Merge pull request #2691 from 0xProject/feature/liquidity_provider_swap
`@0x/contracts-zero-ex`: LiquidityProviderFeature
This commit is contained in:
mzhu25
GitHub
commit
10724e5745
@ -57,6 +57,10 @@
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{
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"note": "Fix versioning (`_encodeVersion()`) bug",
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"pr": 2703
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},
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{
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"note": "Added LiquidityProviderFeature",
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"pr": 2691
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}
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]
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},
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@ -26,6 +26,7 @@ import "./features/ISignatureValidatorFeature.sol";
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import "./features/ITransformERC20Feature.sol";
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import "./features/IMetaTransactionsFeature.sol";
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import "./features/IUniswapFeature.sol";
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import "./features/ILiquidityProviderFeature.sol";
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/// @dev Interface for a fully featured Exchange Proxy.
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@ -36,7 +37,8 @@ interface IZeroEx is
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ISignatureValidatorFeature,
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ITransformERC20Feature,
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IMetaTransactionsFeature,
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IUniswapFeature
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IUniswapFeature,
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ILiquidityProviderFeature
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{
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// solhint-disable state-visibility
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@ -0,0 +1,63 @@
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/*
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Copyright 2020 ZeroEx Intl.
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Licensed under the Apache License, Version 2.0 (the "License");
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you may not use this file except in compliance with the License.
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You may obtain a copy of the License at
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http://www.apache.org/licenses/LICENSE-2.0
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Unless required by applicable law or agreed to in writing, software
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distributed under the License is distributed on an "AS IS" BASIS,
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WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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See the License for the specific language governing permissions and
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limitations under the License.
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*/
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pragma solidity ^0.6.5;
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library LibLiquidityProviderRichErrors {
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// solhint-disable func-name-mixedcase
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function LiquidityProviderIncompleteSellError(
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address providerAddress,
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address makerToken,
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address takerToken,
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uint256 sellAmount,
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uint256 boughtAmount,
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uint256 minBuyAmount
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)
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internal
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pure
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returns (bytes memory)
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{
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return abi.encodeWithSelector(
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bytes4(keccak256("LiquidityProviderIncompleteSellError(address,address,address,uint256,uint256,uint256)")),
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providerAddress,
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makerToken,
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takerToken,
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sellAmount,
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boughtAmount,
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minBuyAmount
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);
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}
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function NoLiquidityProviderForMarketError(
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address xAsset,
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address yAsset
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)
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internal
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pure
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returns (bytes memory)
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{
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return abi.encodeWithSelector(
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bytes4(keccak256("NoLiquidityProviderForMarketError(address,address)")),
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xAsset,
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yAsset
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);
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}
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}
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@ -0,0 +1,66 @@
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/*
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Copyright 2020 ZeroEx Intl.
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Licensed under the Apache License, Version 2.0 (the "License");
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you may not use this file except in compliance with the License.
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You may obtain a copy of the License at
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http://www.apache.org/licenses/LICENSE-2.0
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Unless required by applicable law or agreed to in writing, software
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distributed under the License is distributed on an "AS IS" BASIS,
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WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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See the License for the specific language governing permissions and
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limitations under the License.
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*/
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pragma solidity ^0.6.5;
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pragma experimental ABIEncoderV2;
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/// @dev Feature to swap directly with an on-chain liquidity provider.
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interface ILiquidityProviderFeature {
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event LiquidityProviderForMarketUpdated(
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address indexed xAsset,
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address indexed yAsset,
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address providerAddress
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);
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function sellToLiquidityProvider(
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address makerToken,
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address takerToken,
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address payable recipient,
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uint256 sellAmount,
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uint256 minBuyAmount
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)
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external
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payable
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returns (uint256 boughtAmount);
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/// @dev Sets address of the liquidity provider for a market given
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/// (xAsset, yAsset).
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/// @param xAsset First asset managed by the liquidity provider.
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/// @param yAsset Second asset managed by the liquidity provider.
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/// @param providerAddress Address of the liquidity provider.
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function setLiquidityProviderForMarket(
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address xAsset,
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address yAsset,
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address providerAddress
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)
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external;
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/// @dev Returns the address of the liquidity provider for a market given
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/// (xAsset, yAsset), or reverts if pool does not exist.
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/// @param xAsset First asset managed by the liquidity provider.
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/// @param yAsset Second asset managed by the liquidity provider.
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/// @return providerAddress Address of the liquidity provider.
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function getLiquidityProviderForMarket(
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address xAsset,
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address yAsset
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)
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external
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view
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returns (address providerAddress);
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}
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@ -0,0 +1,200 @@
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/*
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Copyright 2020 ZeroEx Intl.
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Licensed under the Apache License, Version 2.0 (the "License");
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you may not use this file except in compliance with the License.
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You may obtain a copy of the License at
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http://www.apache.org/licenses/LICENSE-2.0
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Unless required by applicable law or agreed to in writing, software
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distributed under the License is distributed on an "AS IS" BASIS,
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WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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See the License for the specific language governing permissions and
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limitations under the License.
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*/
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pragma solidity ^0.6.5;
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pragma experimental ABIEncoderV2;
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import "@0x/contracts-erc20/contracts/src/v06/IERC20TokenV06.sol";
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import "@0x/contracts-erc20/contracts/src/v06/IEtherTokenV06.sol";
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import "@0x/contracts-erc20/contracts/src/v06/LibERC20TokenV06.sol";
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import "@0x/contracts-utils/contracts/src/v06/errors/LibRichErrorsV06.sol";
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import "@0x/contracts-utils/contracts/src/v06/LibSafeMathV06.sol";
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import "../errors/LibLiquidityProviderRichErrors.sol";
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import "../fixins/FixinCommon.sol";
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import "../migrations/LibMigrate.sol";
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import "../storage/LibLiquidityProviderStorage.sol";
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import "../vendor/v3/IERC20Bridge.sol";
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import "./IFeature.sol";
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import "./ILiquidityProviderFeature.sol";
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import "./ITokenSpenderFeature.sol";
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contract LiquidityProviderFeature is
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IFeature,
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ILiquidityProviderFeature,
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FixinCommon
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{
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using LibERC20TokenV06 for IERC20TokenV06;
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using LibSafeMathV06 for uint256;
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using LibRichErrorsV06 for bytes;
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/// @dev Name of this feature.
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string public constant override FEATURE_NAME = "LiquidityProviderFeature";
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/// @dev Version of this feature.
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uint256 public immutable override FEATURE_VERSION = _encodeVersion(1, 0, 0);
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/// @dev ETH pseudo-token address.
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address constant internal ETH_TOKEN_ADDRESS = 0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE;
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/// @dev The WETH contract address.
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IEtherTokenV06 public immutable weth;
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/// @dev Store the WETH address in an immutable.
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/// @param weth_ The weth token.
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constructor(IEtherTokenV06 weth_)
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public
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FixinCommon()
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{
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weth = weth_;
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}
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/// @dev Initialize and register this feature.
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/// Should be delegatecalled by `Migrate.migrate()`.
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/// @return success `LibMigrate.SUCCESS` on success.
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function migrate()
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external
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returns (bytes4 success)
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{
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_registerFeatureFunction(this.sellToLiquidityProvider.selector);
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_registerFeatureFunction(this.setLiquidityProviderForMarket.selector);
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_registerFeatureFunction(this.getLiquidityProviderForMarket.selector);
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return LibMigrate.MIGRATE_SUCCESS;
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}
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function sellToLiquidityProvider(
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address makerToken,
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address takerToken,
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address payable recipient,
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uint256 sellAmount,
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uint256 minBuyAmount
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)
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external
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override
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payable
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returns (uint256 boughtAmount)
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{
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address providerAddress = getLiquidityProviderForMarket(makerToken, takerToken);
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if (recipient == address(0)) {
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recipient = msg.sender;
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}
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if (takerToken == ETH_TOKEN_ADDRESS) {
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// Wrap ETH.
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weth.deposit{value: sellAmount}();
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weth.transfer(providerAddress, sellAmount);
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} else {
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ITokenSpenderFeature(address(this))._spendERC20Tokens(
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IERC20TokenV06(takerToken),
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msg.sender,
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providerAddress,
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sellAmount
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);
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}
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if (makerToken == ETH_TOKEN_ADDRESS) {
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uint256 balanceBefore = weth.balanceOf(address(this));
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IERC20Bridge(providerAddress).bridgeTransferFrom(
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address(weth),
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address(0),
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address(this),
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minBuyAmount,
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""
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);
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boughtAmount = weth.balanceOf(address(this)).safeSub(balanceBefore);
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// Unwrap wETH and send ETH to recipient.
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weth.withdraw(boughtAmount);
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recipient.transfer(boughtAmount);
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} else {
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uint256 balanceBefore = IERC20TokenV06(makerToken).balanceOf(recipient);
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IERC20Bridge(providerAddress).bridgeTransferFrom(
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makerToken,
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address(0),
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recipient,
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minBuyAmount,
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""
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);
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boughtAmount = IERC20TokenV06(makerToken).balanceOf(recipient).safeSub(balanceBefore);
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}
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if (boughtAmount < minBuyAmount) {
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LibLiquidityProviderRichErrors.LiquidityProviderIncompleteSellError(
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providerAddress,
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makerToken,
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takerToken,
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sellAmount,
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boughtAmount,
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minBuyAmount
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).rrevert();
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}
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}
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/// @dev Sets address of the liquidity provider for a market given
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/// (xAsset, yAsset).
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/// @param xAsset First asset managed by the liquidity provider.
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/// @param yAsset Second asset managed by the liquidity provider.
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/// @param providerAddress Address of the liquidity provider.
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function setLiquidityProviderForMarket(
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address xAsset,
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address yAsset,
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address providerAddress
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)
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external
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override
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onlyOwner
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{
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LibLiquidityProviderStorage.getStorage()
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.addressBook[xAsset][yAsset] = providerAddress;
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LibLiquidityProviderStorage.getStorage()
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.addressBook[yAsset][xAsset] = providerAddress;
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emit LiquidityProviderForMarketUpdated(
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xAsset,
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yAsset,
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providerAddress
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);
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}
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/// @dev Returns the address of the liquidity provider for a market given
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/// (xAsset, yAsset), or reverts if pool does not exist.
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/// @param xAsset First asset managed by the liquidity provider.
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/// @param yAsset Second asset managed by the liquidity provider.
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/// @return providerAddress Address of the liquidity provider.
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function getLiquidityProviderForMarket(
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address xAsset,
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address yAsset
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)
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public
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view
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override
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returns (address providerAddress)
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{
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if (xAsset == ETH_TOKEN_ADDRESS) {
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providerAddress = LibLiquidityProviderStorage.getStorage()
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.addressBook[address(weth)][yAsset];
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} else if (yAsset == ETH_TOKEN_ADDRESS) {
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providerAddress = LibLiquidityProviderStorage.getStorage()
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.addressBook[xAsset][address(weth)];
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} else {
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providerAddress = LibLiquidityProviderStorage.getStorage()
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.addressBook[xAsset][yAsset];
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}
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if (providerAddress == address(0)) {
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LibLiquidityProviderRichErrors.NoLiquidityProviderForMarketError(
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xAsset,
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yAsset
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).rrevert();
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}
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}
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}
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@ -184,7 +184,7 @@ contract MetaTransactionsFeature is
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/// @dev Execute a meta-transaction via `sender`. Privileged variant.
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/// Only callable from within.
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/// @param sender Who is executing the meta-transaction..
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/// @param sender Who is executing the meta-transaction.
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/// @param mtx The meta-transaction.
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/// @param signature The signature by `mtx.signer`.
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/// @return returnResult The ABI-encoded result of the underlying call.
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@ -454,7 +454,7 @@ contract MetaTransactionsFeature is
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}
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/// @dev Make an arbitrary internal, meta-transaction call.
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/// Warning: Do not let unadulerated `callData` into this function.
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/// Warning: Do not let unadulterated `callData` into this function.
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function _callSelf(bytes32 hash, bytes memory callData, uint256 value)
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private
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returns (bytes memory returnResult)
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@ -0,0 +1,45 @@
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/*
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Copyright 2020 ZeroEx Intl.
|
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|
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Licensed under the Apache License, Version 2.0 (the "License");
|
||||
you may not use this file except in compliance with the License.
|
||||
You may obtain a copy of the License at
|
||||
|
||||
http://www.apache.org/licenses/LICENSE-2.0
|
||||
|
||||
Unless required by applicable law or agreed to in writing, software
|
||||
distributed under the License is distributed on an "AS IS" BASIS,
|
||||
WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
See the License for the specific language governing permissions and
|
||||
limitations under the License.
|
||||
|
||||
*/
|
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|
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pragma solidity ^0.6.5;
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pragma experimental ABIEncoderV2;
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import "./LibStorage.sol";
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/// @dev Storage helpers for `LiquidityProviderFeature`.
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library LibLiquidityProviderStorage {
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/// @dev Storage bucket for this feature.
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struct Storage {
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// Mapping of taker token -> maker token -> liquidity provider address
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// Note that addressBook[x][y] == addressBook[y][x] will always hold.
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mapping (address => mapping (address => address)) addressBook;
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}
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/// @dev Get the storage bucket for this contract.
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function getStorage() internal pure returns (Storage storage stor) {
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uint256 storageSlot = LibStorage.getStorageSlot(
|
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LibStorage.StorageId.LiquidityProvider
|
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);
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// Dip into assembly to change the slot pointed to by the local
|
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// variable `stor`.
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// See https://solidity.readthedocs.io/en/v0.6.8/assembly.html?highlight=slot#access-to-external-variables-functions-and-libraries
|
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assembly { stor_slot := storageSlot }
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}
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}
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@ -36,7 +36,8 @@ library LibStorage {
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TokenSpender,
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TransformERC20,
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MetaTransactions,
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ReentrancyGuard
|
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ReentrancyGuard,
|
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LiquidityProvider
|
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}
|
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|
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/// @dev Get the storage slot given a storage ID. We assign unique, well-spaced
|
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|
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69
contracts/zero-ex/contracts/test/TestBridge.sol
Normal file
69
contracts/zero-ex/contracts/test/TestBridge.sol
Normal file
@ -0,0 +1,69 @@
|
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/*
|
||||
|
||||
Copyright 2020 ZeroEx Intl.
|
||||
|
||||
Licensed under the Apache License, Version 2.0 (the "License");
|
||||
you may not use this file except in compliance with the License.
|
||||
You may obtain a copy of the License at
|
||||
|
||||
http://www.apache.org/licenses/LICENSE-2.0
|
||||
|
||||
Unless required by applicable law or agreed to in writing, software
|
||||
distributed under the License is distributed on an "AS IS" BASIS,
|
||||
WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
||||
See the License for the specific language governing permissions and
|
||||
limitations under the License.
|
||||
|
||||
*/
|
||||
|
||||
pragma solidity ^0.6.5;
|
||||
pragma experimental ABIEncoderV2;
|
||||
|
||||
import "@0x/contracts-erc20/contracts/src/v06/IERC20TokenV06.sol";
|
||||
import "../src/vendor/v3/IERC20Bridge.sol";
|
||||
|
||||
|
||||
contract TestBridge is
|
||||
IERC20Bridge
|
||||
{
|
||||
IERC20TokenV06 public immutable xAsset;
|
||||
IERC20TokenV06 public immutable yAsset;
|
||||
|
||||
constructor(IERC20TokenV06 xAsset_, IERC20TokenV06 yAsset_)
|
||||
public
|
||||
{
|
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xAsset = xAsset_;
|
||||
yAsset = yAsset_;
|
||||
}
|
||||
|
||||
/// @dev Transfers `amount` of the ERC20 `tokenAddress` from `from` to `to`.
|
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/// @param tokenAddress The address of the ERC20 token to transfer.
|
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/// @param from Address to transfer asset from.
|
||||
/// @param to Address to transfer asset to.
|
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/// @param amount Amount of asset to transfer.
|
||||
/// @param bridgeData Arbitrary asset data needed by the bridge contract.
|
||||
/// @return success The magic bytes `0xdc1600f3` if successful.
