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vegaprotocol / vega

A Go implementation of the Vega Protocol, a protocol for creating and trading derivatives on a fully decentralised network.
https://vega.xyz
GNU Affero General Public License v3.0
38 stars 22 forks source link

[Bug]: panic pricing pegged order off AMM #11500

Closed cdummett closed 3 months ago

cdummett commented 3 months ago

Problem encountered

Fuzzing runs panic when including fuzzed AMMs - running against 033b6c0

vega-sim-so7u28xq.zip

panic: ontick book has orders pegged to nothing

goroutine 24950 [running]:
go.uber.org/zap/zapcore.CheckWriteAction.OnWrite(0x0?, 0x0?, {0x0?, 0x0?, 0x0?})
    /Users/caed/go/pkg/mod/go.uber.org/zap@v1.25.0/zapcore/entry.go:196 +0x78
go.uber.org/zap/zapcore.(*CheckedEntry).Write(0x14002edea90, {0x0, 0x0, 0x0})
    /Users/caed/go/pkg/mod/go.uber.org/zap@v1.25.0/zapcore/entry.go:262 +0x2c0 
go.uber.org/zap.(*Logger).Panic(0x14004af1180?, {0x1033cc967?, 0x14008f4b860?}, {0x0, 0x0, 0x0})
    /Users/caed/go/pkg/mod/go.uber.org/zap@v1.25.0/logger.go:258 +0x54
code.vegaprotocol.io/vega/core/execution/future.(*Market).BlockEnd(0x14004af1180, {0x104767bd8, 0x14008f4b860})
    /Users/caed/Projects/vega-market-sim/extern/vega/core/execution/future/market.go:1201 +0x1070
code.vegaprotocol.io/vega/core/execution.(*Engine).BlockEnd(0x140008b9180?, {0x104767bd8, 0x14008f4b860})
    /Users/caed/Projects/vega-market-sim/extern/vega/core/execution/engine.go:1388 +0x4c
code.vegaprotocol.io/vega/core/processor.(*App).OnEndBlock(0x140001bd180, 0x108890a68?)
    /Users/caed/Projects/vega-market-sim/extern/vega/core/processor/abci.go:1299 +0x630
code.vegaprotocol.io/vega/core/blockchain/abci.(*App).FinalizeBlock(0x14000736480, {0x104506260?, 0x1?}, 0x14008c2fd40)
    /Users/caed/Projects/vega-market-sim/extern/vega/core/blockchain/abci/abci.go:191 +0x5b8
code.vegaprotocol.io/vega/cmd/vega/commands/node.(*appW).FinalizeBlock(0x14006191200?, {0x104767ba0?, 0x106e8d2a0?}, 0x106e8d2a0?)
    /Users/caed/Projects/vega-market-sim/extern/vega/cmd/vega/commands/node/app_wrapper.go:91 +0x30
code.vegaprotocol.io/vega/core/blockchain/nullchain.(*NullBlockchain).processBlock(0x1400054ed80)
    /Users/caed/Projects/vega-market-sim/extern/vega/core/blockchain/nullchain/nullchain.go:212 +0x488
code.vegaprotocol.io/vega/core/blockchain/nullchain.(*NullBlockchain).ForwardTime(0x1400054ed80, 0x59682f000)
    /Users/caed/Projects/vega-market-sim/extern/vega/core/blockchain/nullchain/nullchain.go:289 +0x194
code.vegaprotocol.io/vega/core/blockchain/nullchain.(*NullBlockchain).handleForwardTime.func1()
    /Users/caed/Projects/vega-market-sim/extern/vega/core/blockchain/nullchain/server.go:132 +0x2c
created by code.vegaprotocol.io/vega/core/blockchain/nullchain.(*NullBlockchain).handleForwardTime in goroutine 24948
    /Users/caed/Projects/vega-market-sim/extern/vega/core/blockchain/nullchain/server.go:131 +0x1e0

