feat: integrate volume discount program into market-sim (#516)

* feat: enhance trades api

* feat: add vdpr governance proposal

* feat: add vdpr to fuzz test

* chore: bump vega version

* feat: add vdpr api methods

* fix: correct rebase

.env

@@ -1,4 +1,4 @@
-VEGA_SIM_VEGA_TAG=aaa9b4eb0b8fba1e118e19fc90d81b74cd02092d
+VEGA_SIM_VEGA_TAG=6b2a26f0d4a6ed3bf928bcebaa0014f5891e728f
 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: 'aaa9b4eb0b8fba1e118e19fc90d81b74cd02092d',
+        string( name: 'VEGA_VERSION', defaultValue: '6b2a26f0d4a6ed3bf928bcebaa0014f5891e728f',
                 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/integration/test_trading.py

@@ -1616,3 +1616,79 @@ def test_referral_program(vega_service_with_market: VegaServiceNull):
     next_epoch(vega=vega)
     referral_program = vega.get_current_referral_program()
     assert referral_program is not None
+
+
+@pytest.mark.integration
+def test_volume_discount_program(vega_service_with_market: VegaServiceNull):
+    vega = vega_service_with_market
+    market_id = vega.all_markets()[0].id
+    create_and_faucet_wallet(vega=vega, wallet=PARTY_A, amount=1e9)
+    vega.wait_for_total_catchup()
+    create_and_faucet_wallet(vega=vega, wallet=PARTY_B, amount=1e9)
+    vega.wait_for_total_catchup()
+    vega.update_volume_discount_program(
+        proposal_key=MM_WALLET.name,
+        benefit_tiers=[
+            {
+                "minimum_running_notional_taker_volume": 1,
+                "volume_discount_factor": 0.01,
+            },
+        ],
+        window_length=7,
+    )
+    next_epoch(vega=vega)
+    vega.submit_order(
+        trading_key=PARTY_A.name,
+        market_id=market_id,
+        order_type="TYPE_LIMIT",
+        time_in_force="TIME_IN_FORCE_GTC",
+        side="SIDE_BUY",
+        price=0.30,
+        volume=100,
+    )
+    vega.wait_fn(1)
+    non_discounted_order_id = vega.submit_order(
+        trading_key=PARTY_B.name,
+        market_id=market_id,
+        order_type="TYPE_LIMIT",
+        time_in_force="TIME_IN_FORCE_GTC",
+        side="SIDE_SELL",
+        price=0.30,
+        volume=100,
+        wait=True,
+    )
+    non_discounted_trades = vega.get_trades(
+        market_id=market_id, order_id=non_discounted_order_id
+    )
+    assert vega.get_current_volume_discount_program() is not None
+    assert non_discounted_trades[0].seller_fee.maker_fee_volume_discount == 0
+    assert non_discounted_trades[0].seller_fee.liquidity_fee_volume_discount == 0
+    assert non_discounted_trades[0].seller_fee.infrastructure_fee_volume_discount == 0
+    next_epoch(vega=vega)
+    assert vega.get_volume_discount_stats(key_name=PARTY_B.name) is not None
+    vega.submit_order(
+        trading_key=PARTY_A.name,
+        market_id=market_id,
+        order_type="TYPE_LIMIT",
+        time_in_force="TIME_IN_FORCE_GTC",
+        side="SIDE_SELL",
+        price=0.30,
+        volume=10000,
+    )
+    vega.wait_fn(1)
+    discounted_order_id = vega.submit_order(
+        trading_key=PARTY_B.name,
+        market_id=market_id,
+        order_type="TYPE_LIMIT",
+        time_in_force="TIME_IN_FORCE_GTC",
+        side="SIDE_BUY",
+        price=0.30,
+        volume=10000,
+        wait=True,
+    )
+    discounted_trades = vega.get_trades(
+        market_id=market_id, order_id=discounted_order_id
+    )
+    assert discounted_trades[0].buyer_fee.maker_fee_volume_discount != 0
+    assert discounted_trades[0].buyer_fee.liquidity_fee_volume_discount != 0
+    assert discounted_trades[0].buyer_fee.infrastructure_fee_volume_discount != 0

