fix: Changed price-aware RFQ flag to be a argument parameter (#13)
* Changed price-aware RFQ flag to be a argument parameter * prettified tests * lint
This commit is contained in:
Daniel Pyrathon
GitHub
parent
99f5be8378
commit
689a8881c2
@ -89,6 +89,7 @@ const DEFAULT_SWAP_QUOTE_REQUEST_OPTS: SwapQuoteRequestOpts = {
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const DEFAULT_RFQT_REQUEST_OPTS: Partial<RfqtRequestOpts> = {
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makerEndpointMaxResponseTimeMs: 1000,
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isPriceAwareRFQEnabled: false,
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};
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export const DEFAULT_INFO_LOGGER: LogFunction = (obj, msg) =>
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@ -8,7 +8,7 @@ import { BlockParamLiteral, SupportedProvider, ZeroExProvider } from 'ethereum-t
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import * as _ from 'lodash';
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import { artifacts } from './artifacts';
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import { BRIDGE_ADDRESSES_BY_CHAIN, constants, IS_PRICE_AWARE_RFQ_ENABLED } from './constants';
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import { BRIDGE_ADDRESSES_BY_CHAIN, constants } from './constants';
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import {
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AssetSwapperContractAddresses,
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CalculateSwapQuoteOpts,
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@ -701,8 +701,8 @@ export class SwapQuoter {
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}
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if (
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!IS_PRICE_AWARE_RFQ_ENABLED && // Price-aware RFQ is disabled.
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opts.rfqt && // This is an RFQT-enabled API request
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!opts.rfqt.isPriceAwareRFQEnabled && // If Price-aware RFQ is enabled, firm quotes are requested later on in the process.
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opts.rfqt.intentOnFilling && // The requestor is asking for a firm quote
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opts.rfqt.apiKey &&
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this._isApiKeyWhitelisted(opts.rfqt.apiKey) && // A valid API key was provided
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@ -251,6 +251,17 @@ export interface RfqtRequestOpts {
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isIndicative?: boolean;
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makerEndpointMaxResponseTimeMs?: number;
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nativeExclusivelyRFQT?: boolean;
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/**
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* This feature flag allows us to merge the price-aware RFQ pricing
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* project while still controlling when to activate the feature. We plan to do some
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* data analysis work and address some of the issues with maker fillable amounts
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* in later milestones. Once the feature is fully rolled out and is providing value
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* and we have assessed that there is no user impact, we will proceed in cleaning up
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* the feature flag. When that time comes, follow this PR to "undo" the feature flag:
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* https://github.com/0xProject/0x-monorepo/pull/2735
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*/
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isPriceAwareRFQEnabled?: boolean;
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}
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/**
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@ -4,7 +4,6 @@ import { BigNumber, NULL_ADDRESS } from '@0x/utils';
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import { Web3Wrapper } from '@0x/web3-wrapper';
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import * as _ from 'lodash';
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import { IS_PRICE_AWARE_RFQ_ENABLED } from '../../constants';
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import { AssetSwapperContractAddresses, MarketOperation, Omit } from '../../types';
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import { QuoteRequestor } from '../quote_requestor';
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@ -216,8 +215,9 @@ export class MarketOperationUtils {
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),
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);
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const isPriceAwareRfqEnabled = _opts.rfqt && _opts.rfqt.isPriceAwareRFQEnabled;
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const rfqtPromise =
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!IS_PRICE_AWARE_RFQ_ENABLED && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
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!isPriceAwareRfqEnabled && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
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? getRfqtIndicativeQuotesAsync(
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nativeOrders[0].makerAssetData,
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nativeOrders[0].takerAssetData,
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@ -364,8 +364,9 @@ export class MarketOperationUtils {
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this._liquidityProviderRegistry,
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),
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);
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const isPriceAwareRfqEnabled = _opts.rfqt && _opts.rfqt.isPriceAwareRFQEnabled;
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const rfqtPromise =
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!IS_PRICE_AWARE_RFQ_ENABLED && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
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!isPriceAwareRfqEnabled && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
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? getRfqtIndicativeQuotesAsync(
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nativeOrders[0].makerAssetData,
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nativeOrders[0].takerAssetData,
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@ -677,8 +678,8 @@ export class MarketOperationUtils {
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// If RFQ liquidity is enabled, make a request to check RFQ liquidity
