Merge pull request #2735 from 0xProject/rfqt_comparison_feature_flag

Rfqt comparison feature flag

packages/asset-swapper/src/constants.ts

@@ -122,3 +122,12 @@ export const constants = {
     DEFAULT_INFO_LOGGER,
     DEFAULT_WARNING_LOGGER,
 };
+
+// This feature flag allows us to merge the price-aware RFQ pricing
+// project while still controlling when to activate the feature. We plan to do some
+// data analysis work and address some of the issues with maker fillable amounts
+// in later milestones. Once the feature is fully rolled out and is providing value
+// and we have assessed that there is no user impact, we will proceed in cleaning up
+// the feature flag.  When that time comes, follow this PR to "undo" the feature flag:
+// https://github.com/0xProject/0x-monorepo/pull/2735
+export const IS_PRICE_AWARE_RFQ_ENABLED: boolean = false;

packages/asset-swapper/src/swap_quoter.ts

@@ -8,7 +8,7 @@ import { BlockParamLiteral, SupportedProvider, ZeroExProvider } from 'ethereum-t
 import * as _ from 'lodash';
 
 import { artifacts } from './artifacts';
-import { constants } from './constants';
+import { constants, IS_PRICE_AWARE_RFQ_ENABLED } from './constants';
 import {
     CalculateSwapQuoteOpts,
     LiquidityForTakerMakerAssetDataPair,
@@ -696,6 +696,31 @@ export class SwapQuoter {
             opts.rfqt = undefined;
         }
 
+        if (
+            !IS_PRICE_AWARE_RFQ_ENABLED && // Price-aware RFQ is disabled.
+            opts.rfqt && // This is an RFQT-enabled API request
+            opts.rfqt.intentOnFilling && // The requestor is asking for a firm quote
+            opts.rfqt.apiKey &&
+            this._isApiKeyWhitelisted(opts.rfqt.apiKey) && // A valid API key was provided
+            sourceFilters.isAllowed(ERC20BridgeSource.Native) // Native liquidity is not excluded
+        ) {
+            if (!opts.rfqt.takerAddress || opts.rfqt.takerAddress === constants.NULL_ADDRESS) {
+                throw new Error('RFQ-T requests must specify a taker address');
+            }
+            orderBatchPromises.push(
+                quoteRequestor
+                    .requestRfqtFirmQuotesAsync(
+                        makerAssetData,
+                        takerAssetData,
+                        assetFillAmount,
+                        marketOperation,
+                        undefined,
+                        opts.rfqt,
+                    )
+                    .then(firmQuotes => firmQuotes.map(quote => quote.signedOrder)),
+            );
+        }
+
         const orderBatches: SignedOrder[][] = await Promise.all(orderBatchPromises);
         const unsortedOrders: SignedOrder[] = orderBatches.reduce((_orders, batch) => _orders.concat(...batch), []);
         const orders = sortingUtils.sortOrders(unsortedOrders);

packages/asset-swapper/src/utils/market_operation_utils/index.ts

@@ -5,6 +5,7 @@ import { SignedOrder } from '@0x/types';
 import { BigNumber, NULL_ADDRESS } from '@0x/utils';
 import * as _ from 'lodash';
 
+import { IS_PRICE_AWARE_RFQ_ENABLED } from '../../constants';
 import { MarketOperation, Omit } from '../../types';
 import { QuoteRequestor } from '../quote_requestor';
 
@@ -216,6 +217,18 @@ export class MarketOperationUtils {
             ),
         );
 
+        const rfqtPromise =
+            !IS_PRICE_AWARE_RFQ_ENABLED && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
+                ? getRfqtIndicativeQuotesAsync(
+                      nativeOrders[0].makerAssetData,
+                      nativeOrders[0].takerAssetData,
+                      MarketOperation.Sell,
+                      takerAmount,
+                      undefined,
+                      _opts,
+                  )
+                : Promise.resolve([]);
+
         const offChainBalancerPromise = sampleBalancerOffChain
             ? this._sampler.getBalancerSellQuotesOffChainAsync(makerToken, takerToken, sampleAmounts)
             : Promise.resolve([]);
@@ -230,10 +243,17 @@ export class MarketOperationUtils {
 