tests/vega_sim/api/test_data.py

@@ -557,8 +557,28 @@ def test_get_trades(
             sell_order="so1",
             timestamp=100,
             trade_type=vega_protos.vega.Trade.TYPE_DEFAULT,
-            buyer_fee=Fee(maker_fee=10, infrastructure_fee=1.2, liquidity_fee=1.4),
-            seller_fee=Fee(maker_fee=20, infrastructure_fee=12.2, liquidity_fee=14.4),
+            buyer_fee=Fee(
+                maker_fee=10,
+                infrastructure_fee=1.2,
+                liquidity_fee=1.4,
+                maker_fee_referrer_discount=0,
+                maker_fee_volume_discount=0,
+                infrastructure_fee_referrer_discount=0,
+                infrastructure_fee_volume_discount=0,
+                liquidity_fee_referrer_discount=0,
+                liquidity_fee_volume_discount=0,
+            ),
+            seller_fee=Fee(
+                maker_fee=20,
+                infrastructure_fee=12.2,
+                liquidity_fee=14.4,
+                maker_fee_referrer_discount=0,
+                maker_fee_volume_discount=0,
+                infrastructure_fee_referrer_discount=0,
+                infrastructure_fee_volume_discount=0,
+                liquidity_fee_referrer_discount=0,
+                liquidity_fee_volume_discount=0,
+            ),
             buyer_auction_batch=100,
             seller_auction_batch=96,
         )
@@ -592,11 +612,23 @@ def ListTrades(self, request, context):
                                 maker_fee="100",
                                 infrastructure_fee="12",
                                 liquidity_fee="14",
+                                maker_fee_referrer_discount="0",
+                                maker_fee_volume_discount="0",
+                                infrastructure_fee_referrer_discount="0",
+                                infrastructure_fee_volume_discount="0",
+                                liquidity_fee_referrer_discount="0",
+                                liquidity_fee_volume_discount="0",
                             ),
                             seller_fee=vega_protos.vega.Fee(
                                 maker_fee="200",
                                 infrastructure_fee="122",
                                 liquidity_fee="144",
+                                maker_fee_referrer_discount="0",
+                                maker_fee_volume_discount="0",
+                                infrastructure_fee_referrer_discount="0",
+                                infrastructure_fee_volume_discount="0",
+                                liquidity_fee_referrer_discount="0",
+                                liquidity_fee_volume_discount="0",
                             ),
                             buyer_auction_batch=100,
                             seller_auction_batch=96,

vega_sim/api/data.py

@@ -184,6 +184,12 @@ class Fee:
     maker_fee: float
     infrastructure_fee: float
     liquidity_fee: float
+    maker_fee_volume_discount: float
+    infrastructure_fee_volume_discount: float
+    liquidity_fee_volume_discount: float
+    maker_fee_referrer_discount: float
+    infrastructure_fee_referrer_discount: float
+    liquidity_fee_referrer_discount: float
 
 
 @dataclass(frozen=True)
@@ -270,6 +276,14 @@ class ReferralSetReferee:
     at_epoch: int
 
 
+@dataclass(frozen=True)
+class VolumeDiscountStats:
+    at_epoch: int
+    party_id: str
+    discount_factor: float
+    running_volume: float
+
+
 @dataclass(frozen=True)
 class BenefitTier:
     minimum_running_notional_taker_volume: float
@@ -295,6 +309,22 @@ class ReferralProgram:
     ended_at: int
 
 
+@dataclass(frozen=True)
+class VolumeBenefitTier:
+    minimum_running_notional_taker_volume: float
+    volume_discount_factor: float
+
+
+@dataclass(frozen=True)
+class VolumeDiscountProgram:
+    version: int
+    id: str
+    benefit_tiers: List[VolumeBenefitTier]
+    end_of_program_timestamp: str
+    window_length: int
+    ended_at: int
+
+
 def _ledger_entry_from_proto(
     ledger_entry,
     asset_decimals: int,
@@ -354,6 +384,28 @@ def _trade_from_proto(
             liquidity_fee=num_from_padded_int(
                 trade.buyer_fee.liquidity_fee, decimal_spec.asset_decimals
             ),
+            maker_fee_volume_discount=num_from_padded_int(
+                trade.buyer_fee.maker_fee_volume_discount, decimal_spec.asset_decimals
+            ),
+            infrastructure_fee_volume_discount=num_from_padded_int(
+                trade.buyer_fee.infrastructure_fee_volume_discount,
+                decimal_spec.asset_decimals,
+            ),
+            liquidity_fee_volume_discount=num_from_padded_int(
+                trade.buyer_fee.liquidity_fee_volume_discount,
+                decimal_spec.asset_decimals,
+            ),
+            maker_fee_referrer_discount=num_from_padded_int(
+                trade.buyer_fee.maker_fee_referrer_discount, decimal_spec.asset_decimals
+            ),
+            infrastructure_fee_referrer_discount=num_from_padded_int(
+                trade.buyer_fee.infrastructure_fee_referrer_discount,
+                decimal_spec.asset_decimals,
+            ),
+            liquidity_fee_referrer_discount=num_from_padded_int(
+                trade.buyer_fee.liquidity_fee_referrer_discount,
+                decimal_spec.asset_decimals,
+            ),
         ),
         seller_fee=Fee(
             maker_fee=num_from_padded_int(
@@ -365,6 +417,29 @@ def _trade_from_proto(
             liquidity_fee=num_from_padded_int(
                 trade.seller_fee.liquidity_fee, decimal_spec.asset_decimals
             ),
+            maker_fee_volume_discount=num_from_padded_int(
+                trade.seller_fee.maker_fee_volume_discount, decimal_spec.asset_decimals
+            ),
+            infrastructure_fee_volume_discount=num_from_padded_int(
+                trade.seller_fee.infrastructure_fee_volume_discount,
+                decimal_spec.asset_decimals,
+            ),
+            liquidity_fee_volume_discount=num_from_padded_int(
+                trade.seller_fee.liquidity_fee_volume_discount,
+                decimal_spec.asset_decimals,
+            ),
+            maker_fee_referrer_discount=num_from_padded_int(
+                trade.seller_fee.maker_fee_referrer_discount,
+                decimal_spec.asset_decimals,
+            ),
+            infrastructure_fee_referrer_discount=num_from_padded_int(
+                trade.seller_fee.infrastructure_fee_referrer_discount,
+                decimal_spec.asset_decimals,
+            ),
+            liquidity_fee_referrer_discount=num_from_padded_int(
+                trade.seller_fee.liquidity_fee_referrer_discount,
+                decimal_spec.asset_decimals,
+            ),
         ),
         buyer_auction_batch=trade.buyer_auction_batch,
         seller_auction_batch=trade.seller_auction_batch,
@@ -779,6 +854,40 @@ def _referral_program_from_proto(referral_program) -> ReferralProgram:
     )
 
