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Merge pull request #2696 from 0xProject/bugfix/quote-report-generator-signature

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Quote report generator: use signature instead of order hash for lookup
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Steve Klebanoff 2020-09-09 17:32:51 -05:00 committed by GitHub
commit 0ba79b060d
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3 changed files with 47 additions and 52 deletions
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73
packages/asset-swapper/src/utils/quote_report_generator.ts
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@ -1,4 +1,3 @@
import { orderHashUtils } from '@0x/order-utils';
import { SignedOrder } from '@0x/types';
import { BigNumber } from '@0x/utils';
import * as _ from 'lodash';
@ -31,7 +30,6 @@ interface NativeReportSourceBase {
liquiditySource: ERC20BridgeSource.Native;
makerAmount: BigNumber;
takerAmount: BigNumber;
orderHash: string;
nativeOrder: SignedOrder;
fillableTakerAmount: BigNumber;
}
@ -53,17 +51,6 @@ export interface QuoteReport {
sourcesDelivered: QuoteReportSource[];
}
const nativeOrderFromCollapsedFill = (cf: CollapsedFill): SignedOrder | undefined => {
// Cast as NativeCollapsedFill and then check
// if it really is a NativeCollapsedFill
const possibleNativeCollapsedFill = cf as NativeCollapsedFill;
if (possibleNativeCollapsedFill.fillData && possibleNativeCollapsedFill.fillData.order) {
return possibleNativeCollapsedFill.fillData.order;
} else {
return undefined;
}
};
/**
* Generates a report of sources considered while computing the optimized
* swap quote, and the sources ultimately included in the computed quote.
@ -77,23 +64,9 @@ export function generateQuoteReport(
liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>,
quoteRequestor?: QuoteRequestor,
): QuoteReport {
// convert order fillable amount array to easy to look up hash
if (orderFillableAmounts.length !== nativeOrders.length) {
// length mismatch, abort
throw new Error('orderFillableAmounts must be the same length as nativeOrders');
}
const orderHashesToFillableAmounts: { [orderHash: string]: BigNumber } = {};
nativeOrders.forEach((nativeOrder, idx) => {
orderHashesToFillableAmounts[orderHashUtils.getOrderHash(nativeOrder)] = orderFillableAmounts[idx];
});
const dexReportSourcesConsidered = dexQuotes.map(quote => _dexSampleToReportSource(quote, marketOperation));
const nativeOrderSourcesConsidered = nativeOrders.map(order =>
_nativeOrderToReportSource(
order,
orderHashesToFillableAmounts[orderHashUtils.getOrderHash(order)],
quoteRequestor,
),
const nativeOrderSourcesConsidered = nativeOrders.map((order, idx) =>
_nativeOrderToReportSource(order, orderFillableAmounts[idx], quoteRequestor),
);
const multiHopSourcesConsidered = multiHopQuotes.map(quote =>
_multiHopSampleToReportSource(quote, marketOperation),
@ -106,12 +79,18 @@ export function generateQuoteReport(
let sourcesDelivered;
if (Array.isArray(liquidityDelivered)) {
// create easy way to look up fillable amounts
const nativeOrderSignaturesToFillableAmounts = _nativeOrderSignaturesToFillableAmounts(
nativeOrders,
orderFillableAmounts,
);
// map sources delivered
sourcesDelivered = liquidityDelivered.map(collapsedFill => {
const foundNativeOrder = nativeOrderFromCollapsedFill(collapsedFill);
const foundNativeOrder = _nativeOrderFromCollapsedFill(collapsedFill);
if (foundNativeOrder) {
return _nativeOrderToReportSource(
foundNativeOrder,
orderHashesToFillableAmounts[orderHashUtils.getOrderHash(foundNativeOrder)],
nativeOrderSignaturesToFillableAmounts[foundNativeOrder.signature],
quoteRequestor,
);
} else {
@ -179,24 +158,48 @@ function _multiHopSampleToReportSource(
}
}
function _nativeOrderSignaturesToFillableAmounts(
nativeOrders: SignedOrder[],
fillableAmounts: BigNumber[],
): { [orderSignature: string]: BigNumber } {
// create easy way to look up fillable amounts based on native order signatures
if (fillableAmounts.length !== nativeOrders.length) {
// length mismatch, abort
throw new Error('orderFillableAmounts must be the same length as nativeOrders');
}
const nativeOrderSignaturesToFillableAmounts: { [orderSignature: string]: BigNumber } = {};
nativeOrders.forEach((nativeOrder, idx) => {
nativeOrderSignaturesToFillableAmounts[nativeOrder.signature] = fillableAmounts[idx];
});
return nativeOrderSignaturesToFillableAmounts;
}
function _nativeOrderFromCollapsedFill(cf: CollapsedFill): SignedOrder | undefined {
// Cast as NativeCollapsedFill and then check
// if it really is a NativeCollapsedFill
const possibleNativeCollapsedFill = cf as NativeCollapsedFill;
if (possibleNativeCollapsedFill.fillData && possibleNativeCollapsedFill.fillData.order) {
return possibleNativeCollapsedFill.fillData.order;
} else {
return undefined;
}
}
function _nativeOrderToReportSource(
nativeOrder: SignedOrder,
fillableAmount: BigNumber,
quoteRequestor?: QuoteRequestor,
): NativeRFQTReportSource | NativeOrderbookReportSource {
const orderHash = orderHashUtils.getOrderHash(nativeOrder);
const nativeOrderBase: NativeReportSourceBase = {
liquiditySource: ERC20BridgeSource.Native,
makerAmount: nativeOrder.makerAssetAmount,
takerAmount: nativeOrder.takerAssetAmount,
fillableTakerAmount: fillableAmount,
nativeOrder,
orderHash,
};
// if we find this is an rfqt order, label it as such and associate makerUri
const foundRfqtMakerUri = quoteRequestor && quoteRequestor.getMakerUriForOrderHash(orderHash);
const foundRfqtMakerUri = quoteRequestor && quoteRequestor.getMakerUriForOrderSignature(nativeOrder.signature);
if (foundRfqtMakerUri) {
const rfqtSource: NativeRFQTReportSource = {
...nativeOrderBase,

