Revive quote report (#184)

* Revives Quote Report

* prettier

* Remove unused parameters

* updated a few issues with tests

* Remove old code

* Fixed other unit tests

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

@@ -661,6 +661,6 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
     gasSchedule: DEFAULT_GAS_SCHEDULE,
     exchangeProxyOverhead: () => ZERO_AMOUNT,
     allowFallback: true,
-    shouldGenerateQuoteReport: false,
+    shouldGenerateQuoteReport: true,
     tokenAdjacencyGraph: { default: [] },
 };

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

@@ -62,17 +62,8 @@ export class MarketOperationUtils {
         comparisonPrice?: BigNumber | undefined,
     ): QuoteReport {
         const { side, quotes } = marketSideLiquidity;
-        const { dexQuotes, twoHopQuotes, nativeOrders } = quotes;
         const { liquidityDelivered } = optimizerResult;
-        return generateQuoteReport(
+        return generateQuoteReport(side, quotes.nativeOrders, liquidityDelivered, comparisonPrice, quoteRequestor);
-            side,
-            _.flatten(dexQuotes),
-            twoHopQuotes,
-            nativeOrders,
-            liquidityDelivered,
-            comparisonPrice,
-            quoteRequestor,
-        );
     }
 
     constructor(

packages/asset-swapper/src/utils/quote_report_generator.ts

@@ -1,4 +1,4 @@
-import { FillQuoteTransformerOrderType, Signature } from '@0x/protocol-utils';
+import { FillQuoteTransformerOrderType, RfqOrderFields, Signature } from '@0x/protocol-utils';
 import { BigNumber } from '@0x/utils';
 import _ = require('lodash');
 
@@ -44,6 +44,7 @@ export interface NativeRfqOrderQuoteReportEntry extends QuoteReportEntryBase {
     fillData: NativeFillData;
     fillableTakerAmount: BigNumber;
     isRfqt: true;
+    nativeOrder: RfqOrderFields;
     makerUri: string;
     comparisonPrice?: number;
 }
@@ -65,25 +66,15 @@ export interface QuoteReport {
  */
 export function generateQuoteReport(
     marketOperation: MarketOperation,
-    dexQuotes: DexSample[],
-    multiHopQuotes: Array<DexSample<MultiHopFillData>>,
     nativeOrders: NativeOrderWithFillableAmounts[],
     liquidityDelivered: ReadonlyArray<CollapsedFill> | DexSample<MultiHopFillData>,
     comparisonPrice?: BigNumber | undefined,
     quoteRequestor?: QuoteRequestor,
 ): QuoteReport {
-    const dexReportSourcesConsidered = dexQuotes.map(quote => _dexSampleToReportSource(quote, marketOperation));
     const nativeOrderSourcesConsidered = nativeOrders.map(order =>
         _nativeOrderToReportEntry(order.type, order as any, order.fillableTakerAmount, comparisonPrice, quoteRequestor),
     );
-    const multiHopSourcesConsidered = multiHopQuotes.map(quote =>
+    const sourcesConsidered = [...nativeOrderSourcesConsidered.filter(order => order.isRfqt)];
-        _multiHopSampleToReportSource(quote, marketOperation),
-    );
-    const sourcesConsidered = [
-        ...dexReportSourcesConsidered,
-        ...nativeOrderSourcesConsidered,
-        ...multiHopSourcesConsidered,
-    ];
 
     let sourcesDelivered;
     if (Array.isArray(liquidityDelivered)) {
@@ -193,7 +184,6 @@ function _nativeOrderToReportEntry(
     quoteRequestor?: QuoteRequestor,
 ): NativeRfqOrderQuoteReportEntry | NativeLimitOrderQuoteReportEntry {
     const nativeOrderBase = {
-        liquiditySource: ERC20BridgeSource.Native,
         makerAmount: fillData.order.makerAmount,
         takerAmount: fillData.order.takerAmount,
         fillableTakerAmount: fillableAmount,
@@ -201,23 +191,28 @@ function _nativeOrderToReportEntry(
 
