feat: Adding default mark price config (#590)

* feat: Adding default mark price config

.env

@@ -1,4 +1,4 @@
-VEGA_SIM_VEGA_TAG=097fd8aaa4fbf08eec5bbf038fac6d707aafc999
+VEGA_SIM_VEGA_TAG=8c0829f925fc4b39f3e2f84fbe068f501df4d729
 VEGA_SIM_CONSOLE_TAG=develop
 VEGA_DEFAULT_KEY_NAME='Key 1'
 VEGA_SIM_NETWORKS_INTERNAL_TAG=main

Jenkinsfile

@@ -14,7 +14,7 @@ pipeline {
         disableConcurrentBuilds(abortPrevious: true)
     }
     parameters {
-        string( name: 'VEGA_VERSION', defaultValue: '097fd8aaa4fbf08eec5bbf038fac6d707aafc999',
+        string( name: 'VEGA_VERSION', defaultValue: '8c0829f925fc4b39f3e2f84fbe068f501df4d729',
                 description: 'Git branch, tag or hash of the vegaprotocol/vega repository')
         string( name: 'VEGACAPSULE_VERSION', defaultValue: 'main',
                 description: 'Git branch, tag or hash of the vegaprotocol/vegacapsule repository')

tests/vega_sim/api/test_data.py

@@ -1363,6 +1363,7 @@ def ListStopOrders(self, request, context):
         market_position_decimals_map={"market_id": 2},
     )
 
+    expected_expiry = datetime.datetime.fromtimestamp(1672531200)
     assert stop_orders == [
         StopOrderEvent(
             submission=OrderSubmission(
@@ -1387,12 +1388,12 @@ def ListStopOrders(self, request, context):
             stop_order=StopOrder(
                 id="id",
                 oco_link_id="oco_link_id",
-                expires_at=datetime.datetime(2023, 1, 1, 0, 0),
+                expires_at=expected_expiry,
                 expiry_strategy=vega_protos.vega.StopOrder.EXPIRY_STRATEGY_CANCELS,
                 trigger_direction=vega_protos.vega.StopOrder.TRIGGER_DIRECTION_RISES_ABOVE,
                 status=vega_protos.vega.StopOrder.STATUS_PENDING,
-                created_at=datetime.datetime(2023, 1, 1, 0, 0),
-                updated_at=datetime.datetime(2023, 1, 1, 0, 0),
+                created_at=expected_expiry,
+                updated_at=expected_expiry,
                 order_id="order_id",
                 party_id="party_id",
                 market_id="market_id",

vega_sim/api/governance.py

@@ -224,6 +224,9 @@ def __propose_market(
                 full_disposal_size=1000000000,
                 max_fraction_consumed="0.5",
             ),
+            mark_price_configuration=vega_protos.markets.CompositePriceConfiguration(
+                composite_price_type=vega_protos.markets.COMPOSITE_PRICE_TYPE_LAST_TRADE,
+            ),
         ),
     )
     if parent_market_id is not None:

vega_sim/api/market.py

@@ -128,6 +128,7 @@ class MarketConfig(Config):
             "successor": None,
             "liquidity_sla_parameters": "default",
             "liquidation_strategy": "default",
+            "mark_price_configuration": "default",
         },
         "perpetual": {
             "decimal_places": 4,
@@ -142,6 +143,7 @@ class MarketConfig(Config):
             "successor": None,
             "liquidity_sla_parameters": "default",
             "liquidation_strategy": "default",
+            "mark_price_configuration": "default",
         },
     }
 
@@ -174,6 +176,9 @@ def load(self, opt: Optional[str] = None):
         self.liquidation_strategy = LiquidationStrategy(
             opt=config["liquidation_strategy"]
         )
+        self.mark_price_configuration = MarkPriceConfiguration(
+            opt=config["mark_price_configuration"]
+        )
 
     def build(self):
         new_market = vega_protos.governance.NewMarket(
@@ -189,6 +194,7 @@ def build(self):
                 linear_slippage_factor=self.linear_slippage_factor,
                 quadratic_slippage_factor=self.quadratic_slippage_factor,
                 liquidation_strategy=self.liquidation_strategy.build(),
+                mark_price_configuration=self.mark_price_configuration.build(),
             )
         )
         if self.successor is not None:
@@ -390,6 +396,53 @@ def build(self):
         )
 
 
+class MarkPriceConfiguration(Config):
+    OPTS = {
+        "default": {
+            "decay_weight": None,
+            "composite_price_type": vega_protos.markets.COMPOSITE_PRICE_TYPE_LAST_TRADE,
+            "source_staleness_tolerance": None,
+            "decay_power": None,
+            "cash_amount": None,
+            "source_weights": None,
+        }
+    }
+
+    def load(self, opt: Optional[str] = None):
+        config = super().load(opt=opt)
+
+        self.decay_weight = (
+            str(config["decay_weight"]) if config["decay_weight"] is not None else None
+        )
+        self.composite_price_type = config["composite_price_type"]
+        self.source_staleness_tolerance = config["source_staleness_tolerance"]
+        self.decay_power = config["decay_power"]
+        self.cash_amount = (
+            str(config["cash_amount"]) if config["cash_amount"] is not None else None
+        )
+        self.source_weights = (
+            [str(w) for w in config["source_weights"]]
+            if config["source_weights"] is not None
+            else None
+        )
+
+    def build(self):
+        price_config = vega_protos.markets.CompositePriceConfiguration(
+            composite_price_type=self.composite_price_type,
+        )
+        if self.source_weights is not None:
+            price_config.source_weights = self.source_weights
+        if self.cash_amount is not None:
+            price_config.cash_amount = self.cash_amount
+        if self.decay_power is not None:
+            price_config.decay_power = self.decay_power
+        if self.source_staleness_tolerance is not None:
+            price_config.source_staleness_tolerance = self.source_staleness_tolerance
+        if self.decay_weight is not None:
+            price_config.decay_weight = self.decay_weight
+        return price_config
+
+
 class LiquidationStrategy(Config):
     OPTS = {
         "default": {

vega_sim/proto/vega/data_source_pb2.pyi

@@ -27,6 +27,12 @@ class DataSourceDefinition(_message.Message):
         external: _Optional[_Union[DataSourceDefinitionExternal, _Mapping]] = ...,
     ) -> None: ...
 
+class SpecBindingForCompositePrice(_message.Message):
+    __slots__ = ("price_source_property",)
+    PRICE_SOURCE_PROPERTY_FIELD_NUMBER: _ClassVar[int]
+    price_source_property: str
+    def __init__(self, price_source_property: _Optional[str] = ...) -> None: ...
+
 class DataSourceSpecConfigurationTime(_message.Message):
     __slots__ = ("conditions",)
     CONDITIONS_FIELD_NUMBER: _ClassVar[int]