         const [
             [tokenDecimals, orderFillableAmounts, ethToMakerAssetRate, ethToTakerAssetRate, dexQuotes, twoHopQuotes],
+            rfqtIndicativeQuotes,
             offChainBalancerQuotes,
             offChainCreamQuotes,
             offChainBancorQuotes,
-        ] = await Promise.all([samplerPromise, offChainBalancerPromise, offChainCreamPromise, offChainBancorPromise]);
+        ] = await Promise.all([
+            samplerPromise,
+            rfqtPromise,
+            offChainBalancerPromise,
+            offChainCreamPromise,
+            offChainBancorPromise,
+        ]);
 
         const [makerTokenDecimals, takerTokenDecimals] = tokenDecimals;
         return {
@@ -246,7 +266,7 @@ export class MarketOperationUtils {
             orderFillableAmounts,
             ethToOutputRate: ethToMakerAssetRate,
             ethToInputRate: ethToTakerAssetRate,
-            rfqtIndicativeQuotes: [],
+            rfqtIndicativeQuotes,
             twoHopQuotes,
             quoteSourceFilters,
             makerTokenDecimals: makerTokenDecimals.toNumber(),
@@ -345,7 +365,17 @@ export class MarketOperationUtils {
                 this._liquidityProviderRegistry,
             ),
         );
-
+        const rfqtPromise =
+            !IS_PRICE_AWARE_RFQ_ENABLED && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
+                ? getRfqtIndicativeQuotesAsync(
+                      nativeOrders[0].makerAssetData,
+                      nativeOrders[0].takerAssetData,
+                      MarketOperation.Buy,
+                      makerAmount,
+                      undefined,
+                      _opts,
+                  )
+                : Promise.resolve([]);
         const offChainBalancerPromise = sampleBalancerOffChain
             ? this._sampler.getBalancerBuyQuotesOffChainAsync(makerToken, takerToken, sampleAmounts)
             : Promise.resolve([]);
@@ -356,9 +386,10 @@ export class MarketOperationUtils {
 
         const [
             [tokenDecimals, orderFillableAmounts, ethToMakerAssetRate, ethToTakerAssetRate, dexQuotes, twoHopQuotes],
+            rfqtIndicativeQuotes,
             offChainBalancerQuotes,
             offChainCreamQuotes,
-        ] = await Promise.all([samplerPromise, offChainBalancerPromise, offChainCreamPromise]);
+        ] = await Promise.all([samplerPromise, rfqtPromise, offChainBalancerPromise, offChainCreamPromise]);
         // Attach the MultiBridge address to the sample fillData
         (dexQuotes.find(quotes => quotes[0] && quotes[0].source === ERC20BridgeSource.MultiBridge) || []).forEach(
             q => (q.fillData = { poolAddress: this._multiBridge }),
@@ -374,7 +405,7 @@ export class MarketOperationUtils {
             orderFillableAmounts,
             ethToOutputRate: ethToTakerAssetRate,
             ethToInputRate: ethToMakerAssetRate,
-            rfqtIndicativeQuotes: [],
+            rfqtIndicativeQuotes,
             twoHopQuotes,
             quoteSourceFilters,
             makerTokenDecimals: makerTokenDecimals.toNumber(),
@@ -646,7 +677,12 @@ export class MarketOperationUtils {
 
         // If RFQ liquidity is enabled, make a request to check RFQ liquidity
         const { rfqt } = _opts;
-        if (rfqt && rfqt.quoteRequestor && marketSideLiquidity.quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)) {
+        if (
+            IS_PRICE_AWARE_RFQ_ENABLED &&
+            rfqt &&
+            rfqt.quoteRequestor &&
+            marketSideLiquidity.quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
+        ) {
             // Calculate a suggested price. For now, this is simply the overall price of the aggregation.
             let comparisonPrice: BigNumber | undefined;
             if (optimizerResult) {

packages/asset-swapper/test/market_operation_utils_test.ts

@@ -17,6 +17,7 @@ import * as _ from 'lodash';
 import * as TypeMoq from 'typemoq';
 
 import { MarketOperation, QuoteRequestor, RfqtRequestOpts, SignedOrderWithFillableAmounts } from '../src';
+import { IS_PRICE_AWARE_RFQ_ENABLED } from '../src/constants';
 import { getRfqtIndicativeQuotesAsync, MarketOperationUtils } from '../src/utils/market_operation_utils/';
 import { BalancerPoolsCache } from '../src/utils/market_operation_utils/balancer_utils';
 import {
@@ -724,7 +725,10 @@ describe('MarketOperationUtils tests', () => {
                 }
             });
 
