fee

README

Fee

This package covers fee handling in the vega protocol.

Fees are paid with every trade, for which we collect different fees:

• Maker fee, a fee being paid to the non-aggressive party in the trade
• Infrastructure fee, a fee being paid to maintain the vega network
• Liquidity fee, a fee being paid to the market makers.

Fees are calculate in the same way all the time, the market framework provide factors for each fees, these factors are applied to the trade ((trade.Price * trade.Size) * fee.Factor).

The engine provide multiple method, which will based on the trading mode, or the state of the traders taking part of the trade (e.g: distressed trader, etc), will split the calculated fee to be paid in between each parties, e.g: in Continuous trading mode, all the fees are paid by the aggressive party.

Documentation

Index

• Variables
• type Config
  • func NewDefaultConfig() Config
• type Engine
  • func New(log *logging.Logger, cfg Config, feeCfg types.Fees, asset string, ...) (*Engine, error)
  • func NewFromState(log *logging.Logger, cfg Config, feeCfg types.Fees, asset string, ...) (*Engine, error)
  • func (e *Engine) BuildLiquidityFeeAllocationTransfer(shares map[string]num.Decimal, acc *types.Account) events.FeesTransfer
  • func (e *Engine) BuildLiquidityFeeDistributionTransfer(shares map[string]num.Decimal, acc *types.Account) events.FeesTransfer
  • func (e *Engine) CalculateForAuctionMode(trades []*types.Trade, referral ReferralDiscountRewardService, ...) (events.FeesTransfer, error)
  • func (e *Engine) CalculateForContinuousMode(trades []*types.Trade, referral ReferralDiscountRewardService, ...) (events.FeesTransfer, error)
  • func (e *Engine) CalculateForFrequentBatchesAuctionMode(trades []*types.Trade, referral ReferralDiscountRewardService, ...) (events.FeesTransfer, error)
  • func (e *Engine) GetFeeForPositionResolution(trades []*types.Trade) (events.FeesTransfer, *types.Fee)
  • func (e *Engine) GetFeesStatsOnEpochEnd(assetQuantum num.Decimal) (FeesStats *eventspb.FeesStats)
  • func (e *Engine) GetLiquidityFee() num.Decimal
  • func (e *Engine) GetState(assetQuantum num.Decimal) *eventspb.FeesStats
  • func (e *Engine) OnFeeFactorsInfrastructureFeeUpdate(f num.Decimal)
  • func (e *Engine) OnFeeFactorsMakerFeeUpdate(f num.Decimal)
  • func (e *Engine) ReloadConf(cfg Config)
  • func (e *Engine) SetLiquidityFee(v num.Decimal)
  • func (e *Engine) TotalTradingFeesPerParty() map[string]*num.Uint
  • func (e *Engine) UpdateFeeFactors(fees types.Fees) error
• type FeesStats
  • func NewFeesStats() *FeesStats
  • func NewFeesStatsFromProto(fsp *eventspb.FeesStats) *FeesStats
  • func (f *FeesStats) RegisterMakerFee(makerID, takerID string, amount *num.Uint)
  • func (f *FeesStats) RegisterRefereeDiscount(party string, amount *num.Uint)
  • func (f *FeesStats) RegisterReferrerReward(referrer, referee string, amount *num.Uint)
  • func (f *FeesStats) RegisterTradingFees(partyID string, amount *num.Uint)
  • func (f *FeesStats) RegisterVolumeDiscount(party string, amount *num.Uint)
  • func (f *FeesStats) ToProto(asset string, assetQuantum num.Decimal) *eventspb.FeesStats
  • func (f *FeesStats) TotalTradingFeesPerParty() map[string]*num.Uint
• type ReferralDiscountRewardService
• type VolumeDiscountService

Variables

var (
	ErrEmptyTrades      = errors.New("empty trades slice sent to fees")
	ErrInvalidFeeFactor = errors.New("fee factors must be positive")
)

Types

type Config

type Config struct {
	Level encoding.LogLevel
}

Config represent the configuration of the fee engine.

func NewDefaultConfig

func NewDefaultConfig() Config

NewDefaultConfig creates an instance of the package specific configuration, given a pointer to a logger instance to be used for logging within the package.

type Engine

type Engine struct {
	// contains filtered or unexported fields
}

func New

func New(
	log *logging.Logger,
	cfg Config,
	feeCfg types.Fees,
	asset string,
	positionFactor num.Decimal,
) (*Engine, error)

func NewFromState

func NewFromState(
	log *logging.Logger,
	cfg Config,
	feeCfg types.Fees,
	asset string,
	positionFactor num.Decimal,
	FeesStats *eventspb.FeesStats,
) (*Engine, error)

func (*Engine) BuildLiquidityFeeAllocationTransfer

func (e *Engine) BuildLiquidityFeeAllocationTransfer(shares map[string]num.Decimal, acc *types.Account) events.FeesTransfer

BuildLiquidityFeeAllocationTransfer returns the set of transfers that will be used by the collateral engine to allocate the fees to liquidity providers per market fee accounts. As shares are represented in float64 and fees are uint64, shares are floored and the remainder is assigned to the last party on the share map. Note that the map is sorted lexicographically to keep determinism.

func (*Engine) BuildLiquidityFeeDistributionTransfer

func (e *Engine) BuildLiquidityFeeDistributionTransfer(shares map[string]num.Decimal, acc *types.Account) events.FeesTransfer

BuildLiquidityFeeDistributionTransfer returns the set of transfers that will be used by the collateral engine to distribute the fees. As shares are represented in float64 and fees are uint64, shares are floored and the remainder is assigned to the last party on the share map. Note that the map is sorted lexicographically to keep determinism.

