Merge pull request #2720 from 0xProject/refactor_rfq_comparison_price_integration
feat: Refactor rfq comparison price integration
This commit is contained in:
Daniel Pyrathon
GitHub
commit
0571244e9e
@ -8,7 +8,7 @@
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"evmVersion": "istanbul",
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"optimizer": {
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"enabled": true,
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"runs": 1000000,
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"runs": 62500,
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"details": { "yul": true, "deduplicate": true, "cse": true, "constantOptimizer": true }
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},
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"outputSelection": {
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@ -20,6 +20,7 @@ pragma solidity ^0.5.9;
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pragma experimental ABIEncoderV2;
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import "@0x/contracts-erc20/contracts/src/interfaces/IERC20Token.sol";
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import "@0x/contracts-erc20/contracts/src/LibERC20Token.sol";
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import "@0x/contracts-exchange/contracts/src/interfaces/IExchange.sol";
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import "@0x/contracts-exchange-libs/contracts/src/LibOrder.sol";
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import "@0x/contracts-exchange-libs/contracts/src/LibMath.sol";
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@ -36,6 +37,19 @@ contract NativeOrderSampler {
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/// @dev Gas limit for calls to `getOrderFillableTakerAmount()`.
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uint256 constant internal DEFAULT_CALL_GAS = 200e3; // 200k
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function getTokenDecimals(
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address makerTokenAddress,
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address takerTokenAddress
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)
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public
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view
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returns (uint256, uint256)
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{
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uint256 fromTokenDecimals = LibERC20Token.decimals(makerTokenAddress);
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uint256 toTokenDecimals = LibERC20Token.decimals(takerTokenAddress);
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return (fromTokenDecimals, toTokenDecimals);
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}
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/// @dev Queries the fillable taker asset amounts of native orders.
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/// Effectively ignores orders that have empty signatures or
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/// maker/taker asset amounts (returning 0).
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@ -64,7 +64,7 @@
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"@0x/json-schemas": "^5.1.0",
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"@0x/order-utils": "^10.3.0",
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"@0x/orderbook": "^2.2.7",
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"@0x/quote-server": "^2.0.2",
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"@0x/quote-server": "^3.1.0",
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"@0x/types": "^3.2.0",
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"@0x/typescript-typings": "^5.1.1",
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"@0x/utils": "^5.5.1",
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@ -122,3 +122,12 @@ export const constants = {
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DEFAULT_INFO_LOGGER,
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DEFAULT_WARNING_LOGGER,
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};
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// This feature flag allows us to merge the price-aware RFQ pricing
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// project while still controlling when to activate the feature. We plan to do some
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// data analysis work and address some of the issues with maker fillable amounts
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// in later milestones. Once the feature is fully rolled out and is providing value
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// and we have assessed that there is no user impact, we will proceed in cleaning up
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// the feature flag. When that time comes, follow this PR to "undo" the feature flag:
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// https://github.com/0xProject/0x-monorepo/pull/2735
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export const IS_PRICE_AWARE_RFQ_ENABLED: boolean = false;
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@ -18,7 +18,7 @@ export {
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SRAPollingOrderProviderOpts,
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SRAWebsocketOrderProviderOpts,
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} from '@0x/orderbook';
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export { RFQTFirmQuote, RFQTIndicativeQuote } from '@0x/quote-server';
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export { RFQTFirmQuote, RFQTIndicativeQuote, TakerRequestQueryParams } from '@0x/quote-server';
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export {
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APIOrder,
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Asset,
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@ -8,7 +8,7 @@ import { BlockParamLiteral, SupportedProvider, ZeroExProvider } from 'ethereum-t
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import * as _ from 'lodash';
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import { artifacts } from './artifacts';
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import { constants } from './constants';
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import { constants, IS_PRICE_AWARE_RFQ_ENABLED } from './constants';
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import {
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CalculateSwapQuoteOpts,
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LiquidityForTakerMakerAssetDataPair,
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@ -683,7 +683,21 @@ export class SwapQuoter {
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this.expiryBufferMs,
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);
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// If an API key was provided, but the key is not whitelisted, raise a warning and disable RFQ
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if (opts.rfqt && opts.rfqt.apiKey && !this._isApiKeyWhitelisted(opts.rfqt.apiKey)) {
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if (rfqtOptions && rfqtOptions.warningLogger) {
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rfqtOptions.warningLogger(
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{
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apiKey: opts.rfqt.apiKey,
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},
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'Attempt at using an RFQ API key that is not whitelisted. Disabling RFQ for the request lifetime.',
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);
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}
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opts.rfqt = undefined;
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}
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if (
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!IS_PRICE_AWARE_RFQ_ENABLED && // Price-aware RFQ is disabled.
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opts.rfqt && // This is an RFQT-enabled API request
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opts.rfqt.intentOnFilling && // The requestor is asking for a firm quote
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opts.rfqt.apiKey &&
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@ -700,6 +714,7 @@ export class SwapQuoter {
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takerAssetData,
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assetFillAmount,
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marketOperation,
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undefined,
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opts.rfqt,
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)
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.then(firmQuotes => firmQuotes.map(quote => quote.signedOrder)),
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@ -707,9 +722,7 @@ export class SwapQuoter {
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}
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const orderBatches: SignedOrder[][] = await Promise.all(orderBatchPromises);
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const unsortedOrders: SignedOrder[] = orderBatches.reduce((_orders, batch) => _orders.concat(...batch), []);
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const orders = sortingUtils.sortOrders(unsortedOrders);
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// if no native orders, pass in a dummy order for the sampler to have required metadata for sampling
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@ -1,4 +1,5 @@
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import { BlockParam, ContractAddresses, GethCallOverrides } from '@0x/contract-wrappers';
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import { TakerRequestQueryParams } from '@0x/quote-server';
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import { SignedOrder } from '@0x/types';
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import { BigNumber } from '@0x/utils';
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@ -357,9 +358,7 @@ export enum OrderPrunerPermittedFeeTypes {
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export interface MockedRfqtFirmQuoteResponse {
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endpoint: string;
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requestApiKey: string;
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requestParams: {
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[key: string]: string | undefined;
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};
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requestParams: TakerRequestQueryParams;
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responseData: any;
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responseCode: number;
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}
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@ -370,9 +369,7 @@ export interface MockedRfqtFirmQuoteResponse {
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export interface MockedRfqtIndicativeQuoteResponse {
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endpoint: string;
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requestApiKey: string;
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requestParams: {
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[key: string]: string | undefined;
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};
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requestParams: TakerRequestQueryParams;
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responseData: any;
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responseCode: number;
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}
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@ -381,3 +378,5 @@ export interface SamplerOverrides {
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overrides: GethCallOverrides;
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block: BlockParam;
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}
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export type Omit<T, K extends keyof T> = Pick<T, Exclude<keyof T, K>>;
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@ -282,3 +282,4 @@ export const ONE_HOUR_IN_SECONDS = 60 * 60;
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export const ONE_SECOND_MS = 1000;
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export const NULL_BYTES = '0x';
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export const NULL_ADDRESS = '0x0000000000000000000000000000000000000000';
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export const COMPARISON_PRICE_DECIMALS = 5;
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@ -1,15 +1,18 @@
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import { ContractAddresses } from '@0x/contract-addresses';
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import { Web3Wrapper } from '@0x/dev-utils';
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import { RFQTIndicativeQuote } from '@0x/quote-server';
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import { SignedOrder } from '@0x/types';
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import { BigNumber, NULL_ADDRESS } from '@0x/utils';
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import * as _ from 'lodash';
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import { MarketOperation } from '../../types';
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import { IS_PRICE_AWARE_RFQ_ENABLED } from '../../constants';
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import { MarketOperation, Omit } from '../../types';
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import { QuoteRequestor } from '../quote_requestor';
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import { generateQuoteReport, QuoteReport } from './../quote_report_generator';
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import {
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BUY_SOURCE_FILTER,
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COMPARISON_PRICE_DECIMALS,
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DEFAULT_GET_MARKET_ORDERS_OPTS,
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FEE_QUOTE_SOURCES,
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ONE_ETHER,
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@ -33,12 +36,12 @@ import {
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CollapsedFill,
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DexSample,
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ERC20BridgeSource,
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ExchangeProxyOverhead,
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FeeSchedule,
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GenerateOptimizedOrdersOpts,
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GetMarketOrdersOpts,
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MarketSideLiquidity,
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OptimizedMarketOrder,
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OptimizerResult,
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OptimizerResultWithReport,
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OrderDomain,
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TokenAdjacencyGraph,
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} from './types';
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@ -58,6 +61,7 @@ export async function getRfqtIndicativeQuotesAsync(
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takerAssetData: string,
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marketOperation: MarketOperation,
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assetFillAmount: BigNumber,
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comparisonPrice: BigNumber | undefined,
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opts: Partial<GetMarketOrdersOpts>,
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): Promise<RFQTIndicativeQuote[]> {
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if (opts.rfqt && opts.rfqt.isIndicative === true && opts.rfqt.quoteRequestor) {
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@ -66,6 +70,7 @@ export async function getRfqtIndicativeQuotesAsync(
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takerAssetData,
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assetFillAmount,
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marketOperation,
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comparisonPrice,
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opts.rfqt,
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);
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} else {
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@ -168,6 +173,7 @@ export class MarketOperationUtils {
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// Call the sampler contract.