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const { rfqt } = _opts;
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if (
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IS_PRICE_AWARE_RFQ_ENABLED &&
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rfqt &&
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rfqt.isPriceAwareRFQEnabled &&
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rfqt.quoteRequestor &&
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marketSideLiquidity.quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
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) {
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@ -17,7 +17,6 @@ import * as _ from 'lodash';
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import * as TypeMoq from 'typemoq';
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import { MarketOperation, QuoteRequestor, RfqtRequestOpts, SignedOrderWithFillableAmounts } from '../src';
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import { IS_PRICE_AWARE_RFQ_ENABLED } from '../src/constants';
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import { getRfqtIndicativeQuotesAsync, MarketOperationUtils } from '../src/utils/market_operation_utils/';
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import { BalancerPoolsCache } from '../src/utils/market_operation_utils/balancer_utils';
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import {
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@ -746,379 +745,331 @@ describe('MarketOperationUtils tests', () => {
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}
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});
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it(
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'getMarketSellOrdersAsync() optimizer will be called once only if RFQ if not defined',
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IS_PRICE_AWARE_RFQ_ENABLED
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? async () => {
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const mockedMarketOpUtils = TypeMoq.Mock.ofType(
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MarketOperationUtils,
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TypeMoq.MockBehavior.Loose,
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false,
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MOCK_SAMPLER,
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contractAddresses,
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ORDER_DOMAIN,
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);
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mockedMarketOpUtils.callBase = true;
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it('getMarketSellOrdersAsync() optimizer will be called once only if price-aware RFQ is disabled', async () => {
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const mockedMarketOpUtils = TypeMoq.Mock.ofType(
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MarketOperationUtils,
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TypeMoq.MockBehavior.Loose,
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false,
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MOCK_SAMPLER,
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contractAddresses,
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ORDER_DOMAIN,
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);
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mockedMarketOpUtils.callBase = true;
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// Ensure that `_generateOptimizedOrdersAsync` is only called once
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mockedMarketOpUtils
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.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
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.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
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.verifiable(TypeMoq.Times.once());
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// Ensure that `_generateOptimizedOrdersAsync` is only called once
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mockedMarketOpUtils
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.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
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.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
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.verifiable(TypeMoq.Times.once());
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const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
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await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
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ORDERS,
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totalAssetAmount,
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DEFAULT_OPTS,
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);
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mockedMarketOpUtils.verifyAll();
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}
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: undefined,
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);
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const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
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await mockedMarketOpUtils.object.getMarketSellOrdersAsync(ORDERS, totalAssetAmount, DEFAULT_OPTS);
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mockedMarketOpUtils.verifyAll();
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});
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it(
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'optimizer will send in a comparison price to RFQ providers',
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IS_PRICE_AWARE_RFQ_ENABLED
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? async () => {
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// Set up mocked quote requestor, will return an order that is better
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// than the best of the orders.
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const mockedQuoteRequestor = TypeMoq.Mock.ofType(
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QuoteRequestor,
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TypeMoq.MockBehavior.Loose,
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false,
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{},
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);
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it('optimizer will send in a comparison price to RFQ providers', async () => {
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// Set up mocked quote requestor, will return an order that is better
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// than the best of the orders.