12
packages/asset-swapper/src/utils/quote_requestor.ts
View File

@ -1,5 +1,5 @@
import { schemas, SchemaValidator } from '@0x/json-schemas';
import { assetDataUtils, orderCalculationUtils, orderHashUtils, SignedOrder } from '@0x/order-utils';
import { assetDataUtils, orderCalculationUtils, SignedOrder } from '@0x/order-utils';
import { RFQTFirmQuote, RFQTIndicativeQuote, TakerRequest } from '@0x/quote-server';
import { ERC20AssetData } from '@0x/types';
import { BigNumber, logUtils } from '@0x/utils';
@ -106,7 +106,7 @@ export type LogFunction = (obj: object, msg?: string, ...args: any[]) => void;
export class QuoteRequestor {
private readonly _schemaValidator: SchemaValidator = new SchemaValidator();
private readonly _orderHashToMakerUri: { [orderHash: string]: string } = {};
private readonly _orderSignatureToMakerUri: { [orderSignature: string]: string } = {};
constructor(
private readonly _rfqtAssetOfferings: RfqtMakerAssetOfferings,
@ -196,7 +196,7 @@ export class QuoteRequestor {
}
// Store makerUri for looking up later
this._orderHashToMakerUri[orderHashUtils.getOrderHash(orderWithBigNumberInts)] = firmQuoteResponse.makerUri;
this._orderSignatureToMakerUri[orderWithBigNumberInts.signature] = firmQuoteResponse.makerUri;
// Passed all validation, add it to result
result.push({ signedOrder: orderWithBigNumberInts });
@ -269,10 +269,10 @@ export class QuoteRequestor {
}
/**
* Given an order hash, returns the makerUri that the order originated from
* Given an order signature, returns the makerUri that the order originated from
*/
public getMakerUriForOrderHash(orderHash: string): string | undefined {
return this._orderHashToMakerUri[orderHash];
public getMakerUriForOrderSignature(orderSignature: string): string | undefined {
return this._orderSignatureToMakerUri[orderSignature];
}
private _isValidRfqtIndicativeQuoteResponse(response: RFQTIndicativeQuote): boolean {