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const samplerPromise = this._sampler.executeAsync(
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this._sampler.getTokenDecimals(makerToken, takerToken),
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// Get native order fillable amounts.
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this._sampler.getOrderFillableTakerAmounts(nativeOrders, this.contractAddresses.exchange),
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// Get ETH -> maker token price.
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@ -211,15 +217,17 @@ export class MarketOperationUtils {
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),
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);
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const rfqtPromise = quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
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? getRfqtIndicativeQuotesAsync(
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nativeOrders[0].makerAssetData,
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nativeOrders[0].takerAssetData,
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MarketOperation.Sell,
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takerAmount,
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_opts,
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)
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: Promise.resolve([]);
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const rfqtPromise =
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!IS_PRICE_AWARE_RFQ_ENABLED && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
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? getRfqtIndicativeQuotesAsync(
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nativeOrders[0].makerAssetData,
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nativeOrders[0].takerAssetData,
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MarketOperation.Sell,
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takerAmount,
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undefined,
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_opts,
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)
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: Promise.resolve([]);
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const offChainBalancerPromise = sampleBalancerOffChain
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? this._sampler.getBalancerSellQuotesOffChainAsync(makerToken, takerToken, sampleAmounts)
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@ -234,7 +242,7 @@ export class MarketOperationUtils {
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: Promise.resolve([]);
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const [
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[orderFillableAmounts, ethToMakerAssetRate, ethToTakerAssetRate, dexQuotes, twoHopQuotes],
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[tokenDecimals, orderFillableAmounts, ethToMakerAssetRate, ethToTakerAssetRate, dexQuotes, twoHopQuotes],
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rfqtIndicativeQuotes,
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offChainBalancerQuotes,
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offChainCreamQuotes,
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@ -247,6 +255,7 @@ export class MarketOperationUtils {
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offChainBancorPromise,
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]);
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const [makerTokenDecimals, takerTokenDecimals] = tokenDecimals;
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return {
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side: MarketOperation.Sell,
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inputAmount: takerAmount,
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@ -259,6 +268,9 @@ export class MarketOperationUtils {
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ethToInputRate: ethToTakerAssetRate,
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rfqtIndicativeQuotes,
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twoHopQuotes,
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quoteSourceFilters,
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makerTokenDecimals: makerTokenDecimals.toNumber(),
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takerTokenDecimals: takerTokenDecimals.toNumber(),
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};
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}
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@ -311,6 +323,7 @@ export class MarketOperationUtils {
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// Call the sampler contract.
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const samplerPromise = this._sampler.executeAsync(
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this._sampler.getTokenDecimals(makerToken, takerToken),
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// Get native order fillable amounts.
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this._sampler.getOrderFillableMakerAmounts(nativeOrders, this.contractAddresses.exchange),
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// Get ETH -> makerToken token price.
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@ -352,17 +365,17 @@ export class MarketOperationUtils {
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this._liquidityProviderRegistry,
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),
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);
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const rfqtPromise = quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
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? getRfqtIndicativeQuotesAsync(
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nativeOrders[0].makerAssetData,
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nativeOrders[0].takerAssetData,
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MarketOperation.Buy,
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makerAmount,
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_opts,
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)
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: Promise.resolve([]);
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const rfqtPromise =
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!IS_PRICE_AWARE_RFQ_ENABLED && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
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? getRfqtIndicativeQuotesAsync(
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nativeOrders[0].makerAssetData,
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nativeOrders[0].takerAssetData,
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MarketOperation.Buy,
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makerAmount,
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undefined,
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_opts,
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)
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: Promise.resolve([]);
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const offChainBalancerPromise = sampleBalancerOffChain
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? this._sampler.getBalancerBuyQuotesOffChainAsync(makerToken, takerToken, sampleAmounts)
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: Promise.resolve([]);
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@ -372,7 +385,7 @@ export class MarketOperationUtils {
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: Promise.resolve([]);
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const [
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[orderFillableAmounts, ethToMakerAssetRate, ethToTakerAssetRate, dexQuotes, twoHopQuotes],
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[tokenDecimals, orderFillableAmounts, ethToMakerAssetRate, ethToTakerAssetRate, dexQuotes, twoHopQuotes],
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rfqtIndicativeQuotes,
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offChainBalancerQuotes,
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offChainCreamQuotes,
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@ -381,6 +394,7 @@ export class MarketOperationUtils {
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(dexQuotes.find(quotes => quotes[0] && quotes[0].source === ERC20BridgeSource.MultiBridge) || []).forEach(
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q => (q.fillData = { poolAddress: this._multiBridge }),
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);
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const [makerTokenDecimals, takerTokenDecimals] = tokenDecimals;
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return {
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side: MarketOperation.Buy,
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inputAmount: makerAmount,
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@ -393,6 +407,9 @@ export class MarketOperationUtils {
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ethToInputRate: ethToMakerAssetRate,
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rfqtIndicativeQuotes,
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twoHopQuotes,
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quoteSourceFilters,
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makerTokenDecimals: makerTokenDecimals.toNumber(),
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takerTokenDecimals: takerTokenDecimals.toNumber(),
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};
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}
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@ -408,29 +425,8 @@ export class MarketOperationUtils {
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nativeOrders: SignedOrder[],
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takerAmount: BigNumber,
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opts?: Partial<GetMarketOrdersOpts>,
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): Promise<OptimizerResult> {
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const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
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const marketSideLiquidity = await this.getMarketSellLiquidityAsync(nativeOrders, takerAmount, _opts);
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const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
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bridgeSlippage: _opts.bridgeSlippage,
|
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maxFallbackSlippage: _opts.maxFallbackSlippage,
|
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excludedSources: _opts.excludedSources,
|
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feeSchedule: _opts.feeSchedule,
|
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exchangeProxyOverhead: _opts.exchangeProxyOverhead,
|
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allowFallback: _opts.allowFallback,
|
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});
|
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|
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// Compute Quote Report and return the results.