 
+def _volume_benefit_tier_from_proto(volume_benefit_tier) -> VolumeBenefitTier:
+    return VolumeBenefitTier(
+        minimum_running_notional_taker_volume=float(
+            volume_benefit_tier.minimum_running_notional_taker_volume
+        ),
+        volume_discount_factor=float(volume_benefit_tier.volume_discount_factor),
+    )
+
+
+def _volume_discount_program_from_proto(
+    volume_discount_program,
+) -> VolumeDiscountProgram:
+    return VolumeDiscountProgram(
+        version=int(volume_discount_program.version),
+        id=str(volume_discount_program.id),
+        benefit_tiers=[
+            _volume_benefit_tier_from_proto(volume_benefit_tier)
+            for volume_benefit_tier in volume_discount_program.benefit_tiers
+        ],
+        end_of_program_timestamp=int(volume_discount_program.end_of_program_timestamp),
+        window_length=int(volume_discount_program.window_length),
+        ended_at=int(volume_discount_program.ended_at),
+    )
+
+
+def _volume_discount_stats_from_proto(volume_discount_stats) -> VolumeDiscountStats:
+    return VolumeDiscountStats(
+        at_epoch=int(volume_discount_stats.at_epoch),
+        party_id=str(volume_discount_stats.party_id),
+        discount_factor=float(volume_discount_stats.discount_factor),
+        running_volume=float(volume_discount_stats.running_volume),
+    )
+
+
 def list_accounts(
     data_client: vac.VegaTradingDataClientV2,
     pub_key: Optional[str] = None,
@@ -1829,6 +1938,29 @@ def list_referral_set_referees(
     return referral_set_referees
 
 
-def get_current_referral_program(data_client: vac.trading_data_grpc_v2):
+def get_current_referral_program(
+    data_client: vac.trading_data_grpc_v2,
+) -> ReferralProgram:
     response = data_raw.get_current_referral_program(data_client=data_client)
     return _referral_program_from_proto(referral_program=response)
+
+
+def get_current_volume_discount_program(
+    data_client: vac.trading_data_grpc_v2,
+) -> VolumeDiscountProgram:
+    response = data_raw.get_current_volume_discount_program(data_client=data_client)
+    return _volume_discount_program_from_proto(volume_discount_program=response)
+
+
+def get_volume_discount_stats(
+    data_client: vac.trading_data_grpc_v2,
+    at_epoch: Optional[int] = None,
+    party_id: Optional[str] = None,
+) -> List[VolumeDiscountStats]:
+    response = data_raw.get_volume_discount_stats(
+        data_client=data_client, at_epoch=at_epoch, party_id=party_id
+    )
+    return [
+        _volume_discount_stats_from_proto(volume_discount_stats=volume_discount_stats)
+        for volume_discount_stats in response
+    ]

vega_sim/api/data_raw.py

@@ -733,3 +733,30 @@ def get_current_referral_program(data_client: vac.trading_data_grpc_v2):
     return data_client.GetCurrentReferralProgram(
         data_node_protos_v2.trading_data.GetCurrentReferralProgramRequest()
     ).current_referral_program
+
+
+@_retry(3)
+def get_current_volume_discount_program(
+    data_client: vac.trading_data_grpc_v2.TradingDataServiceStub,
+):
+    return data_client.GetCurrentVolumeDiscountProgram(
+        data_node_protos_v2.trading_data.GetCurrentVolumeDiscountProgramRequest()
+    ).current_volume_discount_program
+
+
+@_retry(3)
+def get_volume_discount_stats(
+    data_client: vac.trading_data_grpc_v2,
+    at_epoch: Optional[int] = None,
+    party_id: Optional[str] = None,
+) -> List[data_node_protos_v2.trading_data.ReferralSet]:
+    base_request = data_node_protos_v2.trading_data.GetVolumeDiscountStatsRequest()
+    if at_epoch is not None:
+        setattr(base_request, "at_epoch", at_epoch)
+    if party_id is not None:
+        setattr(base_request, "party_id", party_id)
+    return unroll_v2_pagination(
+        base_request=base_request,
+        request_func=lambda x: data_client.GetVolumeDiscountStats(x).stats,
+        extraction_func=lambda res: [i.node for i in res.edges],
+    )