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optionally return a quote report too

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This commit is contained in:
Daniel Pyrathon
2020-09-24 15:37:18 -07:00
parent 235e406620
commit 5333befd89
2 changed files with 20 additions and 12 deletions
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27
packages/asset-swapper/src/utils/market_operation_utils/index.ts
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@@ -7,7 +7,7 @@ import * as _ from 'lodash';
import { MarketOperation } from '../../types';
import { QuoteRequestor } from '../quote_requestor';
import { generateQuoteReport } from './../quote_report_generator';
import { generateQuoteReport, QuoteReport } from './../quote_report_generator';
import {
BUY_SOURCE_FILTER,
DEFAULT_GET_MARKET_ORDERS_OPTS,
@@ -40,6 +40,7 @@ import {
OptimizerResult,
OrderDomain,
TokenAdjacencyGraph,
OptimizerResultWithReport,
} from './types';
// tslint:disable:boolean-naming
@@ -79,10 +80,10 @@ export class MarketOperationUtils {
private readonly _buySources: SourceFilters;
private readonly _feeSources = new SourceFilters(FEE_QUOTE_SOURCES);
private static _computeQuoteReport(nativeOrders: SignedOrder[], quoteRequestor: QuoteRequestor, marketSideLiquidity: MarketSideLiquidity, optimizerResult: OptimizerResult): void {
private static _computeQuoteReport(nativeOrders: SignedOrder[], quoteRequestor: QuoteRequestor, marketSideLiquidity: MarketSideLiquidity, optimizerResult: OptimizerResult): QuoteReport {
const {side, dexQuotes, twoHopQuotes, orderFillableAmounts } = marketSideLiquidity;
const { liquidityDelivered } = optimizerResult;
generateQuoteReport(
return generateQuoteReport(
side,
_.flatten(dexQuotes),
twoHopQuotes,
@@ -354,11 +355,10 @@ export class MarketOperationUtils {
nativeOrders: SignedOrder[],
takerAmount: BigNumber,
opts?: Partial<GetMarketOrdersOpts>,
gasPrice?: BigNumber,
): Promise<OptimizerResult> {
): Promise<OptimizerResultWithReport> {
const defaultOpts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
const marketSideLiquidity = await this.getMarketSellLiquidityAsync(nativeOrders, takerAmount, defaultOpts);
const optimizedOrders = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
bridgeSlippage: defaultOpts.bridgeSlippage,
maxFallbackSlippage: defaultOpts.maxFallbackSlippage,
excludedSources: defaultOpts.excludedSources,
@@ -366,10 +366,12 @@ export class MarketOperationUtils {
allowFallback: defaultOpts.allowFallback,
shouldBatchBridgeOrders: defaultOpts.shouldBatchBridgeOrders,
});
let quoteReport: QuoteReport | undefined;
if (defaultOpts.shouldGenerateQuoteReport && defaultOpts.rfqt && defaultOpts.rfqt.quoteRequestor) {
MarketOperationUtils._computeQuoteReport(nativeOrders, defaultOpts.rfqt.quoteRequestor, marketSideLiquidity, optimizedResult);
quoteReport = MarketOperationUtils._computeQuoteReport(nativeOrders, defaultOpts.rfqt.quoteRequestor, marketSideLiquidity, optimizerResult);
}
return optimizedOrders;
return {...optimizerResult, quoteReport};
}
/**
@@ -384,10 +386,10 @@ export class MarketOperationUtils {
nativeOrders: SignedOrder[],
makerAmount: BigNumber,
opts?: Partial<GetMarketOrdersOpts>,
): Promise<OptimizerResult> {
): Promise<OptimizerResultWithReport> {
const defaultOpts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
const marketSideLiquidity = await this.getMarketBuyLiquidityAsync(nativeOrders, makerAmount, defaultOpts);
const optimizedResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
bridgeSlippage: defaultOpts.bridgeSlippage,
maxFallbackSlippage: defaultOpts.maxFallbackSlippage,
excludedSources: defaultOpts.excludedSources,
@@ -395,10 +397,11 @@ export class MarketOperationUtils {
allowFallback: defaultOpts.allowFallback,
shouldBatchBridgeOrders: defaultOpts.shouldBatchBridgeOrders,
});
let quoteReport: QuoteReport | undefined;
if (defaultOpts.shouldGenerateQuoteReport && defaultOpts.rfqt && defaultOpts.rfqt.quoteRequestor) {
MarketOperationUtils._computeQuoteReport(nativeOrders, defaultOpts.rfqt.quoteRequestor, marketSideLiquidity, optimizedResult);
quoteReport = MarketOperationUtils._computeQuoteReport(nativeOrders, defaultOpts.rfqt.quoteRequestor, marketSideLiquidity, optimizerResult);
}
return optimizedResult;
return {...optimizerResult, quoteReport};
}
/**

5
packages/asset-swapper/src/utils/market_operation_utils/types.ts
View File

@@ -4,6 +4,7 @@ import { BigNumber } from '@0x/utils';
import { RfqtRequestOpts, SignedOrderWithFillableAmounts } from '../../types';
import { QuoteRequestor } from '../../utils/quote_requestor';
import { QuoteReport } from '../quote_report_generator';
/**
* Order domain keys: chainId and exchange
@@ -324,6 +325,10 @@ export interface OptimizerResult {
liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>;
}
export interface OptimizerResultWithReport extends OptimizerResult {
quoteReport?: QuoteReport;
}
export type MarketDepthSide = Array<Array<DexSample<FillData>>>;
export interface MarketDepth {