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let quoteReport: QuoteReport | undefined;
|
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if (_opts.shouldGenerateQuoteReport) {
|
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quoteReport = MarketOperationUtils._computeQuoteReport(
|
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nativeOrders,
|
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_opts.rfqt ? _opts.rfqt.quoteRequestor : undefined,
|
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marketSideLiquidity,
|
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optimizerResult,
|
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);
|
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}
|
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return { ...optimizerResult, quoteReport };
|
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): Promise<OptimizerResultWithReport> {
|
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return this._getMarketSideOrdersAsync(nativeOrders, takerAmount, MarketOperation.Sell, opts);
|
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}
|
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|
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/**
|
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@ -445,27 +441,8 @@ export class MarketOperationUtils {
|
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nativeOrders: SignedOrder[],
|
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makerAmount: BigNumber,
|
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opts?: Partial<GetMarketOrdersOpts>,
|
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): Promise<OptimizerResult> {
|
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const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
|
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const marketSideLiquidity = await this.getMarketBuyLiquidityAsync(nativeOrders, makerAmount, _opts);
|
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const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
|
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bridgeSlippage: _opts.bridgeSlippage,
|
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maxFallbackSlippage: _opts.maxFallbackSlippage,
|
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excludedSources: _opts.excludedSources,
|
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feeSchedule: _opts.feeSchedule,
|
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exchangeProxyOverhead: _opts.exchangeProxyOverhead,
|
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allowFallback: _opts.allowFallback,
|
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});
|
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let quoteReport: QuoteReport | undefined;
|
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if (_opts.shouldGenerateQuoteReport) {
|
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quoteReport = MarketOperationUtils._computeQuoteReport(
|
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nativeOrders,
|
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_opts.rfqt ? _opts.rfqt.quoteRequestor : undefined,
|
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marketSideLiquidity,
|
||||
optimizerResult,
|
||||
);
|
||||
}
|
||||
return { ...optimizerResult, quoteReport };
|
||||
): Promise<OptimizerResultWithReport> {
|
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return this._getMarketSideOrdersAsync(nativeOrders, makerAmount, MarketOperation.Buy, opts);
|
||||
}
|
||||
|
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/**
|
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@ -548,6 +525,7 @@ export class MarketOperationUtils {
|
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inputToken: makerToken,
|
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outputToken: takerToken,
|
||||
twoHopQuotes: [],
|
||||
quoteSourceFilters,
|
||||
},
|
||||
{
|
||||
bridgeSlippage: _opts.bridgeSlippage,
|
||||
@ -567,18 +545,9 @@ export class MarketOperationUtils {
|
||||
);
|
||||
}
|
||||
|
||||
private async _generateOptimizedOrdersAsync(
|
||||
marketSideLiquidity: MarketSideLiquidity,
|
||||
opts: {
|
||||
runLimit?: number;
|
||||
bridgeSlippage?: number;
|
||||
maxFallbackSlippage?: number;
|
||||
excludedSources?: ERC20BridgeSource[];
|
||||
feeSchedule?: FeeSchedule;
|
||||
exchangeProxyOverhead?: ExchangeProxyOverhead;
|
||||
allowFallback?: boolean;
|
||||
shouldBatchBridgeOrders?: boolean;
|
||||
},
|
||||
public async _generateOptimizedOrdersAsync(
|
||||
marketSideLiquidity: Omit<MarketSideLiquidity, 'makerTokenDecimals' | 'takerTokenDecimals'>,
|
||||
opts: GenerateOptimizedOrdersOpts,
|
||||
): Promise<OptimizerResult> {
|
||||
const {
|
||||
inputToken,
|
||||
@ -671,6 +640,151 @@ export class MarketOperationUtils {
|
||||
sourceFlags: collapsedPath.sourceFlags,
|
||||
};
|
||||
}
|
||||
|
||||
private async _getMarketSideOrdersAsync(
|
||||
nativeOrders: SignedOrder[],
|
||||
amount: BigNumber,
|
||||
side: MarketOperation,
|
||||
opts?: Partial<GetMarketOrdersOpts>,
|
||||
): Promise<OptimizerResultWithReport> {
|
||||
const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
|
||||
const optimizerOpts: GenerateOptimizedOrdersOpts = {
|
||||
bridgeSlippage: _opts.bridgeSlippage,
|
||||
maxFallbackSlippage: _opts.maxFallbackSlippage,
|
||||
excludedSources: _opts.excludedSources,
|
||||
feeSchedule: _opts.feeSchedule,
|
||||
allowFallback: _opts.allowFallback,
|
||||
exchangeProxyOverhead: _opts.exchangeProxyOverhead,
|
||||
};
|
||||
|
||||
// Compute an optimized path for on-chain DEX and open-orderbook. This should not include RFQ liquidity.
|
||||
const marketLiquidityFnAsync =
|
||||
side === MarketOperation.Sell
|
||||
? this.getMarketSellLiquidityAsync.bind(this)
|
||||
: this.getMarketBuyLiquidityAsync.bind(this);
|
||||
const marketSideLiquidity = await marketLiquidityFnAsync(nativeOrders, amount, _opts);
|
||||
let optimizerResult: OptimizerResult | undefined;
|
||||
try {
|
||||
optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, optimizerOpts);
|
||||
} catch (e) {
|
||||
// If no on-chain or off-chain Open Orderbook orders are present, a `NoOptimalPath` will be thrown.
|
||||
// If this happens at this stage, there is still a chance that an RFQ order is fillable, therefore
|
||||
// we catch the error and continue.
|
||||
if (e.message !== AggregationError.NoOptimalPath) {
|
||||
throw e;
|
||||
}
|
||||
}
|
||||
|
||||
// If RFQ liquidity is enabled, make a request to check RFQ liquidity
|
||||
const { rfqt } = _opts;
|
||||
if (
|
||||
IS_PRICE_AWARE_RFQ_ENABLED &&
|
||||
rfqt &&
|
||||
rfqt.quoteRequestor &&
|
||||
marketSideLiquidity.quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
|
||||
) {
|
||||
// Calculate a suggested price. For now, this is simply the overall price of the aggregation.
|
||||
let comparisonPrice: BigNumber | undefined;
|
||||
if (optimizerResult) {
|
||||
const totalMakerAmount = BigNumber.sum(
|
||||
...optimizerResult.optimizedOrders.map(order => order.makerAssetAmount),
|
||||
);
|
||||
const totalTakerAmount = BigNumber.sum(
|
||||
...optimizerResult.optimizedOrders.map(order => order.takerAssetAmount),
|
||||
);
|
||||
if (totalMakerAmount.gt(0)) {
|
||||
const totalMakerAmountUnitAmount = Web3Wrapper.toUnitAmount(
|
||||
totalMakerAmount,
|
||||
marketSideLiquidity.makerTokenDecimals,
|
||||
);
|
||||
const totalTakerAmountUnitAmount = Web3Wrapper.toUnitAmount(
|
||||
totalTakerAmount,
|
||||
marketSideLiquidity.takerTokenDecimals,
|
||||
);
|
||||
comparisonPrice = totalMakerAmountUnitAmount
|
||||
.div(totalTakerAmountUnitAmount)
|
||||
.decimalPlaces(COMPARISON_PRICE_DECIMALS);
|
||||
}
|
||||
}
|
||||
|
||||
// If we are making an indicative quote, make the RFQT request and then re-run the sampler if new orders come back.
|
||||
if (rfqt.isIndicative) {
|
||||
const indicativeQuotes = await getRfqtIndicativeQuotesAsync(
|
||||
nativeOrders[0].makerAssetData,
|
||||
nativeOrders[0].takerAssetData,
|
||||
side,
|
||||
amount,
|
||||
comparisonPrice,
|
||||
_opts,
|
||||
);
|
||||
// Re-run optimizer with the new indicative quote
|
||||
if (indicativeQuotes.length > 0) {
|
||||
optimizerResult = await this._generateOptimizedOrdersAsync(
|
||||
{
|
||||
...marketSideLiquidity,
|
||||
rfqtIndicativeQuotes: indicativeQuotes,
|
||||
},
|
||||
optimizerOpts,
|
||||
);
|
||||
}
|
||||
} else {
|
||||
// A firm quote is being requested. Ensure that `intentOnFilling` is enabled.
