feat: converted market data

* fix: correct tags in make file * feat: add market data handler * feat: rename market data methods * feat: migrate methods from data to service * feat: update state extraction * fix: make run black * fix: correct decimal mapping * feat: update market_data uses * fix: run make black * feat: add mark_price too snitch * fix: liquidity fee shares * feat: Fix up when loading new market data too fast * fix: run make black * feat: Fix up handling when market_id is None --------- Co-authored-by: Tom McLean <[email protected]>
vegaprotocol · Mar 17, 2023 · a8d6941 · a8d6941
1 parent b588f91
commit a8d6941
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Showing 17 changed files with 444 additions and 318 deletions.
diff --git a/Makefile b/Makefile
@@ -52,8 +52,8 @@ pull_deps_networks:
 	@echo "Downloading Git dependencies into " ${EXTERN_DIR}
 	@echo "Downloading Vega networks-internal"
 	@if [ ! -d ./extern/networks-internal ]; then mkdir ./extern/networks-internal; git clone https://github.com/vegaprotocol/networks-internal ${EXTERN_DIR}/networks-internal; fi
-ifneq (${VEGA_SIM_NETWORKS_TAG},develop)
-	@git -C ${EXTERN_DIR}/networks-internal pull; git -C ${EXTERN_DIR}/networks-internal checkout ${VEGA_SIM_NETWORKS_TAG}
+ifneq (${VEGA_SIM_NETWORKS_INTERNAL_TAG},develop)
+	@git -C ${EXTERN_DIR}/networks-internal pull; git -C ${EXTERN_DIR}/networks-internal checkout ${VEGA_SIM_NETWORKS_INTERNAL_TAG}
 else
 	@git -C ${EXTERN_DIR}/networks-internal checkout develop; git -C ${EXTERN_DIR}/networks-internal pull
 endif

diff --git a/examples/notebooks/feature_tests/0002-STTL-008.ipynb b/examples/notebooks/feature_tests/0002-STTL-008.ipynb
@@ -243,7 +243,7 @@
     "    print(general+margin+bond - mint_amount[wallet.name])\n",
     "    print(vega.order_status(order_id=buy_order_id))\n",
     "\n",
-    "print(vega.market_data(market_id=market_id))"
+    "print(vega.get_latest_market_data(market_id=market_id))"
    ]
   },
   {
@@ -306,7 +306,7 @@
     "# Check order status/ market state after amend\n",
     "print(vega.order_status(order_id=buy_order_id))\n",
     "\n",
-    "print(vega.market_data(market_id=market_id))"
+    "print(vega.get_latest_market_data(market_id=market_id))"
    ]
   }
  ],

diff --git a/examples/notebooks/feature_tests/0004-AMND-010.ipynb b/examples/notebooks/feature_tests/0004-AMND-010.ipynb
@@ -151,7 +151,7 @@
     "# Check order status/ market state\n",
     "print(vega.order_status(order_id=buy_order_id))\n",
     "\n",
-    "print(vega.market_data(market_id=market_id))"
+    "print(vega.get_latest_market_data(market_id=market_id))"
    ]
   },
   {
@@ -180,7 +180,7 @@
     "# Check order status/ market state after amend\n",
     "print(vega.order_status(order_id=buy_order_id))\n",
     "\n",
-    "print(vega.market_data(market_id=market_id))"
+    "print(vega.get_latest_market_data(market_id=market_id))"
    ]
   }
  ],

diff --git a/examples/visualisations/utils.py b/examples/visualisations/utils.py
@@ -377,7 +377,7 @@ def move_market(
             Volume to be traded at new price.
     """
 
-    market_data = vega.market_data(market_id=market_id)
+    market_data = vega.get_latest_market_data(market_id=market_id)
     market_info = vega.market_info(market_id=market_id)
 
     curr_price = int(market_data.mid_price) * 10**-market_info.decimal_places

diff --git a/tests/integration/test_trading.py b/tests/integration/test_trading.py
@@ -229,7 +229,7 @@ def test_one_off_transfer(vega_service_with_high_volume_with_market: VegaService
         to_account_type=vega_protos.vega.ACCOUNT_TYPE_GENERAL,
         asset=asset_id,
         amount=500,
-        delay=15,
+        delay=50,
     )
 
     vega.wait_fn(10)
@@ -256,7 +256,7 @@ def test_one_off_transfer(vega_service_with_high_volume_with_market: VegaService
     assert party_a_accounts_t2.general == 500
     assert party_b_accounts_t2.general == 1000
 
-    vega.wait_fn(10)
+    vega.wait_fn(100)
     vega.wait_for_total_catchup()
 
     party_a_accounts_t3 = vega.party_account(

diff --git a/tests/integration/test_transaction_store.py b/tests/integration/test_transaction_store.py
@@ -21,18 +21,20 @@ def _test_transaction_store():
         log_dir = vega.log_dir
 
         market_id = vega.all_markets()[0].id
-        final_oi = vega.market_data(market_id=market_id).open_interest
+        final_oi = vega.get_latest_market_data(market_id=market_id).open_interest
     time.sleep(1)
 
     with replay.replay_run_context(replay_path=log_dir) as vega:
         time.sleep(1)
         vega.wait_for_core_catchup()
-        final_oi_replay = vega.market_data(market_id=market_id).open_interest
+        final_oi_replay = vega.get_latest_market_data(market_id=market_id).open_interest
 
     with replay.replay_run_context(replay_path=log_dir) as vega:
         time.sleep(1)
         vega.wait_for_core_catchup()
-        final_oi_replay_2 = vega.market_data(market_id=market_id).open_interest
+        final_oi_replay_2 = vega.get_latest_market_data(
+            market_id=market_id
+        ).open_interest
 
