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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
View File

@ -601,16 +601,27 @@ export class MarketOperationUtils {
// If RFQ liquidity is enabled, make a request to check RFQ liquidity
const { rfqt } = _opts;
if (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));
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);
const totalMakerAmountUnitAmount = Web3Wrapper.toUnitAmount(
totalMakerAmount,
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
View File

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

157
packages/asset-swapper/test/market_operation_utils_test.ts
View File

@ -694,47 +694,46 @@ describe('MarketOperationUtils tests', () => {
});
it('optimizer will send in a comparison price to RFQ providers', 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,
{},
);
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),
}),
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(
@ -746,49 +745,51 @@ describe('MarketOperationUtils tests', () => {
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,
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');

1
packages/asset-swapper/test/quote_requestor_test.ts
View File

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