|
||||
if (rfqt.intentOnFilling) {
|
||||
// Extra validation happens when requesting a firm quote, such as ensuring that the takerAddress
|
||||
// is indeed valid.
|
||||
if (!rfqt.takerAddress || rfqt.takerAddress === NULL_ADDRESS) {
|
||||
throw new Error('RFQ-T requests must specify a taker address');
|
||||
}
|
||||
const firmQuotes = await rfqt.quoteRequestor.requestRfqtFirmQuotesAsync(
|
||||
nativeOrders[0].makerAssetData,
|
||||
nativeOrders[0].takerAssetData,
|
||||
amount,
|
||||
side,
|
||||
comparisonPrice,
|
||||
rfqt,
|
||||
);
|
||||
if (firmQuotes.length > 0) {
|
||||
// Re-run optimizer with the new firm quote. This is the second and last time
|
||||
// we run the optimized in a block of code. In this case, we don't catch a potential `NoOptimalPath` exception
|
||||
// and we let it bubble up if it happens.
|
||||
//
|
||||
// NOTE: as of now, we assume that RFQ orders are 100% fillable because these are trusted market makers, therefore
|
||||
// we do not perform an extra check to get fillable taker amounts.
|
||||
optimizerResult = await this._generateOptimizedOrdersAsync(
|
||||
{
|
||||
...marketSideLiquidity,
|
||||
nativeOrders: marketSideLiquidity.nativeOrders.concat(
|
||||
firmQuotes.map(quote => quote.signedOrder),
|
||||
),
|
||||
orderFillableAmounts: marketSideLiquidity.orderFillableAmounts.concat(
|
||||
firmQuotes.map(quote => quote.signedOrder.takerAssetAmount),
|
||||
),
|
||||
},
|
||||
optimizerOpts,
|
||||
);
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
// At this point we should have at least one valid optimizer result, therefore we manually raise
|
||||
// `NoOptimalPath` if no optimizer result was ever set.
|
||||
if (optimizerResult === undefined) {
|
||||
throw new Error(AggregationError.NoOptimalPath);
|
||||
}
|
||||
|
||||
// Compute Quote Report and return the results.
|
||||
let quoteReport: QuoteReport | undefined;
|
||||
if (_opts.shouldGenerateQuoteReport) {
|
||||
quoteReport = MarketOperationUtils._computeQuoteReport(
|
||||
nativeOrders,
|
||||
_opts.rfqt ? _opts.rfqt.quoteRequestor : undefined,
|
||||
marketSideLiquidity,
|
||||
optimizerResult,
|
||||
);
|
||||
}
|
||||
return { ...optimizerResult, quoteReport };
|
||||
}
|
||||
}
|
||||
|
||||
// tslint:disable: max-file-line-count
|
||||
|
||||
@ -1,6 +1,8 @@
|
||||
import { BigNumber } from '@0x/utils';
|
||||
import * as _ from 'lodash';
|
||||
|
||||
import { Omit } from '../../types';
|
||||
|
||||
import { ZERO_AMOUNT } from './constants';
|
||||
import { getTwoHopAdjustedRate } from './rate_utils';
|
||||
import {
|
||||
@ -41,7 +43,7 @@ export function getIntermediateTokens(
|
||||
* Returns the best two-hop quote and the fee-adjusted rate of that quote.
|
||||
*/
|
||||
export function getBestTwoHopQuote(
|
||||
marketSideLiquidity: MarketSideLiquidity,
|
||||
marketSideLiquidity: Omit<MarketSideLiquidity, 'makerTokenDecimals' | 'takerTokenDecimals'>,
|
||||
feeSchedule?: FeeSchedule,
|
||||
exchangeProxyOverhead?: ExchangeProxyOverhead,
|
||||
): { quote: DexSample<MultiHopFillData> | undefined; adjustedRate: BigNumber } {
|
||||
|
||||
@ -97,6 +97,15 @@ export function createSignedOrdersWithFillableAmounts(
|
||||
orders: SignedOrder[],
|
||||
fillableAmounts: BigNumber[],
|
||||
): SignedOrderWithFillableAmounts[] {
|
||||
// Quick safety check: ensures that orders maps perfectly to fillable amounts.
|
||||
if (orders.length !== fillableAmounts.length) {
|
||||
throw new Error(
|
||||
`Number of orders was ${orders.length} but fillable amounts was ${
|
||||
fillableAmounts.length
|
||||
}. This should never happen`,
|
||||
);
|
||||
}
|
||||
|
||||
return orders
|
||||
.map((order: SignedOrder, i: number) => {
|
||||
const fillableAmount = fillableAmounts[i];
|
||||
|
||||
@ -93,6 +93,15 @@ export class SamplerOperations {
|
||||
return this._bancorService;
|
||||
}
|
||||
|
||||
public getTokenDecimals(makerTokenAddress: string, takerTokenAddress: string): BatchedOperation<BigNumber[]> {
|
||||
return new SamplerContractOperation({
|
||||
source: ERC20BridgeSource.Native,
|
||||
contract: this._samplerContract,
|
||||
function: this._samplerContract.getTokenDecimals,
|
||||
params: [makerTokenAddress, takerTokenAddress],
|
||||
});
|
||||
}
|
||||
|
||||
public getOrderFillableTakerAmounts(orders: SignedOrder[], exchangeAddress: string): BatchedOperation<BigNumber[]> {
|
||||
return new SamplerContractOperation({
|
||||
source: ERC20BridgeSource.Native,
|
||||
|
||||
@ -6,6 +6,8 @@ import { RfqtRequestOpts, SignedOrderWithFillableAmounts } from '../../types';
|
||||
import { QuoteRequestor } from '../../utils/quote_requestor';
|
||||
import { QuoteReport } from '../quote_report_generator';
|
||||
|
||||
import { SourceFilters } from './source_filters';
|
||||
|
||||
/**
|
||||
* Order domain keys: chainId and exchange
|
||||
*/
|
||||
@ -331,6 +333,9 @@ export interface OptimizerResult {
|
||||
optimizedOrders: OptimizedMarketOrder[];
|
||||
sourceFlags: number;
|
||||
liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>;
|
||||
}
|
||||
|
||||
export interface OptimizerResultWithReport extends OptimizerResult {
|
||||
quoteReport?: QuoteReport;
|
||||
}
|
||||
|
||||
@ -353,8 +358,22 @@ export interface MarketSideLiquidity {
|
||||
ethToInputRate: BigNumber;
|
||||
rfqtIndicativeQuotes: RFQTIndicativeQuote[];
|
||||
twoHopQuotes: Array<DexSample<MultiHopFillData>>;
|
||||
quoteSourceFilters: SourceFilters;
|
||||
makerTokenDecimals: number;
|
||||
takerTokenDecimals: number;
|
||||
}
|
||||
|
||||
export interface TokenAdjacencyGraph {
|
||||
[token: string]: string[];
|
||||
}
|
||||
|
||||
export interface GenerateOptimizedOrdersOpts {
|
||||
runLimit?: number;
|
||||
bridgeSlippage?: number;
|
||||
maxFallbackSlippage?: number;
|
||||
excludedSources?: ERC20BridgeSource[];
|
||||
feeSchedule?: FeeSchedule;
|
||||
exchangeProxyOverhead?: ExchangeProxyOverhead;
|
||||
allowFallback?: boolean;
|
||||
shouldBatchBridgeOrders?: boolean;
|
||||
}
|
||||
|
||||
@ -1,6 +1,6 @@
|
||||
import { schemas, SchemaValidator } from '@0x/json-schemas';
|
||||
import { assetDataUtils, orderCalculationUtils, SignedOrder } from '@0x/order-utils';