-            it('getMarketSellOrdersAsync() optimizer will be called once only if RFQ if not defined', async () => {
+            it(
+                'getMarketSellOrdersAsync() optimizer will be called once only if RFQ if not defined',
+                IS_PRICE_AWARE_RFQ_ENABLED
+                    ? async () => {
                           const mockedMarketOpUtils = TypeMoq.Mock.ofType(
                               MarketOperationUtils,
                               TypeMoq.MockBehavior.Loose,
@@ -742,14 +746,28 @@ describe('MarketOperationUtils tests', () => {
                               .verifiable(TypeMoq.Times.once());
 
                           const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
-                await mockedMarketOpUtils.object.getMarketSellOrdersAsync(ORDERS, totalAssetAmount, DEFAULT_OPTS);
+                          await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
+                              ORDERS,
+                              totalAssetAmount,
+                              DEFAULT_OPTS,
+                          );
                           mockedMarketOpUtils.verifyAll();
-            });
+                      }
+                    : undefined,
+            );
 
-            it('optimizer will send in a comparison price to RFQ providers', async () => {
+            it(
+                'optimizer will send in a comparison price to RFQ providers',
+                IS_PRICE_AWARE_RFQ_ENABLED
+                    ? async () => {
                           // Set up mocked quote requestor, will return an order that is better
                           // than the best of the orders.
-                const mockedQuoteRequestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose, false, {});
+                          const mockedQuoteRequestor = TypeMoq.Mock.ofType(
+                              QuoteRequestor,
+                              TypeMoq.MockBehavior.Loose,
+                              false,
+                              {},
+                          );
 
                           let requestedComparisonPrice: BigNumber | undefined;
                           mockedQuoteRequestor
@@ -800,7 +818,11 @@ describe('MarketOperationUtils tests', () => {
                           mockedMarketOpUtils.callBase = true;
                           mockedMarketOpUtils
                               .setup(mou =>
-                        mou.getMarketSellLiquidityAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny(), TypeMoq.It.isAny()),
+                                  mou.getMarketSellLiquidityAsync(
+                                      TypeMoq.It.isAny(),
+                                      TypeMoq.It.isAny(),
+                                      TypeMoq.It.isAny(),
+                                  ),
                               )
                               .returns(async () => {
                                   return {
@@ -838,7 +860,8 @@ describe('MarketOperationUtils tests', () => {
                                       takerAddress: randomAddress(),
                                       intentOnFilling: true,
                                       quoteRequestor: {
-                                requestRfqtFirmQuotesAsync: mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync,
+                                          requestRfqtFirmQuotesAsync:
+                                              mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync,
                                       } as any,
                                   },
                               },
@@ -848,9 +871,14 @@ describe('MarketOperationUtils tests', () => {
                           expect(requestedComparisonPrice!.toString()).to.eql('320');
                           expect(result.optimizedOrders[0].makerAssetAmount.toString()).to.eql('321000000');
                           expect(result.optimizedOrders[0].takerAssetAmount.toString()).to.eql('1000000000000000000');
-            });
+                      }
+                    : undefined,
+            );
 
-            it('getMarketSellOrdersAsync() will not rerun the optimizer if no orders are returned', async () => {
+            it(
+                'getMarketSellOrdersAsync() will not rerun the optimizer if no orders are returned',
+                IS_PRICE_AWARE_RFQ_ENABLED
+                    ? async () => {
                           // Ensure that `_generateOptimizedOrdersAsync` is only called once
                           const mockedMarketOpUtils = TypeMoq.Mock.ofType(
                               MarketOperationUtils,
@@ -883,10 +911,19 @@ describe('MarketOperationUtils tests', () => {
                           });
                           mockedMarketOpUtils.verifyAll();
                           requestor.verifyAll();
-            });
+                      }
+                    : undefined,
+            );
 
