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chore: Optional quote report generation (#2687)

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Jacob Evans 2020-08-29 09:41:01 +10:00 committed by GitHub
parent a2f0d5eedf
commit 514db24ceb
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GPG Key ID: 4AEE18F83AFDEB23
4 changed files with 36 additions and 19 deletions
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4
packages/asset-swapper/CHANGELOG.json
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@ -77,6 +77,10 @@
{ {
"note": "Re-worked `Kyber` quotes supporting multiple reserves", "note": "Re-worked `Kyber` quotes supporting multiple reserves",
"pr": 2683 "pr": 2683
},
{
"note": "Enable Quote Report to be generated with an option `shouldGenerateQuoteReport`. Default is `false`",
"pr": 2687
} }
] ]
}, },

1
packages/asset-swapper/src/utils/market_operation_utils/constants.ts
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@ -46,6 +46,7 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
gasSchedule: {}, gasSchedule: {},
allowFallback: true, allowFallback: true,
shouldBatchBridgeOrders: true, shouldBatchBridgeOrders: true,
shouldGenerateQuoteReport: false,
}; };
/** /**

44
packages/asset-swapper/src/utils/market_operation_utils/index.ts
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@ -342,6 +342,7 @@ export class MarketOperationUtils {
allowFallback: _opts.allowFallback, allowFallback: _opts.allowFallback,
shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders, shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders,
quoteRequestor: _opts.rfqt ? _opts.rfqt.quoteRequestor : undefined, quoteRequestor: _opts.rfqt ? _opts.rfqt.quoteRequestor : undefined,
shouldGenerateQuoteReport: _opts.shouldGenerateQuoteReport,
}); });
} }
@ -368,6 +369,7 @@ export class MarketOperationUtils {
allowFallback: _opts.allowFallback, allowFallback: _opts.allowFallback,
shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders, shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders,
quoteRequestor: _opts.rfqt ? _opts.rfqt.quoteRequestor : undefined, quoteRequestor: _opts.rfqt ? _opts.rfqt.quoteRequestor : undefined,
shouldGenerateQuoteReport: _opts.shouldGenerateQuoteReport,
}); });
} }
@ -455,6 +457,7 @@ export class MarketOperationUtils {
feeSchedule: _opts.feeSchedule, feeSchedule: _opts.feeSchedule,
allowFallback: _opts.allowFallback, allowFallback: _opts.allowFallback,
shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders, shouldBatchBridgeOrders: _opts.shouldBatchBridgeOrders,
shouldGenerateQuoteReport: false,
}, },
); );
return optimizedOrders; return optimizedOrders;
@ -478,6 +481,7 @@ export class MarketOperationUtils {
allowFallback?: boolean; allowFallback?: boolean;
shouldBatchBridgeOrders?: boolean; shouldBatchBridgeOrders?: boolean;
quoteRequestor?: QuoteRequestor; quoteRequestor?: QuoteRequestor;
shouldGenerateQuoteReport?: boolean;
}, },
): Promise<OptimizerResult> { ): Promise<OptimizerResult> {
const { const {
@ -534,15 +538,17 @@ export class MarketOperationUtils {
); );
if (bestTwoHopQuote && bestTwoHopRate.isGreaterThan(optimalPathRate)) { if (bestTwoHopQuote && bestTwoHopRate.isGreaterThan(optimalPathRate)) {
const twoHopOrders = createOrdersFromTwoHopSample(bestTwoHopQuote, orderOpts); const twoHopOrders = createOrdersFromTwoHopSample(bestTwoHopQuote, orderOpts);
const twoHopQuoteReport = generateQuoteReport( const twoHopQuoteReport = opts.shouldGenerateQuoteReport
side, ? generateQuoteReport(
_.flatten(dexQuotes), side,
twoHopQuotes, _.flatten(dexQuotes),
nativeOrders, twoHopQuotes,
orderFillableAmounts, nativeOrders,
bestTwoHopQuote, orderFillableAmounts,
opts.quoteRequestor, bestTwoHopQuote,
); opts.quoteRequestor,
)
: undefined;
return { optimizedOrders: twoHopOrders, quoteReport: twoHopQuoteReport, isTwoHop: true }; return { optimizedOrders: twoHopOrders, quoteReport: twoHopQuoteReport, isTwoHop: true };
} }
@ -574,15 +580,17 @@ export class MarketOperationUtils {
} }
} }
const optimizedOrders = createOrdersFromPath(optimalPath, orderOpts); const optimizedOrders = createOrdersFromPath(optimalPath, orderOpts);
const quoteReport = generateQuoteReport( const quoteReport = opts.shouldGenerateQuoteReport
side, ? generateQuoteReport(
_.flatten(dexQuotes), side,
twoHopQuotes, _.flatten(dexQuotes),
nativeOrders, twoHopQuotes,
orderFillableAmounts, nativeOrders,
_.flatten(optimizedOrders.map(order => order.fills)), orderFillableAmounts,
opts.quoteRequestor, _.flatten(optimizedOrders.map(order => order.fills)),
); opts.quoteRequestor,
)
: undefined;
return { optimizedOrders, quoteReport, isTwoHop: false }; return { optimizedOrders, quoteReport, isTwoHop: false };
} }

6
packages/asset-swapper/src/utils/market_operation_utils/types.ts
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@ -275,6 +275,10 @@ export interface GetMarketOrdersOpts {
* order. Defaults to `true`. * order. Defaults to `true`.
*/ */
shouldBatchBridgeOrders: boolean; shouldBatchBridgeOrders: boolean;
/**
* Whether to generate a quote report
*/
shouldGenerateQuoteReport: boolean;
} }
/** /**
@ -294,7 +298,7 @@ export interface SourceQuoteOperation<TFillData extends FillData = FillData>
export interface OptimizerResult { export interface OptimizerResult {
optimizedOrders: OptimizedMarketOrder[]; optimizedOrders: OptimizedMarketOrder[];
isTwoHop: boolean; isTwoHop: boolean;
quoteReport: QuoteReport; quoteReport?: QuoteReport;
} }
export type MarketDepthSide = Array<Array<DexSample<FillData>>>; export type MarketDepthSide = Array<Array<DexSample<FillData>>>;