|
||||
import { RFQTFirmQuote, RFQTIndicativeQuote, TakerRequest } from '@0x/quote-server';
|
||||
import { RFQTFirmQuote, RFQTIndicativeQuote, TakerRequestQueryParams } from '@0x/quote-server';
|
||||
import { ERC20AssetData } from '@0x/types';
|
||||
import { BigNumber } from '@0x/utils';
|
||||
import Axios, { AxiosInstance } from 'axios';
|
||||
@ -44,29 +44,6 @@ function getTokenAddressOrThrow(assetData: string): string {
|
||||
throw new Error(`Decoded asset data (${JSON.stringify(decodedAssetData)}) does not contain a token address`);
|
||||
}
|
||||
|
||||
function inferQueryParams(
|
||||
marketOperation: MarketOperation,
|
||||
makerAssetData: string,
|
||||
takerAssetData: string,
|
||||
assetFillAmount: BigNumber,
|
||||
): Pick<TakerRequest, 'buyTokenAddress' | 'sellTokenAddress' | 'buyAmountBaseUnits' | 'sellAmountBaseUnits'> {
|
||||
if (marketOperation === MarketOperation.Buy) {
|
||||
return {
|
||||
buyTokenAddress: getTokenAddressOrThrow(makerAssetData),
|
||||
sellTokenAddress: getTokenAddressOrThrow(takerAssetData),
|
||||
buyAmountBaseUnits: assetFillAmount,
|
||||
sellAmountBaseUnits: undefined,
|
||||
};
|
||||
} else {
|
||||
return {
|
||||
buyTokenAddress: getTokenAddressOrThrow(makerAssetData),
|
||||
sellTokenAddress: getTokenAddressOrThrow(takerAssetData),
|
||||
sellAmountBaseUnits: assetFillAmount,
|
||||
buyAmountBaseUnits: undefined,
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
function hasExpectedAssetData(
|
||||
expectedMakerAssetData: string,
|
||||
expectedTakerAssetData: string,
|
||||
@ -111,6 +88,54 @@ export class QuoteRequestor {
|
||||
private readonly _schemaValidator: SchemaValidator = new SchemaValidator();
|
||||
private readonly _orderSignatureToMakerUri: { [orderSignature: string]: string } = {};
|
||||
|
||||
public static makeQueryParameters(
|
||||
takerAddress: string,
|
||||
marketOperation: MarketOperation,
|
||||
makerAssetData: string,
|
||||
takerAssetData: string,
|
||||
assetFillAmount: BigNumber,
|
||||
comparisonPrice?: BigNumber,
|
||||
): TakerRequestQueryParams {
|
||||
const buyTokenAddress = getTokenAddressOrThrow(makerAssetData);
|
||||
const sellTokenAddress = getTokenAddressOrThrow(takerAssetData);
|
||||
const { buyAmountBaseUnits, sellAmountBaseUnits } =
|
||||
marketOperation === MarketOperation.Buy
|
||||
? {
|
||||
buyAmountBaseUnits: assetFillAmount,
|
||||
sellAmountBaseUnits: undefined,
|
||||
}
|
||||
: {
|
||||
sellAmountBaseUnits: assetFillAmount,
|
||||
buyAmountBaseUnits: undefined,
|
||||
};
|
||||
|
||||
const requestParamsWithBigNumbers: Pick<
|
||||
TakerRequestQueryParams,
|
||||
'buyTokenAddress' | 'sellTokenAddress' | 'takerAddress' | 'comparisonPrice'
|
||||
> = {
|
||||
takerAddress,
|
||||
comparisonPrice: comparisonPrice === undefined ? undefined : comparisonPrice.toString(),
|
||||
buyTokenAddress,
|
||||
sellTokenAddress,
|
||||
};
|
||||
|
||||
// convert BigNumbers to strings
|
||||
// so they are digestible by axios
|
||||
if (sellAmountBaseUnits) {
|
||||
return {
|
||||
...requestParamsWithBigNumbers,
|
||||
sellAmountBaseUnits: sellAmountBaseUnits.toString(),
|
||||
};
|
||||
} else if (buyAmountBaseUnits) {
|
||||
return {
|
||||
...requestParamsWithBigNumbers,
|
||||
buyAmountBaseUnits: buyAmountBaseUnits.toString(),
|
||||
};
|
||||
} else {
|
||||
throw new Error('Neither "buyAmountBaseUnits" or "sellAmountBaseUnits" were defined');
|
||||
}
|
||||
}
|
||||
|
||||
constructor(
|
||||
private readonly _rfqtAssetOfferings: RfqtMakerAssetOfferings,
|
||||
private readonly _warningLogger: LogFunction = constants.DEFAULT_WARNING_LOGGER,
|
||||
@ -125,6 +150,7 @@ export class QuoteRequestor {
|
||||
takerAssetData: string,
|
||||
assetFillAmount: BigNumber,
|
||||
marketOperation: MarketOperation,
|
||||
comparisonPrice: BigNumber | undefined,
|
||||
options: RfqtRequestOpts,
|
||||
): Promise<RFQTFirmQuote[]> {
|
||||
const _opts: RfqtRequestOpts = { ...constants.DEFAULT_RFQT_REQUEST_OPTS, ...options };
|
||||
@ -143,6 +169,7 @@ export class QuoteRequestor {
|
||||
takerAssetData,
|
||||
assetFillAmount,
|
||||
marketOperation,
|
||||
comparisonPrice,
|
||||
_opts,
|
||||
'firm',
|
||||
);
|
||||
@ -213,6 +240,7 @@ export class QuoteRequestor {
|
||||
takerAssetData: string,
|
||||
assetFillAmount: BigNumber,
|
||||
marketOperation: MarketOperation,
|
||||
comparisonPrice: BigNumber | undefined,
|
||||
options: RfqtRequestOpts,
|
||||
): Promise<RFQTIndicativeQuote[]> {
|
||||
const _opts: RfqtRequestOpts = { ...constants.DEFAULT_RFQT_REQUEST_OPTS, ...options };
|
||||
@ -231,6 +259,7 @@ export class QuoteRequestor {
|
||||
takerAssetData,
|
||||
assetFillAmount,
|
||||
marketOperation,
|
||||
comparisonPrice,
|
||||
_opts,
|
||||
'indicative',
|
||||
);
|
||||
@ -331,25 +360,18 @@ export class QuoteRequestor {
|
||||
takerAssetData: string,
|
||||
assetFillAmount: BigNumber,
|
||||
marketOperation: MarketOperation,
|
||||
comparisonPrice: BigNumber | undefined,
|
||||
options: RfqtRequestOpts,
|
||||
quoteType: 'firm' | 'indicative',
|
||||
): Promise<Array<{ response: ResponseT; makerUri: string }>> {
|
||||
const requestParamsWithBigNumbers = {
|
||||
takerAddress: options.takerAddress,
|
||||
...inferQueryParams(marketOperation, makerAssetData, takerAssetData, assetFillAmount),
|
||||
};
|
||||
|
||||
// convert BigNumbers to strings
|
||||
// so they are digestible by axios
|
||||
const requestParams = {
|
||||
...requestParamsWithBigNumbers,
|
||||
sellAmountBaseUnits: requestParamsWithBigNumbers.sellAmountBaseUnits
|
||||
? requestParamsWithBigNumbers.sellAmountBaseUnits.toString()
|
||||
: undefined,
|
||||
buyAmountBaseUnits: requestParamsWithBigNumbers.buyAmountBaseUnits
|
||||
? requestParamsWithBigNumbers.buyAmountBaseUnits.toString()
|
||||
: undefined,
|
||||
};
|
||||
const requestParams = QuoteRequestor.makeQueryParameters(
|
||||
options.takerAddress,
|
||||
marketOperation,
|
||||
makerAssetData,
|
||||
takerAssetData,
|
||||
assetFillAmount,
|
||||
comparisonPrice,
|
||||
);
|
||||
|
||||
const result: Array<{ response: ResponseT; makerUri: string }> = [];
|
||||
await Promise.all(
|
||||
|
||||
@ -1,3 +1,4 @@
|