|
||||
function bridgeTransferFrom(
|
||||
address tokenAddress,
|
||||
address from,
|
||||
address to,
|
||||
uint256 amount,
|
||||
bytes calldata bridgeData
|
||||
)
|
||||
external
|
||||
override
|
||||
returns (bytes4 success)
|
||||
{
|
||||
IERC20TokenV06 takerToken = tokenAddress == address(xAsset) ? yAsset : xAsset;
|
||||
uint256 takerTokenBalance = takerToken.balanceOf(address(this));
|
||||
emit ERC20BridgeTransfer(
|
||||
address(takerToken),
|
||||
tokenAddress,
|
||||
takerTokenBalance,
|
||||
amount,
|
||||
from,
|
||||
to
|
||||
);
|
||||
return 0xdecaf000;
|
||||
}
|
||||
}
|
||||
@ -39,9 +39,9 @@
|
||||
"publish:private": "yarn build && gitpkg publish"
|
||||
},
|
||||
"config": {
|
||||
"publicInterfaceContracts": "IZeroEx,ZeroEx,FullMigration,InitialMigration,IFlashWallet,IAllowanceTarget,IERC20Transformer,IOwnableFeature,ISimpleFunctionRegistryFeature,ITokenSpenderFeature,ITransformERC20Feature,FillQuoteTransformer,PayTakerTransformer,WethTransformer,OwnableFeature,SimpleFunctionRegistryFeature,TransformERC20Feature,TokenSpenderFeature,AffiliateFeeTransformer,SignatureValidatorFeature,MetaTransactionsFeature,LogMetadataTransformer,BridgeAdapter",
|
||||
"publicInterfaceContracts": "IZeroEx,ZeroEx,FullMigration,InitialMigration,IFlashWallet,IAllowanceTarget,IERC20Transformer,IOwnableFeature,ISimpleFunctionRegistryFeature,ITokenSpenderFeature,ITransformERC20Feature,FillQuoteTransformer,PayTakerTransformer,WethTransformer,OwnableFeature,SimpleFunctionRegistryFeature,TransformERC20Feature,TokenSpenderFeature,AffiliateFeeTransformer,SignatureValidatorFeature,MetaTransactionsFeature,LogMetadataTransformer,BridgeAdapter,LiquidityProviderFeature",
|
||||
"abis:comment": "This list is auto-generated by contracts-gen. Don't edit manually.",
|
||||
"abis": "./test/generated-artifacts/@(AffiliateFeeTransformer|AllowanceTarget|BootstrapFeature|BridgeAdapter|FillQuoteTransformer|FixinCommon|FixinEIP712|FixinReentrancyGuard|FlashWallet|FullMigration|IAllowanceTarget|IBootstrapFeature|IBridgeAdapter|IERC20Bridge|IERC20Transformer|IExchange|IFeature|IFlashWallet|IGasToken|IMetaTransactionsFeature|IOwnableFeature|ISignatureValidatorFeature|ISimpleFunctionRegistryFeature|ITestSimpleFunctionRegistryFeature|ITokenSpenderFeature|ITransformERC20Feature|IUniswapFeature|IZeroEx|InitialMigration|LibBootstrap|LibCommonRichErrors|LibERC20Transformer|LibMetaTransactionsRichErrors|LibMetaTransactionsStorage|LibMigrate|LibOwnableRichErrors|LibOwnableStorage|LibProxyRichErrors|LibProxyStorage|LibReentrancyGuardStorage|LibSignatureRichErrors|LibSignedCallData|LibSimpleFunctionRegistryRichErrors|LibSimpleFunctionRegistryStorage|LibSpenderRichErrors|LibStorage|LibTokenSpenderStorage|LibTransformERC20RichErrors|LibTransformERC20Storage|LibWalletRichErrors|LogMetadataTransformer|MetaTransactionsFeature|MixinAdapterAddresses|MixinBalancer|MixinCurve|MixinKyber|MixinMStable|MixinMooniswap|MixinOasis|MixinUniswap|MixinUniswapV2|MixinZeroExBridge|OwnableFeature|PayTakerTransformer|SignatureValidatorFeature|SimpleFunctionRegistryFeature|TestCallTarget|TestDelegateCaller|TestFillQuoteTransformerBridge|TestFillQuoteTransformerExchange|TestFillQuoteTransformerHost|TestFullMigration|TestInitialMigration|TestMetaTransactionsTransformERC20Feature|TestMigrator|TestMintTokenERC20Transformer|TestMintableERC20Token|TestSimpleFunctionRegistryFeatureImpl1|TestSimpleFunctionRegistryFeatureImpl2|TestTokenSpender|TestTokenSpenderERC20Token|TestTransformERC20|TestTransformerBase|TestTransformerDeployerTransformer|TestTransformerHost|TestWeth|TestWethTransformerHost|TestZeroExFeature|TokenSpenderFeature|TransformERC20Feature|Transformer|TransformerDeployer|UniswapFeature|WethTransformer|ZeroEx).json"
|
||||
"abis": "./test/generated-artifacts/@(AffiliateFeeTransformer|AllowanceTarget|BootstrapFeature|BridgeAdapter|FillQuoteTransformer|FixinCommon|FixinEIP712|FixinReentrancyGuard|FlashWallet|FullMigration|IAllowanceTarget|IBootstrapFeature|IBridgeAdapter|IERC20Bridge|IERC20Transformer|IExchange|IFeature|IFlashWallet|IGasToken|ILiquidityProviderFeature|IMetaTransactionsFeature|IOwnableFeature|ISignatureValidatorFeature|ISimpleFunctionRegistryFeature|ITestSimpleFunctionRegistryFeature|ITokenSpenderFeature|ITransformERC20Feature|IUniswapFeature|IZeroEx|InitialMigration|LibBootstrap|LibCommonRichErrors|LibERC20Transformer|LibLiquidityProviderRichErrors|LibLiquidityProviderStorage|LibMetaTransactionsRichErrors|LibMetaTransactionsStorage|LibMigrate|LibOwnableRichErrors|LibOwnableStorage|LibProxyRichErrors|LibProxyStorage|LibReentrancyGuardStorage|LibSignatureRichErrors|LibSignedCallData|LibSimpleFunctionRegistryRichErrors|LibSimpleFunctionRegistryStorage|LibSpenderRichErrors|LibStorage|LibTokenSpenderStorage|LibTransformERC20RichErrors|LibTransformERC20Storage|LibWalletRichErrors|LiquidityProviderFeature|LogMetadataTransformer|MetaTransactionsFeature|MixinAdapterAddresses|MixinBalancer|MixinCurve|MixinKyber|MixinMStable|MixinMooniswap|MixinOasis|MixinUniswap|MixinUniswapV2|MixinZeroExBridge|OwnableFeature|PayTakerTransformer|SignatureValidatorFeature|SimpleFunctionRegistryFeature|TestBridge|TestCallTarget|TestDelegateCaller|TestFillQuoteTransformerBridge|TestFillQuoteTransformerExchange|TestFillQuoteTransformerHost|TestFullMigration|TestInitialMigration|TestMetaTransactionsTransformERC20Feature|TestMigrator|TestMintTokenERC20Transformer|TestMintableERC20Token|TestSimpleFunctionRegistryFeatureImpl1|TestSimpleFunctionRegistryFeatureImpl2|TestTokenSpender|TestTokenSpenderERC20Token|TestTransformERC20|TestTransformerBase|TestTransformerDeployerTransformer|TestTransformerHost|TestWeth|TestWethTransformerHost|TestZeroExFeature|TokenSpenderFeature|TransformERC20Feature|Transformer|TransformerDeployer|UniswapFeature|WethTransformer|ZeroEx).json"
|
||||
},
|
||||
"repository": {
|
||||
"type": "git",
|
||||
@ -55,6 +55,7 @@
|
||||
"devDependencies": {
|
||||
"@0x/abi-gen": "^5.3.1",
|
||||
"@0x/contracts-gen": "^2.0.10",
|
||||
"@0x/contracts-erc20": "^3.2.1",
|
||||
"@0x/contracts-test-utils": "^5.3.4",
|
||||
"@0x/dev-utils": "^3.3.0",
|
||||
"@0x/order-utils": "^10.3.0",
|
||||
|
||||
@ -18,6 +18,7 @@ import * as ISimpleFunctionRegistryFeature from '../generated-artifacts/ISimpleF
|
||||
import * as ITokenSpenderFeature from '../generated-artifacts/ITokenSpenderFeature.json';
|
||||
import * as ITransformERC20Feature from '../generated-artifacts/ITransformERC20Feature.json';
|
||||
import * as IZeroEx from '../generated-artifacts/IZeroEx.json';
|
||||
import * as LiquidityProviderFeature from '../generated-artifacts/LiquidityProviderFeature.json';
|
||||
import * as LogMetadataTransformer from '../generated-artifacts/LogMetadataTransformer.json';
|
||||
import * as MetaTransactionsFeature from '../generated-artifacts/MetaTransactionsFeature.json';
|
||||
import * as OwnableFeature from '../generated-artifacts/OwnableFeature.json';
|
||||
@ -52,4 +53,5 @@ export const artifacts = {
|
||||
MetaTransactionsFeature: MetaTransactionsFeature as ContractArtifact,
|
||||
LogMetadataTransformer: LogMetadataTransformer as ContractArtifact,
|
||||
BridgeAdapter: BridgeAdapter as ContractArtifact,
|
||||
LiquidityProviderFeature: LiquidityProviderFeature as ContractArtifact,
|
||||
};
|
||||
|
||||
@ -16,6 +16,7 @@ export * from '../generated-wrappers/i_token_spender_feature';
|
||||
export * from '../generated-wrappers/i_transform_erc20_feature';
|
||||
export * from '../generated-wrappers/i_zero_ex';
|
||||
export * from '../generated-wrappers/initial_migration';
|
||||
export * from '../generated-wrappers/liquidity_provider_feature';
|
||||
export * from '../generated-wrappers/log_metadata_transformer';
|
||||
export * from '../generated-wrappers/meta_transactions_feature';
|
||||
export * from '../generated-wrappers/ownable_feature';
|
||||
|
||||
@ -24,6 +24,7 @@ import * as IExchange from '../test/generated-artifacts/IExchange.json';
|
||||
import * as IFeature from '../test/generated-artifacts/IFeature.json';
|
||||
import * as IFlashWallet from '../test/generated-artifacts/IFlashWallet.json';
|
||||
import * as IGasToken from '../test/generated-artifacts/IGasToken.json';
|
||||
import * as ILiquidityProviderFeature from '../test/generated-artifacts/ILiquidityProviderFeature.json';
|
||||
import * as IMetaTransactionsFeature from '../test/generated-artifacts/IMetaTransactionsFeature.json';
|
||||
import * as InitialMigration from '../test/generated-artifacts/InitialMigration.json';
|
||||
import * as IOwnableFeature from '../test/generated-artifacts/IOwnableFeature.json';
|
||||
@ -37,6 +38,8 @@ import * as IZeroEx from '../test/generated-artifacts/IZeroEx.json';
|
||||
import * as LibBootstrap from '../test/generated-artifacts/LibBootstrap.json';
|
||||
import * as LibCommonRichErrors from '../test/generated-artifacts/LibCommonRichErrors.json';
|
||||
import * as LibERC20Transformer from '../test/generated-artifacts/LibERC20Transformer.json';
|
||||
import * as LibLiquidityProviderRichErrors from '../test/generated-artifacts/LibLiquidityProviderRichErrors.json';
|
||||
import * as LibLiquidityProviderStorage from '../test/generated-artifacts/LibLiquidityProviderStorage.json';
|
||||
import * as LibMetaTransactionsRichErrors from '../test/generated-artifacts/LibMetaTransactionsRichErrors.json';
|
||||
import * as LibMetaTransactionsStorage from '../test/generated-artifacts/LibMetaTransactionsStorage.json';
|
||||
import * as LibMigrate from '../test/generated-artifacts/LibMigrate.json';
|
||||
@ -55,6 +58,7 @@ import * as LibTokenSpenderStorage from '../test/generated-artifacts/LibTokenSpe
|
||||
import * as LibTransformERC20RichErrors from '../test/generated-artifacts/LibTransformERC20RichErrors.json';
|
||||
import * as LibTransformERC20Storage from '../test/generated-artifacts/LibTransformERC20Storage.json';
|
||||
import * as LibWalletRichErrors from '../test/generated-artifacts/LibWalletRichErrors.json';
|
||||
import * as LiquidityProviderFeature from '../test/generated-artifacts/LiquidityProviderFeature.json';
|
||||
import * as LogMetadataTransformer from '../test/generated-artifacts/LogMetadataTransformer.json';
|
||||
import * as MetaTransactionsFeature from '../test/generated-artifacts/MetaTransactionsFeature.json';
|
||||
import * as MixinAdapterAddresses from '../test/generated-artifacts/MixinAdapterAddresses.json';
|
||||
@ -71,6 +75,7 @@ import * as OwnableFeature from '../test/generated-artifacts/OwnableFeature.json
|
||||
import * as PayTakerTransformer from '../test/generated-artifacts/PayTakerTransformer.json';
|
||||
import * as SignatureValidatorFeature from '../test/generated-artifacts/SignatureValidatorFeature.json';
|
||||
import * as SimpleFunctionRegistryFeature from '../test/generated-artifacts/SimpleFunctionRegistryFeature.json';
|
||||
import * as TestBridge from '../test/generated-artifacts/TestBridge.json';
|
||||
import * as TestCallTarget from '../test/generated-artifacts/TestCallTarget.json';
|
||||
import * as TestDelegateCaller from '../test/generated-artifacts/TestDelegateCaller.json';
|
||||
import * as TestFillQuoteTransformerBridge from '../test/generated-artifacts/TestFillQuoteTransformerBridge.json';
|
||||
@ -104,6 +109,7 @@ export const artifacts = {
|
||||
IZeroEx: IZeroEx as ContractArtifact,
|
||||
ZeroEx: ZeroEx as ContractArtifact,
|
||||
LibCommonRichErrors: LibCommonRichErrors as ContractArtifact,
|
||||
LibLiquidityProviderRichErrors: LibLiquidityProviderRichErrors as ContractArtifact,
|
||||
LibMetaTransactionsRichErrors: LibMetaTransactionsRichErrors as ContractArtifact,
|
||||
LibOwnableRichErrors: LibOwnableRichErrors as ContractArtifact,
|
||||
LibProxyRichErrors: LibProxyRichErrors as ContractArtifact,
|
||||
@ -120,6 +126,7 @@ export const artifacts = {
|
||||
BootstrapFeature: BootstrapFeature as ContractArtifact,
|
||||
IBootstrapFeature: IBootstrapFeature as ContractArtifact,
|
||||
IFeature: IFeature as ContractArtifact,
|
||||
ILiquidityProviderFeature: ILiquidityProviderFeature as ContractArtifact,
|
||||
IMetaTransactionsFeature: IMetaTransactionsFeature as ContractArtifact,
|
||||
IOwnableFeature: IOwnableFeature as ContractArtifact,
|
||||
ISignatureValidatorFeature: ISignatureValidatorFeature as ContractArtifact,
|
||||
@ -127,6 +134,7 @@ export const artifacts = {
|
||||
ITokenSpenderFeature: ITokenSpenderFeature as ContractArtifact,
|
||||
ITransformERC20Feature: ITransformERC20Feature as ContractArtifact,
|
||||
IUniswapFeature: IUniswapFeature as ContractArtifact,
|
||||
LiquidityProviderFeature: LiquidityProviderFeature as ContractArtifact,
|
||||
MetaTransactionsFeature: MetaTransactionsFeature as ContractArtifact,
|
||||
OwnableFeature: OwnableFeature as ContractArtifact,
|
||||
SignatureValidatorFeature: SignatureValidatorFeature as ContractArtifact,
|
||||
@ -142,6 +150,7 @@ export const artifacts = {
|
||||
InitialMigration: InitialMigration as ContractArtifact,
|
||||
LibBootstrap: LibBootstrap as ContractArtifact,
|
||||
LibMigrate: LibMigrate as ContractArtifact,
|
||||
LibLiquidityProviderStorage: LibLiquidityProviderStorage as ContractArtifact,
|
||||
LibMetaTransactionsStorage: LibMetaTransactionsStorage as ContractArtifact,
|
||||
LibOwnableStorage: LibOwnableStorage as ContractArtifact,
|
||||
LibProxyStorage: LibProxyStorage as ContractArtifact,
|
||||
@ -174,6 +183,7 @@ export const artifacts = {
|
||||
IExchange: IExchange as ContractArtifact,
|
||||
IGasToken: IGasToken as ContractArtifact,
|
||||
ITestSimpleFunctionRegistryFeature: ITestSimpleFunctionRegistryFeature as ContractArtifact,
|
||||
TestBridge: TestBridge as ContractArtifact,
|
||||
TestCallTarget: TestCallTarget as ContractArtifact,
|
||||
TestDelegateCaller: TestDelegateCaller as ContractArtifact,
|
||||
TestFillQuoteTransformerBridge: TestFillQuoteTransformerBridge as ContractArtifact,
|
||||
|
||||
250
contracts/zero-ex/test/features/liquidity_provider_test.ts
Normal file
250
contracts/zero-ex/test/features/liquidity_provider_test.ts
Normal file
@ -0,0 +1,250 @@
|
||||
import { artifacts as erc20Artifacts, DummyERC20TokenContract } from '@0x/contracts-erc20';
|
||||
import { blockchainTests, constants, expect, randomAddress, verifyEventsFromLogs } from '@0x/contracts-test-utils';
|
||||
import { BigNumber, OwnableRevertErrors, ZeroExRevertErrors } from '@0x/utils';
|
||||
|
||||
import {
|
||||
IOwnableFeatureContract,
|
||||
IZeroExContract,
|
||||
LiquidityProviderFeatureContract,
|
||||
TokenSpenderFeatureContract,
|
||||
} from '../../src/wrappers';
|
||||
import { artifacts } from '../artifacts';
|
||||
import { abis } from '../utils/abis';
|
||||
import { fullMigrateAsync } from '../utils/migration';
|
||||
import { IERC20BridgeEvents, TestBridgeContract, TestWethContract } from '../wrappers';
|
||||
|
||||
blockchainTests('LiquidityProvider feature', env => {
|
||||
let zeroEx: IZeroExContract;
|
||||
let feature: LiquidityProviderFeatureContract;
|
||||
let token: DummyERC20TokenContract;
|
||||
let weth: TestWethContract;
|
||||
let owner: string;
|
||||
let taker: string;
|
||||
|
||||
before(async () => {
|
||||
[owner, taker] = await env.getAccountAddressesAsync();
|
||||
zeroEx = await fullMigrateAsync(owner, env.provider, env.txDefaults, {
|
||||
tokenSpender: (await TokenSpenderFeatureContract.deployFrom0xArtifactAsync(
|
||||
artifacts.TestTokenSpender,
|
||||
env.provider,
|
||||
env.txDefaults,
|
||||
artifacts,
|
||||
)).address,
|
||||
});
|
||||
const tokenSpender = new TokenSpenderFeatureContract(zeroEx.address, env.provider, env.txDefaults, abis);
|
||||
const allowanceTarget = await tokenSpender.getAllowanceTarget().callAsync();
|
||||
|
||||
token = await DummyERC20TokenContract.deployFrom0xArtifactAsync(
|
||||
erc20Artifacts.DummyERC20Token,
|
||||
env.provider,
|
||||
env.txDefaults,
|
||||
erc20Artifacts,
|
||||
constants.DUMMY_TOKEN_NAME,
|
||||
constants.DUMMY_TOKEN_SYMBOL,
|
||||
constants.DUMMY_TOKEN_DECIMALS,
|
||||
constants.DUMMY_TOKEN_TOTAL_SUPPLY,
|
||||
);
|
||||
await token.setBalance(taker, constants.INITIAL_ERC20_BALANCE).awaitTransactionSuccessAsync();
|
||||
weth = await TestWethContract.deployFrom0xArtifactAsync(
|
||||
artifacts.TestWeth,
|
||||
env.provider,
|
||||
env.txDefaults,
|
||||
artifacts,
|
||||
);
|
||||
await token
|
||||
.approve(allowanceTarget, constants.INITIAL_ERC20_ALLOWANCE)
|
||||
.awaitTransactionSuccessAsync({ from: taker });
|
||||
|
||||
feature = new LiquidityProviderFeatureContract(zeroEx.address, env.provider, env.txDefaults, abis);
|
||||
const featureImpl = await LiquidityProviderFeatureContract.deployFrom0xArtifactAsync(
|
||||
artifacts.LiquidityProviderFeature,
|
||||
env.provider,
|
||||
env.txDefaults,
|
||||
artifacts,
|
||||
weth.address,
|
||||
);
|
||||
await new IOwnableFeatureContract(zeroEx.address, env.provider, env.txDefaults, abis)
|
||||
.migrate(featureImpl.address, featureImpl.migrate().getABIEncodedTransactionData(), owner)
|
||||
.awaitTransactionSuccessAsync();
|
||||
});
|
||||
describe('Registry', () => {
|
||||
it('`getLiquidityProviderForMarket` reverts if address is not set', async () => {
|
||||
const [xAsset, yAsset] = [randomAddress(), randomAddress()];
|
||||
let tx = feature.getLiquidityProviderForMarket(xAsset, yAsset).awaitTransactionSuccessAsync();
|
||||
expect(tx).to.revertWith(
|
||||
new ZeroExRevertErrors.LiquidityProvider.NoLiquidityProviderForMarketError(xAsset, yAsset),
|
||||
);
|
||||
tx = feature.getLiquidityProviderForMarket(yAsset, xAsset).awaitTransactionSuccessAsync();
|
||||
return expect(tx).to.revertWith(
|
||||
new ZeroExRevertErrors.LiquidityProvider.NoLiquidityProviderForMarketError(yAsset, xAsset),
|
||||
);
|
||||
});
|
||||
it('can set/get a liquidity provider address for a given market', async () => {