     assert final_oi == final_oi_replay
     assert final_oi_replay_2 == final_oi_replay
diff --git a/tests/vega_sim/api/test_data.py b/tests/vega_sim/api/test_data.py
@@ -20,8 +20,6 @@
     Trade,
     AggregatedLedgerEntry,
     get_asset_decimals,
-    best_prices,
-    price_bounds,
     find_asset_id,
     get_trades,
     margin_levels,
@@ -30,7 +28,6 @@
     open_orders_by_market,
     party_account,
     list_transfers,
-    get_liquidity_fee_shares,
     list_ledger_entries,
 )
 from vega_sim.grpc.client import (
@@ -198,43 +195,6 @@ def test_asset_decimals(mkt_info_mock):
     assert get_asset_decimals("ASSET", None) == 3
 
 
-@patch("vega_sim.api.data_raw.market_data")
-def test_best_prices(mkt_data_mock):
-    mkt_data = MagicMock()
-    mkt_data_mock.return_value = mkt_data
-
-    mkt_data.best_static_bid_price = "202"
-    mkt_data.best_static_offer_price = "212"
-
-    bid_res, ask_res = best_prices("mkt", None, 2)
-    assert bid_res == pytest.approx(2.02)
-    assert ask_res == pytest.approx(2.12)
-
-
-@patch("vega_sim.api.data_raw.market_data")
-def test_price_bounds(mkt_data_mock):
-    mkt_data = MagicMock()
-    mkt_data_mock.return_value = mkt_data
-    mkt_data.price_monitoring_bounds = [
-        vega_protos.vega.PriceMonitoringBounds(
-            min_valid_price="10000",
-            max_valid_price="20000",
-        ),
-        vega_protos.vega.PriceMonitoringBounds(
-            min_valid_price="11000",
-            max_valid_price="19000",
-        ),
-        vega_protos.vega.PriceMonitoringBounds(
-            min_valid_price="12000",
-            max_valid_price="18000",
-        ),
-    ]
-
-    min_valid_price, max_valid_price = price_bounds("mkt", None, 2)
-    assert min_valid_price == pytest.approx(120)
-    assert max_valid_price == pytest.approx(180)
-
-
 def test_open_orders_by_market(trading_data_v2_servicer_and_port):
     def ListOrders(self, request, context):
         return data_node_protos_v2.trading_data.ListOrdersResponse(
@@ -723,53 +683,6 @@ def ListTransfers(self, request, context):
     assert res == [expected]
 
 
-def test_get_liquidity_fee_shares(trading_data_v2_servicer_and_port):
-    expected = {"party1": 0.75, "party2": 0.25}
-
-    def GetLatestMarketData(self, request, context):
-        return data_node_protos_v2.trading_data.GetLatestMarketDataResponse(
-            market_data=vega_protos.vega.MarketData(
-                liquidity_provider_fee_share=[
-                    vega_protos.vega.LiquidityProviderFeeShare(
-                        party="party1",
-                        equity_like_share="0.75",
-                        average_entry_valuation="75",
-                        average_score="0.5",
-                    ),
-                    vega_protos.vega.LiquidityProviderFeeShare(
-                        party="party2",
-                        equity_like_share="0.25",
-                        average_entry_valuation="100",
-                        average_score="0.5",
-                    ),
-                ]
-            )
-        )
-
-    server, port, mock_servicer = trading_data_v2_servicer_and_port
-    mock_servicer.GetLatestMarketData = GetLatestMarketData
-
-    add_TradingDataServiceServicer_v2_to_server(mock_servicer(), server)
-
-    data_client = VegaTradingDataClientV2(f"localhost:{port}")
-
-    res1 = get_liquidity_fee_shares(
-        data_client=data_client, market_id="na", party_id="party1"
-    )
-    assert res1 == expected["party1"]
-
-    res2 = get_liquidity_fee_shares(
-        data_client=data_client, market_id="na", party_id="party2"
-    )
-    assert res2 == expected["party2"]
-
-    res3 = get_liquidity_fee_shares(
-        data_client=data_client,
-        market_id="na",
-    )
-    assert res3 == expected
-
-
 def test_list_ledger_entries(trading_data_v2_servicer_and_port):
     expected = data_node_protos_v2.trading_data.AggregatedLedgerEntry(
         timestamp=10000000, quantity="540", asset_id="asset1"

diff --git a/tests/vega_sim/api/test_data_raw.py b/tests/vega_sim/api/test_data_raw.py
@@ -19,7 +19,7 @@
     infrastructure_fee_accounts,
     liquidity_provisions,
     market_accounts,
-    market_data,
+    get_latest_market_data,
     market_data_history,
     market_info,
     order_status,
@@ -364,7 +364,7 @@ def ListAccounts(self, request, context):
     assert res == expected
 
 
-def test_market_data(trading_data_v2_servicer_and_port):
+def test_get_latest_market_data(trading_data_v2_servicer_and_port):
     expected = vega_protos.vega.MarketData(mid_price="100", market="foobar")
 
     def GetLatestMarketData(self, request, context):
@@ -380,7 +380,7 @@ def GetLatestMarketData(self, request, context):
     add_TradingDataServiceServicer_v2_to_server(mock_servicer(), server)
 
     data_client = VegaTradingDataClientV2(f"localhost:{port}")
-    res = market_data(market_id="foobar", data_client=data_client)
+    res = get_latest_market_data(market_id="foobar", data_client=data_client)
 
     assert res == expected