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F. Eugene Aumson 2020-10-14 12:01:10 -04:00
parent 2db52c6983
commit 05b25c6229
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4 changed files with 106 additions and 88 deletions
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23
packages/asset-swapper/src/utils/market_operation_utils/index.ts
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@ -601,16 +601,27 @@ export class MarketOperationUtils {
// If RFQ liquidity is enabled, make a request to check RFQ liquidity // If RFQ liquidity is enabled, make a request to check RFQ liquidity
const { rfqt } = _opts; const { rfqt } = _opts;
if (rfqt && rfqt.quoteRequestor && marketSideLiquidity.quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)) { if (rfqt && rfqt.quoteRequestor && marketSideLiquidity.quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)) {
// Calculate a suggested price. For now, this is simply the overall price of the aggregation. // Calculate a suggested price. For now, this is simply the overall price of the aggregation.
let comparisonPrice: BigNumber | undefined; let comparisonPrice: BigNumber | undefined;
if (optimizerResult) { if (optimizerResult) {
const totalMakerAmount = BigNumber.sum(...optimizerResult.optimizedOrders.map(order => order.makerAssetAmount)); const totalMakerAmount = BigNumber.sum(
const totalTakerAmount = BigNumber.sum(...optimizerResult.optimizedOrders.map(order => order.takerAssetAmount)); ...optimizerResult.optimizedOrders.map(order => order.makerAssetAmount),
);
const totalTakerAmount = BigNumber.sum(
...optimizerResult.optimizedOrders.map(order => order.takerAssetAmount),
);
if (totalMakerAmount.gt(0)) { if (totalMakerAmount.gt(0)) {
const totalMakerAmountUnitAmount = Web3Wrapper.toUnitAmount(totalMakerAmount, marketSideLiquidity.makerTokenDecimals); const totalMakerAmountUnitAmount = Web3Wrapper.toUnitAmount(
const totalTakerAmountUnitAmount = Web3Wrapper.toUnitAmount(totalTakerAmount, marketSideLiquidity.takerTokenDecimals); totalMakerAmount,
comparisonPrice = totalMakerAmountUnitAmount.div(totalTakerAmountUnitAmount).decimalPlaces(COMPARISON_PRICE_DECIMALS); marketSideLiquidity.makerTokenDecimals,
);
const totalTakerAmountUnitAmount = Web3Wrapper.toUnitAmount(
totalTakerAmount,
marketSideLiquidity.takerTokenDecimals,
);
comparisonPrice = totalMakerAmountUnitAmount
.div(totalTakerAmountUnitAmount)
.decimalPlaces(COMPARISON_PRICE_DECIMALS);
} }
} }

13
packages/asset-swapper/src/utils/quote_requestor.ts
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@ -119,9 +119,16 @@ export class QuoteRequestor {
assetFillAmount: BigNumber, assetFillAmount: BigNumber,
comparisonPrice?: BigNumber | undefined, comparisonPrice?: BigNumber | undefined,
): TakerRequestQueryParams { ): TakerRequestQueryParams {
const { buyAmountBaseUnits, sellAmountBaseUnits, ...rest } = inferQueryParams(
const {buyAmountBaseUnits, sellAmountBaseUnits, ...rest } = inferQueryParams(marketOperation, makerAssetData, takerAssetData, assetFillAmount); marketOperation,
const requestParamsWithBigNumbers: Pick<TakerRequestQueryParams, 'buyTokenAddress' | 'sellTokenAddress' | 'takerAddress' | 'comparisonPrice'> = { makerAssetData,
takerAssetData,
assetFillAmount,
);
const requestParamsWithBigNumbers: Pick<
TakerRequestQueryParams,
'buyTokenAddress' | 'sellTokenAddress' | 'takerAddress' | 'comparisonPrice'
> = {
takerAddress, takerAddress,
comparisonPrice: comparisonPrice === undefined ? undefined : comparisonPrice.toString(), comparisonPrice: comparisonPrice === undefined ? undefined : comparisonPrice.toString(),
...rest, ...rest,