Observed behaviour

panic

Expected behaviour

no panic

Steps to reproduce

replay file from market-sim dump

Software version

033b6c0257dc46a4ff5d1b6596627518ca86516d

Failing test

vega-market-sim fuzz test

Jenkins run

local run

Configuration used

{
  "genesis_time": "2023-05-09T10:00:00.000000000Z",
  "chain_id": "CUSTOM",
  "initial_height": "0",
  "consensus_params": {
    "block": {
      "max_bytes": "22020096",
      "max_gas": "-1",
      "time_iota_ms": "1"
    },
    "evidence": {
      "max_age_num_blocks": "100000",
      "max_age_duration": "172800000000000",
      "max_bytes": "1048576"
    },
    "validator": {
      "pub_key_types": ["ed25519"]
    },
    "version": {}
  },
  "validators": [
    {
      "address": "7DFD3744A773C166B36F170E4F5EF3E998703F4E",
      "pub_key": {
        "type": "tendermint/PubKeyEd25519",
        "value": "2lPO6I0p5uCBZzeoA2+ECJ2+57LtLVMjXpxH5za9TvE="
      },
      "power": "10",
      "name": ""
    }
  ],
  "app_hash": "",
  "app_state": {
    "assets": {
      "0000000000000000000000000000000000000000000000000000000000000000": {
        "name": "VOTE",
        "symbol": "VOTE",
        "decimals": 5,
        "quantum": "1",
        "min_lp_stake": "1",
        "source": {
          "builtin_asset": {
            "max_faucet_amount_mint": "100000000000000000"
          }
        }
      }
    },
    "validators": {
      "6NemqXSfN4zfZvAQeIANflEFqQ98izX9C0KLI2dITSY=": {
        "id": "c2b0ab69fb1bd19862c04df401920ea62d3e0bce41a50148240f42017824d17a",
        "vega_pub_key": "dfcf0fa8d67cfa11b3a511e320f3c47807a5e0735cc06dd9c2bc00f7ccc67117",
        "vega_pub_key_index": 1,
        "ethereum_address": "0x9e5BEEC6E56B28cCbd02864840B0f1e0125e42Ce",
        "tm_pub_key": "6NemqXSfN4zfZvAQeIANflEFqQ98izX9C0KLI2dITSY=",
        "info_url": "",
        "country": "",
        "name": "",
        "avatar_url": ""
      }
    },
    "network": {
      "replay_attack_threshold": 150
    },
    "network_parameters": {
      "blockchains.ethereumConfig": "{\"network_id\": \"3\", \"chain_id\": \"3\", \"collateral_bridge_contract\": { \"address\": \"0xa6F1E140daC13002Dfd9789D6dBA59117c717D7a\" }, \"confirmations\": 50, \"staking_bridge_contract\": { \"address\": \"0xfce2CC92203A266a9C8e67461ae5067c78f67235\", \"deployment_block_height\": 11001702}, \"multisig_control_contract\": {\"address\": \"0xCF6d41235911184fe6F35D47207813bFF3B91601\", \"deployment_block_height\": 12710009 } }",
      "blockchains.evmBridgeConfigs": "{\"configs\":[{\"network_id\": \"3\", \"chain_id\": \"3\", \"collateral_bridge_contract\": { \"address\": \"0xa6F1E140daC13002Dfd9789D6dBA59117c717D7a\" }, \"confirmations\": 50, \"multisig_control_contract\": {\"address\": \"0xCF6d41235911184fe6F35D47207813bFF3B91601\", \"deployment_block_height\": 12710009 } }]}",
      "blockchains.ethereumRpcAndEvmCompatDataSourcesConfig": "{\"configs\": []}",
      "governance.proposal.asset.maxClose": "8760h0m0s",
      "governance.proposal.asset.maxEnact": "8760h0m0s",
      "governance.proposal.asset.minClose": "1s",
      "governance.proposal.asset.minEnact": "1s",
      "governance.proposal.asset.minProposerBalance": "1",
      "governance.proposal.asset.minVoterBalance": "1",
      "governance.proposal.asset.requiredMajority": "0.66",
      "governance.proposal.asset.requiredParticipation": "0.00001",
      "governance.proposal.freeform.maxClose": "8760h0m0s",
      "governance.proposal.freeform.minClose": "1s",
      "governance.proposal.freeform.minProposerBalance": "1",
      "governance.proposal.freeform.minVoterBalance": "1",
      "governance.proposal.freeform.requiredMajority": "0.66",
      "governance.proposal.freeform.requiredParticipation": "0.00001",
      "governance.proposal.market.maxClose": "8760h0m0s",
      "governance.proposal.market.maxEnact": "8760h0m0s",
      "governance.proposal.market.minClose": "1s",
      "governance.proposal.market.minEnact": "2s",
      "governance.proposal.market.minProposerBalance": "1",
      "governance.proposal.market.minVoterBalance": "1",
      "governance.proposal.market.requiredMajority": "0.66",