|
||||
const expectedAddress = randomAddress();
|
||||
await feature
|
||||
.setLiquidityProviderForMarket(token.address, weth.address, expectedAddress)
|
||||
.awaitTransactionSuccessAsync();
|
||||
let actualAddress = await feature.getLiquidityProviderForMarket(token.address, weth.address).callAsync();
|
||||
expect(actualAddress).to.equal(expectedAddress);
|
||||
actualAddress = await feature.getLiquidityProviderForMarket(weth.address, token.address).callAsync();
|
||||
expect(actualAddress).to.equal(expectedAddress);
|
||||
});
|
||||
it('can update a liquidity provider address for a given market', async () => {
|
||||
const expectedAddress = randomAddress();
|
||||
await feature
|
||||
.setLiquidityProviderForMarket(token.address, weth.address, expectedAddress)
|
||||
.awaitTransactionSuccessAsync();
|
||||
let actualAddress = await feature.getLiquidityProviderForMarket(token.address, weth.address).callAsync();
|
||||
expect(actualAddress).to.equal(expectedAddress);
|
||||
actualAddress = await feature.getLiquidityProviderForMarket(weth.address, token.address).callAsync();
|
||||
expect(actualAddress).to.equal(expectedAddress);
|
||||
});
|
||||
it('can effectively remove a liquidity provider for a market by setting the address to 0', async () => {
|
||||
await feature
|
||||
.setLiquidityProviderForMarket(token.address, weth.address, constants.NULL_ADDRESS)
|
||||
.awaitTransactionSuccessAsync();
|
||||
const tx = feature
|
||||
.getLiquidityProviderForMarket(token.address, weth.address)
|
||||
.awaitTransactionSuccessAsync();
|
||||
return expect(tx).to.revertWith(
|
||||
new ZeroExRevertErrors.LiquidityProvider.NoLiquidityProviderForMarketError(token.address, weth.address),
|
||||
);
|
||||
});
|
||||
it('reverts if non-owner attempts to set an address', async () => {
|
||||
const tx = feature
|
||||
.setLiquidityProviderForMarket(randomAddress(), randomAddress(), randomAddress())
|
||||
.awaitTransactionSuccessAsync({ from: taker });
|
||||
return expect(tx).to.revertWith(new OwnableRevertErrors.OnlyOwnerError(taker, owner));
|
||||
});
|
||||
});
|
||||
blockchainTests.resets('Swap', () => {
|
||||
let liquidityProvider: TestBridgeContract;
|
||||
const ETH_TOKEN_ADDRESS = '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE';
|
||||
|
||||
before(async () => {
|
||||
liquidityProvider = await TestBridgeContract.deployFrom0xArtifactAsync(
|
||||
artifacts.TestBridge,
|
||||
env.provider,
|
||||
env.txDefaults,
|
||||
artifacts,
|
||||
token.address,
|
||||
weth.address,
|
||||
);
|
||||
await feature
|
||||
.setLiquidityProviderForMarket(token.address, weth.address, liquidityProvider.address)
|
||||
.awaitTransactionSuccessAsync();
|
||||
});
|
||||
it('Cannot execute a swap for a market without a liquidity provider set', async () => {
|
||||
const [xAsset, yAsset] = [randomAddress(), randomAddress()];
|
||||
const tx = feature
|
||||
.sellToLiquidityProvider(
|
||||
xAsset,
|
||||
yAsset,
|
||||
constants.NULL_ADDRESS,
|
||||
constants.ONE_ETHER,
|
||||
constants.ZERO_AMOUNT,
|
||||
)
|
||||
.awaitTransactionSuccessAsync({ from: taker });
|
||||
return expect(tx).to.revertWith(
|
||||
new ZeroExRevertErrors.LiquidityProvider.NoLiquidityProviderForMarketError(xAsset, yAsset),
|
||||
);
|
||||
});
|
||||
it('Successfully executes an ERC20-ERC20 swap', async () => {
|
||||
const tx = await feature
|
||||
.sellToLiquidityProvider(
|
||||
weth.address,
|
||||
token.address,
|
||||
constants.NULL_ADDRESS,
|
||||
constants.ONE_ETHER,
|
||||
constants.ZERO_AMOUNT,
|
||||
)
|
||||
.awaitTransactionSuccessAsync({ from: taker });
|
||||
verifyEventsFromLogs(
|
||||
tx.logs,
|
||||
[
|
||||
{
|
||||
inputToken: token.address,
|
||||
outputToken: weth.address,
|
||||
inputTokenAmount: constants.ONE_ETHER,
|
||||
outputTokenAmount: constants.ZERO_AMOUNT,
|
||||
from: constants.NULL_ADDRESS,
|
||||
to: taker,
|
||||
},
|
||||
],
|
||||
IERC20BridgeEvents.ERC20BridgeTransfer,
|
||||
);
|
||||
});
|
||||
it('Reverts if cannot fulfill the minimum buy amount', async () => {
|
||||
const minBuyAmount = new BigNumber(1);
|
||||
const tx = feature
|
||||
.sellToLiquidityProvider(
|
||||
weth.address,
|
||||
token.address,
|
||||
constants.NULL_ADDRESS,
|
||||
constants.ONE_ETHER,
|
||||
minBuyAmount,
|
||||
)
|
||||
.awaitTransactionSuccessAsync({ from: taker });
|
||||
return expect(tx).to.revertWith(
|
||||
new ZeroExRevertErrors.LiquidityProvider.LiquidityProviderIncompleteSellError(
|
||||
liquidityProvider.address,
|
||||
weth.address,
|
||||
token.address,
|
||||
constants.ONE_ETHER,
|
||||
constants.ZERO_AMOUNT,
|
||||
minBuyAmount,
|
||||
),
|
||||
);
|
||||
});
|
||||
it('Successfully executes an ETH-ERC20 swap', async () => {
|
||||
const tx = await feature
|
||||
.sellToLiquidityProvider(
|
||||
token.address,
|
||||
ETH_TOKEN_ADDRESS,
|
||||
constants.NULL_ADDRESS,
|
||||
constants.ONE_ETHER,
|
||||
constants.ZERO_AMOUNT,
|
||||
)
|
||||
.awaitTransactionSuccessAsync({ from: taker, value: constants.ONE_ETHER });
|
||||
verifyEventsFromLogs(
|
||||
tx.logs,
|
||||
[
|
||||
{
|
||||
inputToken: weth.address,
|
||||
outputToken: token.address,
|
||||
inputTokenAmount: constants.ONE_ETHER,
|
||||
outputTokenAmount: constants.ZERO_AMOUNT,
|
||||
from: constants.NULL_ADDRESS,
|
||||
to: taker,
|
||||
},
|
||||
],
|
||||
IERC20BridgeEvents.ERC20BridgeTransfer,
|
||||
);
|
||||
});
|
||||
it('Successfully executes an ERC20-ETH swap', async () => {
|
||||
const tx = await feature
|
||||
.sellToLiquidityProvider(
|
||||
ETH_TOKEN_ADDRESS,
|
||||
token.address,
|
||||
constants.NULL_ADDRESS,
|
||||
constants.ONE_ETHER,
|
||||
constants.ZERO_AMOUNT,
|
||||
)
|
||||
.awaitTransactionSuccessAsync({ from: taker });
|
||||
verifyEventsFromLogs(
|
||||
tx.logs,
|
||||
[
|
||||
{
|
||||
inputToken: token.address,
|
||||
outputToken: weth.address,
|
||||
inputTokenAmount: constants.ONE_ETHER,
|
||||
outputTokenAmount: constants.ZERO_AMOUNT,
|
||||
from: constants.NULL_ADDRESS,
|
||||
to: zeroEx.address,
|
||||
},
|
||||
],
|
||||
IERC20BridgeEvents.ERC20BridgeTransfer,
|
||||
);
|
||||
});
|
||||
});
|
||||
});
|
||||
@ -22,6 +22,7 @@ export * from '../test/generated-wrappers/i_exchange';
|
||||
export * from '../test/generated-wrappers/i_feature';
|
||||
export * from '../test/generated-wrappers/i_flash_wallet';
|
||||
export * from '../test/generated-wrappers/i_gas_token';
|
||||
export * from '../test/generated-wrappers/i_liquidity_provider_feature';
|
||||
export * from '../test/generated-wrappers/i_meta_transactions_feature';
|
||||
export * from '../test/generated-wrappers/i_ownable_feature';
|
||||
export * from '../test/generated-wrappers/i_signature_validator_feature';
|
||||
@ -35,6 +36,8 @@ export * from '../test/generated-wrappers/initial_migration';
|
||||
export * from '../test/generated-wrappers/lib_bootstrap';
|
||||
export * from '../test/generated-wrappers/lib_common_rich_errors';
|
||||
export * from '../test/generated-wrappers/lib_erc20_transformer';
|
||||
export * from '../test/generated-wrappers/lib_liquidity_provider_rich_errors';
|
||||
export * from '../test/generated-wrappers/lib_liquidity_provider_storage';
|
||||
export * from '../test/generated-wrappers/lib_meta_transactions_rich_errors';
|
||||
export * from '../test/generated-wrappers/lib_meta_transactions_storage';
|
||||
export * from '../test/generated-wrappers/lib_migrate';
|
||||
@ -53,6 +56,7 @@ export * from '../test/generated-wrappers/lib_token_spender_storage';
|
||||
export * from '../test/generated-wrappers/lib_transform_erc20_rich_errors';
|
||||
export * from '../test/generated-wrappers/lib_transform_erc20_storage';
|
||||
export * from '../test/generated-wrappers/lib_wallet_rich_errors';
|
||||
export * from '../test/generated-wrappers/liquidity_provider_feature';
|
||||
export * from '../test/generated-wrappers/log_metadata_transformer';
|
||||
export * from '../test/generated-wrappers/meta_transactions_feature';
|
||||
export * from '../test/generated-wrappers/mixin_adapter_addresses';
|
||||
@ -69,6 +73,7 @@ export * from '../test/generated-wrappers/ownable_feature';
|
||||
export * from '../test/generated-wrappers/pay_taker_transformer';
|
||||
export * from '../test/generated-wrappers/signature_validator_feature';
|
||||
export * from '../test/generated-wrappers/simple_function_registry_feature';
|
||||
export * from '../test/generated-wrappers/test_bridge';
|
||||
export * from '../test/generated-wrappers/test_call_target';
|
||||
export * from '../test/generated-wrappers/test_delegate_caller';
|
||||
export * from '../test/generated-wrappers/test_fill_quote_transformer_bridge';
|
||||
|
||||
@ -16,6 +16,7 @@
|
||||
"generated-artifacts/ITransformERC20Feature.json",
|
||||
"generated-artifacts/IZeroEx.json",
|
||||
"generated-artifacts/InitialMigration.json",
|
||||
"generated-artifacts/LiquidityProviderFeature.json",
|
||||
"generated-artifacts/LogMetadataTransformer.json",
|
||||
"generated-artifacts/MetaTransactionsFeature.json",
|
||||
"generated-artifacts/OwnableFeature.json",
|
||||
@ -45,6 +46,7 @@
|
||||
"test/generated-artifacts/IFeature.json",
|
||||
"test/generated-artifacts/IFlashWallet.json",
|
||||
"test/generated-artifacts/IGasToken.json",
|
||||
"test/generated-artifacts/ILiquidityProviderFeature.json",
|
||||
"test/generated-artifacts/IMetaTransactionsFeature.json",
|
||||
"test/generated-artifacts/IOwnableFeature.json",
|
||||
"test/generated-artifacts/ISignatureValidatorFeature.json",
|
||||
@ -58,6 +60,8 @@
|
||||
"test/generated-artifacts/LibBootstrap.json",
|
||||
"test/generated-artifacts/LibCommonRichErrors.json",
|
||||
"test/generated-artifacts/LibERC20Transformer.json",
|
||||
"test/generated-artifacts/LibLiquidityProviderRichErrors.json",
|
||||
"test/generated-artifacts/LibLiquidityProviderStorage.json",
|
||||
"test/generated-artifacts/LibMetaTransactionsRichErrors.json",
|
||||
"test/generated-artifacts/LibMetaTransactionsStorage.json",
|
||||
"test/generated-artifacts/LibMigrate.json",
|
||||
@ -76,6 +80,7 @@
|
||||
"test/generated-artifacts/LibTransformERC20RichErrors.json",
|
||||
"test/generated-artifacts/LibTransformERC20Storage.json",
|
||||
"test/generated-artifacts/LibWalletRichErrors.json",
|
||||
"test/generated-artifacts/LiquidityProviderFeature.json",
|
||||
"test/generated-artifacts/LogMetadataTransformer.json",
|
||||
"test/generated-artifacts/MetaTransactionsFeature.json",
|
||||
"test/generated-artifacts/MixinAdapterAddresses.json",
|
||||
@ -92,6 +97,7 @@
|
||||
"test/generated-artifacts/PayTakerTransformer.json",
|
||||
"test/generated-artifacts/SignatureValidatorFeature.json",
|
||||
"test/generated-artifacts/SimpleFunctionRegistryFeature.json",
|
||||
"test/generated-artifacts/TestBridge.json",
|
||||
"test/generated-artifacts/TestCallTarget.json",
|
||||
"test/generated-artifacts/TestDelegateCaller.json",
|
||||
"test/generated-artifacts/TestFillQuoteTransformerBridge.json",
|
||||
|
||||
@ -133,6 +133,10 @@
|
||||
{
|
||||
"note": "Respect max slippage in EP consumer",
|
||||
"pr": 2712
|
||||
},
|
||||
{
|
||||
"note": "Introduced Path class, exchangeProxyOverhead parameter",
|
||||
"pr": 2691
|
||||
}
|
||||
]
|
||||
},
|
||||
|
||||
@ -119,6 +119,7 @@ export {
|
||||
SwapQuoterRfqtOpts,
|
||||
} from './types';
|
||||
export { affiliateFeeUtils } from './utils/affiliate_fee_utils';
|
||||
export { SOURCE_FLAGS } from './utils/market_operation_utils/constants';
|
||||
export {
|
||||
Parameters,
|
||||
SamplerContractCall,
|
||||
@ -133,10 +134,10 @@ export {
|
||||
CurveInfo,
|
||||
DexSample,
|
||||
ERC20BridgeSource,
|
||||
ExchangeProxyOverhead,
|
||||
FeeSchedule,
|
||||
Fill,
|
||||
FillData,
|
||||
FillFlags,
|
||||
GetMarketOrdersRfqtOpts,
|
||||
KyberFillData,
|
||||
LiquidityProviderFillData,
|
||||
|
||||
@ -3,7 +3,7 @@ import { BigNumber } from '@0x/utils';
|
||||
import { SourceFilters } from './source_filters';
|
||||
import { CurveFunctionSelectors, CurveInfo, ERC20BridgeSource, GetMarketOrdersOpts } from './types';
|
||||
|
||||
// tslint:disable: custom-no-magic-numbers
|
||||
// tslint:disable: custom-no-magic-numbers no-bitwise
|
||||
|
||||
/**
|
||||
* Valid sources for market sell.
|
||||
@ -58,6 +58,7 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
|
||||
sampleDistributionBase: 1.05,
|
||||
feeSchedule: {},
|
||||
gasSchedule: {},
|
||||
exchangeProxyOverhead: () => ZERO_AMOUNT,
|
||||
allowFallback: true,
|
||||
shouldBatchBridgeOrders: true,
|
||||
shouldGenerateQuoteReport: false,
|
||||
@ -68,6 +69,11 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
|
||||
*/
|
||||
export const FEE_QUOTE_SOURCES = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.UniswapV2];
|
||||
|
||||
export const SOURCE_FLAGS: { [source in ERC20BridgeSource]: number } = Object.assign(
|
||||
{},
|
||||
...Object.values(ERC20BridgeSource).map((source: ERC20BridgeSource, index) => ({ [source]: 1 << index })),
|
||||
);
|
||||
|
||||
/**
|
||||
* Mainnet Curve configuration
|
||||
*/
|
||||
|
||||
@ -3,15 +3,15 @@ import { BigNumber, hexUtils } from '@0x/utils';
|
||||
import { MarketOperation, SignedOrderWithFillableAmounts } from '../../types';
|
||||
import { fillableAmountsUtils } from '../../utils/fillable_amounts_utils';
|
||||
|
||||
import { POSITIVE_INF, ZERO_AMOUNT } from './constants';
|
||||
import { CollapsedFill, DexSample, ERC20BridgeSource, FeeSchedule, Fill, FillFlags, MultiHopFillData } from './types';
|
||||
import { POSITIVE_INF, SOURCE_FLAGS, ZERO_AMOUNT } from './constants';
|
||||
import { DexSample, ERC20BridgeSource, FeeSchedule, Fill } from './types';
|
||||
|
||||
// tslint:disable: prefer-for-of no-bitwise completed-docs
|
||||
|
||||
/**
|
||||
* Create fill paths from orders and dex quotes.
|
||||
* Create `Fill` objects from orders and dex quotes.
|
||||
*/
|
||||
export function createFillPaths(opts: {
|
||||
export function createFills(opts: {
|
||||
side: MarketOperation;
|
||||
orders?: SignedOrderWithFillableAmounts[];
|
||||
dexQuotes?: DexSample[][];
|
||||
@ -28,30 +28,50 @@ export function createFillPaths(opts: {
|
||||
const dexQuotes = opts.dexQuotes || [];
|
||||
const ethToOutputRate = opts.ethToOutputRate || ZERO_AMOUNT;
|
||||
const ethToInputRate = opts.ethToInputRate || ZERO_AMOUNT;
|
||||
// Create native fill paths.
|
||||
const nativePath = nativeOrdersToPath(side, orders, opts.targetInput, ethToOutputRate, ethToInputRate, feeSchedule);
|
||||
// Create DEX fill paths.
|
||||
const dexPaths = dexQuotesToPaths(side, dexQuotes, ethToOutputRate, feeSchedule);
|
||||
return filterPaths([...dexPaths, nativePath].map(p => clipPathToInput(p, opts.targetInput)), excludedSources);
|
||||
// Create native fills.
|
||||
const nativeFills = nativeOrdersToFills(
|
||||
side,
|
||||
orders,
|
||||
opts.targetInput,
|
||||
ethToOutputRate,
|
||||
ethToInputRate,
|
||||
feeSchedule,
|
||||
);
|
||||
// Create DEX fills.
|
||||
const dexFills = dexQuotes.map(singleSourceSamples =>
|
||||
dexSamplesToFills(side, singleSourceSamples, ethToOutputRate, ethToInputRate, feeSchedule),
|
||||
);
|
||||
return [...dexFills, nativeFills]
|
||||
.map(p => clipFillsToInput(p, opts.targetInput))
|
||||
.filter(fills => hasLiquidity(fills) && !excludedSources.includes(fills[0].source));
|
||||
}
|
||||
|
||||
function filterPaths(paths: Fill[][], excludedSources: ERC20BridgeSource[]): Fill[][] {
|
||||
return paths.filter(path => {
|
||||
if (path.length === 0) {
|
||||
return false;
|
||||
function clipFillsToInput(fills: Fill[], targetInput: BigNumber = POSITIVE_INF): Fill[] {
|
||||
const clipped: Fill[] = [];
|
||||
let input = ZERO_AMOUNT;
|
||||
for (const fill of fills) {
|
||||
if (input.gte(targetInput)) {
|
||||
break;
|
||||
}
|
||||
const [input, output] = getPathSize(path);
|
||||
if (input.eq(0) || output.eq(0)) {
|
||||
return false;
|
||||
}
|
||||
if (excludedSources.includes(path[0].source)) {
|
||||
return false;
|
||||
}
|
||||
return true;
|
||||
});
|
||||
input = input.plus(fill.input);
|
||||
clipped.push(fill);
|
||||
}
|
||||
return clipped;
|
||||
}
|
||||
|
||||
function nativeOrdersToPath(
|
||||
function hasLiquidity(fills: Fill[]): boolean {
|
||||
if (fills.length === 0) {
|
||||
return false;
|
||||
}
|
||||
const totalInput = BigNumber.sum(...fills.map(fill => fill.input));
|
||||
const totalOutput = BigNumber.sum(...fills.map(fill => fill.output));
|
||||
if (totalInput.isZero() || totalOutput.isZero()) {
|
||||
return false;
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
function nativeOrdersToFills(
|
||||
side: MarketOperation,
|
||||
orders: SignedOrderWithFillableAmounts[],
|
||||
targetInput: BigNumber = POSITIVE_INF,
|
||||
@ -61,7 +81,7 @@ function nativeOrdersToPath(
|
||||
): Fill[] {
|
||||
const sourcePathId = hexUtils.random();
|
||||
// Create a single path from all orders.
|
||||
let path: Array<Fill & { adjustedRate: BigNumber }> = [];
|
||||
let fills: Array<Fill & { adjustedRate: BigNumber }> = [];
|
||||
for (const order of orders) {
|
||||
const makerAmount = fillableAmountsUtils.getMakerAssetAmountSwappedAfterOrderFees(order);
|
||||
const takerAmount = fillableAmountsUtils.getTakerAssetAmountSwappedAfterOrderFees(order);
|
||||
@ -87,13 +107,13 @@ function nativeOrdersToPath(
|
||||
if (adjustedRate.lte(0)) {
|
||||
continue;
|
||||
}
|
||||
path.push({
|
||||
fills.push({
|
||||
sourcePathId,
|
||||
adjustedRate,
|
||||
adjustedOutput,
|
||||
input: clippedInput,
|
||||
output: clippedOutput,
|
||||
flags: 0,
|
||||
flags: SOURCE_FLAGS[ERC20BridgeSource.Native],
|
||||
index: 0, // TBD
|
||||
parent: undefined, // TBD
|
||||
source: ERC20BridgeSource.Native,
|
||||
@ -101,240 +121,56 @@ function nativeOrdersToPath(
|
||||
});
|
||||
}
|
||||
// Sort by descending adjusted rate.
