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Add tests for exchange proxy gas overhead accounting in the path optimizer

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This commit is contained in:
Michael Zhu 2020-09-10 11:14:27 -07:00
parent 1c15ecacb0
commit 12ff4ec438
2 changed files with 88 additions and 0 deletions
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2
packages/asset-swapper/src/utils/market_operation_utils/index.ts
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@ -367,6 +367,7 @@ export class MarketOperationUtils {
maxFallbackSlippage: _opts.maxFallbackSlippage, maxFallbackSlippage: _opts.maxFallbackSlippage,
excludedSources: _opts.excludedSources, excludedSources: _opts.excludedSources,
feeSchedule: _opts.feeSchedule, feeSchedule: _opts.feeSchedule,
exchangeProxyOverhead: _opts.exchangeProxyOverhead,
allowFallback: _opts.allowFallback, allowFallback: _opts.allowFallback,
shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders, shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders,
}); });
@ -404,6 +405,7 @@ export class MarketOperationUtils {
maxFallbackSlippage: _opts.maxFallbackSlippage, maxFallbackSlippage: _opts.maxFallbackSlippage,
excludedSources: _opts.excludedSources, excludedSources: _opts.excludedSources,
feeSchedule: _opts.feeSchedule, feeSchedule: _opts.feeSchedule,
exchangeProxyOverhead: _opts.exchangeProxyOverhead,
allowFallback: _opts.allowFallback, allowFallback: _opts.allowFallback,
shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders, shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders,
}); });

86
packages/asset-swapper/test/market_operation_utils_test.ts
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@ -22,6 +22,7 @@ import {
BUY_SOURCE_FILTER, BUY_SOURCE_FILTER,
POSITIVE_INF, POSITIVE_INF,
SELL_SOURCE_FILTER, SELL_SOURCE_FILTER,
SOURCE_FLAGS,
ZERO_AMOUNT, ZERO_AMOUNT,
} from '../src/utils/market_operation_utils/constants'; } from '../src/utils/market_operation_utils/constants';
import { createFills } from '../src/utils/market_operation_utils/fills'; import { createFills } from '../src/utils/market_operation_utils/fills';
@ -930,6 +931,49 @@ describe('MarketOperationUtils tests', () => {
[ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Curve], [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()', () => { describe('getMarketBuyOrdersAsync()', () => {
@ -1322,6 +1366,48 @@ describe('MarketOperationUtils tests', () => {
[ERC20BridgeSource.Native], [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);
});
}); });
}); });