      "governance.proposal.market.requiredParticipation": "0.00001",
      "governance.proposal.updateAsset.maxClose": "720h",
      "governance.proposal.updateAsset.maxEnact": "720h",
      "governance.proposal.updateAsset.minClose": "1s",
      "governance.proposal.updateAsset.minEnact": "1s",
      "governance.proposal.updateAsset.minProposerBalance": "1",
      "governance.proposal.updateAsset.minVoterBalance": "1",
      "governance.proposal.updateAsset.requiredMajority": "0.66",
      "governance.proposal.updateAsset.requiredParticipation": "0.09",
      "governance.proposal.updateMarket.maxClose": "8760h0m0s",
      "governance.proposal.updateMarket.maxEnact": "8760h0m0s",
      "governance.proposal.updateMarket.minClose": "1s",
      "governance.proposal.updateMarket.minEnact": "1s",
      "governance.proposal.updateMarket.minProposerBalance": "1",
      "governance.proposal.updateMarket.minProposerEquityLikeShare": "0",
      "governance.proposal.updateMarket.minVoterBalance": "1",
      "governance.proposal.updateMarket.requiredMajority": "0.66",
      "governance.proposal.updateMarket.requiredMajorityLP": "0.66",
      "governance.proposal.updateMarket.requiredParticipation": "0.00001",
      "governance.proposal.updateMarket.requiredParticipationLP": "0",
      "governance.proposal.updateNetParam.maxClose": "8760h0m0s",
      "governance.proposal.updateNetParam.maxEnact": "8760h0m0s",
      "governance.proposal.updateNetParam.minClose": "1s",
      "governance.proposal.updateNetParam.minEnact": "1s",
      "governance.proposal.updateNetParam.minProposerBalance": "1",
      "governance.proposal.updateNetParam.minVoterBalance": "1",
      "governance.proposal.updateNetParam.requiredMajority": "0.5",
      "governance.proposal.updateNetParam.requiredParticipation": "0.00001",
      "governance.proposal.referralProgram.maxClose": "8760h0m0s",
      "governance.proposal.referralProgram.maxEnact": "8760h0m0s",
      "governance.proposal.referralProgram.minClose": "1s",
      "governance.proposal.referralProgram.minEnact": "1s",
      "governance.proposal.referralProgram.minProposerBalance": "1",
      "governance.proposal.referralProgram.minVoterBalance": "1",
      "governance.proposal.referralProgram.requiredMajority": "0.5",
      "governance.proposal.referralProgram.requiredParticipation": "0.00001",
      "governance.proposal.VolumeDiscountProgram.maxClose": "8760h0m0s",
      "governance.proposal.VolumeDiscountProgram.maxEnact": "8760h0m0s",
      "governance.proposal.VolumeDiscountProgram.minClose": "1s",
      "governance.proposal.VolumeDiscountProgram.minEnact": "1s",
      "governance.proposal.VolumeDiscountProgram.minProposerBalance": "1",
      "governance.proposal.VolumeDiscountProgram.minVoterBalance": "1",
      "governance.proposal.VolumeDiscountProgram.requiredMajority": "0.5",
      "governance.proposal.VolumeDiscountProgram.requiredParticipation": "0.00001",
      "governance.proposal.transfer.maxClose": "8760h0m0s",
      "governance.proposal.transfer.maxEnact": "8760h0m0s",
      "governance.proposal.transfer.minClose": "1s",
      "governance.proposal.transfer.minEnact": "1s",
      "governance.proposal.transfer.minProposerBalance": "1",
      "governance.proposal.transfer.minVoterBalance": "1",
      "governance.proposal.transfer.requiredMajority": "0.5",
      "governance.proposal.transfer.requiredParticipation": "0.00001",
      "limits.markets.maxPeggedOrders": "1500",
      "limits.markets.proposePerpetualEnabled": "1",
      "limits.markets.ammPoolEnabled": "1",
      "market.auction.maximumDuration": "168h",
      "market.auction.minimumDuration": "1s",
      "market.fee.factors.infrastructureFee": "0.0003",
      "market.fee.factors.makerFee": "0.00005",
      "market.liquidity.bondPenaltyParameter": "0.1",
      "market.liquidity.earlyExitPenalty": "0.1",
      "market.liquidity.maximumLiquidityFeeFactorLevel": "0.03",
      "market.liquidity.minimum.probabilityOfTrading.lpOrders": "1e-6",
      "market.liquidity.probabilityOfTrading.tau.scaling": "10.0",
      "market.liquidity.providersFeeCalculationTimeStep": "1s",
      "market.liquidity.sla.nonPerformanceBondPenaltyMax": "0.5",