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const mockedQuoteRequestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose, false, {});
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let requestedComparisonPrice: BigNumber | undefined;
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mockedQuoteRequestor
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.setup(mqr =>
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mqr.requestRfqtFirmQuotesAsync(
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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),
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)
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.callback(
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(
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_makerAssetData: string,
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_takerAssetData: string,
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_assetFillAmount: BigNumber,
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_marketOperation: MarketOperation,
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comparisonPrice: BigNumber | undefined,
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_options: RfqtRequestOpts,
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) => {
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requestedComparisonPrice = comparisonPrice;
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},
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)
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.returns(async () => {
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return [
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{
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signedOrder: createOrder({
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makerAssetData: MAKER_ASSET_DATA,
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takerAssetData: TAKER_ASSET_DATA,
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makerAssetAmount: Web3Wrapper.toBaseUnitAmount(321, 6),
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takerAssetAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
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}),
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},
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];
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});
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let requestedComparisonPrice: BigNumber | undefined;
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mockedQuoteRequestor
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.setup(mqr =>
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mqr.requestRfqtFirmQuotesAsync(
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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),
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)
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.callback(
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(
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_makerAssetData: string,
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_takerAssetData: string,
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_assetFillAmount: BigNumber,
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_marketOperation: MarketOperation,
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comparisonPrice: BigNumber | undefined,
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_options: RfqtRequestOpts,
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) => {
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requestedComparisonPrice = comparisonPrice;
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},
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)
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.returns(async () => {
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return [
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{
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signedOrder: createOrder({
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makerAssetData: MAKER_ASSET_DATA,
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takerAssetData: TAKER_ASSET_DATA,
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makerAssetAmount: Web3Wrapper.toBaseUnitAmount(321, 6),
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takerAssetAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
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}),
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},
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];
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});
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// Set up sampler, will only return 1 on-chain order
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const mockedMarketOpUtils = TypeMoq.Mock.ofType(
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MarketOperationUtils,
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TypeMoq.MockBehavior.Loose,
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false,
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MOCK_SAMPLER,
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contractAddresses,
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ORDER_DOMAIN,
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);
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mockedMarketOpUtils.callBase = true;
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mockedMarketOpUtils
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.setup(mou =>
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mou.getMarketSellLiquidityAsync(
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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),
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)
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.returns(async () => {
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return {
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dexQuotes: [],
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ethToInputRate: Web3Wrapper.toBaseUnitAmount(1, 18),
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ethToOutputRate: Web3Wrapper.toBaseUnitAmount(1, 6),
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inputAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
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inputToken: MAKER_TOKEN,
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outputToken: TAKER_TOKEN,
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nativeOrders: [
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createOrder({
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makerAssetData: MAKER_ASSET_DATA,
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takerAssetData: TAKER_ASSET_DATA,
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makerAssetAmount: Web3Wrapper.toBaseUnitAmount(320, 6),
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takerAssetAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
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}),
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],
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orderFillableAmounts: [Web3Wrapper.toBaseUnitAmount(1, 18)],
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rfqtIndicativeQuotes: [],
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side: MarketOperation.Sell,
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twoHopQuotes: [],
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quoteSourceFilters: new SourceFilters(),
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makerTokenDecimals: 6,
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takerTokenDecimals: 18,
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};
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});