     // if we find this is an rfqt order, label it as such and associate makerUri
     const isRfqt = type === FillQuoteTransformerOrderType.Rfq;
-    const rfqtMakerUri = isRfqt ? quoteRequestor!.getMakerUriForSignature(fillData.signature) : undefined;
+    const rfqtMakerUri =
+        isRfqt && quoteRequestor ? quoteRequestor.getMakerUriForSignature(fillData.signature) : undefined;
 
     if (isRfqt) {
+        const nativeOrder = fillData.order as RfqOrderFields;
         // tslint:disable-next-line: no-object-literal-type-assertion
         return {
+            liquiditySource: ERC20BridgeSource.Native,
             ...nativeOrderBase,
             isRfqt: true,
             makerUri: rfqtMakerUri || '',
             ...(comparisonPrice ? { comparisonPrice: comparisonPrice.toNumber() } : {}),
+            nativeOrder,
             fillData,
-        } as NativeRfqOrderQuoteReportEntry;
+        };
     } else {
         // tslint:disable-next-line: no-object-literal-type-assertion
         return {
+            liquiditySource: ERC20BridgeSource.Native,
             ...nativeOrderBase,
             isRfqt: false,
             fillData,
-        } as NativeLimitOrderQuoteReportEntry;
+        };
     }
 }

packages/asset-swapper/test/market_operation_utils_test.ts

@@ -127,6 +127,9 @@ describe('MarketOperationUtils tests', () => {
             TypeMoq.It.isAny(),
         ];
         const requestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose, true);
+        requestor
+            .setup(mqr => mqr.getMakerUriForSignature(TypeMoq.It.isValue(SIGNATURE)))
+            .returns(() => 'https://foo.bar');
         if (type === 'firm') {
             requestor
                 .setup(r => r.requestRfqtFirmQuotesAsync(...args))
@@ -696,6 +699,9 @@ describe('MarketOperationUtils tests', () => {
                 const feeSchedule = {
                     [ERC20BridgeSource.Native]: _.constant(new BigNumber(1)),
                 };
+                mockedQuoteRequestor
+                    .setup(mqr => mqr.getMakerUriForSignature(TypeMoq.It.isValue(SIGNATURE)))
+                    .returns(() => 'https://foo.bar');
                 mockedQuoteRequestor
                     .setup(mqr =>
                         mqr.requestRfqtFirmQuotesAsync(
@@ -799,6 +805,7 @@ describe('MarketOperationUtils tests', () => {
                             intentOnFilling: true,
                             quoteRequestor: {
                                 requestRfqtFirmQuotesAsync: mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync,
+                                getMakerUriForSignature: mockedQuoteRequestor.object.getMakerUriForSignature,
                             } as any,
                         },
                     },

packages/asset-swapper/test/quote_report_generator_test.ts

@@ -58,32 +58,18 @@ describe('generateQuoteReport', async () => {
     it('should generate report properly for sell', () => {
         const marketOperation: MarketOperation = MarketOperation.Sell;
 
-        const kyberSample1: DexSample = {
-            source: ERC20BridgeSource.Kyber,
-            input: new BigNumber(10000),
-            output: new BigNumber(10001),
-            fillData: {},
-        };
         const kyberSample2: DexSample = {
             source: ERC20BridgeSource.Kyber,
             input: new BigNumber(10003),
             output: new BigNumber(10004),
             fillData: {},
         };
-        const uniswapSample1: DexSample = {
-            source: ERC20BridgeSource.UniswapV2,
-            input: new BigNumber(10003),
-            output: new BigNumber(10004),
-            fillData: {},
-        };
         const uniswapSample2: DexSample = {
             source: ERC20BridgeSource.UniswapV2,
             input: new BigNumber(10005),
             output: new BigNumber(10006),
             fillData: {},
         };
-        const dexQuotes: DexSample[] = [kyberSample1, kyberSample2, uniswapSample1, uniswapSample2];
-
         const orderbookOrder1: NativeOrderWithFillableAmounts = {
             order: new LimitOrder({ takerAmount: new BigNumber(1000) }),
             type: FillQuoteTransformerOrderType.Limit,
@@ -158,8 +144,6 @@ describe('generateQuoteReport', async () => {
 
