batch requests with bancor SDK (#2699)
* upgrade bancor SDK for batch requests * lint * changes after review * deploy bancor bridge * small fixes
This commit is contained in:
Xianny
GitHub
parent
0ba79b060d
commit
3da05f2812
@ -61,7 +61,6 @@
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"@0x/base-contract": "^6.2.3",
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"@0x/contract-addresses": "^4.11.0",
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"@0x/contract-wrappers": "^13.8.0",
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"@0x/contracts-erc20-bridge-sampler": "^1.7.0",
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"@0x/json-schemas": "^5.1.0",
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"@0x/order-utils": "^10.3.0",
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"@0x/orderbook": "^2.2.7",
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@ -71,7 +70,7 @@
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"@0x/utils": "^5.5.1",
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"@0x/web3-wrapper": "^7.2.0",
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"@balancer-labs/sor": "0.3.2",
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"@bancor/sdk": "^0.2.5",
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"@bancor/sdk": "^0.2.9",
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"axios": "^0.19.2",
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"axios-mock-adapter": "^1.18.1",
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"decimal.js": "^10.2.0",
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@ -25,7 +25,6 @@ import {
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import { assert } from './utils/assert';
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import { calculateLiquidity } from './utils/calculate_liquidity';
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import { MarketOperationUtils } from './utils/market_operation_utils';
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import { BancorService } from './utils/market_operation_utils/bancor_service';
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import { createDummyOrderForSampler } from './utils/market_operation_utils/orders';
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import { DexOrderSampler } from './utils/market_operation_utils/sampler';
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import {
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@ -204,7 +203,7 @@ export class SwapQuoter {
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},
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);
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this._marketOperationUtils = new MarketOperationUtils(
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new DexOrderSampler(samplerContract, samplerOverrides, new BancorService(provider)),
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new DexOrderSampler(samplerContract, samplerOverrides, provider),
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this._contractAddresses,
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{
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chainId,
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@ -20,40 +20,46 @@ export function token(address: string, blockchainType: BlockchainType = Blockcha
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export class BancorService {
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// Bancor recommends setting this value to 2% under the expected return amount
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public minReturnAmountBufferPercentage = 0.99;
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private _sdk?: SDK;
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constructor(public provider: SupportedProvider) {}
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public async getSDKAsync(): Promise<SDK> {
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if (!this._sdk) {
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this._sdk = await SDK.create({ ethereumNodeEndpoint: this.provider });
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}
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return this._sdk;
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public static async createAsync(provider: SupportedProvider): Promise<BancorService> {
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const sdk = await SDK.create({ ethereumNodeEndpoint: provider });
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const service = new BancorService(sdk);
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return service;
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}
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public async getQuoteAsync(fromToken: string, toToken: string, amount: BigNumber): Promise<Quote<BancorFillData>> {
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const sdk = await this.getSDKAsync();
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constructor(public sdk: SDK) {}
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public async getQuotesAsync(
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fromToken: string,
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toToken: string,
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amounts: BigNumber[],
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): Promise<Array<Quote<BancorFillData>>> {
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const sdk = this.sdk;
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const blockchain = sdk._core.blockchains[BlockchainType.Ethereum] as Ethereum;
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const sourceDecimals = await getDecimals(blockchain, fromToken);
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const { path, rate } = await sdk.pricing.getPathAndRate(
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const quotes = await sdk.pricing.getPathAndRates(
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token(fromToken),
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token(toToken),
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fromWei(amount.toString(), sourceDecimals),
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amounts.map(amt => fromWei(amt.toString(), sourceDecimals)),
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);
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const targetDecimals = await getDecimals(blockchain, toToken);
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const output = toWei(rate, targetDecimals);
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return {
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amount: new BigNumber(output).multipliedBy(this.minReturnAmountBufferPercentage).dp(0),
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fillData: {
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path: path.map(p => p.blockchainId),
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networkAddress: await this.getBancorNetworkAddressAsync(),
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},
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};
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const networkAddress = this.getBancorNetworkAddress();
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return quotes.map(quote => {
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const { path, rate } = quote;
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const output = toWei(rate, targetDecimals);
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return {
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amount: new BigNumber(output).multipliedBy(this.minReturnAmountBufferPercentage).dp(0),
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fillData: {
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path: path.map(p => p.blockchainId),
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networkAddress,
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},
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};
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});
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}