      "market.liquidity.sla.nonPerformanceBondPenaltySlope": "2",
      "market.liquidity.stakeToCcyVolume": "1.0",
      "market.liquidity.targetstake.triggering.ratio": "0.25",
      "market.liquidityProvision.minLpStakeQuantumMultiple": "5000",
      "market.liquidityProvision.shapes.maxSize": "100",
      "market.margin.scalingFactors": "{\"search_level\": 1.1, \"initial_margin\": 1.5, \"collateral_release\": 1.7}",
      "market.monitor.price.defaultParameters": "{\"triggers\": [{\"auction_extension\": 300, \"horizon\": 43200, \"probability\": \"0.9999999\"}] }",
      "market.stake.target.scalingFactor": "0.0001",
      "market.stake.target.timeWindow": "1h",
      "market.value.windowLength": "2h0m0s",
      "network.checkpoint.timeElapsedBetweenCheckpoints": "5m",
      "network.floatingPointUpdates.delay": "5m",
      "network.markPriceUpdateMaximumFrequency": "5s",
      "network.transaction.defaultgas": "1",
      "network.transactions.maxgasperblock": "3000000",
      "network.transactions.minBlockCapacity": "32",
      "network.validators.ersatz.multipleOfTendermintValidators": "0",
      "network.validators.ersatz.rewardFactor": "0.85",
      "network.validators.incumbentBonus": "0.05",
      "network.validators.minimumEthereumEventsForNewValidator": "3",
      "network.validators.multisig.numberOfSigners": "13",
      "network.validators.tendermint.number": "13",
      "reward.asset": "0000000000000000000000000000000000000000000000000000000000000000",
      "reward.staking.delegation.competitionLevel": "1.3",
      "reward.staking.delegation.delegatorShare": "0.8",
      "reward.staking.delegation.maxPayoutPerEpoch": "9890000000000000000000",
      "reward.staking.delegation.maxPayoutPerParticipant": "700000000000000000000",
      "reward.staking.delegation.minimumValidatorStake": "3000000000000000000000",
      "reward.staking.delegation.minValidators": "5",
      "reward.staking.delegation.optimalStakeMultiplier": "3.0",
      "reward.staking.delegation.payoutDelay": "0h",
      "reward.staking.delegation.payoutFraction": "1.0",
      "rewards.marketCreationQuantumMultiple": "1",
      "snapshot.interval.length": "300",
      "spam.pow.difficulty": "15",
      "spam.pow.hashFunction": "sha3_24_rounds",
      "spam.pow.increaseDifficulty": "0",
      "spam.pow.numberOfPastBlocks": "100",
      "spam.pow.numberOfTxPerBlock": "1000",
      "spam.protection.delegation.min.tokens": "100000000000000000",
      "spam.protection.max.batchSize": "30",
      "spam.protection.max.delegations": "360",
      "spam.protection.max.proposals": "300",
      "spam.protection.max.votes": "300",
      "spam.protection.maxUserTransfersPerEpoch": "10000",
      "spam.protection.minimumWithdrawalQuantumMultiple": "10",
      "spam.protection.minMultisigUpdates": "100000000000000000000",
      "spam.protection.proposal.min.tokens": "2000000000000000000000",
      "spam.protection.voting.min.tokens": "1000000000000000000",
      "spam.protection.applyReferral.min.funds": "0",
      "transfer.fee.factor": "0.001",
      "transfer.minTransferQuantumMultiple": "0",
      "transfer.fee.maxQuantumAmount": "100",
      "transfer.feeDiscountMinimumTrackedAmount": "0.001",
      "transfer.feeDiscountDecayFraction": "0.5",
      "validator.performance.scaling.factor": "0",
      "validators.delegation.minAmount": "1",
      "validators.epoch.length": "2m",
      "validators.vote.required": "0.67",
      "referralProgram.maxReferralTiers": "10",
      "referralProgram.maxReferralRewardFactor": "1",
      "referralProgram.maxReferralDiscountFactor": "1",
      "referralProgram.maxPartyNotionalVolumeByQuantumPerEpoch": "10000",
      "referralProgram.minStakedVegaTokens": "0",
      "referralProgram.maxReferralRewardProportion": "1",
      "market.aggressiveOrderBlockDelay": "1",
      "market.amm.minCommitmentQuantum": "1",
      "market.liquidity.maxAmmCalculationLevels": "100"
    },
    "network_limits": {
      "propose_market_enabled": true,
      "propose_asset_enabled": true,
      "bootstrap_block_count": 0
    },
    "checkpoint": {
      "load_hash": ""
    }
  }
}