         const orderReport = generateQuoteReport(
             marketOperation,
-            dexQuotes,
-            [],
             nativeOrders,
             pathGenerated,
             undefined,
@@ -173,6 +157,7 @@ describe('generateQuoteReport', async () => {
             fillableTakerAmount: rfqtOrder1.fillableTakerAmount,
             isRfqt: true,
             makerUri: 'https://rfqt1.provider.club',
+            nativeOrder: rfqtOrder1.order,
             fillData: {
                 order: rfqtOrder1.order,
             } as NativeRfqOrderFillData,
@@ -184,20 +169,11 @@ describe('generateQuoteReport', async () => {
             fillableTakerAmount: rfqtOrder2.fillableTakerAmount,
             isRfqt: true,
             makerUri: 'https://rfqt2.provider.club',
+            nativeOrder: rfqtOrder2.order,
             fillData: {
                 order: rfqtOrder2.order,
             } as NativeRfqOrderFillData,
         };
-        const orderbookOrder1Source: NativeLimitOrderQuoteReportEntry = {
-            liquiditySource: ERC20BridgeSource.Native,
-            makerAmount: orderbookOrder1.order.makerAmount,
-            takerAmount: orderbookOrder1.order.takerAmount,
-            fillableTakerAmount: orderbookOrder1.fillableTakerAmount,
-            isRfqt: false,
-            fillData: {
-                order: orderbookOrder1.order,
-            } as NativeLimitOrderFillData,
-        };
         const orderbookOrder2Source: NativeLimitOrderQuoteReportEntry = {
             liquiditySource: ERC20BridgeSource.Native,
             makerAmount: orderbookOrder2.order.makerAmount,
@@ -208,24 +184,12 @@ describe('generateQuoteReport', async () => {
                 order: orderbookOrder2.order,
             } as NativeLimitOrderFillData,
         };
-        const uniswap1Source: BridgeQuoteReportEntry = {
-            liquiditySource: ERC20BridgeSource.UniswapV2,
-            makerAmount: uniswapSample1.output,
-            takerAmount: uniswapSample1.input,
-            fillData: {},
-        };
         const uniswap2Source: BridgeQuoteReportEntry = {
             liquiditySource: ERC20BridgeSource.UniswapV2,
             makerAmount: uniswapSample2.output,
             takerAmount: uniswapSample2.input,
             fillData: {},
         };
-        const kyber1Source: BridgeQuoteReportEntry = {
-            liquiditySource: ERC20BridgeSource.Kyber,
-            makerAmount: kyberSample1.output,
-            takerAmount: kyberSample1.input,
-            fillData: {},
-        };
         const kyber2Source: BridgeQuoteReportEntry = {
             liquiditySource: ERC20BridgeSource.Kyber,
             makerAmount: kyberSample2.output,
@@ -233,16 +197,7 @@ describe('generateQuoteReport', async () => {
             fillData: {},
         };
 
-        const expectedSourcesConsidered: QuoteReportEntry[] = [
+        const expectedSourcesConsidered: QuoteReportEntry[] = [rfqtOrder1Source, rfqtOrder2Source];
-            kyber1Source,
-            kyber2Source,
-            uniswap1Source,
-            uniswap2Source,
-            orderbookOrder1Source,
-            rfqtOrder1Source,
-            rfqtOrder2Source,
-            orderbookOrder2Source,
-        ];
         const expectedSourcesDelivered: QuoteReportEntry[] = [
             rfqtOrder2Source,
             orderbookOrder2Source,
@@ -267,7 +222,6 @@ describe('generateQuoteReport', async () => {
             output: new BigNumber(10004),
             fillData: {},
         };
-        const dexQuotes: DexSample[] = [kyberSample1, uniswapSample1];
         const orderbookOrder1: NativeOrderWithFillableAmounts = {
             order: new LimitOrder({ takerAmount: new BigNumber(1101) }),
             type: FillQuoteTransformerOrderType.Limit,
@@ -302,7 +256,7 @@ describe('generateQuoteReport', async () => {
         };
         const pathGenerated: CollapsedFill[] = [orderbookOrder1Fill, uniswap1Fill, kyber1Fill];
 