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public async getBancorNetworkAddressAsync(): Promise<string> {
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const sdk = await this.getSDKAsync();
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const blockchain = sdk._core.blockchains[BlockchainType.Ethereum] as Ethereum;
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public getBancorNetworkAddress(): string {
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const blockchain = this.sdk._core.blockchains[BlockchainType.Ethereum] as Ethereum;
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return blockchain.bancorNetwork._address;
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}
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}
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@ -14,7 +14,7 @@ export const SELL_SOURCES = [
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ERC20BridgeSource.Kyber,
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ERC20BridgeSource.Curve,
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ERC20BridgeSource.Balancer,
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// ERC20BridgeSource.Bancor, // FIXME: Disabled until Bancor SDK supports batch requests
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ERC20BridgeSource.Bancor,
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ERC20BridgeSource.MStable,
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ERC20BridgeSource.Mooniswap,
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ERC20BridgeSource.Swerve,
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@ -178,7 +178,7 @@ export class MarketOperationUtils {
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const offChainBancorPromise = _opts.excludedSources.includes(ERC20BridgeSource.Bancor)
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? Promise.resolve([])
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: this._sampler.getBancorSellQuotesOffChainAsync(makerToken, takerToken, [takerAmount]);
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: this._sampler.getBancorSellQuotesOffChainAsync(makerToken, takerToken, sampleAmounts);
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const [
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[orderFillableAmounts, ethToMakerAssetRate, ethToTakerAssetRate, dexQuotes, twoHopQuotes],
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@ -1,3 +1,4 @@
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import { SupportedProvider } from '@0x/dev-utils';
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import { BigNumber, NULL_BYTES } from '@0x/utils';
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import { SamplerOverrides } from '../../types';
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@ -34,10 +35,11 @@ export class DexOrderSampler extends SamplerOperations {
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constructor(
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_samplerContract: ERC20BridgeSamplerContract,
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private readonly _samplerOverrides?: SamplerOverrides,
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bancorService?: BancorService,
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provider?: SupportedProvider,
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balancerPoolsCache?: BalancerPoolsCache,
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getBancorServiceFn?: () => BancorService,
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) {
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super(_samplerContract, bancorService, balancerPoolsCache);
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super(_samplerContract, provider, balancerPoolsCache, getBancorServiceFn);
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}
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/* Type overloads for `executeAsync()`. Could skip this if we would upgrade TS. */
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@ -1,3 +1,4 @@
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import { SupportedProvider } from '@0x/dev-utils';
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import { SignedOrder } from '@0x/types';
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import { BigNumber } from '@0x/utils';
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import * as _ from 'lodash';
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@ -41,6 +42,7 @@ import {
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* for use with `DexOrderSampler.executeAsync()`.
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*/
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export class SamplerOperations {
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protected _bancorService?: BancorService;
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public static constant<T>(result: T): BatchedOperation<T> {
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return {
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encodeCall: () => {
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@ -54,10 +56,24 @@ export class SamplerOperations {
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constructor(
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protected readonly _samplerContract: ERC20BridgeSamplerContract,
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public readonly bancorService?: BancorService,
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public readonly provider?: SupportedProvider,
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public readonly balancerPoolsCache: BalancerPoolsCache = new BalancerPoolsCache(),
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protected readonly getBancorServiceFn?: () => BancorService, // for dependency injection in tests
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) {}
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public async getBancorServiceAsync(): Promise<BancorService> {
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if (this.getBancorServiceFn !== undefined) {
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return this.getBancorServiceFn();
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}
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if (this.provider === undefined) {
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throw new Error('Cannot sample liquidity from Bancor; no provider supplied.');
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}
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if (this._bancorService === undefined) {
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this._bancorService = await BancorService.createAsync(this.provider);
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}
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return this._bancorService;
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}
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public getOrderFillableTakerAmounts(orders: SignedOrder[], exchangeAddress: string): BatchedOperation<BigNumber[]> {
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return new SamplerContractOperation({
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source: ERC20BridgeSource.Native,
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@ -467,33 +483,23 @@ export class SamplerOperations {
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takerToken: string,
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takerFillAmounts: BigNumber[],
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): Promise<Array<DexSample<BancorFillData>>> {
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if (this.bancorService === undefined) {
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throw new Error('Cannot sample liquidity from Bancor; no Bancor service instantiated.');
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const bancorService = await this.getBancorServiceAsync();
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try {
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const quotes = await bancorService.getQuotesAsync(takerToken, makerToken, takerFillAmounts);