14
packages/asset-swapper/test/quote_report_generator_test.ts
View File

@ -1,5 +1,4 @@
// tslint:disable:custom-no-magic-numbers
import { orderHashUtils } from '@0x/order-utils';
import { SignedOrder } from '@0x/types';
import { BigNumber, hexUtils } from '@0x/utils';
import * as chai from 'chai';
@ -113,19 +112,19 @@ describe('generateQuoteReport', async () => {
// quote generator mock
const quoteRequestor = TypeMoq.Mock.ofType<QuoteRequestor>();
quoteRequestor
.setup(qr => qr.getMakerUriForOrderHash(orderHashUtils.getOrderHash(orderbookOrder2)))
.setup(qr => qr.getMakerUriForOrderSignature(orderbookOrder2.signature))
.returns(() => {
return undefined;
})
.verifiable(TypeMoq.Times.atLeastOnce());
quoteRequestor
.setup(qr => qr.getMakerUriForOrderHash(orderHashUtils.getOrderHash(rfqtOrder1)))
.setup(qr => qr.getMakerUriForOrderSignature(rfqtOrder1.signature))
.returns(() => {
return 'https://rfqt1.provider.club';
})
.verifiable(TypeMoq.Times.atLeastOnce());
quoteRequestor
.setup(qr => qr.getMakerUriForOrderHash(orderHashUtils.getOrderHash(rfqtOrder2)))
.setup(qr => qr.getMakerUriForOrderSignature(rfqtOrder2.signature))
.returns(() => {
return 'https://rfqt2.provider.club';
})
@ -145,7 +144,6 @@ describe('generateQuoteReport', async () => {
liquiditySource: ERC20BridgeSource.Native,
makerAmount: rfqtOrder1.makerAssetAmount,
takerAmount: rfqtOrder1.takerAssetAmount,
orderHash: orderHashUtils.getOrderHash(rfqtOrder1),
nativeOrder: rfqtOrder1,
fillableTakerAmount: rfqtOrder1FillableAmount,
isRfqt: true,
@ -155,7 +153,6 @@ describe('generateQuoteReport', async () => {
liquiditySource: ERC20BridgeSource.Native,
makerAmount: rfqtOrder2.makerAssetAmount,
takerAmount: rfqtOrder2.takerAssetAmount,
orderHash: orderHashUtils.getOrderHash(rfqtOrder2),
nativeOrder: rfqtOrder2,
fillableTakerAmount: rfqtOrder2FillableAmount,
isRfqt: true,
@ -165,7 +162,6 @@ describe('generateQuoteReport', async () => {
liquiditySource: ERC20BridgeSource.Native,
makerAmount: orderbookOrder1.makerAssetAmount,
takerAmount: orderbookOrder1.takerAssetAmount,
orderHash: orderHashUtils.getOrderHash(orderbookOrder1),
nativeOrder: orderbookOrder1,
fillableTakerAmount: orderbookOrder1FillableAmount,
isRfqt: false,
@ -174,7 +170,6 @@ describe('generateQuoteReport', async () => {
liquiditySource: ERC20BridgeSource.Native,
makerAmount: orderbookOrder2.makerAssetAmount,
takerAmount: orderbookOrder2.takerAssetAmount,
orderHash: orderHashUtils.getOrderHash(orderbookOrder2),
nativeOrder: orderbookOrder2,
fillableTakerAmount: orderbookOrder2FillableAmount,
isRfqt: false,
@ -291,7 +286,6 @@ describe('generateQuoteReport', async () => {
liquiditySource: ERC20BridgeSource.Native,
makerAmount: orderbookOrder1.makerAssetAmount,
takerAmount: orderbookOrder1.takerAssetAmount,
orderHash: orderHashUtils.getOrderHash(orderbookOrder1),
nativeOrder: orderbookOrder1,
fillableTakerAmount: orderbookOrder1FillableAmount,
isRfqt: false,
@ -300,7 +294,6 @@ describe('generateQuoteReport', async () => {
liquiditySource: ERC20BridgeSource.Native,
makerAmount: orderbookOrder2.makerAssetAmount,
takerAmount: orderbookOrder2.takerAssetAmount,
orderHash: orderHashUtils.getOrderHash(orderbookOrder2),
nativeOrder: orderbookOrder2,
fillableTakerAmount: orderbookOrder2FillableAmount,
isRfqt: false,
@ -393,7 +386,6 @@ describe('generateQuoteReport', async () => {
liquiditySource: ERC20BridgeSource.Native,
makerAmount: orderbookOrder1.makerAssetAmount,
takerAmount: orderbookOrder1.takerAssetAmount,
orderHash: orderHashUtils.getOrderHash(orderbookOrder1),
nativeOrder: orderbookOrder1,
fillableTakerAmount: orderbookOrder1FillableAmount,
isRfqt: false,