-        const orderReport = generateQuoteReport(marketOperation, dexQuotes, [], nativeOrders, pathGenerated);
+        const orderReport = generateQuoteReport(marketOperation, nativeOrders, pathGenerated);
 
         const orderbookOrder1Source: NativeLimitOrderQuoteReportEntry = {
             liquiditySource: ERC20BridgeSource.Native,
@@ -314,16 +268,6 @@ describe('generateQuoteReport', async () => {
                 order: orderbookOrder1.order,
             } as NativeLimitOrderFillData,
         };
-        const orderbookOrder2Source: NativeLimitOrderQuoteReportEntry = {
-            liquiditySource: ERC20BridgeSource.Native,
-            makerAmount: orderbookOrder2.order.makerAmount,
-            takerAmount: orderbookOrder2.order.takerAmount,
-            fillableTakerAmount: orderbookOrder2.fillableTakerAmount,
-            isRfqt: false,
-            fillData: {
-                order: orderbookOrder2.order,
-            } as NativeLimitOrderFillData,
-        };
         const uniswap1Source: BridgeQuoteReportEntry = {
             liquiditySource: ERC20BridgeSource.UniswapV2,
             makerAmount: uniswapSample1.input,
@@ -337,24 +281,14 @@ describe('generateQuoteReport', async () => {
             fillData: {},
         };
 
-        const expectedSourcesConsidered: QuoteReportEntry[] = [
+        // No order is considered here because only Native RFQ orders are considered.
-            kyber1Source,
+        const expectedSourcesConsidered: QuoteReportEntry[] = [];
-            uniswap1Source,
-            orderbookOrder1Source,
-            orderbookOrder2Source,
-        ];
         const expectedSourcesDelivered: QuoteReportEntry[] = [orderbookOrder1Source, uniswap1Source, kyber1Source];
         expectEqualQuoteReportEntries(orderReport.sourcesConsidered, expectedSourcesConsidered, `sourcesConsidered`);
         expectEqualQuoteReportEntries(orderReport.sourcesDelivered, expectedSourcesDelivered, `sourcesDelivered`);
     });
     it('should correctly generate report for a two-hop quote', () => {
         const marketOperation: MarketOperation = MarketOperation.Sell;
-        const kyberSample1: DexSample = {
-            source: ERC20BridgeSource.Kyber,
-            input: new BigNumber(10000),
-            output: new BigNumber(10001),
-            fillData: {},
-        };
         const orderbookOrder1: NativeOrderWithFillableAmounts = {
             order: new LimitOrder({ takerAmount: new BigNumber(1101) }),
             type: FillQuoteTransformerOrderType.Limit,
@@ -387,29 +321,7 @@ describe('generateQuoteReport', async () => {
             fillData: twoHopFillData,
         };
 
-        const orderReport = generateQuoteReport(
+        const orderReport = generateQuoteReport(marketOperation, [orderbookOrder1], twoHopSample);
-            marketOperation,
-            [kyberSample1],
-            [twoHopSample],
-            [orderbookOrder1],
-            twoHopSample,
-        );
-        const orderbookOrder1Source: NativeLimitOrderQuoteReportEntry = {
-            liquiditySource: ERC20BridgeSource.Native,
-            makerAmount: orderbookOrder1.order.makerAmount,
-            takerAmount: orderbookOrder1.order.takerAmount,
-            fillableTakerAmount: orderbookOrder1.fillableTakerAmount,
-            isRfqt: false,
-            fillData: {
-                order: orderbookOrder1.order,
-            } as NativeLimitOrderFillData,
-        };
-        const kyber1Source: BridgeQuoteReportEntry = {
-            liquiditySource: ERC20BridgeSource.Kyber,
-            makerAmount: kyberSample1.output,
-            takerAmount: kyberSample1.input,
-            fillData: {},
-        };
         const twoHopSource: MultiHopQuoteReportEntry = {
             liquiditySource: ERC20BridgeSource.MultiHop,
             makerAmount: twoHopSample.output,
@@ -418,7 +330,8 @@ describe('generateQuoteReport', async () => {
             fillData: twoHopFillData,
         };
 
-        const expectedSourcesConsidered: QuoteReportEntry[] = [kyber1Source, orderbookOrder1Source, twoHopSource];
+        // No entry is present in considered because No RFQ orders were reported.
+        const expectedSourcesConsidered: QuoteReportEntry[] = [];
         expectEqualQuoteReportEntries(orderReport.sourcesConsidered, expectedSourcesConsidered, `sourcesConsidered`);
         expect(orderReport.sourcesDelivered.length).to.eql(1);
         expect(orderReport.sourcesDelivered[0]).to.deep.equal(twoHopSource);