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return quotes.map((quote, i) => ({
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source: ERC20BridgeSource.Bancor,
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output: quote.amount,
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input: takerFillAmounts[i],
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fillData: quote.fillData,
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}));
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} catch (e) {
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return takerFillAmounts.map(input => ({
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source: ERC20BridgeSource.Bancor,
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output: ZERO_AMOUNT,
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input,
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fillData: { path: [], networkAddress: '' },
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}));
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}
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return Promise.all(
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takerFillAmounts.map(async amount => {
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try {
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const { amount: output, fillData } = await this.bancorService!.getQuoteAsync(
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takerToken,
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makerToken,
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amount,
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);
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return {
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source: ERC20BridgeSource.Bancor,
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output,
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input: amount,
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fillData,
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};
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} catch (e) {
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return {
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source: ERC20BridgeSource.Bancor,
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output: ZERO_AMOUNT,
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input: amount,
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fillData: { path: [], networkAddress: '' },
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};
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}
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}),
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);
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}
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public getMooniswapSellQuotes(
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@ -1,4 +1,7 @@
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import { web3Factory, Web3ProviderEngine } from '@0x/dev-utils';
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import { Ethereum, getDecimals } from '@bancor/sdk/dist/blockchains/ethereum';
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import { fromWei, toWei } from '@bancor/sdk/dist/helpers';
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import { BlockchainType } from '@bancor/sdk/dist/types';
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import * as chai from 'chai';
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import * as _ from 'lodash';
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import 'mocha';
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@ -17,41 +20,49 @@ const RPC_URL = `https://mainnet.infura.io/v3/${process.env.INFURA_PROJECT_ID}`;
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const provider: Web3ProviderEngine = web3Factory.getRpcProvider({ rpcUrl: RPC_URL });
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// tslint:disable:custom-no-magic-numbers
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let bancorService: BancorService;
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// These tests test the bancor SDK against mainnet
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// TODO (xianny): After we move asset-swapper out of the monorepo, we should add an env variable to circle CI to run this test
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describe.skip('Bancor Service', () => {
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const bancorService = new BancorService(provider);
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const eth = '0xeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee';
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const bnt = '0x1f573d6fb3f13d689ff844b4ce37794d79a7ff1c';
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it('should retrieve the bancor network address', async () => {
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const networkAddress = await bancorService.getBancorNetworkAddressAsync();
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bancorService = await BancorService.createAsync(provider);
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const networkAddress = bancorService.getBancorNetworkAddress();
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expect(networkAddress).to.match(ADDRESS_REGEX);
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});
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it('should retrieve a quote', async () => {
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const amt = new BigNumber(2);
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const quote = await bancorService.getQuoteAsync(eth, bnt, amt);
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const fillData = quote.fillData as BancorFillData;
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const amt = new BigNumber(10e18);
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const quotes = await bancorService.getQuotesAsync(eth, bnt, [amt]);
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const fillData = quotes[0].fillData as BancorFillData;
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// get rate from the bancor sdk
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const sdk = await bancorService.getSDKAsync();
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const expectedAmt = await sdk.pricing.getRateByPath(fillData.path.map(s => token(s)), amt.toString());
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const blockchain = bancorService.sdk._core.blockchains[BlockchainType.Ethereum] as Ethereum;
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const sourceDecimals = await getDecimals(blockchain, token(eth));
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const rate = await bancorService.sdk.pricing.getRateByPath(
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fillData.path.map(p => token(p)),
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fromWei(amt.toString(), sourceDecimals),
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);
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const expectedRate = toWei(rate, await getDecimals(blockchain, token(bnt)));
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expect(fillData.networkAddress).to.match(ADDRESS_REGEX);
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expect(fillData.path).to.be.an.instanceOf(Array);
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expect(fillData.path).to.have.lengthOf(3);
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expect(quote.amount.dp(0)).to.bignumber.eq(
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new BigNumber(expectedAmt).multipliedBy(bancorService.minReturnAmountBufferPercentage).dp(0),
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expect(fillData.path[0].toLowerCase()).to.eq(eth);
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expect(fillData.path[2].toLowerCase()).to.eq(bnt);
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expect(fillData.path.length).to.eq(3); // eth -> bnt should be single hop!
