)-1]["p1"].String())
 
 	// epoch 2
 	// (( 358 * 0 ) + ( 600 * 10000000 )) / 10000000 = 600
@@ -330,12 +331,14 @@ func TestAverageNotional(t *testing.T) {
 	// (( 600 * 5000000 ) + ( 300 * 5000000 )) / 10000000 = 450
 	tracker.processNotionalEndOfEpoch(time.Unix(60, 0), time.Unix(120, 0))
 	require.Equal(t, "450", tracker.twNotional["p1"].currentEpochTWNotional.String())
+	require.Equal(t, "450", tracker.epochTimeWeightedNotional[len(tracker.epochTimeWeightedNotional)-1]["p1"].String())
 
 	// epoch 3
 	// no position changes over the epoch
 	// (( 450 * 0 ) + ( 300 * 10000000 )) / 10000000 = 300
 	tracker.processNotionalEndOfEpoch(time.Unix(120, 0), time.Unix(180, 0))
 	require.Equal(t, "300", tracker.twNotional["p1"].currentEpochTWNotional.String())
+	require.Equal(t, "300", tracker.epochTimeWeightedNotional[len(tracker.epochTimeWeightedNotional)-1]["p1"].String())
 }
 
 func TestCalculateMetricForIndividualsAvePosition(t *testing.T) {

diff --git a/core/integration/features/capped-futures/0016-PFUT-020-ignore.feature b/core/integration/features/capped-futures/0016-PFUT-020-ignore.feature
@@ -49,7 +49,7 @@ Feature: When binary settlement is enabled, the market ignored oracle data that
       | ETH/DEC22 | ETH        | USD   | simple-risk-model-1    | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | ethDec22Oracle         | 0.25                   | 0                         | default-futures | 1500          | false                | true   |
       | ETH/DEC23 | ETH        | USD   | lognormal-risk-model-1 | default-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | default-eth-for-future | 0.25                   | 0                         | default-futures | 1500          | true                 | true   |
 
-  @NoPerp @Capped @CBin
+  @NoPerp @Capped @CBin @CappedBug
   Scenario: 0016-PFUT-020: Pass in settlement prices that are neither 0 nor max price, then settle at valid prices.
     Given the initial insurance pool balance is "10000" for all the markets
     And the parties deposit on asset's general account the following amount:
@@ -157,16 +157,16 @@ Feature: When binary settlement is enabled, the market ignored oracle data that
     And the market state should be "STATE_TRADING_TERMINATED" for the market "ETH/DEC22"
     And the parties should have the following account balances:
       | party  | asset | market id | margin | general |
-      | party1 | USD   | ETH/DEC21 | 5000   | 5500    |
-      | party2 | USD   | ETH/DEC21 | 2500   | 7000    |
+      | party1 | USD   | ETH/DEC21 | 5500   | 5000    |
+      | party2 | USD   | ETH/DEC21 | 2000   | 7500    |
       | party3 | USD   | ETH/DEC22 | 3200   | 7300    |
       | party4 | USD   | ETH/DEC22 | 2310   | 7190    |
       | aux1   | USD   | ETH/DEC21 | 3098   | 96908   |
       | aux2   | USD   | ETH/DEC21 | 402    | 99570   |
       | aux5   | USD   | ETH/DEC22 | 1122   | 98884   |
       | aux6   | USD   | ETH/DEC22 | 726    | 99246   |
-      | party5 | USD   | ETH/DEC23 | 5000   | 5500    |
-      | party6 | USD   | ETH/DEC23 | 2500   | 7000    |
+      | party5 | USD   | ETH/DEC23 | 5500   | 5000    |
+      | party6 | USD   | ETH/DEC23 | 2000   | 7500    |
       | aux3   | USD   | ETH/DEC23 | 3098   | 96908   |
       | aux4   | USD   | ETH/DEC23 | 402    | 99570   |
 

diff --git a/core/integration/features/capped-futures/0016-PFUT-021.feature b/core/integration/features/capped-futures/0016-PFUT-021.feature
@@ -35,7 +35,7 @@ Feature: When `max_price` is specified and the market is ran in a fully-collater
       | id        | quote name | asset | risk model             | margin calculator                | auction duration | fees          | price monitoring   | data source config | linear slippage factor | quadratic slippage factor | sla params      | max price cap | fully collateralised | binary |
       | ETH/DEC21 | ETH        | USD   | lognormal-risk-model-1 | default-capped-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | ethDec21Oracle     | 0.25                   | 0                         | default-futures | 1500          | true                 | false  |
 