|
||||
path = path.sort((a, b) => b.adjustedRate.comparedTo(a.adjustedRate));
|
||||
fills = fills.sort((a, b) => b.adjustedRate.comparedTo(a.adjustedRate));
|
||||
// Re-index fills.
|
||||
for (let i = 0; i < path.length; ++i) {
|
||||
path[i].parent = i === 0 ? undefined : path[i - 1];
|
||||
path[i].index = i;
|
||||
for (let i = 0; i < fills.length; ++i) {
|
||||
fills[i].parent = i === 0 ? undefined : fills[i - 1];
|
||||
fills[i].index = i;
|
||||
}
|
||||
return path;
|
||||
return fills;
|
||||
}
|
||||
|
||||
function dexQuotesToPaths(
|
||||
function dexSamplesToFills(
|
||||
side: MarketOperation,
|
||||
dexQuotes: DexSample[][],
|
||||
samples: DexSample[],
|
||||
ethToOutputRate: BigNumber,
|
||||
ethToInputRate: BigNumber,
|
||||
fees: FeeSchedule,
|
||||
): Fill[][] {
|
||||
const paths: Fill[][] = [];
|
||||
for (let quote of dexQuotes) {
|
||||
const sourcePathId = hexUtils.random();
|
||||
const path: Fill[] = [];
|
||||
// Drop any non-zero entries. This can occur if the any fills on Kyber were UniswapReserves
|
||||
// We need not worry about Kyber fills going to UniswapReserve as the input amount
|
||||
// we fill is the same as we sampled. I.e we received [0,20,30] output from [1,2,3] input
|
||||
// and we only fill [2,3] on Kyber (as 1 returns 0 output)
|
||||
quote = quote.filter(q => !q.output.isZero());
|
||||
for (let i = 0; i < quote.length; i++) {
|
||||
const sample = quote[i];
|
||||
const prevSample = i === 0 ? undefined : quote[i - 1];
|
||||
const { source, fillData } = sample;
|
||||
const input = sample.input.minus(prevSample ? prevSample.input : 0);
|
||||
const output = sample.output.minus(prevSample ? prevSample.output : 0);
|
||||
const fee = fees[source] === undefined ? 0 : fees[source]!(sample.fillData);
|
||||
const penalty =
|
||||
i === 0 // Only the first fill in a DEX path incurs a penalty.
|
||||
? ethToOutputRate.times(fee)
|
||||
: ZERO_AMOUNT;
|
||||
const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
|
||||
|
||||
path.push({
|
||||
sourcePathId,
|
||||
input,
|
||||
output,
|
||||
adjustedOutput,
|
||||
source,
|
||||
fillData,
|
||||
index: i,
|
||||
parent: i !== 0 ? path[path.length - 1] : undefined,
|
||||
flags: sourceToFillFlags(source),
|
||||
});
|
||||
): Fill[] {
|
||||
const sourcePathId = hexUtils.random();
|
||||
const fills: Fill[] = [];
|
||||
// Drop any non-zero entries. This can occur if the any fills on Kyber were UniswapReserves
|
||||
// We need not worry about Kyber fills going to UniswapReserve as the input amount
|
||||
// we fill is the same as we sampled. I.e we received [0,20,30] output from [1,2,3] input
|
||||
// and we only fill [2,3] on Kyber (as 1 returns 0 output)
|
||||
const nonzeroSamples = samples.filter(q => !q.output.isZero());
|
||||
for (let i = 0; i < nonzeroSamples.length; i++) {
|
||||
const sample = nonzeroSamples[i];
|
||||
const prevSample = i === 0 ? undefined : nonzeroSamples[i - 1];
|
||||
const { source, fillData } = sample;
|
||||
const input = sample.input.minus(prevSample ? prevSample.input : 0);
|
||||
const output = sample.output.minus(prevSample ? prevSample.output : 0);
|
||||
const fee = fees[source] === undefined ? 0 : fees[source]!(sample.fillData);
|
||||
let penalty = ZERO_AMOUNT;
|
||||
if (i === 0) {
|
||||
// Only the first fill in a DEX path incurs a penalty.
|
||||
penalty = !ethToOutputRate.isZero()
|
||||
? ethToOutputRate.times(fee)
|
||||
: ethToInputRate.times(fee).times(output.dividedToIntegerBy(input));
|
||||
}
|
||||
paths.push(path);
|
||||
}
|
||||
return paths;
|
||||
}
|
||||
const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
|
||||
|
||||
export function getTwoHopAdjustedRate(
|
||||
side: MarketOperation,
|
||||
twoHopQuote: DexSample<MultiHopFillData>,
|
||||
targetInput: BigNumber,
|
||||
ethToOutputRate: BigNumber,
|
||||
fees: FeeSchedule = {},
|
||||
): BigNumber {
|
||||
const { output, input, fillData } = twoHopQuote;
|
||||
if (input.isLessThan(targetInput) || output.isZero()) {
|
||||
return ZERO_AMOUNT;
|
||||
}
|
||||
const penalty = ethToOutputRate.times(fees[ERC20BridgeSource.MultiHop]!(fillData));
|
||||
const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
|
||||
return side === MarketOperation.Sell ? adjustedOutput.div(input) : input.div(adjustedOutput);
|
||||
}
|
||||
|
||||
function sourceToFillFlags(source: ERC20BridgeSource): number {
|
||||
switch (source) {
|
||||
case ERC20BridgeSource.Uniswap:
|
||||
return FillFlags.ConflictsWithMultiBridge;
|
||||
case ERC20BridgeSource.LiquidityProvider:
|
||||
return FillFlags.ConflictsWithMultiBridge;
|
||||
case ERC20BridgeSource.MultiBridge:
|
||||
return FillFlags.MultiBridge;
|
||||
default:
|
||||
return 0;
|
||||
}
|
||||
}
|
||||
|
||||
export function getPathSize(path: Fill[], targetInput: BigNumber = POSITIVE_INF): [BigNumber, BigNumber] {
|
||||
let input = ZERO_AMOUNT;
|
||||
let output = ZERO_AMOUNT;
|
||||
for (const fill of path) {
|
||||
if (input.plus(fill.input).gte(targetInput)) {
|
||||
const di = targetInput.minus(input);
|
||||
input = input.plus(di);
|
||||
output = output.plus(fill.output.times(di.div(fill.input)));
|
||||
break;
|
||||
} else {
|
||||
input = input.plus(fill.input);
|
||||
output = output.plus(fill.output);
|
||||
}
|
||||
}
|
||||
return [input.integerValue(), output.integerValue()];
|
||||
}
|
||||
|
||||
export function getPathAdjustedSize(path: Fill[], targetInput: BigNumber = POSITIVE_INF): [BigNumber, BigNumber] {
|
||||
let input = ZERO_AMOUNT;
|
||||
let output = ZERO_AMOUNT;
|
||||
for (const fill of path) {
|
||||
if (input.plus(fill.input).gte(targetInput)) {
|
||||
const di = targetInput.minus(input);
|
||||
if (di.gt(0)) {
|
||||
input = input.plus(di);
|
||||
// Penalty does not get interpolated.
|
||||
const penalty = fill.adjustedOutput.minus(fill.output);
|
||||
output = output.plus(fill.output.times(di.div(fill.input)).plus(penalty));
|
||||
}
|
||||
break;
|
||||
} else {
|
||||
input = input.plus(fill.input);
|
||||
output = output.plus(fill.adjustedOutput);
|
||||
}
|
||||
}
|
||||
return [input.integerValue(), output.integerValue()];
|
||||
}
|
||||
|
||||
export function isValidPath(path: Fill[], skipDuplicateCheck: boolean = false): boolean {
|
||||
let flags = 0;
|
||||
for (let i = 0; i < path.length; ++i) {
|
||||
// Fill must immediately follow its parent.
|
||||
if (path[i].parent) {
|
||||
if (i === 0 || path[i - 1] !== path[i].parent) {
|
||||
return false;
|
||||
}
|
||||
}
|
||||
if (!skipDuplicateCheck) {
|
||||
// Fill must not be duplicated.
|
||||
for (let j = 0; j < i; ++j) {
|
||||
if (path[i] === path[j]) {
|
||||
return false;
|
||||
}
|
||||
}
|
||||
}
|
||||
flags |= path[i].flags;
|
||||
}
|
||||
return arePathFlagsAllowed(flags);
|
||||
}
|
||||
|
||||
export function arePathFlagsAllowed(flags: number): boolean {
|
||||
const multiBridgeConflict = FillFlags.MultiBridge | FillFlags.ConflictsWithMultiBridge;
|
||||
return (flags & multiBridgeConflict) !== multiBridgeConflict;
|
||||
}
|
||||
|
||||
export function clipPathToInput(path: Fill[], targetInput: BigNumber = POSITIVE_INF): Fill[] {
|
||||
const clipped: Fill[] = [];
|
||||
let input = ZERO_AMOUNT;
|
||||
for (const fill of path) {
|
||||
if (input.gte(targetInput)) {
|
||||
break;
|
||||
}
|
||||
input = input.plus(fill.input);
|
||||
clipped.push(fill);
|
||||
}
|
||||
return clipped;
|
||||
}
|
||||
|
||||
export function collapsePath(path: Fill[]): CollapsedFill[] {
|
||||
const collapsed: CollapsedFill[] = [];
|
||||
for (const fill of path) {
|
||||
const source = fill.source;
|
||||
if (collapsed.length !== 0 && source !== ERC20BridgeSource.Native) {
|
||||
const prevFill = collapsed[collapsed.length - 1];
|
||||
// If the last fill is from the same source, merge them.
|
||||
if (prevFill.sourcePathId === fill.sourcePathId) {
|
||||
prevFill.input = prevFill.input.plus(fill.input);
|
||||
prevFill.output = prevFill.output.plus(fill.output);
|
||||
prevFill.fillData = fill.fillData;
|
||||
prevFill.subFills.push(fill);
|
||||
continue;
|
||||
}
|
||||
}
|
||||
collapsed.push({
|
||||
sourcePathId: fill.sourcePathId,
|
||||
source: fill.source,
|
||||
fillData: fill.fillData,
|
||||
input: fill.input,
|
||||
output: fill.output,
|
||||
subFills: [fill],
|
||||
fills.push({
|
||||
sourcePathId,
|
||||
input,
|
||||
output,
|
||||
adjustedOutput,
|
||||
source,
|
||||
fillData,
|
||||
index: i,
|
||||
parent: i !== 0 ? fills[fills.length - 1] : undefined,
|
||||
flags: SOURCE_FLAGS[source],
|
||||
});
|
||||
}
|
||||
return collapsed;
|
||||
}
|
||||
|
||||
export function getPathAdjustedCompleteRate(side: MarketOperation, path: Fill[], targetInput: BigNumber): BigNumber {
|
||||
const [input, output] = getPathAdjustedSize(path, targetInput);
|
||||
return getCompleteRate(side, input, output, targetInput);
|
||||
}
|
||||
|
||||
export function getPathAdjustedRate(side: MarketOperation, path: Fill[], targetInput: BigNumber): BigNumber {
|
||||
const [input, output] = getPathAdjustedSize(path, targetInput);
|
||||
return getRate(side, input, output);
|
||||
}
|
||||
|
||||
export function getPathAdjustedSlippage(
|
||||
side: MarketOperation,
|
||||
path: Fill[],
|
||||
inputAmount: BigNumber,
|
||||
maxRate: BigNumber,
|
||||
): number {
|
||||
if (maxRate.eq(0)) {
|
||||
return 0;
|
||||
}
|
||||
const totalRate = getPathAdjustedRate(side, path, inputAmount);
|
||||
const rateChange = maxRate.minus(totalRate);
|
||||
return rateChange.div(maxRate).toNumber();
|
||||
}
|
||||
|
||||
export function getCompleteRate(
|
||||
side: MarketOperation,
|
||||
input: BigNumber,
|
||||
output: BigNumber,
|
||||
targetInput: BigNumber,
|
||||
): BigNumber {
|
||||
if (input.eq(0) || output.eq(0) || targetInput.eq(0)) {
|
||||
return ZERO_AMOUNT;
|
||||
}
|
||||
// Penalize paths that fall short of the entire input amount by a factor of
|
||||
// input / targetInput => (i / t)
|
||||
if (side === MarketOperation.Sell) {
|
||||
// (o / i) * (i / t) => (o / t)
|
||||
return output.div(targetInput);
|
||||
}
|
||||
// (i / o) * (i / t)
|
||||
return input.div(output).times(input.div(targetInput));
|
||||
}
|
||||
|
||||
export function getRate(side: MarketOperation, input: BigNumber, output: BigNumber): BigNumber {
|
||||
if (input.eq(0) || output.eq(0)) {
|
||||
return ZERO_AMOUNT;
|
||||
}
|
||||
return side === MarketOperation.Sell ? output.div(input) : input.div(output);
|
||||
return fills;
|
||||
}
|
||||
|
||||
@ -14,12 +14,12 @@ import {
|
||||
FEE_QUOTE_SOURCES,
|
||||
ONE_ETHER,
|
||||
SELL_SOURCE_FILTER,
|
||||
SOURCE_FLAGS,
|
||||
ZERO_AMOUNT,
|
||||
} from './constants';
|
||||
import { createFillPaths, getPathAdjustedRate, getPathAdjustedSlippage } from './fills';
|
||||
import { createFills } from './fills';
|
||||
import { getBestTwoHopQuote } from './multihop_utils';
|
||||
import {
|
||||
createOrdersFromPath,
|
||||
createOrdersFromTwoHopSample,
|
||||
createSignedOrdersFromRfqtIndicativeQuotes,
|
||||
createSignedOrdersWithFillableAmounts,
|
||||
@ -30,14 +30,15 @@ import { DexOrderSampler, getSampleAmounts } from './sampler';
|
||||
import { SourceFilters } from './source_filters';
|
||||
import {
|
||||
AggregationError,
|
||||
CollapsedFill,
|
||||
DexSample,
|
||||
ERC20BridgeSource,
|
||||
ExchangeProxyOverhead,
|
||||
FeeSchedule,
|
||||
GetMarketOrdersOpts,
|
||||
MarketSideLiquidity,
|
||||
OptimizedMarketOrder,
|
||||
OptimizerResult,
|
||||
OptimizerResultWithReport,
|
||||
OrderDomain,
|
||||
TokenAdjacencyGraph,
|
||||
} from './types';
|
||||
@ -359,7 +360,7 @@ export class MarketOperationUtils {
|
||||
nativeOrders: SignedOrder[],
|
||||
takerAmount: BigNumber,
|
||||
opts?: Partial<GetMarketOrdersOpts>,
|
||||
): Promise<OptimizerResultWithReport> {
|
||||
): Promise<OptimizerResult> {
|
||||
const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
|
||||
const marketSideLiquidity = await this.getMarketSellLiquidityAsync(nativeOrders, takerAmount, _opts);
|
||||
const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
|
||||
@ -367,6 +368,7 @@ export class MarketOperationUtils {
|
||||
maxFallbackSlippage: _opts.maxFallbackSlippage,
|
||||
excludedSources: _opts.excludedSources,
|
||||
feeSchedule: _opts.feeSchedule,
|
||||
exchangeProxyOverhead: _opts.exchangeProxyOverhead,
|
||||
allowFallback: _opts.allowFallback,
|
||||
shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders,
|
||||
});
|
||||
@ -396,7 +398,7 @@ export class MarketOperationUtils {
|
||||
nativeOrders: SignedOrder[],
|
||||
makerAmount: BigNumber,
|
||||
opts?: Partial<GetMarketOrdersOpts>,
|
||||
): Promise<OptimizerResultWithReport> {
|
||||
): Promise<OptimizerResult> {
|
||||
const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
|
||||
const marketSideLiquidity = await this.getMarketBuyLiquidityAsync(nativeOrders, makerAmount, _opts);
|
||||
const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
|
||||
@ -404,6 +406,7 @@ export class MarketOperationUtils {
|
||||
maxFallbackSlippage: _opts.maxFallbackSlippage,
|
||||
excludedSources: _opts.excludedSources,
|
||||
feeSchedule: _opts.feeSchedule,
|
||||
exchangeProxyOverhead: _opts.exchangeProxyOverhead,
|
||||
allowFallback: _opts.allowFallback,
|
||||
shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders,
|
||||
});
|
||||
@ -526,6 +529,7 @@ export class MarketOperationUtils {
|
||||
maxFallbackSlippage?: number;
|
||||
excludedSources?: ERC20BridgeSource[];
|
||||
feeSchedule?: FeeSchedule;
|
||||
exchangeProxyOverhead?: ExchangeProxyOverhead;
|
||||
allowFallback?: boolean;
|
||||
shouldBatchBridgeOrders?: boolean;
|
||||
},
|
||||
@ -554,8 +558,8 @@ export class MarketOperationUtils {
|
||||
shouldBatchBridgeOrders: !!opts.shouldBatchBridgeOrders,
|
||||
};
|
||||
|
||||
// Convert native orders and dex quotes into fill paths.
|
||||
const paths = createFillPaths({
|
||||
// Convert native orders and dex quotes into `Fill` objects.
|
||||
const fills = createFills({
|
||||
side,
|
||||
// Augment native orders with their fillable amounts.
|
||||
orders: [
|
||||
@ -571,51 +575,53 @@ export class MarketOperationUtils {
|
||||
});
|
||||
|
||||
// Find the optimal path.
|
||||
let optimalPath = (await findOptimalPathAsync(side, paths, inputAmount, opts.runLimit)) || [];
|
||||
if (optimalPath.length === 0) {
|
||||
const optimizerOpts = {
|
||||
ethToOutputRate,
|
||||
ethToInputRate,
|
||||
exchangeProxyOverhead: opts.exchangeProxyOverhead || (() => ZERO_AMOUNT),
|
||||
};
|
||||
const optimalPath = await findOptimalPathAsync(side, fills, inputAmount, opts.runLimit, optimizerOpts);
|
||||
if (optimalPath === undefined) {
|
||||
throw new Error(AggregationError.NoOptimalPath);
|
||||
}
|
||||
const optimalPathRate = getPathAdjustedRate(side, optimalPath, inputAmount);
|
||||
const optimalPathRate = optimalPath.adjustedRate();
|
||||
|
||||
const { adjustedRate: bestTwoHopRate, quote: bestTwoHopQuote } = getBestTwoHopQuote(
|
||||
marketSideLiquidity,
|
||||
opts.feeSchedule,
|
||||
opts.exchangeProxyOverhead,
|
||||
);
|
||||
if (bestTwoHopQuote && bestTwoHopRate.isGreaterThan(optimalPathRate)) {
|
||||
const twoHopOrders = createOrdersFromTwoHopSample(bestTwoHopQuote, orderOpts);
|
||||
return { optimizedOrders: twoHopOrders, liquidityDelivered: bestTwoHopQuote, isTwoHop: true };
|
||||
return {
|
||||
optimizedOrders: twoHopOrders,
|
||||
liquidityDelivered: bestTwoHopQuote,
|
||||
sourceFlags: SOURCE_FLAGS[ERC20BridgeSource.MultiHop],
|
||||
};
|
||||
}
|
||||
|
||||
// Generate a fallback path if native orders are in the optimal path.