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const result = await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
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ORDERS,
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Web3Wrapper.toBaseUnitAmount(1, 18),
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{
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...DEFAULT_OPTS,
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rfqt: {
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isIndicative: false,
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apiKey: 'foo',
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takerAddress: randomAddress(),
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intentOnFilling: true,
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quoteRequestor: {
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requestRfqtFirmQuotesAsync:
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mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync,
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} as any,
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},
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},
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);
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expect(result.optimizedOrders.length).to.eql(1);
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// tslint:disable-next-line:no-unnecessary-type-assertion
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expect(requestedComparisonPrice!.toString()).to.eql('320');
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expect(result.optimizedOrders[0].makerAssetAmount.toString()).to.eql('321000000');
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expect(result.optimizedOrders[0].takerAssetAmount.toString()).to.eql('1000000000000000000');
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}
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: undefined,
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);
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// Set up sampler, will only return 1 on-chain order
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const mockedMarketOpUtils = TypeMoq.Mock.ofType(
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MarketOperationUtils,
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TypeMoq.MockBehavior.Loose,
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false,
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MOCK_SAMPLER,
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contractAddresses,
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ORDER_DOMAIN,
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);
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mockedMarketOpUtils.callBase = true;
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mockedMarketOpUtils
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.setup(mou =>
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mou.getMarketSellLiquidityAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny(), TypeMoq.It.isAny()),
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)
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.returns(async () => {
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return {
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dexQuotes: [],
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ethToInputRate: Web3Wrapper.toBaseUnitAmount(1, 18),
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ethToOutputRate: Web3Wrapper.toBaseUnitAmount(1, 6),
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inputAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
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inputToken: MAKER_TOKEN,
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outputToken: TAKER_TOKEN,
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nativeOrders: [
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createOrder({
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makerAssetData: MAKER_ASSET_DATA,
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takerAssetData: TAKER_ASSET_DATA,
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makerAssetAmount: Web3Wrapper.toBaseUnitAmount(320, 6),
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takerAssetAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
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}),
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],
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orderFillableAmounts: [Web3Wrapper.toBaseUnitAmount(1, 18)],
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rfqtIndicativeQuotes: [],
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side: MarketOperation.Sell,
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twoHopQuotes: [],
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quoteSourceFilters: new SourceFilters(),
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makerTokenDecimals: 6,
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takerTokenDecimals: 18,
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};
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});
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const result = await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
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ORDERS,
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Web3Wrapper.toBaseUnitAmount(1, 18),
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{
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...DEFAULT_OPTS,
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rfqt: {
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isIndicative: false,
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apiKey: 'foo',
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takerAddress: randomAddress(),
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intentOnFilling: true,
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isPriceAwareRFQEnabled: true,
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quoteRequestor: {
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requestRfqtFirmQuotesAsync: mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync,
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} as any,
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},
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},
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);
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expect(result.optimizedOrders.length).to.eql(1);
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// tslint:disable-next-line:no-unnecessary-type-assertion
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expect(requestedComparisonPrice!.toString()).to.eql('320');
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expect(result.optimizedOrders[0].makerAssetAmount.toString()).to.eql('321000000');
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expect(result.optimizedOrders[0].takerAssetAmount.toString()).to.eql('1000000000000000000');
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});
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it(
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'getMarketSellOrdersAsync() will not rerun the optimizer if no orders are returned',
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IS_PRICE_AWARE_RFQ_ENABLED
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? async () => {
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// Ensure that `_generateOptimizedOrdersAsync` is only called once
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const mockedMarketOpUtils = TypeMoq.Mock.ofType(
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MarketOperationUtils,
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TypeMoq.MockBehavior.Loose,