157
packages/asset-swapper/test/market_operation_utils_test.ts
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@ -694,47 +694,46 @@ describe('MarketOperationUtils tests', () => {
}); });
it('optimizer will send in a comparison price to RFQ providers', async () => { it('optimizer will send in a comparison price to RFQ providers', async () => {
// Set up mocked quote requestor, will return an order that is better // Set up mocked quote requestor, will return an order that is better
// than the best of the orders. // than the best of the orders.
const mockedQuoteRequestor = TypeMoq.Mock.ofType( const mockedQuoteRequestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose, false, {});
QuoteRequestor,
TypeMoq.MockBehavior.Loose,
false,
{},
);
let requestedComparisonPrice: BigNumber | undefined; let requestedComparisonPrice: BigNumber | undefined;
mockedQuoteRequestor.setup( mockedQuoteRequestor
mqr => mqr.requestRfqtFirmQuotesAsync( .setup(mqr =>
TypeMoq.It.isAny(), mqr.requestRfqtFirmQuotesAsync(
TypeMoq.It.isAny(), TypeMoq.It.isAny(),
TypeMoq.It.isAny(), TypeMoq.It.isAny(),
TypeMoq.It.isAny(), TypeMoq.It.isAny(),
TypeMoq.It.isAny(), TypeMoq.It.isAny(),
TypeMoq.It.isAny(), TypeMoq.It.isAny(),
), TypeMoq.It.isAny(),
).callback(( ),
_makerAssetData: string, )
_takerAssetData: string, .callback(
_assetFillAmount: BigNumber, (
_marketOperation: MarketOperation, _makerAssetData: string,
comparisonPrice: BigNumber | undefined, _takerAssetData: string,
_options: RfqtRequestOpts, _assetFillAmount: BigNumber,
) => { _marketOperation: MarketOperation,
requestedComparisonPrice = comparisonPrice; comparisonPrice: BigNumber | undefined,
}).returns(async () => { _options: RfqtRequestOpts,
return [ ) => {
{ requestedComparisonPrice = comparisonPrice;
signedOrder: createOrder({
makerAssetData: MAKER_ASSET_DATA,
takerAssetData: TAKER_ASSET_DATA,
makerAssetAmount: Web3Wrapper.toBaseUnitAmount(321, 6),
takerAssetAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
}),
}, },
]; )
}); .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 // Set up sampler, will only return 1 on-chain order
const mockedMarketOpUtils = TypeMoq.Mock.ofType( const mockedMarketOpUtils = TypeMoq.Mock.ofType(
@ -746,49 +745,51 @@ describe('MarketOperationUtils tests', () => {
ORDER_DOMAIN, ORDER_DOMAIN,
); );
mockedMarketOpUtils.callBase = true; mockedMarketOpUtils.callBase = true;
mockedMarketOpUtils.setup( mockedMarketOpUtils
mou => mou.getMarketSellLiquidityAsync( .setup(mou =>
TypeMoq.It.isAny(), mou.getMarketSellLiquidityAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny(), TypeMoq.It.isAny()),
TypeMoq.It.isAny(), )
TypeMoq.It.isAny(), .returns(async () => {
), return {
).returns(async () => { dexQuotes: [],
return { ethToInputRate: Web3Wrapper.toBaseUnitAmount(1, 18),
dexQuotes: [], ethToOutputRate: Web3Wrapper.toBaseUnitAmount(1, 6),
ethToInputRate: Web3Wrapper.toBaseUnitAmount(1, 18), inputAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
ethToOutputRate: Web3Wrapper.toBaseUnitAmount(1, 6), inputToken: MAKER_TOKEN,
inputAmount: Web3Wrapper.toBaseUnitAmount(1, 18), outputToken: TAKER_TOKEN,
inputToken: MAKER_TOKEN, nativeOrders: [
outputToken: TAKER_TOKEN, createOrder({
nativeOrders: [ makerAssetData: MAKER_ASSET_DATA,
createOrder({ takerAssetData: TAKER_ASSET_DATA,
makerAssetData: MAKER_ASSET_DATA, makerAssetAmount: Web3Wrapper.toBaseUnitAmount(320, 6),
takerAssetData: TAKER_ASSET_DATA, takerAssetAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
makerAssetAmount: Web3Wrapper.toBaseUnitAmount(320, 6), }),
takerAssetAmount: Web3Wrapper.toBaseUnitAmount(1, 18), ],
}), orderFillableAmounts: [Web3Wrapper.toBaseUnitAmount(1, 18)],
], rfqtIndicativeQuotes: [],
orderFillableAmounts: [Web3Wrapper.toBaseUnitAmount(1, 18)], side: MarketOperation.Sell,
rfqtIndicativeQuotes: [], twoHopQuotes: [],
side: MarketOperation.Sell, quoteSourceFilters: new SourceFilters(),
twoHopQuotes: [], makerTokenDecimals: 6,
quoteSourceFilters: new SourceFilters(), takerTokenDecimals: 18,
makerTokenDecimals: 6, };
takerTokenDecimals: 18, });
}; const result = await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
}); ORDERS,
const result = await mockedMarketOpUtils.object.getMarketSellOrdersAsync(ORDERS, Web3Wrapper.toBaseUnitAmount(1, 18), { Web3Wrapper.toBaseUnitAmount(1, 18),
...DEFAULT_OPTS, {
rfqt: { ...DEFAULT_OPTS,
isIndicative: false, rfqt: {
apiKey: 'foo', isIndicative: false,
takerAddress: randomAddress(), apiKey: 'foo',
intentOnFilling: true, takerAddress: randomAddress(),
quoteRequestor: { intentOnFilling: true,
requestRfqtFirmQuotesAsync: mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync, quoteRequestor: {
} as any, requestRfqtFirmQuotesAsync: mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync,
} as any,
},
}, },
}); );
expect(result.optimizedOrders.length).to.eql(1); expect(result.optimizedOrders.length).to.eql(1);
// tslint:disable-next-line:no-unnecessary-type-assertion // tslint:disable-next-line:no-unnecessary-type-assertion
expect(requestedComparisonPrice!.toString()).to.eql('320'); expect(requestedComparisonPrice!.toString()).to.eql('320');

1
packages/asset-swapper/test/quote_requestor_test.ts
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@ -191,7 +191,6 @@ describe('QuoteRequestor', async () => {
}); });
}); });
describe('requestRfqtIndicativeQuotesAsync for Indicative quotes', async () => { describe('requestRfqtIndicativeQuotesAsync for Indicative quotes', async () => {
it('should optionally accept a "comparisonPrice" parameter', async () => { it('should optionally accept a "comparisonPrice" parameter', async () => {
const response = QuoteRequestor.makeQueryParameters( const response = QuoteRequestor.makeQueryParameters(
otherToken1, otherToken1,