Revive quote report (#184)

* Revives Quote Report * prettier * Remove unused parameters * updated a few issues with tests * Remove old code * Fixed other unit tests
2021-03-30 09:57:03 -07:00 · 2021-03-30 09:57:03 -07:00 · 525bc8197b
commit 525bc8197b
parent 24397c51a8
5 changed files with 29 additions and 123 deletions
--- a/packages/asset-swapper/src/utils/market_operation_utils/constants.ts
+++ b/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: [] },
 };
--- a/packages/asset-swapper/src/utils/market_operation_utils/index.ts
+++ b/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(
-            side,
-            _.flatten(dexQuotes),
-            twoHopQuotes,
-            nativeOrders,
-            liquidityDelivered,
-            comparisonPrice,
-            quoteRequestor,
-        );
+        return generateQuoteReport(side, quotes.nativeOrders, liquidityDelivered, comparisonPrice, quoteRequestor);
    }

    constructor(
--- a/packages/asset-swapper/src/utils/quote_report_generator.ts
+++ b/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 =>
-        _multiHopSampleToReportSource(quote, marketOperation),
-    );
-    const sourcesConsidered = [
-        ...dexReportSourcesConsidered,
-        ...nativeOrderSourcesConsidered,
-        ...multiHopSourcesConsidered,
-    ];
+    const sourcesConsidered = [...nativeOrderSourcesConsidered.filter(order => order.isRfqt)];

    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;
+        };
    }
 }
--- a/packages/asset-swapper/test/market_operation_utils_test.ts
+++ b/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,
                        },
                    },
--- a/packages/asset-swapper/test/quote_report_generator_test.ts
+++ b/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[] = [
-            kyber1Source,
-            kyber2Source,
-            uniswap1Source,
-            uniswap2Source,
-            orderbookOrder1Source,
-            rfqtOrder1Source,
-            rfqtOrder2Source,
-            orderbookOrder2Source,
-        ];
+        const expectedSourcesConsidered: QuoteReportEntry[] = [rfqtOrder1Source, rfqtOrder2Source];
        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[] = [
-            kyber1Source,
-            uniswap1Source,
-            orderbookOrder1Source,
-            orderbookOrder2Source,
-        ];
+        // No order is considered here because only Native RFQ orders are considered.
+        const expectedSourcesConsidered: QuoteReportEntry[] = [];
        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(
-            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 orderReport = generateQuoteReport(marketOperation, [orderbookOrder1], twoHopSample);
        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);