func (*Engine) CalculateForAuctionMode

func (e *Engine) CalculateForAuctionMode(
	trades []*types.Trade,
	referral ReferralDiscountRewardService,
	volumeDiscount VolumeDiscountService,
) (events.FeesTransfer, error)

CalculateForAuctionMode calculate the fee for trades which were produced from a market running in in auction trading mode. A list FeesTransfer is produced each containing fees transfer from a single party.

func (*Engine) CalculateForContinuousMode

func (e *Engine) CalculateForContinuousMode(
	trades []*types.Trade,
	referral ReferralDiscountRewardService,
	volumeDiscountService VolumeDiscountService,
) (events.FeesTransfer, error)

CalculateForContinuousMode calculate the fee for trades which were produced from a market running in continuous trading mode. A single FeesTransfer is produced here as all fees are paid by the aggressive order.

func (*Engine) CalculateForFrequentBatchesAuctionMode

func (e *Engine) CalculateForFrequentBatchesAuctionMode(
	trades []*types.Trade,
	referral ReferralDiscountRewardService,
	volumeDiscount VolumeDiscountService,
) (events.FeesTransfer, error)

CalculateForFrequentBatchesAuctionMode calculate the fee for trades which were produced from a market running in auction trading mode. A list FeesTransfer is produced each containing fees transfer from a single party.

func (*Engine) GetFeeForPositionResolution

func (e *Engine) GetFeeForPositionResolution(trades []*types.Trade) (events.FeesTransfer, *types.Fee)

func (*Engine) GetFeesStatsOnEpochEnd

func (e *Engine) GetFeesStatsOnEpochEnd(assetQuantum num.Decimal) (FeesStats *eventspb.FeesStats)

func (*Engine) GetLiquidityFee

func (e *Engine) GetLiquidityFee() num.Decimal

func (*Engine) GetState

func (e *Engine) GetState(assetQuantum num.Decimal) *eventspb.FeesStats

func (*Engine) OnFeeFactorsInfrastructureFeeUpdate

func (e *Engine) OnFeeFactorsInfrastructureFeeUpdate(f num.Decimal)

func (*Engine) OnFeeFactorsMakerFeeUpdate

func (e *Engine) OnFeeFactorsMakerFeeUpdate(f num.Decimal)

func (*Engine) ReloadConf

func (e *Engine) ReloadConf(cfg Config)

ReloadConf is used in order to reload the internal configuration of the fee engine.

func (*Engine) SetLiquidityFee

func (e *Engine) SetLiquidityFee(v num.Decimal)

func (*Engine) TotalTradingFeesPerParty

func (e *Engine) TotalTradingFeesPerParty() map[string]*num.Uint

func (*Engine) UpdateFeeFactors

func (e *Engine) UpdateFeeFactors(fees types.Fees) error

type FeesStats

type FeesStats struct {
	// TotalMakerFeesReceived is the total of maker fees received by the maker side.
	// maker -> amount
	TotalMakerFeesReceived map[string]*num.Uint
	// TradingFeesPaidAndReceived tracks all trading fees paid and received by party.
	TradingFeesPaidAndReceived map[string]*num.Uint
	// MakerFeesGenerated tracks maker fees paid by taker (aggressor) to the maker.
	// taker -> maker -> amount
	MakerFeesGenerated map[string]map[string]*num.Uint
	// TotalRewardsReceived is the total of rewards received by the referrer.
	// referrer -> amount
	TotalRewardsReceived     map[string]*num.Uint
	ReferrerRewardsGenerated map[string]map[string]*num.Uint
	RefereeDiscountApplied   map[string]*num.Uint
	VolumeDiscountApplied    map[string]*num.Uint
}

func NewFeesStats

func NewFeesStats() *FeesStats

func NewFeesStatsFromProto

func NewFeesStatsFromProto(fsp *eventspb.FeesStats) *FeesStats

func (*FeesStats) RegisterMakerFee

func (f *FeesStats) RegisterMakerFee(makerID, takerID string, amount *num.Uint)

func (*FeesStats) RegisterRefereeDiscount

func (f *FeesStats) RegisterRefereeDiscount(party string, amount *num.Uint)

func (*FeesStats) RegisterReferrerReward

func (f *FeesStats) RegisterReferrerReward(
	referrer, referee string,
	amount *num.Uint,
)

func (*FeesStats) RegisterTradingFees

func (f *FeesStats) RegisterTradingFees(partyID string, amount *num.Uint)

RegisterTradingFees registers fees paid or received by the party.

func (*FeesStats) RegisterVolumeDiscount

func (f *FeesStats) RegisterVolumeDiscount(party string, amount *num.Uint)

func (*FeesStats) ToProto

func (f *FeesStats) ToProto(asset string, assetQuantum num.Decimal) *eventspb.FeesStats

func (*FeesStats) TotalTradingFeesPerParty

func (f *FeesStats) TotalTradingFeesPerParty() map[string]*num.Uint

TotalTradingFeesPerParty returns per party sum of all paid and received trading fees.

type ReferralDiscountRewardService

type ReferralDiscountRewardService interface {
	ReferralDiscountFactorForParty(party types.PartyID) num.Decimal
	RewardsFactorMultiplierAppliedForParty(party types.PartyID) num.Decimal
	GetReferrer(referee types.PartyID) (types.PartyID, error)
}

type VolumeDiscountService

type VolumeDiscountService interface {
	VolumeDiscountFactorForParty(party types.PartyID) num.Decimal
}