Relevant log output

panic: ontick book has orders pegged to nothing

goroutine 24950 [running]:
go.uber.org/zap/zapcore.CheckWriteAction.OnWrite(0x0?, 0x0?, {0x0?, 0x0?, 0x0?})
    /Users/caed/go/pkg/mod/go.uber.org/zap@v1.25.0/zapcore/entry.go:196 +0x78
go.uber.org/zap/zapcore.(*CheckedEntry).Write(0x14002edea90, {0x0, 0x0, 0x0})
    /Users/caed/go/pkg/mod/go.uber.org/zap@v1.25.0/zapcore/entry.go:262 +0x2c0 
go.uber.org/zap.(*Logger).Panic(0x14004af1180?, {0x1033cc967?, 0x14008f4b860?}, {0x0, 0x0, 0x0})
    /Users/caed/go/pkg/mod/go.uber.org/zap@v1.25.0/logger.go:258 +0x54
code.vegaprotocol.io/vega/core/execution/future.(*Market).BlockEnd(0x14004af1180, {0x104767bd8, 0x14008f4b860})
    /Users/caed/Projects/vega-market-sim/extern/vega/core/execution/future/market.go:1201 +0x1070
code.vegaprotocol.io/vega/core/execution.(*Engine).BlockEnd(0x140008b9180?, {0x104767bd8, 0x14008f4b860})
    /Users/caed/Projects/vega-market-sim/extern/vega/core/execution/engine.go:1388 +0x4c
code.vegaprotocol.io/vega/core/processor.(*App).OnEndBlock(0x140001bd180, 0x108890a68?)
    /Users/caed/Projects/vega-market-sim/extern/vega/core/processor/abci.go:1299 +0x630
code.vegaprotocol.io/vega/core/blockchain/abci.(*App).FinalizeBlock(0x14000736480, {0x104506260?, 0x1?}, 0x14008c2fd40)
    /Users/caed/Projects/vega-market-sim/extern/vega/core/blockchain/abci/abci.go:191 +0x5b8
code.vegaprotocol.io/vega/cmd/vega/commands/node.(*appW).FinalizeBlock(0x14006191200?, {0x104767ba0?, 0x106e8d2a0?}, 0x106e8d2a0?)
    /Users/caed/Projects/vega-market-sim/extern/vega/cmd/vega/commands/node/app_wrapper.go:91 +0x30
code.vegaprotocol.io/vega/core/blockchain/nullchain.(*NullBlockchain).processBlock(0x1400054ed80)
    /Users/caed/Projects/vega-market-sim/extern/vega/core/blockchain/nullchain/nullchain.go:212 +0x488
code.vegaprotocol.io/vega/core/blockchain/nullchain.(*NullBlockchain).ForwardTime(0x1400054ed80, 0x59682f000)
    /Users/caed/Projects/vega-market-sim/extern/vega/core/blockchain/nullchain/nullchain.go:289 +0x194
code.vegaprotocol.io/vega/core/blockchain/nullchain.(*NullBlockchain).handleForwardTime.func1()
    /Users/caed/Projects/vega-market-sim/extern/vega/core/blockchain/nullchain/server.go:132 +0x2c
created by code.vegaprotocol.io/vega/core/blockchain/nullchain.(*NullBlockchain).handleForwardTime in goroutine 24948
    /Users/caed/Projects/vega-market-sim/extern/vega/core/blockchain/nullchain/server.go:131 +0x1e0
ze97286 commented 3 months ago

what happens is the following: order a0112c2c869569e72bd2f4f5f7ce0671581553323a91dac109b31c048cdd11cd comes in, it is a pegged order, pegged to the top ask with 0 offset. It gets priced using the amm BestPricesAndVolumes and ends up having a price far better than the current top of the book which fails the validation we have that the top of the book level cannot have only pegged orders.

EVODelavega commented 3 months ago

Root cause: at the end of the block, we call CheckBook on the matching engine, which returns false if the only orders found on the book were pegged orders. It didn't take AMMs in to account. As part of the changes fixing #11504 this was fixed, so I'm closing the issue as fixed.