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false,
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MOCK_SAMPLER,
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contractAddresses,
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ORDER_DOMAIN,
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);
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mockedMarketOpUtils.callBase = true;
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mockedMarketOpUtils
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.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
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.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
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.verifiable(TypeMoq.Times.once());
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it('getMarketSellOrdersAsync() will not rerun the optimizer if no orders are returned', async () => {
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// Ensure that `_generateOptimizedOrdersAsync` is only called once
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const mockedMarketOpUtils = TypeMoq.Mock.ofType(
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MarketOperationUtils,
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TypeMoq.MockBehavior.Loose,
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false,
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MOCK_SAMPLER,
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contractAddresses,
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ORDER_DOMAIN,
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);
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mockedMarketOpUtils.callBase = true;
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mockedMarketOpUtils
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.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
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.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
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.verifiable(TypeMoq.Times.once());
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const requestor = getMockedQuoteRequestor('firm', [], TypeMoq.Times.once());
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const requestor = getMockedQuoteRequestor('firm', [], TypeMoq.Times.once());
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const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
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await mockedMarketOpUtils.object.getMarketSellOrdersAsync(ORDERS, totalAssetAmount, {
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...DEFAULT_OPTS,
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rfqt: {
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isIndicative: false,
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apiKey: 'foo',
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takerAddress: randomAddress(),
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intentOnFilling: true,
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quoteRequestor: {
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requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
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} as any,
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},
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});
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mockedMarketOpUtils.verifyAll();
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requestor.verifyAll();
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}
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: undefined,
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);
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const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
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await mockedMarketOpUtils.object.getMarketSellOrdersAsync(ORDERS, totalAssetAmount, {
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...DEFAULT_OPTS,
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rfqt: {
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isIndicative: false,
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apiKey: 'foo',
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takerAddress: randomAddress(),
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||||
intentOnFilling: true,
|
||||
isPriceAwareRFQEnabled: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
});
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
});
|
||||
|
||||
it(
|
||||
'getMarketSellOrdersAsync() will rerun the optimizer if one or more indicative are returned',
|
||||
IS_PRICE_AWARE_RFQ_ENABLED
|
||||
? async () => {
|
||||
const requestor = getMockedQuoteRequestor(
|
||||
'indicative',
|
||||
[ORDERS[0], ORDERS[1]],
|
||||
TypeMoq.Times.once(),
|
||||
);
|
||||
it('getMarketSellOrdersAsync() will rerun the optimizer if one or more indicative are returned', async () => {
|
||||
const requestor = getMockedQuoteRequestor('indicative', [ORDERS[0], ORDERS[1]], TypeMoq.Times.once());
|
||||
|
||||
const numOrdersInCall: number[] = [];
|
||||
const numIndicativeQuotesInCall: number[] = [];
|
||||
const numOrdersInCall: number[] = [];
|
||||
const numIndicativeQuotesInCall: number[] = [];
|
||||
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.callback(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
||||
numOrdersInCall.push(msl.nativeOrders.length);
|
||||
numIndicativeQuotesInCall.push(msl.rfqtIndicativeQuotes.length);
|
||||
})
|
||||
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
||||
.verifiable(TypeMoq.Times.exactly(2));
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.callback(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
||||
numOrdersInCall.push(msl.nativeOrders.length);
|
||||
numIndicativeQuotesInCall.push(msl.rfqtIndicativeQuotes.length);
|
||||
})
|
||||
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
||||
.verifiable(TypeMoq.Times.exactly(2));
|
||||
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS.slice(2, ORDERS.length),
|
||||
totalAssetAmount,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: true,
|
||||
apiKey: 'foo',
|
||||
takerAddress: randomAddress(),
|
||||
intentOnFilling: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtIndicativeQuotesAsync:
|
||||
requestor.object.requestRfqtIndicativeQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
},
|
||||
);
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS.slice(2, ORDERS.length),
|
||||
totalAssetAmount,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: true,
|
||||
apiKey: 'foo',
|
||||
isPriceAwareRFQEnabled: true,
|
||||
takerAddress: randomAddress(),
|
||||
intentOnFilling: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtIndicativeQuotesAsync: requestor.object.requestRfqtIndicativeQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
},
|
||||
);
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
|
||||
// The first and second optimizer call contains same number of RFQ orders.
|
||||
expect(numOrdersInCall.length).to.eql(2);
|
||||
expect(numOrdersInCall[0]).to.eql(1);
|
||||
expect(numOrdersInCall[1]).to.eql(1);
|
||||
// The first and second optimizer call contains same number of RFQ orders.
|
||||
expect(numOrdersInCall.length).to.eql(2);
|
||||
expect(numOrdersInCall[0]).to.eql(1);
|
||||
expect(numOrdersInCall[1]).to.eql(1);
|
||||
|
||||
// The first call to optimizer will have no RFQ indicative quotes. The second call will have
|
||||
// two indicative quotes.
|
||||
expect(numIndicativeQuotesInCall.length).to.eql(2);
|
||||
expect(numIndicativeQuotesInCall[0]).to.eql(0);
|
||||
expect(numIndicativeQuotesInCall[1]).to.eql(2);
|
||||
}
|
||||
: undefined,
|
||||
);
|
||||
// The first call to optimizer will have no RFQ indicative quotes. The second call will have
|
||||
// two indicative quotes.