|
||||
const nativeSubPath = optimalPath.filter(f => f.source === ERC20BridgeSource.Native);
|
||||
if (opts.allowFallback && nativeSubPath.length !== 0) {
|
||||
const nativeFills = optimalPath.fills.filter(f => f.source === ERC20BridgeSource.Native);
|
||||
if (opts.allowFallback && nativeFills.length !== 0) {
|
||||
// We create a fallback path that is exclusive of Native liquidity
|
||||
// This is the optimal on-chain path for the entire input amount
|
||||
const nonNativePaths = paths.filter(p => p.length > 0 && p[0].source !== ERC20BridgeSource.Native);
|
||||
const nonNativeOptimalPath =
|
||||
(await findOptimalPathAsync(side, nonNativePaths, inputAmount, opts.runLimit)) || [];
|
||||
const nonNativeFills = fills.filter(p => p.length > 0 && p[0].source !== ERC20BridgeSource.Native);
|
||||
const nonNativeOptimalPath = await findOptimalPathAsync(side, nonNativeFills, inputAmount, opts.runLimit);
|
||||
// Calculate the slippage of on-chain sources compared to the most optimal path
|
||||
const fallbackSlippage = getPathAdjustedSlippage(side, nonNativeOptimalPath, inputAmount, optimalPathRate);
|
||||
if (nativeSubPath.length === optimalPath.length || fallbackSlippage <= maxFallbackSlippage) {
|
||||
// If the last fill is Native and penultimate is not, then the intention was to partial fill
|
||||
// In this case we drop it entirely as we can't handle a failure at the end and we don't
|
||||
// want to fully fill when it gets prepended to the front below
|
||||
const [last, penultimateIfExists] = optimalPath.slice().reverse();
|
||||
const lastNativeFillIfExists =
|
||||
last.source === ERC20BridgeSource.Native &&
|
||||
penultimateIfExists &&
|
||||
penultimateIfExists.source !== ERC20BridgeSource.Native
|
||||
? last
|
||||
: undefined;
|
||||
// By prepending native paths to the front they cannot split on-chain sources and incur
|
||||
// an additional protocol fee. I.e [Uniswap,Native,Kyber] becomes [Native,Uniswap,Kyber]
|
||||
// In the previous step we dropped any hanging Native partial fills, as to not fully fill
|
||||
optimalPath = [...nativeSubPath.filter(f => f !== lastNativeFillIfExists), ...nonNativeOptimalPath];
|
||||
if (
|
||||
nonNativeOptimalPath !== undefined &&
|
||||
(nativeFills.length === optimalPath.fills.length ||
|
||||
nonNativeOptimalPath.adjustedSlippage(optimalPathRate) <= maxFallbackSlippage)
|
||||
) {
|
||||
optimalPath.addFallback(nonNativeOptimalPath);
|
||||
}
|
||||
}
|
||||
const optimizedOrders = createOrdersFromPath(optimalPath, orderOpts);
|
||||
const liquidityDelivered = _.flatten(optimizedOrders.map(order => order.fills));
|
||||
return { optimizedOrders, liquidityDelivered, isTwoHop: false };
|
||||
const collapsedPath = optimalPath.collapse(orderOpts);
|
||||
return {
|
||||
optimizedOrders: collapsedPath.orders,
|
||||
liquidityDelivered: collapsedPath.collapsedFills as CollapsedFill[],
|
||||
sourceFlags: collapsedPath.sourceFlags,
|
||||
};
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
@ -2,8 +2,15 @@ import { BigNumber } from '@0x/utils';
|
||||
import * as _ from 'lodash';
|
||||
|
||||
import { ZERO_AMOUNT } from './constants';
|
||||
import { getTwoHopAdjustedRate } from './fills';
|
||||
import { DexSample, FeeSchedule, MarketSideLiquidity, MultiHopFillData, TokenAdjacencyGraph } from './types';
|
||||
import { getTwoHopAdjustedRate } from './rate_utils';
|
||||
import {
|
||||
DexSample,
|
||||
ExchangeProxyOverhead,
|
||||
FeeSchedule,
|
||||
MarketSideLiquidity,
|
||||
MultiHopFillData,
|
||||
TokenAdjacencyGraph,
|
||||
} from './types';
|
||||
|
||||
/**
|
||||
* Given a token pair, returns the intermediate tokens to consider for two-hop routes.
|
||||
@ -36,18 +43,28 @@ export function getIntermediateTokens(
|
||||
export function getBestTwoHopQuote(
|
||||
marketSideLiquidity: MarketSideLiquidity,
|
||||
feeSchedule?: FeeSchedule,
|
||||
exchangeProxyOverhead?: ExchangeProxyOverhead,
|
||||
): { quote: DexSample<MultiHopFillData> | undefined; adjustedRate: BigNumber } {
|
||||
const { side, inputAmount, ethToOutputRate, twoHopQuotes } = marketSideLiquidity;
|
||||
if (twoHopQuotes.length === 0) {
|
||||
return { adjustedRate: ZERO_AMOUNT, quote: undefined };
|
||||
}
|
||||
const best = twoHopQuotes
|
||||
.map(quote => getTwoHopAdjustedRate(side, quote, inputAmount, ethToOutputRate, feeSchedule))
|
||||
.map(quote =>
|
||||
getTwoHopAdjustedRate(side, quote, inputAmount, ethToOutputRate, feeSchedule, exchangeProxyOverhead),
|
||||
)
|
||||
.reduce(
|
||||
(prev, curr, i) =>
|
||||
curr.isGreaterThan(prev.adjustedRate) ? { adjustedRate: curr, quote: twoHopQuotes[i] } : prev,
|
||||
{
|
||||
adjustedRate: getTwoHopAdjustedRate(side, twoHopQuotes[0], inputAmount, ethToOutputRate, feeSchedule),
|
||||
adjustedRate: getTwoHopAdjustedRate(
|
||||
side,
|
||||
twoHopQuotes[0],
|
||||
inputAmount,
|
||||
ethToOutputRate,
|
||||
feeSchedule,
|
||||
exchangeProxyOverhead,
|
||||
),
|
||||
quote: twoHopQuotes[0],
|
||||
},
|
||||
);
|
||||
|
||||
@ -16,7 +16,6 @@ import {
|
||||
WALLET_SIGNATURE,
|
||||
ZERO_AMOUNT,
|
||||
} from './constants';
|
||||
import { collapsePath } from './fills';
|
||||
import { getMultiBridgeIntermediateToken } from './multibridge_utils';
|
||||
import {
|
||||
AggregationError,
|
||||
@ -26,7 +25,6 @@ import {
|
||||
CurveFillData,
|
||||
DexSample,
|
||||
ERC20BridgeSource,
|
||||
Fill,
|
||||
KyberFillData,
|
||||
LiquidityProviderFillData,
|
||||
MooniswapFillData,
|
||||
@ -155,37 +153,6 @@ export interface CreateOrderFromPathOpts {
|
||||
shouldBatchBridgeOrders: boolean;
|
||||
}
|
||||
|
||||
// Convert sell fills into orders.
|
||||
export function createOrdersFromPath(path: Fill[], opts: CreateOrderFromPathOpts): OptimizedMarketOrder[] {
|
||||
const [makerToken, takerToken] = getMakerTakerTokens(opts);
|
||||
const collapsedPath = collapsePath(path);
|
||||
const orders: OptimizedMarketOrder[] = [];
|
||||
for (let i = 0; i < collapsedPath.length; ) {
|
||||
if (collapsedPath[i].source === ERC20BridgeSource.Native) {
|
||||
orders.push(createNativeOrder(collapsedPath[i] as NativeCollapsedFill));
|
||||
++i;
|
||||
continue;
|
||||
}
|
||||
// If there are contiguous bridge orders, we can batch them together.
|
||||
const contiguousBridgeFills = [collapsedPath[i]];
|
||||
for (let j = i + 1; j < collapsedPath.length; ++j) {
|
||||
if (collapsedPath[j].source === ERC20BridgeSource.Native) {
|
||||
break;
|
||||
}
|
||||
contiguousBridgeFills.push(collapsedPath[j]);
|
||||
}
|
||||
// Always use DexForwarderBridge unless configured not to
|
||||
if (!opts.shouldBatchBridgeOrders) {
|
||||
orders.push(createBridgeOrder(contiguousBridgeFills[0], makerToken, takerToken, opts));
|
||||
i += 1;
|
||||
} else {
|
||||
orders.push(createBatchedBridgeOrder(contiguousBridgeFills, opts));
|
||||
i += contiguousBridgeFills.length;
|
||||
}
|
||||
}
|
||||
return orders;
|
||||
}
|
||||
|
||||
export function createOrdersFromTwoHopSample(
|
||||
sample: DexSample<MultiHopFillData>,
|
||||
opts: CreateOrderFromPathOpts,
|
||||
@ -248,7 +215,7 @@ function getBridgeAddressFromFill(fill: CollapsedFill, opts: CreateOrderFromPath
|
||||
throw new Error(AggregationError.NoBridgeForSource);
|
||||
}
|
||||
|
||||
function createBridgeOrder(
|
||||
export function createBridgeOrder(
|
||||
fill: CollapsedFill,
|
||||
makerToken: string,
|
||||
takerToken: string,
|
||||
@ -362,7 +329,7 @@ function createBridgeOrder(
|
||||
};
|
||||
}
|
||||
|
||||
function createBatchedBridgeOrder(fills: CollapsedFill[], opts: CreateOrderFromPathOpts): OptimizedMarketOrder {
|
||||
export function createBatchedBridgeOrder(fills: CollapsedFill[], opts: CreateOrderFromPathOpts): OptimizedMarketOrder {
|
||||
const [makerToken, takerToken] = getMakerTakerTokens(opts);
|
||||
let totalMakerAssetAmount = ZERO_AMOUNT;
|
||||
let totalTakerAssetAmount = ZERO_AMOUNT;
|
||||
@ -403,7 +370,7 @@ function createBatchedBridgeOrder(fills: CollapsedFill[], opts: CreateOrderFromP
|
||||
};
|
||||
}
|
||||
|
||||
function getMakerTakerTokens(opts: CreateOrderFromPathOpts): [string, string] {
|
||||
export function getMakerTakerTokens(opts: CreateOrderFromPathOpts): [string, string] {
|
||||
const makerToken = opts.side === MarketOperation.Sell ? opts.outputToken : opts.inputToken;
|
||||
const takerToken = opts.side === MarketOperation.Sell ? opts.inputToken : opts.outputToken;
|
||||
return [makerToken, takerToken];
|
||||
@ -525,7 +492,7 @@ function createCommonBridgeOrderFields(orderDomain: OrderDomain): CommonBridgeOr
|
||||
};
|
||||
}
|
||||
|
||||
function createNativeOrder(fill: NativeCollapsedFill): OptimizedMarketOrder {
|
||||
export function createNativeOrder(fill: NativeCollapsedFill): OptimizedMarketOrder {
|
||||
return {
|
||||
fills: [fill],
|
||||
...fill.fillData!.order, // tslint:disable-line:no-non-null-assertion
|
||||
|
||||
287
packages/asset-swapper/src/utils/market_operation_utils/path.ts
Normal file
287
packages/asset-swapper/src/utils/market_operation_utils/path.ts
Normal file
@ -0,0 +1,287 @@
|
||||
import { BigNumber } from '@0x/utils';
|
||||
|
||||
import { MarketOperation } from '../../types';
|
||||
|
||||
import { POSITIVE_INF, SOURCE_FLAGS, ZERO_AMOUNT } from './constants';
|
||||
import {
|
||||
createBatchedBridgeOrder,
|
||||
createBridgeOrder,
|
||||
createNativeOrder,
|
||||
CreateOrderFromPathOpts,
|
||||
getMakerTakerTokens,
|
||||
} from './orders';
|
||||
import { getCompleteRate, getRate } from './rate_utils';
|
||||
import {
|
||||
CollapsedFill,
|
||||
ERC20BridgeSource,
|
||||
ExchangeProxyOverhead,
|
||||
Fill,
|
||||
NativeCollapsedFill,
|
||||
OptimizedMarketOrder,
|
||||
} from './types';
|
||||
|
||||
// tslint:disable: prefer-for-of no-bitwise completed-docs
|
||||
|
||||
export interface PathSize {
|
||||
input: BigNumber;
|
||||
output: BigNumber;
|
||||
}
|
||||
|
||||
export interface PathPenaltyOpts {
|
||||
ethToOutputRate: BigNumber;
|
||||
ethToInputRate: BigNumber;
|
||||
exchangeProxyOverhead: ExchangeProxyOverhead;
|
||||
}
|
||||
|
||||
export const DEFAULT_PATH_PENALTY_OPTS: PathPenaltyOpts = {
|
||||
ethToOutputRate: ZERO_AMOUNT,
|
||||
ethToInputRate: ZERO_AMOUNT,
|
||||
exchangeProxyOverhead: () => ZERO_AMOUNT,
|
||||
};
|
||||
|
||||
export class Path {
|
||||
public collapsedFills?: ReadonlyArray<CollapsedFill>;
|
||||
public orders?: OptimizedMarketOrder[];
|
||||
public sourceFlags: number = 0;
|
||||
protected _size: PathSize = { input: ZERO_AMOUNT, output: ZERO_AMOUNT };
|
||||
protected _adjustedSize: PathSize = { input: ZERO_AMOUNT, output: ZERO_AMOUNT };
|
||||
|
||||
public static create(
|
||||
side: MarketOperation,
|
||||
fills: ReadonlyArray<Fill>,
|
||||
targetInput: BigNumber = POSITIVE_INF,
|
||||
pathPenaltyOpts: PathPenaltyOpts = DEFAULT_PATH_PENALTY_OPTS,
|
||||
): Path {
|
||||
const path = new Path(side, fills, targetInput, pathPenaltyOpts);
|
||||
fills.forEach(fill => {
|
||||
path.sourceFlags |= fill.flags;
|
||||
path._addFillSize(fill);
|
||||
});
|
||||
return path;
|
||||
}
|
||||
|
||||
public static clone(base: Path): Path {
|
||||
const clonedPath = new Path(base.side, base.fills.slice(), base.targetInput, base.pathPenaltyOpts);
|
||||
clonedPath.sourceFlags = base.sourceFlags;
|
||||
clonedPath._size = { ...base._size };
|
||||
clonedPath._adjustedSize = { ...base._adjustedSize };
|
||||
clonedPath.collapsedFills = base.collapsedFills === undefined ? undefined : base.collapsedFills.slice();
|
||||
clonedPath.orders = base.orders === undefined ? undefined : base.orders.slice();
|
||||
return clonedPath;
|
||||
}
|
||||
|
||||
protected constructor(
|
||||
protected readonly side: MarketOperation,
|
||||
public fills: ReadonlyArray<Fill>,
|
||||
protected readonly targetInput: BigNumber,
|
||||
public readonly pathPenaltyOpts: PathPenaltyOpts,
|
||||
) {}
|
||||
|
||||
public append(fill: Fill): this {
|
||||
(this.fills as Fill[]).push(fill);
|
||||
this.sourceFlags |= fill.flags;
|
||||
this._addFillSize(fill);
|
||||
return this;
|
||||
}
|
||||
|
||||
public addFallback(fallback: Path): this {
|
||||
// If the last fill is Native and penultimate is not, then the intention was to partial fill
|
||||
// In this case we drop it entirely as we can't handle a failure at the end and we don't
|
||||
// want to fully fill when it gets prepended to the front below
|
||||
const [last, penultimateIfExists] = this.fills.slice().reverse();
|
||||
const lastNativeFillIfExists =
|
||||
last.source === ERC20BridgeSource.Native &&
|
||||
penultimateIfExists &&
|
||||
penultimateIfExists.source !== ERC20BridgeSource.Native
|
||||
? last
|
||||
: undefined;
|
||||
// By prepending native paths to the front they cannot split on-chain sources and incur
|
||||
// an additional protocol fee. I.e [Uniswap,Native,Kyber] becomes [Native,Uniswap,Kyber]
|
||||
// In the previous step we dropped any hanging Native partial fills, as to not fully fill
|
||||
const nativeFills = this.fills.filter(f => f.source === ERC20BridgeSource.Native);
|
||||
this.fills = [...nativeFills.filter(f => f !== lastNativeFillIfExists), ...fallback.fills];
|
||||
// Recompute the source flags
|
||||
this.sourceFlags = this.fills.reduce((flags, fill) => flags | fill.flags, 0);
|
||||
return this;
|
||||
}
|
||||
|
||||
public collapse(opts: CreateOrderFromPathOpts): CollapsedPath {
|
||||
const [makerToken, takerToken] = getMakerTakerTokens(opts);
|
||||
const collapsedFills = this.collapsedFills === undefined ? this._collapseFills() : this.collapsedFills;
|
||||
this.orders = [];
|
||||
for (let i = 0; i < collapsedFills.length; ) {
|
||||
if (collapsedFills[i].source === ERC20BridgeSource.Native) {
|
||||
this.orders.push(createNativeOrder(collapsedFills[i] as NativeCollapsedFill));
|
||||
++i;
|
||||
continue;
|
||||
}
|
||||
// If there are contiguous bridge orders, we can batch them together.
|
||||
const contiguousBridgeFills = [collapsedFills[i]];
|
||||
for (let j = i + 1; j < collapsedFills.length; ++j) {
|
||||
if (collapsedFills[j].source === ERC20BridgeSource.Native) {
|
||||
break;
|
||||
}
|
||||
contiguousBridgeFills.push(collapsedFills[j]);
|
||||
}
|
||||
// Always use DexForwarderBridge unless configured not to
|
||||
if (!opts.shouldBatchBridgeOrders) {
|
||||
this.orders.push(createBridgeOrder(contiguousBridgeFills[0], makerToken, takerToken, opts));
|
||||
i += 1;
|
||||
} else {
|
||||
this.orders.push(createBatchedBridgeOrder(contiguousBridgeFills, opts));
|
||||
i += contiguousBridgeFills.length;
|
||||
}
|
||||
}
|
||||
return this as CollapsedPath;
|
||||
}
|
||||
|
||||
public size(): PathSize {
|
||||
return this._size;
|
||||
}
|
||||
|
||||
public adjustedSize(): PathSize {
|
||||
const { input, output } = this._adjustedSize;
|
||||
const { exchangeProxyOverhead, ethToOutputRate, ethToInputRate } = this.pathPenaltyOpts;
|
||||
const gasOverhead = exchangeProxyOverhead(this.sourceFlags);
|
||||
const pathPenalty = !ethToOutputRate.isZero()
|
||||
? ethToOutputRate.times(gasOverhead)
|
||||
: ethToInputRate.times(gasOverhead).times(output.dividedToIntegerBy(input));
|
||||
return {
|
||||
input,
|
||||
output: this.side === MarketOperation.Sell ? output.minus(pathPenalty) : output.plus(pathPenalty),
|
||||
};
|
||||
}
|
||||
|
||||
public adjustedCompleteRate(): BigNumber {
|
||||
const { input, output } = this.adjustedSize();
|
||||
return getCompleteRate(this.side, input, output, this.targetInput);
|
||||
}
|
||||
|
||||
public adjustedRate(): BigNumber {
|
||||
const { input, output } = this.adjustedSize();
|
||||
return getRate(this.side, input, output);
|
||||
}
|
||||
|
||||
public adjustedSlippage(maxRate: BigNumber): number {
|
||||
if (maxRate.eq(0)) {
|
||||
return 0;
|
||||
}
|
||||
const totalRate = this.adjustedRate();
|
||||
const rateChange = maxRate.minus(totalRate);
|
||||
return rateChange.div(maxRate).toNumber();
|
||||
}
|
||||
|
||||
public isBetterThan(other: Path): boolean {
|
||||
if (!this.targetInput.isEqualTo(other.targetInput)) {
|
||||
throw new Error(`Target input mismatch: ${this.targetInput} !== ${other.targetInput}`);
|
||||
}
|
||||
const { targetInput } = this;
|
||||
const { input } = this._size;
|
||||
const { input: otherInput } = other._size;
|
||||
if (input.isLessThan(targetInput) || otherInput.isLessThan(targetInput)) {
|
||||
return input.isGreaterThan(otherInput);
|
||||
} else {
|
||||
return this.adjustedCompleteRate().isGreaterThan(other.adjustedCompleteRate());
|
||||
}
|
||||
// if (otherInput.isLessThan(targetInput)) {
|
||||
// return input.isGreaterThan(otherInput);
|
||||
// } else if (input.isGreaterThanOrEqualTo(targetInput)) {
|
||||
// return this.adjustedCompleteRate().isGreaterThan(other.adjustedCompleteRate());
|
||||
// }
|
||||
// return false;
|
||||
}
|
||||
|
||||
public isComplete(): boolean {
|
||||
const { input } = this._size;
|
||||
return input.gte(this.targetInput);
|
||||
}
|
||||
|
||||
public isValid(skipDuplicateCheck: boolean = false): boolean {
|
||||
for (let i = 0; i < this.fills.length; ++i) {
|
||||
// Fill must immediately follow its parent.