||||
import { artifacts as erc20Artifacts, DummyERC20TokenContract } from '@0x/contracts-erc20';
|
||||
import {
|
||||
assertIntegerRoughlyEquals,
|
||||
blockchainTests,
|
||||
@ -130,6 +131,36 @@ blockchainTests.resets('NativeOrderSampler contract', env => {
|
||||
.awaitTransactionSuccessAsync();
|
||||
}
|
||||
|
||||
describe('getTokenDecimals()', () => {
|
||||
it('correctly returns the token balances', async () => {
|
||||
const newMakerToken = await DummyERC20TokenContract.deployFrom0xArtifactAsync(
|
||||
erc20Artifacts.DummyERC20Token,
|
||||
env.provider,
|
||||
env.txDefaults,
|
||||
artifacts,
|
||||
constants.DUMMY_TOKEN_NAME,
|
||||
constants.DUMMY_TOKEN_SYMBOL,
|
||||
new BigNumber(18),
|
||||
constants.DUMMY_TOKEN_TOTAL_SUPPLY,
|
||||
);
|
||||
const newTakerToken = await DummyERC20TokenContract.deployFrom0xArtifactAsync(
|
||||
erc20Artifacts.DummyERC20Token,
|
||||
env.provider,
|
||||
env.txDefaults,
|
||||
artifacts,
|
||||
constants.DUMMY_TOKEN_NAME,
|
||||
constants.DUMMY_TOKEN_SYMBOL,
|
||||
new BigNumber(6),
|
||||
constants.DUMMY_TOKEN_TOTAL_SUPPLY,
|
||||
);
|
||||
const [makerDecimals, takerDecimals] = await testContract
|
||||
.getTokenDecimals(newMakerToken.address, newTakerToken.address)
|
||||
.callAsync();
|
||||
expect(makerDecimals.toString()).to.eql('18');
|
||||
expect(takerDecimals.toString()).to.eql('6');
|
||||
});
|
||||
});
|
||||
|
||||
describe('getOrderFillableTakerAmount()', () => {
|
||||
it('returns the full amount for a fully funded order', async () => {
|
||||
const order = createOrder();
|
||||
|
||||
@ -1,3 +1,4 @@
|
||||
// tslint:disable: no-unbound-method
|
||||
import { getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
|
||||
import {
|
||||
assertRoughlyEquals,
|
||||
@ -16,6 +17,7 @@ import * as _ from 'lodash';
|
||||
import * as TypeMoq from 'typemoq';
|
||||
|
||||
import { MarketOperation, QuoteRequestor, RfqtRequestOpts, SignedOrderWithFillableAmounts } from '../src';
|
||||
import { IS_PRICE_AWARE_RFQ_ENABLED } from '../src/constants';
|
||||
import { getRfqtIndicativeQuotesAsync, MarketOperationUtils } from '../src/utils/market_operation_utils/';
|
||||
import { BalancerPoolsCache } from '../src/utils/market_operation_utils/balancer_utils';
|
||||
import {
|
||||
@ -29,7 +31,16 @@ import { CreamPoolsCache } from '../src/utils/market_operation_utils/cream_utils
|
||||
import { createFills } from '../src/utils/market_operation_utils/fills';
|
||||
import { DexOrderSampler } from '../src/utils/market_operation_utils/sampler';
|
||||
import { BATCH_SOURCE_FILTERS } from '../src/utils/market_operation_utils/sampler_operations';
|
||||
import { DexSample, ERC20BridgeSource, FillData, NativeFillData } from '../src/utils/market_operation_utils/types';
|
||||
import { SourceFilters } from '../src/utils/market_operation_utils/source_filters';
|
||||
import {
|
||||
AggregationError,
|
||||
DexSample,
|
||||
ERC20BridgeSource,
|
||||
FillData,
|
||||
GenerateOptimizedOrdersOpts,
|
||||
MarketSideLiquidity,
|
||||
NativeFillData,
|
||||
} from '../src/utils/market_operation_utils/types';
|
||||
|
||||
const MAKER_TOKEN = randomAddress();
|
||||
const TAKER_TOKEN = randomAddress();
|
||||
@ -58,6 +69,34 @@ describe('MarketOperationUtils tests', () => {
|
||||
const CHAIN_ID = 1;
|
||||
const contractAddresses = { ...getContractAddressesForChainOrThrow(CHAIN_ID), multiBridge: NULL_ADDRESS };
|
||||
|
||||
function getMockedQuoteRequestor(
|
||||
type: 'indicative' | 'firm',
|
||||
results: SignedOrder[],
|
||||
verifiable: TypeMoq.Times,
|
||||
): TypeMoq.IMock<QuoteRequestor> {
|
||||
const args: [any, any, any, any, any, any] = [
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
];
|
||||
const requestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose, true);
|
||||
if (type === 'firm') {
|
||||
requestor
|
||||
.setup(r => r.requestRfqtFirmQuotesAsync(...args))
|
||||
.returns(async () => results.map(result => ({ signedOrder: result })))
|
||||
.verifiable(verifiable);
|
||||
} else {
|
||||
requestor
|
||||
.setup(r => r.requestRfqtIndicativeQuotesAsync(...args))
|
||||
.returns(async () => results)
|
||||
.verifiable(verifiable);
|
||||
}
|
||||
return requestor;
|
||||
}
|
||||
|
||||
function createOrder(overrides?: Partial<SignedOrder>): SignedOrder {
|
||||
return {
|
||||
chainId: CHAIN_ID,
|
||||
@ -353,6 +392,10 @@ describe('MarketOperationUtils tests', () => {
|
||||
};
|
||||
|
||||
const DEFAULT_OPS = {
|
||||
getTokenDecimals(_makerAddress: string, _takerAddress: string): BigNumber[] {
|
||||
const result = new BigNumber(18);
|
||||
return [result, result];
|
||||
},
|
||||
getOrderFillableTakerAmounts(orders: SignedOrder[]): BigNumber[] {
|
||||
return orders.map(o => o.takerAssetAmount);
|
||||
},
|
||||
@ -447,6 +490,7 @@ describe('MarketOperationUtils tests', () => {
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
),
|
||||
)
|
||||
.returns(() => Promise.resolve([]))
|
||||
@ -456,6 +500,7 @@ describe('MarketOperationUtils tests', () => {
|
||||
TAKER_ASSET_DATA,
|
||||
MarketOperation.Sell,
|
||||
new BigNumber('100e18'),
|
||||
undefined,
|
||||
{
|
||||
rfqt: { quoteRequestor: requestor.object, ...partialRfqt },
|
||||
},
|
||||
@ -693,6 +738,412 @@ describe('MarketOperationUtils tests', () => {
|
||||
}
|
||||
});
|
||||
|
||||
it(
|
||||
'getMarketSellOrdersAsync() optimizer will be called once only if RFQ if not defined',
|
||||
IS_PRICE_AWARE_RFQ_ENABLED
|
||||
? async () => {
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
|
||||
// Ensure that `_generateOptimizedOrdersAsync` is only called once
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
||||
.verifiable(TypeMoq.Times.once());
|
||||
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS,
|
||||
totalAssetAmount,
|
||||
DEFAULT_OPTS,
|
||||
);
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
}
|
||||
: undefined,
|
||||
);
|
||||
|
||||
it(
|
||||
'optimizer will send in a comparison price to RFQ providers',
|
||||
IS_PRICE_AWARE_RFQ_ENABLED
|
||||
? async () => {
|
||||
// Set up mocked quote requestor, will return an order that is better
|
||||
// than the best of the orders.