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expect(quotes[0].amount.dp(0)).to.bignumber.eq(
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new BigNumber(expectedRate).multipliedBy(bancorService.minReturnAmountBufferPercentage).dp(0),
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);
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});
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// HACK (xianny): for exploring SDK results
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it('should retrieve multiple quotes', async () => {
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const amts = [1, 10, 100, 1000].map(a => new BigNumber(a).multipliedBy(10e18));
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const quotes = await Promise.all(amts.map(async amount => bancorService.getQuoteAsync(eth, bnt, amount)));
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const quotes = await bancorService.getQuotesAsync(eth, bnt, amts);
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quotes.map((q, i) => {
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// tslint:disable:no-console
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const fillData = q.fillData as BancorFillData;
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console.log(
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`Input ${amts[i].toExponential()}; Output: ${q.amount}; Path: ${
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`Input ${amts[i].toExponential()}; Output: ${q.amount}; Ratio: ${q.amount.dividedBy(amts[i])}, Path: ${
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fillData.path.length
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}\nPath: ${JSON.stringify(fillData.path)}`,
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);
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@ -487,21 +487,24 @@ describe('DexSampler tests', () => {
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const networkAddress = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
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const rate = getRandomFloat(0, 100);
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const bancorService = new MockBancorService(provider, {
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getQuoteAsync: async (fromToken: string, toToken: string, amount: BigNumber) => {
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const bancorService = await MockBancorService.createMockAsync({
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getQuotesAsync: async (fromToken: string, toToken: string, amounts: BigNumber[]) => {
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expect(fromToken).equal(expectedTakerToken);
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expect(toToken).equal(expectedMakerToken);
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return Promise.resolve({
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fillData: { path: [fromToken, toToken], networkAddress },
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amount: amount.multipliedBy(rate),
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});
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return Promise.resolve(
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amounts.map(a => ({
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fillData: { path: [fromToken, toToken], networkAddress },
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amount: a.multipliedBy(rate),
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})),
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);
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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new MockSamplerContract({}),
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undefined, // sampler overrides
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bancorService,
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provider,
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undefined, // balancer cache
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() => bancorService,
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);
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const quotes = await dexOrderSampler.getBancorSellQuotesOffChainAsync(
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expectedMakerToken,
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@ -1,24 +1,33 @@
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import { BigNumber } from '@0x/utils';
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import { SDK } from '@bancor/sdk';
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import { SupportedProvider } from '../../src';
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import { BancorService } from '../../src/utils/market_operation_utils/bancor_service';
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import { BancorFillData, Quote } from '../../src/utils/market_operation_utils/types';
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export interface Handlers {
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getQuoteAsync: (fromToken: string, toToken: string, amount: BigNumber) => Promise<Quote<BancorFillData>>;
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getQuotesAsync: (fromToken: string, toToken: string, amount: BigNumber[]) => Promise<Array<Quote<BancorFillData>>>;
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}
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export class MockBancorService extends BancorService {
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// Bancor recommends setting this value to 2% under the expected return amount
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public minReturnAmountBufferPercentage = 0.98;
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constructor(provider: SupportedProvider, public handlers: Partial<Handlers>) {
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super(provider);
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public static async createMockAsync(handlers: Partial<Handlers>): Promise<MockBancorService> {
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const sdk = new SDK();
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return new MockBancorService(sdk, handlers);
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}
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public async getQuoteAsync(fromToken: string, toToken: string, amount: BigNumber): Promise<Quote<BancorFillData>> {
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return this.handlers.getQuoteAsync
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? this.handlers.getQuoteAsync(fromToken, toToken, amount)
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: super.getQuoteAsync(fromToken, toToken, amount);
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constructor(sdk: SDK, public handlers: Partial<Handlers>) {
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super(sdk);
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}
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public async getQuotesAsync(
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fromToken: string,
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toToken: string,
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amounts: BigNumber[],
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): Promise<Array<Quote<BancorFillData>>> {
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return this.handlers.getQuotesAsync
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? this.handlers.getQuotesAsync(fromToken, toToken, amounts)
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: super.getQuotesAsync(fromToken, toToken, amounts);
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}
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}
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@ -45,6 +45,10 @@
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{
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"note": "Update transformer deployer and transformers for champagne-problems deployment",
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"pr": 2693
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},
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{
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"note": "Deploy `BancorBridge` on Mainnet",
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"pr": 2699
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}
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]
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},
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@ -34,7 +34,7 @@
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"dexForwarderBridge": "0xc47b7094f378e54347e281aab170e8cca69d880a",
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"multiBridge": "0xc03117a8c9bde203f70aa911cb64a7a0df5ba1e1",
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"balancerBridge": "0xfe01821ca163844203220cd08e4f2b2fb43ae4e4",
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"bancorBridge": "0x0000000000000000000000000000000000000000",
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"bancorBridge": "0x259897d9699553edbdf8538599242354e957fb94",
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"exchangeProxyGovernor": "0x618f9c67ce7bf1a50afa1e7e0238422601b0ff6e",
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"exchangeProxy": "0xdef1c0ded9bec7f1a1670819833240f027b25eff",
|
||||
"exchangeProxyAllowanceTarget": "0xf740b67da229f2f10bcbd38a7979992fcc71b8eb",
|
||||
|
||||
@ -1061,9 +1061,9 @@
|
||||
isomorphic-fetch "^2.2.1"
|
||||
typescript "^3.8.3"
|
||||
|
||||
"@bancor/sdk@^0.2.5":
|
||||
version "0.2.5"
|
||||
resolved "https://registry.yarnpkg.com/@bancor/sdk/-/sdk-0.2.5.tgz#dda2d6a91bc130684d83e5d395c00677cd0fdd71"
|
||||
"@bancor/sdk@^0.2.9":
|
||||
version "0.2.9"
|
||||
resolved "https://registry.yarnpkg.com/@bancor/sdk/-/sdk-0.2.9.tgz#2e4c168dc9d667709e3ed85eac3b15362c5676d8"
|
||||
dependencies:
|
||||
"@types/text-encoding" "0.0.35"
|
||||
decimal.js "^10.2.0"
|
||||
|
||||
Loading…
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Reference in New Issue
Block a user