|
||||
if (this.fills[i].parent) {
|
||||
if (i === 0 || this.fills[i - 1] !== this.fills[i].parent) {
|
||||
return false;
|
||||
}
|
||||
}
|
||||
if (!skipDuplicateCheck) {
|
||||
// Fill must not be duplicated.
|
||||
for (let j = 0; j < i; ++j) {
|
||||
if (this.fills[i] === this.fills[j]) {
|
||||
return false;
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
return doSourcesConflict(this.sourceFlags);
|
||||
}
|
||||
|
||||
public isValidNextFill(fill: Fill): boolean {
|
||||
if (this.fills.length === 0) {
|
||||
return !fill.parent;
|
||||
}
|
||||
if (this.fills[this.fills.length - 1] === fill.parent) {
|
||||
return true;
|
||||
}
|
||||
if (fill.parent) {
|
||||
return false;
|
||||
}
|
||||
return doSourcesConflict(this.sourceFlags | fill.flags);
|
||||
}
|
||||
|
||||
private _collapseFills(): ReadonlyArray<CollapsedFill> {
|
||||
this.collapsedFills = [];
|
||||
for (const fill of this.fills) {
|
||||
const source = fill.source;
|
||||
if (this.collapsedFills.length !== 0 && source !== ERC20BridgeSource.Native) {
|
||||
const prevFill = this.collapsedFills[this.collapsedFills.length - 1];
|
||||
// If the last fill is from the same source, merge them.
|
||||
if (prevFill.sourcePathId === fill.sourcePathId) {
|
||||
prevFill.input = prevFill.input.plus(fill.input);
|
||||
prevFill.output = prevFill.output.plus(fill.output);
|
||||
prevFill.fillData = fill.fillData;
|
||||
prevFill.subFills.push(fill);
|
||||
continue;
|
||||
}
|
||||
}
|
||||
(this.collapsedFills as CollapsedFill[]).push({
|
||||
sourcePathId: fill.sourcePathId,
|
||||
source: fill.source,
|
||||
fillData: fill.fillData,
|
||||
input: fill.input,
|
||||
output: fill.output,
|
||||
subFills: [fill],
|
||||
});
|
||||
}
|
||||
return this.collapsedFills;
|
||||
}
|
||||
|
||||
private _addFillSize(fill: Fill): void {
|
||||
if (this._size.input.plus(fill.input).isGreaterThan(this.targetInput)) {
|
||||
const remainingInput = this.targetInput.minus(this._size.input);
|
||||
const scaledFillOutput = fill.output.times(remainingInput.div(fill.input));
|
||||
this._size.input = this.targetInput;
|
||||
this._size.output = this._size.output.plus(scaledFillOutput);
|
||||
// Penalty does not get interpolated.
|
||||
const penalty = fill.adjustedOutput.minus(fill.output);
|
||||
this._adjustedSize.input = this.targetInput;
|
||||
this._adjustedSize.output = this._adjustedSize.output.plus(scaledFillOutput).plus(penalty);
|
||||
} else {
|
||||
this._size.input = this._size.input.plus(fill.input);
|
||||
this._size.output = this._size.output.plus(fill.output);
|
||||
this._adjustedSize.input = this._adjustedSize.input.plus(fill.input);
|
||||
this._adjustedSize.output = this._adjustedSize.output.plus(fill.adjustedOutput);
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
export interface CollapsedPath extends Path {
|
||||
readonly collapsedFills: ReadonlyArray<CollapsedFill>;
|
||||
readonly orders: OptimizedMarketOrder[];
|
||||
}
|
||||
|
||||
const MULTIBRIDGE_SOURCES = SOURCE_FLAGS.LiquidityProvider | SOURCE_FLAGS.Uniswap;
|
||||
export function doSourcesConflict(flags: number): boolean {
|
||||
const multiBridgeConflict = flags & SOURCE_FLAGS.MultiBridge && flags & MULTIBRIDGE_SOURCES;
|
||||
return !multiBridgeConflict;
|
||||
}
|
||||
@ -1,17 +1,9 @@
|
||||
import { BigNumber } from '@0x/utils';
|
||||
import * as _ from 'lodash';
|
||||
|
||||
import { MarketOperation } from '../../types';
|
||||
|
||||
import { ZERO_AMOUNT } from './constants';
|
||||
import {
|
||||
arePathFlagsAllowed,
|
||||
getCompleteRate,
|
||||
getPathAdjustedCompleteRate,
|
||||
getPathAdjustedRate,
|
||||
getPathAdjustedSize,
|
||||
getPathSize,
|
||||
isValidPath,
|
||||
} from './fills';
|
||||
import { DEFAULT_PATH_PENALTY_OPTS, Path, PathPenaltyOpts } from './path';
|
||||
import { Fill } from './types';
|
||||
|
||||
// tslint:disable: prefer-for-of custom-no-magic-numbers completed-docs no-bitwise
|
||||
@ -19,134 +11,93 @@ import { Fill } from './types';
|
||||
const RUN_LIMIT_DECAY_FACTOR = 0.5;
|
||||
|
||||
/**
|
||||
* Find the optimal mixture of paths that maximizes (for sells) or minimizes
|
||||
* Find the optimal mixture of fills that maximizes (for sells) or minimizes
|
||||
* (for buys) output, while meeting the input requirement.
|
||||
*/
|
||||
export async function findOptimalPathAsync(
|
||||
side: MarketOperation,
|
||||
paths: Fill[][],
|
||||
fills: Fill[][],
|
||||
targetInput: BigNumber,
|
||||
runLimit: number = 2 ** 8,
|
||||
): Promise<Fill[] | undefined> {
|
||||
// Sort paths by descending adjusted completed rate.
|
||||
const sortedPaths = paths
|
||||
.slice(0)
|
||||
.sort((a, b) =>
|
||||
getPathAdjustedCompleteRate(side, b, targetInput).comparedTo(
|
||||
getPathAdjustedCompleteRate(side, a, targetInput),
|
||||
),
|
||||
);
|
||||
let optimalPath = sortedPaths[0] || [];
|
||||
opts: PathPenaltyOpts = DEFAULT_PATH_PENALTY_OPTS,
|
||||
): Promise<Path | undefined> {
|
||||
const rates = rateBySourcePathId(side, fills, targetInput);
|
||||
const paths = fills.map(singleSourceFills => Path.create(side, singleSourceFills, targetInput, opts));
|
||||
// Sort fill arrays by descending adjusted completed rate.
|
||||
const sortedPaths = paths.sort((a, b) => b.adjustedCompleteRate().comparedTo(a.adjustedCompleteRate()));
|
||||
if (sortedPaths.length === 0) {
|
||||
return undefined;
|
||||
}
|
||||
let optimalPath = sortedPaths[0];
|
||||
for (const [i, path] of sortedPaths.slice(1).entries()) {
|
||||
optimalPath = mixPaths(side, optimalPath, path, targetInput, runLimit * RUN_LIMIT_DECAY_FACTOR ** i);
|
||||
optimalPath = mixPaths(side, optimalPath, path, targetInput, runLimit * RUN_LIMIT_DECAY_FACTOR ** i, rates);
|
||||
// Yield to event loop.
|
||||
await Promise.resolve();
|
||||
}
|
||||
return isPathComplete(optimalPath, targetInput) ? optimalPath : undefined;
|
||||
return optimalPath.isComplete() ? optimalPath : undefined;
|
||||
}
|
||||
|
||||
function mixPaths(
|
||||
side: MarketOperation,
|
||||
pathA: Fill[],
|
||||
pathB: Fill[],
|
||||
pathA: Path,
|
||||
pathB: Path,
|
||||
targetInput: BigNumber,
|
||||
maxSteps: number,
|
||||
): Fill[] {
|
||||
rates: { [id: string]: BigNumber },
|
||||
): Path {
|
||||
const _maxSteps = Math.max(maxSteps, 32);
|
||||
let steps = 0;
|
||||
// We assume pathA is the better of the two initially.
|
||||
let bestPath: Fill[] = pathA;
|
||||
let [bestPathInput, bestPathOutput] = getPathAdjustedSize(pathA, targetInput);
|
||||
let bestPathRate = getCompleteRate(side, bestPathInput, bestPathOutput, targetInput);
|
||||
const _isBetterPath = (input: BigNumber, rate: BigNumber) => {
|
||||
if (bestPathInput.lt(targetInput)) {
|
||||
return input.gt(bestPathInput);
|
||||
} else if (input.gte(targetInput)) {
|
||||
return rate.gt(bestPathRate);
|
||||
}
|
||||
return false;
|
||||
};
|
||||
const _walk = (path: Fill[], input: BigNumber, output: BigNumber, flags: number, remainingFills: Fill[]) => {
|
||||
let bestPath: Path = pathA;
|
||||
|
||||
const _walk = (path: Path, remainingFills: Fill[]) => {
|
||||
steps += 1;
|
||||
const rate = getCompleteRate(side, input, output, targetInput);
|
||||
if (_isBetterPath(input, rate)) {
|
||||
if (path.isBetterThan(bestPath)) {
|
||||
bestPath = path;
|
||||
bestPathInput = input;
|
||||
bestPathOutput = output;
|
||||
bestPathRate = rate;
|
||||
}
|
||||
const remainingInput = targetInput.minus(input);
|
||||
if (remainingInput.gt(0)) {
|
||||
const remainingInput = targetInput.minus(path.size().input);
|
||||
if (remainingInput.isGreaterThan(0)) {
|
||||
for (let i = 0; i < remainingFills.length && steps < _maxSteps; ++i) {
|
||||
const fill = remainingFills[i];
|
||||
// Only walk valid paths.
|
||||
if (!isValidNextPathFill(path, flags, fill)) {
|
||||
if (!path.isValidNextFill(fill)) {
|
||||
continue;
|
||||
}
|
||||
// Remove this fill from the next list of candidate fills.
|
||||
const nextRemainingFills = remainingFills.slice();
|
||||
nextRemainingFills.splice(i, 1);
|
||||
// Recurse.
|
||||
_walk(
|
||||
[...path, fill],
|
||||
input.plus(BigNumber.min(remainingInput, fill.input)),
|
||||
output.plus(
|
||||
// Clip the output of the next fill to the remaining
|
||||
// input.
|
||||
clipFillAdjustedOutput(fill, remainingInput),
|
||||
),
|
||||
flags | fill.flags,
|
||||
nextRemainingFills,
|
||||
);
|
||||
_walk(Path.clone(path).append(fill), nextRemainingFills);
|
||||
}
|
||||
}
|
||||
};
|
||||
const allFills = [...pathA, ...pathB];
|
||||
const sources = allFills.filter(f => f.index === 0).map(f => f.sourcePathId);
|
||||
const rateBySource = Object.assign(
|
||||
{},
|
||||
...sources.map(s => ({
|
||||
[s]: getPathAdjustedRate(side, allFills.filter(f => f.sourcePathId === s), targetInput),
|
||||
})),
|
||||
);
|
||||
const allFills = [...pathA.fills, ...pathB.fills];
|
||||
// Sort subpaths by rate and keep fills contiguous to improve our
|
||||
// chances of walking ideal, valid paths first.
|
||||
const sortedFills = allFills.sort((a, b) => {
|
||||
if (a.sourcePathId !== b.sourcePathId) {
|
||||
return rateBySource[b.sourcePathId].comparedTo(rateBySource[a.sourcePathId]);
|
||||
return rates[b.sourcePathId].comparedTo(rates[a.sourcePathId]);
|
||||
}
|
||||
return a.index - b.index;
|
||||
});
|
||||
_walk([], ZERO_AMOUNT, ZERO_AMOUNT, 0, sortedFills);
|
||||
if (!isValidPath(bestPath)) {
|
||||
_walk(Path.create(side, [], targetInput, pathA.pathPenaltyOpts), sortedFills);
|
||||
if (!bestPath.isValid()) {
|
||||
throw new Error('nooope');
|
||||
}
|
||||
return bestPath;
|
||||
}
|
||||
|
||||
function isValidNextPathFill(path: Fill[], pathFlags: number, fill: Fill): boolean {
|
||||
if (path.length === 0) {
|
||||
return !fill.parent;
|
||||
}
|
||||
if (path[path.length - 1] === fill.parent) {
|
||||
return true;
|
||||
}
|
||||
if (fill.parent) {
|
||||
return false;
|
||||
}
|
||||
return arePathFlagsAllowed(pathFlags | fill.flags);
|
||||
}
|
||||
|
||||
function isPathComplete(path: Fill[], targetInput: BigNumber): boolean {
|
||||
const [input] = getPathSize(path);
|
||||
return input.gte(targetInput);
|
||||
}
|
||||
|
||||
function clipFillAdjustedOutput(fill: Fill, remainingInput: BigNumber): BigNumber {
|
||||
if (fill.input.lte(remainingInput)) {
|
||||
return fill.adjustedOutput;
|
||||
}
|
||||
// Penalty does not get interpolated.
|
||||
const penalty = fill.adjustedOutput.minus(fill.output);
|
||||
return remainingInput.times(fill.output.div(fill.input)).plus(penalty);
|
||||
function rateBySourcePathId(
|
||||
side: MarketOperation,
|
||||
fills: Fill[][],
|
||||
targetInput: BigNumber,
|
||||
): { [id: string]: BigNumber } {
|
||||
const flattenedFills = _.flatten(fills);
|
||||
const sourcePathIds = flattenedFills.filter(f => f.index === 0).map(f => f.sourcePathId);
|
||||
return Object.assign(
|
||||
{},
|
||||
...sourcePathIds.map(s => ({
|
||||
[s]: Path.create(side, flattenedFills.filter(f => f.sourcePathId === s), targetInput).adjustedRate(),
|
||||
})),
|
||||
);
|
||||
}
|
||||
|
||||
@ -0,0 +1,62 @@
|
||||
import { BigNumber } from '@0x/utils';
|
||||
|
||||
import { MarketOperation } from '../../types';
|
||||
|
||||
import { SOURCE_FLAGS, ZERO_AMOUNT } from './constants';
|
||||
import { DexSample, ERC20BridgeSource, ExchangeProxyOverhead, FeeSchedule, MultiHopFillData } from './types';
|
||||
|
||||
/**
|
||||
* Returns the fee-adjusted rate of a two-hop quote. Returns zero if the
|
||||
* quote falls short of the target input.
|
||||
*/
|
||||
export function getTwoHopAdjustedRate(
|
||||
side: MarketOperation,
|
||||
twoHopQuote: DexSample<MultiHopFillData>,
|
||||
targetInput: BigNumber,
|
||||
ethToOutputRate: BigNumber,
|
||||
fees: FeeSchedule = {},
|
||||
exchangeProxyOverhead: ExchangeProxyOverhead = () => ZERO_AMOUNT,
|
||||
): BigNumber {
|
||||
const { output, input, fillData } = twoHopQuote;
|
||||
if (input.isLessThan(targetInput) || output.isZero()) {
|
||||
return ZERO_AMOUNT;
|
||||
}
|
||||
const penalty = ethToOutputRate.times(
|
||||
exchangeProxyOverhead(SOURCE_FLAGS.MultiHop).plus(fees[ERC20BridgeSource.MultiHop]!(fillData)),
|
||||
);
|
||||
const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
|
||||
return side === MarketOperation.Sell ? adjustedOutput.div(input) : input.div(adjustedOutput);
|
||||
}
|
||||
|
||||
/**
|
||||
* Computes the "complete" rate given the input/output of a path.
|
||||
* This value penalizes the path if it falls short of the target input.
|
||||
*/
|
||||
export function getCompleteRate(
|
||||
side: MarketOperation,
|
||||
input: BigNumber,
|
||||
output: BigNumber,
|
||||
targetInput: BigNumber,
|
||||
): BigNumber {
|
||||
if (input.eq(0) || output.eq(0) || targetInput.eq(0)) {
|
||||
return ZERO_AMOUNT;
|
||||
}
|
||||
// Penalize paths that fall short of the entire input amount by a factor of
|
||||
// input / targetInput => (i / t)
|
||||
if (side === MarketOperation.Sell) {
|
||||
// (o / i) * (i / t) => (o / t)
|
||||
return output.div(targetInput);
|
||||
}
|
||||
// (i / o) * (i / t)
|
||||
return input.div(output).times(input.div(targetInput));
|
||||
}
|
||||
|
||||
/**
|
||||
* Computes the rate given the input/output of a path.
|
||||
*/
|
||||
export function getRate(side: MarketOperation, input: BigNumber, output: BigNumber): BigNumber {
|
||||
if (input.eq(0) || output.eq(0)) {
|
||||
return ZERO_AMOUNT;
|
||||
}
|
||||
return side === MarketOperation.Sell ? output.div(input) : input.div(output);
|
||||
}
|
||||
@ -156,16 +156,6 @@ export interface DexSample<TFillData extends FillData = FillData> extends Source
|
||||
output: BigNumber;
|
||||
}
|
||||
|
||||
/**
|
||||
* Flags for `Fill` objects.
|
||||
*/
|
||||
export enum FillFlags {
|
||||
ConflictsWithKyber = 0x1,
|
||||
Kyber = 0x2,
|
||||
ConflictsWithMultiBridge = 0x4,
|
||||
MultiBridge = 0x8,
|
||||
}
|
||||
|
||||
/**
|
||||
* Represents a node on a fill path.
|
||||
*/
|
||||
@ -174,8 +164,8 @@ export interface Fill<TFillData extends FillData = FillData> extends SourceInfo<
|
||||
// This is generated when the path is generated and is useful to distinguish
|
||||
// paths that have the same `source` IDs but are distinct (e.g., Curves).
|
||||
sourcePathId: string;
|
||||
// See `FillFlags`.
|
||||
flags: FillFlags;
|
||||
// See `SOURCE_FLAGS`.
|
||||
flags: number;
|
||||
// Input fill amount (taker asset amount in a sell, maker asset amount in a buy).
|
||||
input: BigNumber;
|
||||
// Output fill amount (maker asset amount in a sell, taker asset amount in a buy).
|
||||
@ -234,6 +224,7 @@ export interface GetMarketOrdersRfqtOpts extends RfqtRequestOpts {
|
||||
|
||||
export type FeeEstimate = (fillData?: FillData) => number | BigNumber;
|
||||
export type FeeSchedule = Partial<{ [key in ERC20BridgeSource]: FeeEstimate }>;
|
||||
export type ExchangeProxyOverhead = (sourceFlags: number) => BigNumber;
|
||||
|
||||
/**
|
||||
* Options for `getMarketSellOrdersAsync()` and `getMarketBuyOrdersAsync()`.
|
||||
@ -288,6 +279,7 @@ export interface GetMarketOrdersOpts {
|
||||
* Estimated gas consumed by each liquidity source.
|
||||
*/
|
||||
gasSchedule: FeeSchedule;
|
||||
exchangeProxyOverhead: ExchangeProxyOverhead;
|
||||
/**
|
||||
* Whether to pad the quote with a redundant fallback quote using different
|
||||
* sources. Defaults to `true`.