|
||||
const mockedQuoteRequestor = TypeMoq.Mock.ofType(
|
||||
QuoteRequestor,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
{},
|
||||
);
|
||||
|
||||
let requestedComparisonPrice: BigNumber | undefined;
|
||||
mockedQuoteRequestor
|
||||
.setup(mqr =>
|
||||
mqr.requestRfqtFirmQuotesAsync(
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
),
|
||||
)
|
||||
.callback(
|
||||
(
|
||||
_makerAssetData: string,
|
||||
_takerAssetData: string,
|
||||
_assetFillAmount: BigNumber,
|
||||
_marketOperation: MarketOperation,
|
||||
comparisonPrice: BigNumber | undefined,
|
||||
_options: RfqtRequestOpts,
|
||||
) => {
|
||||
requestedComparisonPrice = comparisonPrice;
|
||||
},
|
||||
)
|
||||
.returns(async () => {
|
||||
return [
|
||||
{
|
||||
signedOrder: createOrder({
|
||||
makerAssetData: MAKER_ASSET_DATA,
|
||||
takerAssetData: TAKER_ASSET_DATA,
|
||||
makerAssetAmount: Web3Wrapper.toBaseUnitAmount(321, 6),
|
||||
takerAssetAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
|
||||
}),
|
||||
},
|
||||
];
|
||||
});
|
||||
|
||||
// Set up sampler, will only return 1 on-chain order
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(mou =>
|
||||
mou.getMarketSellLiquidityAsync(
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
TypeMoq.It.isAny(),
|
||||
),
|
||||
)
|
||||
.returns(async () => {
|
||||
return {
|
||||
dexQuotes: [],
|
||||
ethToInputRate: Web3Wrapper.toBaseUnitAmount(1, 18),
|
||||
ethToOutputRate: Web3Wrapper.toBaseUnitAmount(1, 6),
|
||||
inputAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
|
||||
inputToken: MAKER_TOKEN,
|
||||
outputToken: TAKER_TOKEN,
|
||||
nativeOrders: [
|
||||
createOrder({
|
||||
makerAssetData: MAKER_ASSET_DATA,
|
||||
takerAssetData: TAKER_ASSET_DATA,
|
||||
makerAssetAmount: Web3Wrapper.toBaseUnitAmount(320, 6),
|
||||
takerAssetAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
|
||||
}),
|
||||
],
|
||||
orderFillableAmounts: [Web3Wrapper.toBaseUnitAmount(1, 18)],
|
||||
rfqtIndicativeQuotes: [],
|
||||
side: MarketOperation.Sell,
|
||||
twoHopQuotes: [],
|
||||
quoteSourceFilters: new SourceFilters(),
|
||||
makerTokenDecimals: 6,
|
||||
takerTokenDecimals: 18,
|
||||
};
|
||||
});
|
||||
const result = await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS,
|
||||
Web3Wrapper.toBaseUnitAmount(1, 18),
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: false,
|
||||
apiKey: 'foo',
|
||||
takerAddress: randomAddress(),
|
||||
intentOnFilling: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtFirmQuotesAsync:
|
||||
mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
},
|
||||
);
|
||||
expect(result.optimizedOrders.length).to.eql(1);
|
||||
// tslint:disable-next-line:no-unnecessary-type-assertion
|
||||
expect(requestedComparisonPrice!.toString()).to.eql('320');
|
||||
expect(result.optimizedOrders[0].makerAssetAmount.toString()).to.eql('321000000');
|
||||
expect(result.optimizedOrders[0].takerAssetAmount.toString()).to.eql('1000000000000000000');
|
||||
}
|
||||
: undefined,
|
||||
);
|
||||
|
||||
it(
|
||||
'getMarketSellOrdersAsync() will not rerun the optimizer if no orders are returned',
|
||||
IS_PRICE_AWARE_RFQ_ENABLED
|
||||
? async () => {
|
||||
// Ensure that `_generateOptimizedOrdersAsync` is only called once
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
||||
.verifiable(TypeMoq.Times.once());
|
||||
|
||||
const requestor = getMockedQuoteRequestor('firm', [], TypeMoq.Times.once());
|
||||
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(ORDERS, totalAssetAmount, {
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: false,
|
||||
apiKey: 'foo',
|
||||
takerAddress: randomAddress(),
|
||||
intentOnFilling: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
});
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
}
|
||||
: undefined,
|
||||
);
|
||||
|
||||
it(
|
||||
'getMarketSellOrdersAsync() will rerun the optimizer if one or more indicative are returned',
|
||||
IS_PRICE_AWARE_RFQ_ENABLED
|
||||
? async () => {
|
||||
const requestor = getMockedQuoteRequestor(
|
||||
'indicative',
|
||||
[ORDERS[0], ORDERS[1]],
|
||||
TypeMoq.Times.once(),
|
||||
);
|
||||
|
||||
const numOrdersInCall: number[] = [];
|
||||
const numIndicativeQuotesInCall: number[] = [];
|
||||
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.callback(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
||||
numOrdersInCall.push(msl.nativeOrders.length);
|
||||
numIndicativeQuotesInCall.push(msl.rfqtIndicativeQuotes.length);
|
||||
})
|
||||
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
||||
.verifiable(TypeMoq.Times.exactly(2));
|
||||
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS.slice(2, ORDERS.length),
|
||||
totalAssetAmount,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: true,
|
||||
apiKey: 'foo',
|
||||
takerAddress: randomAddress(),
|
||||
intentOnFilling: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtIndicativeQuotesAsync:
|
||||
requestor.object.requestRfqtIndicativeQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
},
|
||||
);
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
|
||||
// The first and second optimizer call contains same number of RFQ orders.
|
||||
expect(numOrdersInCall.length).to.eql(2);
|
||||
expect(numOrdersInCall[0]).to.eql(1);
|
||||
expect(numOrdersInCall[1]).to.eql(1);
|
||||
|
||||
// The first call to optimizer will have no RFQ indicative quotes. The second call will have
|
||||
// two indicative quotes.
|
||||
expect(numIndicativeQuotesInCall.length).to.eql(2);
|
||||
expect(numIndicativeQuotesInCall[0]).to.eql(0);
|
||||
expect(numIndicativeQuotesInCall[1]).to.eql(2);
|
||||
}
|
||||
: undefined,
|
||||
);
|
||||
|
||||
it(
|
||||
'getMarketSellOrdersAsync() will rerun the optimizer if one or more RFQ orders are returned',
|
||||
IS_PRICE_AWARE_RFQ_ENABLED
|
||||
? async () => {
|
||||
const requestor = getMockedQuoteRequestor('firm', [ORDERS[0]], TypeMoq.Times.once());
|
||||
|
||||
// Ensure that `_generateOptimizedOrdersAsync` is only called once
|
||||
|
||||
// TODO: Ensure fillable amounts increase too
|
||||
const numOrdersInCall: number[] = [];
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.callback(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
||||
numOrdersInCall.push(msl.nativeOrders.length);
|
||||
})
|
||||
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
||||
.verifiable(TypeMoq.Times.exactly(2));
|
||||
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS.slice(1, ORDERS.length),
|
||||
totalAssetAmount,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: false,
|
||||
apiKey: 'foo',
|
||||
takerAddress: randomAddress(),
|
||||
intentOnFilling: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
},
|
||||
);
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
expect(numOrdersInCall.length).to.eql(2);
|
||||
|
||||
// The first call to optimizer was without an RFQ order.
|
||||
// The first call to optimizer was with an extra RFQ order.