-  @SLABug @NoPerp @Capped @CMargin
+  @SLABug @NoPerp @Capped @CMargin @CappedBug
   Scenario: 0016-PFUT-021: parties with open positions settling it at a price of `max_price`
     Given the initial insurance pool balance is "10000" for all the markets
     And the parties deposit on asset's general account the following amount:
@@ -97,8 +97,8 @@ Feature: When `max_price` is specified and the market is ran in a fully-collater
     # aux2's short position and potential margins are calculated separately as 2 * (1500-1301) + 1 * (1500 - 1100) = 398 + 400 = 798
     And the parties should have the following account balances:
       | party  | asset | market id | margin | general |
-      | party1 | USD   | ETH/DEC21 | 5000   | 5500    |
-      | party2 | USD   | ETH/DEC21 | 2500   | 7000    |
+      | party1 | USD   | ETH/DEC21 | 5500   | 5000    |
+      | party2 | USD   | ETH/DEC21 | 2000   | 7500    |
       | aux1   | USD   | ETH/DEC21 | 3098   | 96908   |
       | aux2   | USD   | ETH/DEC21 | 402    | 99570   |
     # The market is fully collateralised, switching to isolated margin is not supported
@@ -126,18 +126,18 @@ Feature: When `max_price` is specified and the market is ran in a fully-collater
     # aux2: short position of size 2, traded price at 1500, then margin: postion size * (max price - average entry price) = 3*(1100+1500*2)/3
     And the parties should have the following account balances:
       | party  | asset | market id | margin | general |
-      | party1 | USD   | ETH/DEC21 | 5000   | 7495    |
-      | party2 | USD   | ETH/DEC21 | 2500   | 5005    |
-      | aux1   | USD   | ETH/DEC21 | 3098   | 97307   |
-      | aux2   | USD   | ETH/DEC21 | 402    | 99186   |
+      | party1 | USD   | ETH/DEC21 | 7495   | 5000    |
+      | party2 | USD   | ETH/DEC21 | 5      | 7500    |
+      | aux1   | USD   | ETH/DEC21 | 3497   | 96908   |
+      | aux2   | USD   | ETH/DEC21 | 3      | 99585   |
       | aux3   | USD   | ETH/DEC21 | 2998   | 96927   |
 
     And the parties should have the following margin levels:
       | party  | market id | maintenance | search | initial | release | margin mode  |
-      | party1 | ETH/DEC21 | 5000        | 5000   | 5000    | 5000    | cross margin |
-      | party2 | ETH/DEC21 | 2500        | 2500   | 2500    | 2500    | cross margin |
-      | aux2   | ETH/DEC21 | 402         | 402    | 402     | 402     | cross margin |
-      | aux1   | ETH/DEC21 | 3098        | 3098   | 3098    | 3098    | cross margin |
+      | party1 | ETH/DEC21 | 7495        | 7495   | 7495    | 7495    | cross margin |
+      | party2 | ETH/DEC21 | 5           | 5      | 5       | 5       | cross margin |
+      | aux2   | ETH/DEC21 | 3           | 3      | 3       | 3       | cross margin |
+      | aux1   | ETH/DEC21 | 3497        | 3497   | 3497    | 3497    | cross margin |
 
     #0016-PFUT-024: trade at max_price, no closeout for parties with short position
     When the parties place the following orders:
@@ -148,10 +148,10 @@ Feature: When `max_price` is specified and the market is ran in a fully-collater
     And the network moves ahead "2" blocks
 
     # aux5: short position of size 2, traded price at 1500, then margin: postion size * (max price - average entry price) = 0
-    And the parties should have the following account balances:
+    Then the parties should have the following account balances:
       | party | asset | market id | margin | general |
-      | aux1  | USD   | ETH/DEC21 | 3098   | 97307   |
-      | aux2  | USD   | ETH/DEC21 | 402    | 99186   |
+      | aux1  | USD   | ETH/DEC21 | 3497   | 96908   |
+      | aux2  | USD   | ETH/DEC21 | 3      | 99585   |
       | aux4  | USD   | ETH/DEC21 | 2998   | 97017   |
       | aux5  | USD   | ETH/DEC21 | 2      | 99923   |
 

diff --git a/core/integration/features/capped-futures/0016-PFUT-022-max.feature b/core/integration/features/capped-futures/0016-PFUT-022-max.feature
@@ -35,7 +35,7 @@ Feature: When max_price is specified and the market is ran in a fully-collateral
       | id        | quote name | asset | risk model             | margin calculator                | auction duration | fees          | price monitoring   | data source config | linear slippage factor | quadratic slippage factor | sla params      | max price cap | fully collateralised | binary |
       | ETH/DEC21 | ETH        | USD   | lognormal-risk-model-1 | default-capped-margin-calculator | 1                | fees-config-1 | price-monitoring-1 | ethDec21Oracle     | 0.25                   | 0                         | default-futures | 1500          | true                 | false  |
 