|
||||
@ -321,11 +313,8 @@ export interface SourceQuoteOperation<TFillData extends FillData = FillData>
|
||||
|
||||
export interface OptimizerResult {
|
||||
optimizedOrders: OptimizedMarketOrder[];
|
||||
isTwoHop: boolean;
|
||||
sourceFlags: number;
|
||||
liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>;
|
||||
}
|
||||
|
||||
export interface OptimizerResultWithReport extends OptimizerResult {
|
||||
quoteReport?: QuoteReport;
|
||||
}
|
||||
|
||||
|
||||
@ -64,7 +64,7 @@ export function generateQuoteReport(
|
||||
multiHopQuotes: Array<DexSample<MultiHopFillData>>,
|
||||
nativeOrders: SignedOrder[],
|
||||
orderFillableAmounts: BigNumber[],
|
||||
liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>,
|
||||
liquidityDelivered: ReadonlyArray<CollapsedFill> | DexSample<MultiHopFillData>,
|
||||
quoteRequestor?: QuoteRequestor,
|
||||
): QuoteReport {
|
||||
const dexReportSourcesConsidered = dexQuotes.map(quote => _dexSampleToReportSource(quote, marketOperation));
|
||||
@ -101,7 +101,9 @@ export function generateQuoteReport(
|
||||
}
|
||||
});
|
||||
} else {
|
||||
sourcesDelivered = [_multiHopSampleToReportSource(liquidityDelivered, marketOperation)];
|
||||
sourcesDelivered = [
|
||||
_multiHopSampleToReportSource(liquidityDelivered as DexSample<MultiHopFillData>, marketOperation),
|
||||
];
|
||||
}
|
||||
return {
|
||||
sourcesConsidered,
|
||||
|
||||
@ -349,7 +349,7 @@ function fromIntermediateQuoteFillResult(ir: IntermediateQuoteFillResult, quoteI
|
||||
};
|
||||
}
|
||||
|
||||
export function getFlattenedFillsFromOrders(orders: OptimizedMarketOrder[]): CollapsedFill[] {
|
||||
function getFlattenedFillsFromOrders(orders: OptimizedMarketOrder[]): CollapsedFill[] {
|
||||
const fills: CollapsedFill[] = [];
|
||||
for (const o of orders) {
|
||||
fills.push(...o.fills);
|
||||
|
||||
@ -16,6 +16,7 @@ import {
|
||||
} from '../types';
|
||||
|
||||
import { MarketOperationUtils } from './market_operation_utils';
|
||||
import { SOURCE_FLAGS } from './market_operation_utils/constants';
|
||||
import { convertNativeOrderToFullyFillableOptimizedOrders } from './market_operation_utils/orders';
|
||||
import {
|
||||
ERC20BridgeSource,
|
||||
@ -130,70 +131,74 @@ export class SwapQuoteCalculator {
|
||||
|
||||
let optimizedOrders: OptimizedMarketOrder[];
|
||||
let quoteReport: QuoteReport | undefined;
|
||||
let isTwoHop = false;
|
||||
let sourceFlags: number = 0;
|
||||
|
||||
{
|
||||
// Scale fees by gas price.
|
||||
const _opts: GetMarketOrdersOpts = {
|
||||
...opts,
|
||||
feeSchedule: _.mapValues(opts.feeSchedule, gasCost => (fillData?: FillData) =>
|
||||
gasCost === undefined ? 0 : gasPrice.times(gasCost(fillData)),
|
||||
),
|
||||
};
|
||||
// Scale fees by gas price.
|
||||
const _opts: GetMarketOrdersOpts = {
|
||||
...opts,
|
||||
feeSchedule: _.mapValues(opts.feeSchedule, gasCost => (fillData?: FillData) =>
|
||||
gasCost === undefined ? 0 : gasPrice.times(gasCost(fillData)),
|
||||
),
|
||||
exchangeProxyOverhead: flags => gasPrice.times(opts.exchangeProxyOverhead(flags)),
|
||||
};
|
||||
|
||||
const firstOrderMakerAssetData = !!prunedOrders[0]
|
||||
? assetDataUtils.decodeAssetDataOrThrow(prunedOrders[0].makerAssetData)
|
||||
: { assetProxyId: '' };
|
||||
const firstOrderMakerAssetData = !!prunedOrders[0]
|
||||
? assetDataUtils.decodeAssetDataOrThrow(prunedOrders[0].makerAssetData)
|
||||
: { assetProxyId: '' };
|
||||
|
||||
if (firstOrderMakerAssetData.assetProxyId === AssetProxyId.ERC721) {
|
||||
// HACK: to conform ERC721 orders to the output of market operation utils, assumes complete fillable
|
||||
optimizedOrders = prunedOrders.map(o => convertNativeOrderToFullyFillableOptimizedOrders(o));
|
||||
if (firstOrderMakerAssetData.assetProxyId === AssetProxyId.ERC721) {
|
||||
// HACK: to conform ERC721 orders to the output of market operation utils, assumes complete fillable
|
||||
optimizedOrders = prunedOrders.map(o => convertNativeOrderToFullyFillableOptimizedOrders(o));
|
||||
} else {
|
||||
if (operation === MarketOperation.Buy) {
|
||||
const buyResult = await this._marketOperationUtils.getMarketBuyOrdersAsync(
|
||||
prunedOrders,
|
||||
assetFillAmount,
|
||||
_opts,
|
||||
);
|
||||
optimizedOrders = buyResult.optimizedOrders;
|
||||
quoteReport = buyResult.quoteReport;
|
||||
sourceFlags = buyResult.sourceFlags;
|
||||
} else {
|
||||
if (operation === MarketOperation.Buy) {
|
||||
const buyResult = await this._marketOperationUtils.getMarketBuyOrdersAsync(
|
||||
prunedOrders,
|
||||
assetFillAmount,
|
||||
_opts,
|
||||
);
|
||||
optimizedOrders = buyResult.optimizedOrders;
|
||||
quoteReport = buyResult.quoteReport;
|
||||
isTwoHop = buyResult.isTwoHop;
|
||||
} else {
|
||||
const sellResult = await this._marketOperationUtils.getMarketSellOrdersAsync(
|
||||
prunedOrders,
|
||||
assetFillAmount,
|
||||
_opts,
|
||||
);
|
||||
optimizedOrders = sellResult.optimizedOrders;
|
||||
quoteReport = sellResult.quoteReport;
|
||||
isTwoHop = sellResult.isTwoHop;
|
||||
}
|
||||
const sellResult = await this._marketOperationUtils.getMarketSellOrdersAsync(
|
||||
prunedOrders,
|
||||
assetFillAmount,
|
||||
_opts,
|
||||
);
|
||||
optimizedOrders = sellResult.optimizedOrders;
|
||||
quoteReport = sellResult.quoteReport;
|
||||
sourceFlags = sellResult.sourceFlags;
|
||||
}
|
||||
}
|
||||
|
||||
// assetData information for the result
|
||||
const { makerAssetData, takerAssetData } = prunedOrders[0];
|
||||
return isTwoHop
|
||||
? createTwoHopSwapQuote(
|
||||
makerAssetData,
|
||||
takerAssetData,
|
||||
optimizedOrders,
|
||||
operation,
|
||||
assetFillAmount,
|
||||
gasPrice,
|
||||
opts.gasSchedule,
|
||||
quoteReport,
|
||||
)
|
||||
: createSwapQuote(
|
||||
makerAssetData,
|
||||
takerAssetData,
|
||||
optimizedOrders,
|
||||
operation,
|
||||
assetFillAmount,
|
||||
gasPrice,
|
||||
opts.gasSchedule,
|
||||
quoteReport,
|
||||
);
|
||||
const swapQuote =
|
||||
sourceFlags === SOURCE_FLAGS[ERC20BridgeSource.MultiHop]
|
||||
? createTwoHopSwapQuote(
|
||||
makerAssetData,
|
||||
takerAssetData,
|
||||
optimizedOrders,
|
||||
operation,
|
||||
assetFillAmount,
|
||||
gasPrice,
|
||||
opts.gasSchedule,
|
||||
quoteReport,
|
||||
)
|
||||
: createSwapQuote(
|
||||
makerAssetData,
|
||||
takerAssetData,
|
||||
optimizedOrders,
|
||||
operation,
|
||||
assetFillAmount,
|
||||
gasPrice,
|
||||
opts.gasSchedule,
|
||||
quoteReport,
|
||||
);
|
||||
const exchangeProxyOverhead = _opts.exchangeProxyOverhead(sourceFlags).toNumber();
|
||||
swapQuote.bestCaseQuoteInfo.gas += exchangeProxyOverhead;
|
||||
swapQuote.worstCaseQuoteInfo.gas += exchangeProxyOverhead;
|
||||
return swapQuote;
|
||||
}
|
||||
}
|
||||
|
||||
|
||||
@ -22,9 +22,10 @@ import {
|
||||
BUY_SOURCE_FILTER,
|
||||
POSITIVE_INF,
|
||||
SELL_SOURCE_FILTER,
|
||||
SOURCE_FLAGS,
|
||||
ZERO_AMOUNT,
|
||||
} from '../src/utils/market_operation_utils/constants';
|
||||
import { createFillPaths } from '../src/utils/market_operation_utils/fills';
|
||||
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 {
|
||||
@ -264,11 +265,7 @@ describe('MarketOperationUtils tests', () => {
|
||||
function getSortedOrderSources(side: MarketOperation, orders: OptimizedMarketOrder[]): ERC20BridgeSource[][] {
|
||||
return (
|
||||
orders
|
||||
// Sort orders by descending rate.
|
||||
.sort((a, b) =>
|
||||
b.makerAssetAmount.div(b.takerAssetAmount).comparedTo(a.makerAssetAmount.div(a.takerAssetAmount)),
|
||||
)
|
||||
// Then sort fills by descending rate.
|
||||
// Sort fills by descending rate.
|
||||
.map(o => {
|
||||
return o.fills
|
||||
.slice()
|
||||
@ -930,6 +927,49 @@ describe('MarketOperationUtils tests', () => {
|
||||
[ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Curve],
|
||||
]);
|
||||
});
|
||||
it('factors in exchange proxy gas overhead', async () => {
|
||||
// Uniswap has a slightly better rate than LiquidityProvider,
|
||||
// but LiquidityProvider is better accounting for the EP gas overhead.
|
||||
const rates: RatesBySource = {
|
||||
[ERC20BridgeSource.Native]: [0.01, 0.01, 0.01, 0.01],
|
||||
[ERC20BridgeSource.Uniswap]: [1, 1, 1, 1],
|
||||
[ERC20BridgeSource.LiquidityProvider]: [0.9999, 0.9999, 0.9999, 0.9999],
|
||||
};
|
||||
replaceSamplerOps({
|
||||
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
||||
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
||||
});
|
||||
const optimizer = new MarketOperationUtils(
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
randomAddress(), // liquidity provider registry
|
||||
);
|
||||
const gasPrice = 100e9; // 100 gwei
|
||||
const exchangeProxyOverhead = (sourceFlags: number) =>
|
||||
sourceFlags === SOURCE_FLAGS.LiquidityProvider
|
||||
? new BigNumber(3e4).times(gasPrice)
|
||||
: new BigNumber(1.3e5).times(gasPrice);
|
||||
const improvedOrdersResponse = await optimizer.getMarketSellOrdersAsync(
|
||||
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
||||
FILL_AMOUNT,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
numSamples: 4,
|
||||
excludedSources: [
|
||||
...DEFAULT_OPTS.excludedSources,
|
||||
ERC20BridgeSource.Eth2Dai,
|
||||
ERC20BridgeSource.Kyber,
|
||||
ERC20BridgeSource.Bancor,
|
||||
],
|
||||
exchangeProxyOverhead,
|
||||
},
|
||||
);
|
||||
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
||||
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
||||
const expectedSources = [ERC20BridgeSource.LiquidityProvider];
|
||||
expect(orderSources).to.deep.eq(expectedSources);
|
||||
});
|
||||
});
|
||||
|
||||
describe('getMarketBuyOrdersAsync()', () => {
|
||||
@ -1299,7 +1339,7 @@ describe('MarketOperationUtils tests', () => {
|
||||
|
||||
it('batches contiguous bridge sources', async () => {
|
||||
const rates: RatesBySource = { ...ZERO_RATES };
|
||||
rates[ERC20BridgeSource.Native] = [0.5, 0.01, 0.01, 0.01];
|
||||
rates[ERC20BridgeSource.Native] = [0.3, 0.01, 0.01, 0.01];
|
||||
rates[ERC20BridgeSource.Eth2Dai] = [0.49, 0.02, 0.01, 0.01];
|
||||
rates[ERC20BridgeSource.Uniswap] = [0.48, 0.01, 0.01, 0.01];
|
||||
replaceSamplerOps({
|
||||
@ -1318,14 +1358,56 @@ describe('MarketOperationUtils tests', () => {
|
||||
expect(improvedOrders).to.be.length(2);
|
||||
const orderFillSources = getSortedOrderSources(MarketOperation.Sell, improvedOrders);
|
||||
expect(orderFillSources).to.deep.eq([
|
||||
[ERC20BridgeSource.Native],
|
||||
[ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap],
|
||||
[ERC20BridgeSource.Native],
|
||||
]);
|
||||
});
|
||||
it('factors in exchange proxy gas overhead', async () => {
|
||||
// Uniswap has a slightly better rate than LiquidityProvider,
|
||||
// but LiquidityProvider is better accounting for the EP gas overhead.
|
||||
const rates: RatesBySource = {
|
||||
[ERC20BridgeSource.Native]: [0.01, 0.01, 0.01, 0.01],
|
||||
[ERC20BridgeSource.Uniswap]: [1, 1, 1, 1],
|
||||
[ERC20BridgeSource.LiquidityProvider]: [0.9999, 0.9999, 0.9999, 0.9999],
|
||||
};
|
||||
replaceSamplerOps({
|
||||
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
||||
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
||||
});
|
||||
const optimizer = new MarketOperationUtils(
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
randomAddress(), // liquidity provider registry
|
||||
);
|
||||
const gasPrice = 100e9; // 100 gwei
|
||||
const exchangeProxyOverhead = (sourceFlags: number) =>
|
||||
sourceFlags === SOURCE_FLAGS.LiquidityProvider
|
||||
? new BigNumber(3e4).times(gasPrice)
|
||||
: new BigNumber(1.3e5).times(gasPrice);
|
||||
const improvedOrdersResponse = await optimizer.getMarketBuyOrdersAsync(
|
||||
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
||||
FILL_AMOUNT,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
numSamples: 4,
|
||||
excludedSources: [
|
||||
...DEFAULT_OPTS.excludedSources,
|
||||
ERC20BridgeSource.Eth2Dai,
|
||||
ERC20BridgeSource.Kyber,
|
||||
],
|
||||
exchangeProxyOverhead,
|
||||
},
|
||||
);
|
||||
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
||||
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
||||
const expectedSources = [ERC20BridgeSource.LiquidityProvider];
|
||||
expect(orderSources).to.deep.eq(expectedSources);
|
||||
});
|
||||
});
|
||||
});
|
||||
|
||||
describe('createFillPaths', () => {
|
||||
describe('createFills', () => {
|
||||
const takerAssetAmount = new BigNumber(5000000);
|
||||
const ethToOutputRate = new BigNumber(0.5);
|
||||
// tslint:disable-next-line:no-object-literal-type-assertion
|
||||
@ -1359,7 +1441,7 @@ describe('MarketOperationUtils tests', () => {
|
||||
};
|
||||
|
||||
it('penalizes native fill based on target amount when target is smaller', () => {
|
||||
const path = createFillPaths({
|
||||
const path = createFills({
|
||||
side: MarketOperation.Sell,
|
||||
orders,
|
||||
dexQuotes: [],
|
||||
@ -1372,7 +1454,7 @@ describe('MarketOperationUtils tests', () => {
|
||||
});
|
||||
|
||||
it('penalizes native fill based on available amount when target is larger', () => {
|
||||
const path = createFillPaths({
|
||||
const path = createFills({
|
||||
side: MarketOperation.Sell,
|
||||
orders,
|
||||
dexQuotes: [],
|
||||
|
||||
@ -17,6 +17,10 @@
|
||||
{
|
||||
"note": "Regenerate artifacts",
|
||||
"pr": 2703
|
||||
},
|
||||
{
|
||||
"note": "Update IZeroEx artifact for LiquidityProviderFeature",
|
||||
"pr": 2691
|
||||
}
|
||||
]
|
||||
},
|
||||
|
||||
60
packages/contract-artifacts/artifacts/IZeroEx.json
generated
60
packages/contract-artifacts/artifacts/IZeroEx.json
generated
@ -3,6 +3,16 @@
|
||||
"contractName": "IZeroEx",
|
||||
"compilerOutput": {
|
||||
"abi": [
|
||||
{
|
||||
"anonymous": false,
|
||||
"inputs": [
|
||||
{ "indexed": true, "internalType": "address", "name": "xAsset", "type": "address" },
|
||||
{ "indexed": true, "internalType": "address", "name": "yAsset", "type": "address" },
|
||||
{ "indexed": false, "internalType": "address", "name": "providerAddress", "type": "address" }
|
||||
],
|
||||
"name": "LiquidityProviderForMarketUpdated",
|
||||
"type": "event"
|
||||
},
|
||||
{
|
||||
"anonymous": false,
|
||||
"inputs": [
|
||||
@ -222,6 +232,16 @@
|
||||
"stateMutability": "view",
|
||||
"type": "function"
|
||||
},
|
||||
{
|
||||
"inputs": [
|
||||
{ "internalType": "address", "name": "xAsset", "type": "address" },
|
||||
{ "internalType": "address", "name": "yAsset", "type": "address" }
|
||||
],
|
||||
"name": "getLiquidityProviderForMarket",
|
||||
"outputs": [{ "internalType": "address", "name": "providerAddress", "type": "address" }],
|
||||
"stateMutability": "view",
|
||||
"type": "function"
|
||||
},
|
||||
{
|
||||
"inputs": [
|
||||
{
|
||||
@ -366,6 +386,19 @@
|
||||
"stateMutability": "nonpayable",
|
||||
"type": "function"
|
||||
},
|
||||
{
|
||||
"inputs": [
|
||||
{ "internalType": "address", "name": "makerToken", "type": "address" },
|
||||
{ "internalType": "address", "name": "takerToken", "type": "address" },
|
||||
{ "internalType": "address payable", "name": "recipient", "type": "address" },
|
||||
{ "internalType": "uint256", "name": "sellAmount", "type": "uint256" },
|
||||
{ "internalType": "uint256", "name": "minBuyAmount", "type": "uint256" }
|
||||
],
|
||||
"name": "sellToLiquidityProvider",
|
||||
"outputs": [{ "internalType": "uint256", "name": "boughtAmount", "type": "uint256" }],
|
||||
"stateMutability": "payable",
|
||||
"type": "function"
|
||||
},
|
||||
{
|
||||
"inputs": [
|
||||
{ "internalType": "contract IERC20TokenV06[]", "name": "tokens", "type": "address[]" },
|
||||
@ -378,6 +411,17 @@
|
||||
"stateMutability": "payable",
|
||||
"type": "function"
|
||||
},
|
||||
{
|
||||
"inputs": [
|
||||
{ "internalType": "address", "name": "xAsset", "type": "address" },
|
||||
{ "internalType": "address", "name": "yAsset", "type": "address" },
|
||||
{ "internalType": "address", "name": "providerAddress", "type": "address" }
|
||||
],
|
||||
"name": "setLiquidityProviderForMarket",
|
||||
"outputs": [],
|
||||
"stateMutability": "nonpayable",
|
||||
"type": "function"
|
||||
},
|
||||
{
|
||||
"inputs": [{ "internalType": "address", "name": "quoteSigner", "type": "address" }],
|
||||
"name": "setQuoteSigner",
|
||||
@ -492,6 +536,14 @@
|
||||
"params": { "selector": "The function selector." },
|
||||
"returns": { "impl": "The implementation contract address." }
|
||||
},
|
||||
"getLiquidityProviderForMarket(address,address)": {
|
||||
"details": "Returns the address of the liquidity provider for a market given (xAsset, yAsset), or reverts if pool does not exist.",
|
||||
"params": {
|
||||
"xAsset": "First asset managed by the liquidity provider.",
|
||||
"yAsset": "Second asset managed by the liquidity provider."
|
||||
},
|
||||
"returns": { "providerAddress": "Address of the liquidity provider." }
|
||||
},
|
||||
"getMetaTransactionExecutedBlock((address,address,uint256,uint256,uint256,uint256,bytes,uint256,address,uint256))": {
|
||||
"details": "Get the block at which a meta-transaction has been executed.",
|
||||
"params": { "mtx": "The meta-transaction." },
|
||||
@ -574,6 +626,14 @@
|
||||
},
|
||||
"returns": { "buyAmount": "Amount of `tokens[-1]` bought." }
|
||||
},
|
||||
"setLiquidityProviderForMarket(address,address,address)": {
|
||||
"details": "Sets address of the liquidity provider for a market given (xAsset, yAsset).",
|
||||
"params": {
|
||||
"providerAddress": "Address of the liquidity provider.",
|
||||
"xAsset": "First asset managed by the liquidity provider.",
|
||||
"yAsset": "Second asset managed by the liquidity provider."