-            it('getMarketSellOrdersAsync() will rerun the optimizer if one or more indicative are returned', async () => {
+            it(
-                const requestor = getMockedQuoteRequestor('indicative', [ORDERS[0], ORDERS[1]], TypeMoq.Times.once());
+                'getMarketSellOrdersAsync() will rerun the optimizer if one or more indicative are returned',
+                IS_PRICE_AWARE_RFQ_ENABLED
+                    ? async () => {
+                          const requestor = getMockedQuoteRequestor(
+                              'indicative',
+                              [ORDERS[0], ORDERS[1]],
+                              TypeMoq.Times.once(),
+                          );
 
                           const numOrdersInCall: number[] = [];
                           const numIndicativeQuotesInCall: number[] = [];
@@ -921,7 +958,8 @@ describe('MarketOperationUtils tests', () => {
                                       takerAddress: randomAddress(),
                                       intentOnFilling: true,
                                       quoteRequestor: {
-                                requestRfqtIndicativeQuotesAsync: requestor.object.requestRfqtIndicativeQuotesAsync,
+                                          requestRfqtIndicativeQuotesAsync:
+                                              requestor.object.requestRfqtIndicativeQuotesAsync,
                                       } as any,
                                   },
                               },
@@ -939,9 +977,14 @@ describe('MarketOperationUtils tests', () => {
                           expect(numIndicativeQuotesInCall.length).to.eql(2);
                           expect(numIndicativeQuotesInCall[0]).to.eql(0);
                           expect(numIndicativeQuotesInCall[1]).to.eql(2);
-            });
+                      }
+                    : undefined,
+            );
 
-            it('getMarketSellOrdersAsync() will rerun the optimizer if one or more RFQ orders are returned', async () => {
+            it(
+                'getMarketSellOrdersAsync() will rerun the optimizer if one or more RFQ orders are returned',
+                IS_PRICE_AWARE_RFQ_ENABLED
+                    ? async () => {
                           const requestor = getMockedQuoteRequestor('firm', [ORDERS[0]], TypeMoq.Times.once());
 
                           // Ensure that `_generateOptimizedOrdersAsync` is only called once
@@ -990,12 +1033,21 @@ describe('MarketOperationUtils tests', () => {
                           // The first call to optimizer was with an extra RFQ order.
                           expect(numOrdersInCall[0]).to.eql(2);
                           expect(numOrdersInCall[1]).to.eql(3);
-            });
+                      }
+                    : undefined,
+            );
 
-            it('getMarketSellOrdersAsync() will not raise a NoOptimalPath error if no initial path was found during on-chain DEX optimization, but a path was found after RFQ optimization', async () => {
+            it(
+                'getMarketSellOrdersAsync() will not raise a NoOptimalPath error if no initial path was found during on-chain DEX optimization, but a path was found after RFQ optimization',
+                IS_PRICE_AWARE_RFQ_ENABLED
+                    ? async () => {
                           let hasFirstOptimizationRun = false;
                           let hasSecondOptimizationRun = false;
-                const requestor = getMockedQuoteRequestor('firm', [ORDERS[0], ORDERS[1]], TypeMoq.Times.once());
+                          const requestor = getMockedQuoteRequestor(
+                              'firm',
+                              [ORDERS[0], ORDERS[1]],
+                              TypeMoq.Times.once(),
+                          );
 
                           const mockedMarketOpUtils = TypeMoq.Mock.ofType(
                               MarketOperationUtils,
@@ -1043,7 +1095,9 @@ describe('MarketOperationUtils tests', () => {
 
                           expect(hasFirstOptimizationRun).to.eql(true);
                           expect(hasSecondOptimizationRun).to.eql(true);
-            });
+                      }
+                    : undefined,
+            );
 
             it('getMarketSellOrdersAsync() will raise a NoOptimalPath error if no path was found during on-chain DEX optimization and RFQ optimization', async () => {
                 const mockedMarketOpUtils = TypeMoq.Mock.ofType(