-  @NoPerp @Capped @CSettle
+  @NoPerp @Capped @CSettle @CappedBug
   Scenario: 0016-PFUT-022: Same as the settlement at price 0 test, only with a settlement at max price.
     Given the initial insurance pool balance is "10000" for all the markets
     And the parties deposit on asset's general account the following amount:
@@ -97,8 +97,8 @@ Feature: When max_price is specified and the market is ran in a fully-collateral
     # aux2's short position and potential margins are calculated separately as 2 * (1500-1301) + 1 * (1500 - 1100) = 398 + 400 = 798
     And the parties should have the following account balances:
       | party  | asset | market id | margin | general |
-      | party1 | USD   | ETH/DEC21 | 5000   | 5500    |
-      | party2 | USD   | ETH/DEC21 | 2500   | 7000    |
+      | party1 | USD   | ETH/DEC21 | 5500   | 5000    |
+      | party2 | USD   | ETH/DEC21 | 2000   | 7500    |
       | aux1   | USD   | ETH/DEC21 | 3098   | 96908   |
       | aux2   | USD   | ETH/DEC21 | 402    | 99570   |
     # The market is fully collateralised, switching to isolated margin is not supported
@@ -126,18 +126,18 @@ Feature: When max_price is specified and the market is ran in a fully-collateral
     # aux2: short position of size 2, traded price at 1500, then margin: postion size * (max price - average entry price) = 3*(1100+1500*2)/3
     And the parties should have the following account balances:
       | party  | asset | market id | margin | general |
-      | party1 | USD   | ETH/DEC21 | 5000   | 7495    |
-      | party2 | USD   | ETH/DEC21 | 2500   | 5005    |
-      | aux1   | USD   | ETH/DEC21 | 3098   | 97307   |
-      | aux2   | USD   | ETH/DEC21 | 402    | 99186   |
+      | party1 | USD   | ETH/DEC21 | 7495   | 5000    |
+      | party2 | USD   | ETH/DEC21 | 5      | 7500    |
+      | aux1   | USD   | ETH/DEC21 | 3497   | 96908   |
+      | aux2   | USD   | ETH/DEC21 | 3      | 99585   |
       | aux3   | USD   | ETH/DEC21 | 2998   | 96927   |
 
     And the parties should have the following margin levels:
       | party  | market id | maintenance | search | initial | release | margin mode  |
-      | party1 | ETH/DEC21 | 5000        | 5000   | 5000    | 5000    | cross margin |
-      | party2 | ETH/DEC21 | 2500        | 2500   | 2500    | 2500    | cross margin |
-      | aux2   | ETH/DEC21 | 402         | 402    | 402     | 402     | cross margin |
-      | aux1   | ETH/DEC21 | 3098        | 3098   | 3098    | 3098    | cross margin |
+      | party1 | ETH/DEC21 | 7495        | 7495   | 7495    | 7495    | cross margin |
+      | party2 | ETH/DEC21 | 5           | 5      | 5       | 5       | cross margin |
+      | aux2   | ETH/DEC21 | 3           | 3      | 3       | 3       | cross margin |
+      | aux1   | ETH/DEC21 | 3497        | 3497   | 3497    | 3497    | cross margin |
     #trade at max_price
     When the parties place the following orders:
       | party | market id | side | volume | price | resulting trades | type       | tif     | reference |
@@ -178,12 +178,12 @@ Feature: When max_price is specified and the market is ran in a fully-collateral
       | market   | aux3     | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC21 | 2      | USD   | TRANSFER_TYPE_WIN           |
       | market   | aux4     | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC21 | 2      | USD   | TRANSFER_TYPE_WIN           |
       | market   | party1   | ACCOUNT_TYPE_SETTLEMENT | ACCOUNT_TYPE_MARGIN     | ETH/DEC21 | 5      | USD   | TRANSFER_TYPE_WIN           |
-      | aux1     | aux1     | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC21 | 3099   | USD   | TRANSFER_TYPE_CLEAR_ACCOUNT |
-      | aux2     | aux2     | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC21 | 399    | USD   | TRANSFER_TYPE_CLEAR_ACCOUNT |
+      | aux1     | aux1     | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC21 | 3498   | USD   | TRANSFER_TYPE_CLEAR_ACCOUNT |
+      | aux2     | aux2     | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC21 | 0      | USD   | TRANSFER_TYPE_CLEAR_ACCOUNT |
       | aux3     | aux3     | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC21 | 3000   | USD   | TRANSFER_TYPE_CLEAR_ACCOUNT |
       | aux4     | aux4     | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC21 | 3000   | USD   | TRANSFER_TYPE_CLEAR_ACCOUNT |
       | aux5     | aux5     | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC21 | 0      | USD   | TRANSFER_TYPE_CLEAR_ACCOUNT |
-      | party1   | party1   | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC21 | 5005   | USD   | TRANSFER_TYPE_CLEAR_ACCOUNT |
+      | party1   | party1   | ACCOUNT_TYPE_MARGIN     | ACCOUNT_TYPE_GENERAL    | ETH/DEC21 | 7500   | USD   | TRANSFER_TYPE_CLEAR_ACCOUNT |
       | party-lp | party-lp | ACCOUNT_TYPE_BOND       | ACCOUNT_TYPE_GENERAL    | ETH/DEC21 | 30000  | USD   | TRANSFER_TYPE_CLEAR_ACCOUNT |
     And the parties should have the following account balances:
       | party  | asset | market id | margin | general |