|
||||
}
|
||||
},
|
||||
"setQuoteSigner(address)": {
|
||||
"details": "Replace the optional signer for `transformERC20()` calldata. Only callable by the owner.",
|
||||
"params": { "quoteSigner": "The address of the new calldata signer." }
|
||||
|
||||
@ -17,6 +17,10 @@
|
||||
{
|
||||
"note": "Regenerate wrappers",
|
||||
"pr": 2703
|
||||
},
|
||||
{
|
||||
"note": "Update IZeroEx wrapper for LiquidityProviderFeature",
|
||||
"pr": 2691
|
||||
}
|
||||
]
|
||||
},
|
||||
|
||||
@ -36,6 +36,7 @@ import * as ethers from 'ethers';
|
||||
// tslint:enable:no-unused-variable
|
||||
|
||||
export type IZeroExEventArgs =
|
||||
| IZeroExLiquidityProviderForMarketUpdatedEventArgs
|
||||
| IZeroExMetaTransactionExecutedEventArgs
|
||||
| IZeroExMigratedEventArgs
|
||||
| IZeroExOwnershipTransferredEventArgs
|
||||
@ -45,6 +46,7 @@ export type IZeroExEventArgs =
|
||||
| IZeroExTransformerDeployerUpdatedEventArgs;
|
||||
|
||||
export enum IZeroExEvents {
|
||||
LiquidityProviderForMarketUpdated = 'LiquidityProviderForMarketUpdated',
|
||||
MetaTransactionExecuted = 'MetaTransactionExecuted',
|
||||
Migrated = 'Migrated',
|
||||
OwnershipTransferred = 'OwnershipTransferred',
|
||||
@ -54,6 +56,12 @@ export enum IZeroExEvents {
|
||||
TransformerDeployerUpdated = 'TransformerDeployerUpdated',
|
||||
}
|
||||
|
||||
export interface IZeroExLiquidityProviderForMarketUpdatedEventArgs extends DecodedLogArgs {
|
||||
xAsset: string;
|
||||
yAsset: string;
|
||||
providerAddress: string;
|
||||
}
|
||||
|
||||
export interface IZeroExMetaTransactionExecutedEventArgs extends DecodedLogArgs {
|
||||
hash: string;
|
||||
selector: string;
|
||||
@ -211,6 +219,29 @@ export class IZeroExContract extends BaseContract {
|
||||
*/
|
||||
public static ABI(): ContractAbi {
|
||||
const abi = [
|
||||
{
|
||||
anonymous: false,
|
||||
inputs: [
|
||||
{
|
||||
name: 'xAsset',
|
||||
type: 'address',
|
||||
indexed: true,
|
||||
},
|
||||
{
|
||||
name: 'yAsset',
|
||||
type: 'address',
|
||||
indexed: true,
|
||||
},
|
||||
{
|
||||
name: 'providerAddress',
|
||||
type: 'address',
|
||||
indexed: false,
|
||||
},
|
||||
],
|
||||
name: 'LiquidityProviderForMarketUpdated',
|
||||
outputs: [],
|
||||
type: 'event',
|
||||
},
|
||||
{
|
||||
anonymous: false,
|
||||
inputs: [
|
||||
@ -697,6 +728,27 @@ export class IZeroExContract extends BaseContract {
|
||||
stateMutability: 'view',
|
||||
type: 'function',
|
||||
},
|
||||
{
|
||||
inputs: [
|
||||
{
|
||||
name: 'xAsset',
|
||||
type: 'address',
|
||||
},
|
||||
{
|
||||
name: 'yAsset',
|
||||
type: 'address',
|
||||
},
|
||||
],
|
||||
name: 'getLiquidityProviderForMarket',
|
||||
outputs: [
|
||||
{
|
||||
name: 'providerAddress',
|
||||
type: 'address',
|
||||
},
|
||||
],
|
||||
stateMutability: 'view',
|
||||
type: 'function',
|
||||
},
|
||||
{
|
||||
inputs: [
|
||||
{
|
||||
@ -1000,6 +1052,39 @@ export class IZeroExContract extends BaseContract {
|
||||
stateMutability: 'nonpayable',
|
||||
type: 'function',
|
||||
},
|
||||
{
|
||||
inputs: [
|
||||
{
|
||||
name: 'makerToken',
|
||||
type: 'address',
|
||||
},
|
||||
{
|
||||
name: 'takerToken',
|
||||
type: 'address',
|
||||
},
|
||||
{
|
||||
name: 'recipient',
|
||||
type: 'address',
|
||||
},
|
||||
{
|
||||
name: 'sellAmount',
|
||||
type: 'uint256',
|
||||
},
|
||||
{
|
||||
name: 'minBuyAmount',
|
||||
type: 'uint256',
|
||||
},
|
||||
],
|
||||
name: 'sellToLiquidityProvider',
|
||||
outputs: [
|
||||
{
|
||||
name: 'boughtAmount',
|
||||
type: 'uint256',
|
||||
},
|
||||
],
|
||||
stateMutability: 'payable',
|
||||
type: 'function',
|
||||
},
|
||||
{
|
||||
inputs: [
|
||||
{
|
||||
@ -1029,6 +1114,26 @@ export class IZeroExContract extends BaseContract {
|
||||
stateMutability: 'payable',
|
||||
type: 'function',
|
||||
},
|
||||
{
|
||||
inputs: [
|
||||
{
|
||||
name: 'xAsset',
|
||||
type: 'address',
|
||||
},
|
||||
{
|
||||
name: 'yAsset',
|
||||
type: 'address',
|
||||
},
|
||||
{
|
||||
name: 'providerAddress',
|
||||
type: 'address',
|
||||
},
|
||||
],
|
||||
name: 'setLiquidityProviderForMarket',
|
||||
outputs: [],
|
||||
stateMutability: 'nonpayable',
|
||||
type: 'function',
|
||||
},
|
||||
{
|
||||
inputs: [
|
||||
{
|
||||
@ -1743,6 +1848,60 @@ export class IZeroExContract extends BaseContract {
|
||||
},
|
||||
};
|
||||
}
|
||||
/**
|
||||
* Returns the address of the liquidity provider for a market given
|
||||
* (xAsset, yAsset), or reverts if pool does not exist.
|
||||
* @param xAsset First asset managed by the liquidity provider.
|
||||
* @param yAsset Second asset managed by the liquidity provider.
|
||||
*/
|
||||
public getLiquidityProviderForMarket(xAsset: string, yAsset: string): ContractTxFunctionObj<string> {
|
||||
const self = (this as any) as IZeroExContract;
|
||||
assert.isString('xAsset', xAsset);
|
||||
assert.isString('yAsset', yAsset);
|
||||
const functionSignature = 'getLiquidityProviderForMarket(address,address)';
|
||||
|
||||
return {
|
||||
async sendTransactionAsync(
|
||||
txData?: Partial<TxData> | undefined,
|
||||
opts: SendTransactionOpts = { shouldValidate: true },
|
||||
): Promise<string> {
|
||||
const txDataWithDefaults = await self._applyDefaultsToTxDataAsync(
|
||||
{ data: this.getABIEncodedTransactionData(), ...txData },
|
||||
this.estimateGasAsync.bind(this),
|
||||
);
|
||||
if (opts.shouldValidate !== false) {
|
||||
await this.callAsync(txDataWithDefaults);
|
||||
}
|
||||
return self._web3Wrapper.sendTransactionAsync(txDataWithDefaults);
|
||||
},
|
||||
awaitTransactionSuccessAsync(
|
||||
txData?: Partial<TxData>,
|
||||
opts: AwaitTransactionSuccessOpts = { shouldValidate: true },
|
||||
): PromiseWithTransactionHash<TransactionReceiptWithDecodedLogs> {
|
||||
return self._promiseWithTransactionHash(this.sendTransactionAsync(txData, opts), opts);
|
||||
},
|
||||
async estimateGasAsync(txData?: Partial<TxData> | undefined): Promise<number> {
|
||||
const txDataWithDefaults = await self._applyDefaultsToTxDataAsync({
|
||||
data: this.getABIEncodedTransactionData(),
|
||||
...txData,
|
||||
});
|
||||
return self._web3Wrapper.estimateGasAsync(txDataWithDefaults);
|
||||
},
|
||||
async callAsync(callData: Partial<CallData> = {}, defaultBlock?: BlockParam): Promise<string> {
|
||||
BaseContract._assertCallParams(callData, defaultBlock);
|
||||
const rawCallResult = await self._performCallAsync(
|
||||
{ data: this.getABIEncodedTransactionData(), ...callData },
|
||||
defaultBlock,
|
||||
);
|
||||
const abiEncoder = self._lookupAbiEncoder(functionSignature);
|
||||
BaseContract._throwIfUnexpectedEmptyCallResult(rawCallResult, abiEncoder);
|
||||
return abiEncoder.strictDecodeReturnValue<string>(rawCallResult);
|
||||
},
|
||||
getABIEncodedTransactionData(): string {
|
||||
return self._strictEncodeArguments(functionSignature, [xAsset.toLowerCase(), yAsset.toLowerCase()]);
|
||||
},
|
||||
};
|
||||
}
|
||||
/**
|
||||
* Get the block at which a meta-transaction has been executed.
|
||||
* @param mtx The meta-transaction.
|
||||
@ -2447,6 +2606,69 @@ export class IZeroExContract extends BaseContract {
|
||||
},
|
||||
};
|
||||
}
|
||||
public sellToLiquidityProvider(
|
||||
makerToken: string,
|
||||
takerToken: string,
|
||||
recipient: string,
|
||||
sellAmount: BigNumber,
|
||||
minBuyAmount: BigNumber,
|
||||
): ContractTxFunctionObj<BigNumber> {
|
||||
const self = (this as any) as IZeroExContract;
|
||||
assert.isString('makerToken', makerToken);
|
||||
assert.isString('takerToken', takerToken);
|
||||
assert.isString('recipient', recipient);
|
||||
assert.isBigNumber('sellAmount', sellAmount);
|
||||
assert.isBigNumber('minBuyAmount', minBuyAmount);
|
||||
const functionSignature = 'sellToLiquidityProvider(address,address,address,uint256,uint256)';
|
||||
|
||||
return {
|
||||
async sendTransactionAsync(
|
||||
txData?: Partial<TxData> | undefined,
|
||||
opts: SendTransactionOpts = { shouldValidate: true },
|
||||
): Promise<string> {
|
||||
const txDataWithDefaults = await self._applyDefaultsToTxDataAsync(
|
||||
{ data: this.getABIEncodedTransactionData(), ...txData },
|
||||
this.estimateGasAsync.bind(this),
|
||||
);
|
||||
if (opts.shouldValidate !== false) {
|
||||
await this.callAsync(txDataWithDefaults);
|
||||
}
|
||||
return self._web3Wrapper.sendTransactionAsync(txDataWithDefaults);
|
||||
},
|
||||
awaitTransactionSuccessAsync(
|
||||
txData?: Partial<TxData>,
|
||||
opts: AwaitTransactionSuccessOpts = { shouldValidate: true },
|
||||
): PromiseWithTransactionHash<TransactionReceiptWithDecodedLogs> {
|
||||
return self._promiseWithTransactionHash(this.sendTransactionAsync(txData, opts), opts);
|
||||
},
|
||||
async estimateGasAsync(txData?: Partial<TxData> | undefined): Promise<number> {
|
||||
const txDataWithDefaults = await self._applyDefaultsToTxDataAsync({
|
||||
data: this.getABIEncodedTransactionData(),
|
||||
...txData,
|
||||
});
|
||||
return self._web3Wrapper.estimateGasAsync(txDataWithDefaults);
|
||||
},
|
||||
async callAsync(callData: Partial<CallData> = {}, defaultBlock?: BlockParam): Promise<BigNumber> {
|
||||
BaseContract._assertCallParams(callData, defaultBlock);
|
||||
const rawCallResult = await self._performCallAsync(
|
||||
{ data: this.getABIEncodedTransactionData(), ...callData },
|
||||
defaultBlock,
|
||||
);
|
||||
const abiEncoder = self._lookupAbiEncoder(functionSignature);
|
||||
BaseContract._throwIfUnexpectedEmptyCallResult(rawCallResult, abiEncoder);
|
||||
return abiEncoder.strictDecodeReturnValue<BigNumber>(rawCallResult);
|
||||
},
|
||||
getABIEncodedTransactionData(): string {
|
||||
return self._strictEncodeArguments(functionSignature, [
|
||||
makerToken.toLowerCase(),
|
||||
takerToken.toLowerCase(),
|
||||
recipient.toLowerCase(),
|
||||
sellAmount,
|
||||
minBuyAmount,
|
||||
]);
|
||||
},
|
||||
};
|
||||
}
|
||||
/**
|
||||
* Efficiently sell directly to uniswap/sushiswap.
|
||||
* @param tokens Sell path.
|
||||
@ -2509,6 +2731,70 @@ export class IZeroExContract extends BaseContract {
|
||||
},
|
||||
};
|
||||
}
|
||||
/**
|
||||
* Sets address of the liquidity provider for a market given
|
||||
* (xAsset, yAsset).
|
||||
* @param xAsset First asset managed by the liquidity provider.
|
||||
* @param yAsset Second asset managed by the liquidity provider.
|
||||
* @param providerAddress Address of the liquidity provider.
|
||||
*/
|
||||
public setLiquidityProviderForMarket(
|
||||
xAsset: string,
|
||||
yAsset: string,
|
||||
providerAddress: string,
|
||||
): ContractTxFunctionObj<void> {
|
||||
const self = (this as any) as IZeroExContract;
|
||||
assert.isString('xAsset', xAsset);
|
||||
assert.isString('yAsset', yAsset);
|
||||
assert.isString('providerAddress', providerAddress);
|
||||
const functionSignature = 'setLiquidityProviderForMarket(address,address,address)';
|
||||
|
||||
return {
|
||||
async sendTransactionAsync(
|
||||
txData?: Partial<TxData> | undefined,
|
||||
opts: SendTransactionOpts = { shouldValidate: true },
|
||||
): Promise<string> {
|
||||
const txDataWithDefaults = await self._applyDefaultsToTxDataAsync(
|
||||
{ data: this.getABIEncodedTransactionData(), ...txData },
|
||||
this.estimateGasAsync.bind(this),
|
||||
);
|
||||
if (opts.shouldValidate !== false) {
|
||||
await this.callAsync(txDataWithDefaults);
|
||||
}
|
||||
return self._web3Wrapper.sendTransactionAsync(txDataWithDefaults);
|
||||
},
|
||||
awaitTransactionSuccessAsync(
|
||||
txData?: Partial<TxData>,
|
||||
opts: AwaitTransactionSuccessOpts = { shouldValidate: true },
|
||||
): PromiseWithTransactionHash<TransactionReceiptWithDecodedLogs> {
|
||||
return self._promiseWithTransactionHash(this.sendTransactionAsync(txData, opts), opts);
|
||||
},
|
||||
async estimateGasAsync(txData?: Partial<TxData> | undefined): Promise<number> {
|
||||
const txDataWithDefaults = await self._applyDefaultsToTxDataAsync({
|
||||
data: this.getABIEncodedTransactionData(),
|
||||
...txData,
|
||||
});
|
||||
return self._web3Wrapper.estimateGasAsync(txDataWithDefaults);
|
||||
},
|
||||
async callAsync(callData: Partial<CallData> = {}, defaultBlock?: BlockParam): Promise<void> {
|
||||
BaseContract._assertCallParams(callData, defaultBlock);
|
||||
const rawCallResult = await self._performCallAsync(
|
||||
{ data: this.getABIEncodedTransactionData(), ...callData },
|
||||
defaultBlock,
|
||||
);
|
||||
const abiEncoder = self._lookupAbiEncoder(functionSignature);
|
||||
BaseContract._throwIfUnexpectedEmptyCallResult(rawCallResult, abiEncoder);
|
||||
return abiEncoder.strictDecodeReturnValue<void>(rawCallResult);
|
||||
},
|
||||
getABIEncodedTransactionData(): string {
|
||||
return self._strictEncodeArguments(functionSignature, [
|
||||
xAsset.toLowerCase(),
|
||||
yAsset.toLowerCase(),
|
||||
providerAddress.toLowerCase(),
|
||||
]);
|
||||
},
|
||||
};
|
||||
}
|
||||
/**
|
||||
* Replace the optional signer for `transformERC20()` calldata.
|
||||
* Only callable by the owner.
|
||||
|
||||
@ -125,6 +125,7 @@ export {
|
||||
IZeroExContract,
|
||||
IZeroExEventArgs,
|
||||
IZeroExEvents,
|
||||
IZeroExLiquidityProviderForMarketUpdatedEventArgs,
|
||||
IZeroExMetaTransactionExecutedEventArgs,
|
||||
IZeroExMigratedEventArgs,
|
||||
IZeroExOwnershipTransferredEventArgs,
|
||||
|
||||
@ -9,6 +9,10 @@
|
||||
{
|
||||
"note": "Add EP flavor of `IllegalReentrancyError`.",
|
||||
"pr": 2657
|
||||
},
|
||||
{
|
||||
"note": "Added LiquidityProviderFeature errors",
|
||||
"pr": 2691
|
||||
}
|
||||
]
|
||||
},
|
||||
|
||||
@ -54,4 +54,5 @@ export const ZeroExRevertErrors = {
|
||||
Wallet: require('./revert_errors/zero-ex/wallet_revert_errors'),
|
||||
MetaTransactions: require('./revert_errors/zero-ex/meta_transaction_revert_errors'),
|
||||
SignatureValidator: require('./revert_errors/zero-ex/signature_validator_revert_errors'),
|
||||
LiquidityProvider: require('./revert_errors/zero-ex/liquidity_provider_revert_errors'),
|
||||
};
|
||||
|
||||
@ -0,0 +1,47 @@
|
||||
import { RevertError } from '../../revert_error';
|
||||
import { Numberish } from '../../types';
|
||||
|
||||
// tslint:disable:max-classes-per-file
|
||||
export class LiquidityProviderIncompleteSellError extends RevertError {
|
||||
constructor(
|
||||
providerAddress?: string,
|
||||
makerToken?: string,
|
||||
takerToken?: string,
|
||||
sellAmount?: Numberish,
|
||||
boughtAmount?: Numberish,
|
||||
minBuyAmount?: Numberish,
|
||||
) {
|
||||
super(
|
||||
'LiquidityProviderIncompleteSellError',
|
||||
'LiquidityProviderIncompleteSellError(address providerAddress, address makerToken, address takerToken, uint256 sellAmount, uint256 boughtAmount, uint256 minBuyAmount)',
|
||||
{
|
||||
providerAddress,
|
||||
makerToken,
|
||||
takerToken,
|
||||
sellAmount,
|
||||
boughtAmount,
|
||||
minBuyAmount,
|
||||
},
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
export class NoLiquidityProviderForMarketError extends RevertError {
|
||||
constructor(xAsset?: string, yAsset?: string) {
|
||||
super(
|
||||
'NoLiquidityProviderForMarketError',
|
||||
'NoLiquidityProviderForMarketError(address xAsset, address yAsset)',
|
||||
{
|
||||
xAsset,
|
||||
yAsset,
|
||||
},
|
||||
);
|
||||
}
|
||||
}
|
||||
|
||||
const types = [LiquidityProviderIncompleteSellError, NoLiquidityProviderForMarketError];
|
||||
|
||||
// Register the types we've defined.
|
||||
for (const type of types) {
|
||||
RevertError.registerType(type);
|
||||
}
|
||||
Loading…
x
Reference in New Issue
Block a user