|
||||
expect(numOrdersInCall[0]).to.eql(2);
|
||||
expect(numOrdersInCall[1]).to.eql(3);
|
||||
}
|
||||
: undefined,
|
||||
);
|
||||
|
||||
it(
|
||||
'getMarketSellOrdersAsync() will not raise a NoOptimalPath error if no initial path was found during on-chain DEX optimization, but a path was found after RFQ optimization',
|
||||
IS_PRICE_AWARE_RFQ_ENABLED
|
||||
? async () => {
|
||||
let hasFirstOptimizationRun = false;
|
||||
let hasSecondOptimizationRun = false;
|
||||
const requestor = getMockedQuoteRequestor(
|
||||
'firm',
|
||||
[ORDERS[0], ORDERS[1]],
|
||||
TypeMoq.Times.once(),
|
||||
);
|
||||
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.returns(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
||||
if (msl.nativeOrders.length === 1) {
|
||||
hasFirstOptimizationRun = true;
|
||||
throw new Error(AggregationError.NoOptimalPath);
|
||||
} else if (msl.nativeOrders.length === 3) {
|
||||
hasSecondOptimizationRun = true;
|
||||
return mockedMarketOpUtils.target._generateOptimizedOrdersAsync(msl, _opts);
|
||||
} else {
|
||||
throw new Error('Invalid path. this error message should never appear');
|
||||
}
|
||||
})
|
||||
.verifiable(TypeMoq.Times.exactly(2));
|
||||
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS.slice(2, ORDERS.length),
|
||||
totalAssetAmount,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: false,
|
||||
apiKey: 'foo',
|
||||
takerAddress: randomAddress(),
|
||||
intentOnFilling: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
},
|
||||
);
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
|
||||
expect(hasFirstOptimizationRun).to.eql(true);
|
||||
expect(hasSecondOptimizationRun).to.eql(true);
|
||||
}
|
||||
: undefined,
|
||||
);
|
||||
|
||||
it('getMarketSellOrdersAsync() will raise a NoOptimalPath error if no path was found during on-chain DEX optimization and RFQ optimization', async () => {
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.returns(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
||||
throw new Error(AggregationError.NoOptimalPath);
|
||||
})
|
||||
.verifiable(TypeMoq.Times.exactly(1));
|
||||
|
||||
try {
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS.slice(2, ORDERS.length),
|
||||
ORDERS[0].takerAssetAmount,
|
||||
DEFAULT_OPTS,
|
||||
);
|
||||
expect.fail(`Call should have thrown "${AggregationError.NoOptimalPath}" but instead succeded`);
|
||||
} catch (e) {
|
||||
if (e.message !== AggregationError.NoOptimalPath) {
|
||||
expect.fail(e);
|
||||
}
|
||||
}
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
});
|
||||
|
||||
it('generates bridge orders with correct taker amount', async () => {
|
||||
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
|
||||
// Pass in empty orders to prevent native orders from being used.
|
||||
|
||||
@ -1,5 +1,6 @@
|
||||
import { tokenUtils } from '@0x/dev-utils';
|
||||
import { assetDataUtils } from '@0x/order-utils';
|
||||
import { TakerRequestQueryParams } from '@0x/quote-server';
|
||||
import { StatusCodes } from '@0x/types';
|
||||
import { BigNumber } from '@0x/utils';
|
||||
import * as chai from 'chai';
|
||||
@ -35,11 +36,11 @@ describe('QuoteRequestor', async () => {
|
||||
// Set up RFQT responses
|
||||
// tslint:disable-next-line:array-type
|
||||
const mockedRequests: MockedRfqtFirmQuoteResponse[] = [];
|
||||
const expectedParams = {
|
||||
const expectedParams: TakerRequestQueryParams = {
|
||||
sellTokenAddress: takerToken,
|
||||
buyTokenAddress: makerToken,
|
||||
sellAmountBaseUnits: '10000',
|
||||
buyAmountBaseUnits: undefined,
|
||||
comparisonPrice: undefined,
|
||||
takerAddress,
|
||||
};
|
||||
// Successful response
|
||||
@ -174,6 +175,7 @@ describe('QuoteRequestor', async () => {
|
||||
takerAssetData,
|
||||
new BigNumber(10000),
|
||||
MarketOperation.Sell,
|
||||
undefined,
|
||||
{
|
||||
apiKey,
|
||||
takerAddress,
|
||||
@ -189,6 +191,17 @@ describe('QuoteRequestor', async () => {
|
||||
});
|
||||
});
|
||||
describe('requestRfqtIndicativeQuotesAsync for Indicative quotes', async () => {
|
||||
it('should optionally accept a "comparisonPrice" parameter', async () => {
|
||||
const response = QuoteRequestor.makeQueryParameters(
|
||||
otherToken1,
|
||||
MarketOperation.Sell,
|
||||
makerAssetData,
|
||||
takerAssetData,
|
||||
new BigNumber(1000),
|
||||
new BigNumber(300.2),
|
||||
);
|
||||
expect(response.comparisonPrice).to.eql('300.2');
|
||||
});
|
||||
it('should return successful RFQT requests', async () => {
|
||||
const takerAddress = '0xd209925defc99488e3afff1174e48b4fa628302a';
|
||||
const apiKey = 'my-ko0l-api-key';
|
||||
@ -196,11 +209,11 @@ describe('QuoteRequestor', async () => {
|
||||
// Set up RFQT responses
|
||||
// tslint:disable-next-line:array-type
|
||||
const mockedRequests: MockedRfqtIndicativeQuoteResponse[] = [];
|
||||
const expectedParams = {
|
||||
const expectedParams: TakerRequestQueryParams = {
|
||||
sellTokenAddress: takerToken,
|
||||
buyTokenAddress: makerToken,
|
||||
sellAmountBaseUnits: '10000',
|
||||
buyAmountBaseUnits: undefined,
|
||||
comparisonPrice: undefined,
|
||||
takerAddress,
|
||||
};
|
||||
// Successful response
|
||||
@ -276,6 +289,7 @@ describe('QuoteRequestor', async () => {
|
||||
takerAssetData,
|
||||
new BigNumber(10000),
|
||||
MarketOperation.Sell,
|
||||
undefined,
|
||||
{
|
||||
apiKey,
|
||||
takerAddress,
|
||||
@ -294,11 +308,11 @@ describe('QuoteRequestor', async () => {
|
||||
// Set up RFQT responses
|
||||
// tslint:disable-next-line:array-type
|
||||
const mockedRequests: MockedRfqtIndicativeQuoteResponse[] = [];
|
||||
const expectedParams = {
|
||||
const expectedParams: TakerRequestQueryParams = {
|
||||
sellTokenAddress: takerToken,
|
||||
buyTokenAddress: makerToken,
|
||||
buyAmountBaseUnits: '10000',
|
||||
sellAmountBaseUnits: undefined,
|
||||
comparisonPrice: undefined,
|
||||
takerAddress,
|
||||
};
|
||||
// Successful response
|
||||
@ -326,6 +340,7 @@ describe('QuoteRequestor', async () => {
|
||||
takerAssetData,
|
||||
new BigNumber(10000),
|
||||
MarketOperation.Buy,
|
||||
undefined,
|
||||
{
|
||||
apiKey,
|
||||
takerAddress,
|
||||
|
||||
@ -748,9 +748,10 @@
|
||||
uuid "^3.3.2"
|
||||
websocket "^1.0.29"
|
||||
|
||||
"@0x/quote-server@^2.0.2":
|
||||
version "2.0.2"
|
||||
resolved "https://registry.yarnpkg.com/@0x/quote-server/-/quote-server-2.0.2.tgz#60d0665c1cad378c9abb89b5491bdc55b4c8412c"
|
||||
"@0x/quote-server@^3.1.0":
|
||||
version "3.1.0"
|
||||
resolved "https://registry.yarnpkg.com/@0x/quote-server/-/quote-server-3.1.0.tgz#ba5c0de9f88fedfd522ec1ef608dd8eebb868509"
|
||||
integrity sha512-o9n7wE9XmV/YMjAcIt3EJMnc0xony8VhqNtO7dGAREi/WQxJBlNAHNZxu4wQ0wV03wroH58eJTOpn4fk+kuXqQ==
|
||||
dependencies:
|
||||
"@0x/json-schemas" "^5.0.7"
|
||||
"@0x/order-utils" "^10.2.4"
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user