|
||||
expect(numIndicativeQuotesInCall.length).to.eql(2);
|
||||
expect(numIndicativeQuotesInCall[0]).to.eql(0);
|
||||
expect(numIndicativeQuotesInCall[1]).to.eql(2);
|
||||
});
|
||||
|
||||
it(
|
||||
'getMarketSellOrdersAsync() will rerun the optimizer if one or more RFQ orders are returned',
|
||||
IS_PRICE_AWARE_RFQ_ENABLED
|
||||
? async () => {
|
||||
const requestor = getMockedQuoteRequestor('firm', [ORDERS[0]], TypeMoq.Times.once());
|
||||
it('getMarketSellOrdersAsync() will rerun the optimizer if one or more RFQ orders are returned', async () => {
|
||||
const requestor = getMockedQuoteRequestor('firm', [ORDERS[0]], TypeMoq.Times.once());
|
||||
|
||||
// Ensure that `_generateOptimizedOrdersAsync` is only called once
|
||||
// Ensure that `_generateOptimizedOrdersAsync` is only called once
|
||||
|
||||
// TODO: Ensure fillable amounts increase too
|
||||
const numOrdersInCall: number[] = [];
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.callback(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
||||
numOrdersInCall.push(msl.nativeOrders.length);
|
||||
})
|
||||
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
||||
.verifiable(TypeMoq.Times.exactly(2));
|
||||
// TODO: Ensure fillable amounts increase too
|
||||
const numOrdersInCall: number[] = [];
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.callback(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
||||
numOrdersInCall.push(msl.nativeOrders.length);
|
||||
})
|
||||
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
||||
.verifiable(TypeMoq.Times.exactly(2));
|
||||
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS.slice(1, ORDERS.length),
|
||||
totalAssetAmount,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: false,
|
||||
apiKey: 'foo',
|
||||
takerAddress: randomAddress(),
|
||||
intentOnFilling: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
},
|
||||
);
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
expect(numOrdersInCall.length).to.eql(2);
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS.slice(1, ORDERS.length),
|
||||
totalAssetAmount,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: false,
|
||||
apiKey: 'foo',
|
||||
takerAddress: randomAddress(),
|
||||
intentOnFilling: true,
|
||||
isPriceAwareRFQEnabled: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
},
|
||||
);
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
expect(numOrdersInCall.length).to.eql(2);
|
||||
|
||||
// The first call to optimizer was without an RFQ order.
|
||||
// The first call to optimizer was with an extra RFQ order.
|
||||
expect(numOrdersInCall[0]).to.eql(2);
|
||||
expect(numOrdersInCall[1]).to.eql(3);
|
||||
}
|
||||
: undefined,
|
||||
);
|
||||
// The first call to optimizer was without an RFQ order.
|
||||
// The first call to optimizer was with an extra RFQ order.
|
||||
expect(numOrdersInCall[0]).to.eql(2);
|
||||
expect(numOrdersInCall[1]).to.eql(3);
|
||||
});
|
||||
|
||||
it(
|
||||
'getMarketSellOrdersAsync() will not raise a NoOptimalPath error if no initial path was found during on-chain DEX optimization, but a path was found after RFQ optimization',
|
||||
IS_PRICE_AWARE_RFQ_ENABLED
|
||||
? async () => {
|
||||
let hasFirstOptimizationRun = false;
|
||||
let hasSecondOptimizationRun = false;
|
||||
const requestor = getMockedQuoteRequestor(
|
||||
'firm',
|
||||
[ORDERS[0], ORDERS[1]],
|
||||
TypeMoq.Times.once(),
|
||||
);
|
||||
it('getMarketSellOrdersAsync() will not raise a NoOptimalPath error if no initial path was found during on-chain DEX optimization, but a path was found after RFQ optimization', async () => {
|
||||
let hasFirstOptimizationRun = false;
|
||||
let hasSecondOptimizationRun = false;
|
||||
const requestor = getMockedQuoteRequestor('firm', [ORDERS[0], ORDERS[1]], TypeMoq.Times.once());
|
||||
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.returns(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
||||
if (msl.nativeOrders.length === 1) {
|
||||
hasFirstOptimizationRun = true;
|
||||
throw new Error(AggregationError.NoOptimalPath);
|
||||
} else if (msl.nativeOrders.length === 3) {
|
||||
hasSecondOptimizationRun = true;
|
||||
return mockedMarketOpUtils.target._generateOptimizedOrdersAsync(msl, _opts);
|
||||
} else {
|
||||
throw new Error('Invalid path. this error message should never appear');
|
||||
}
|
||||
})
|
||||
.verifiable(TypeMoq.Times.exactly(2));
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
MarketOperationUtils,
|
||||
TypeMoq.MockBehavior.Loose,
|
||||
false,
|
||||
MOCK_SAMPLER,
|
||||
contractAddresses,
|
||||
ORDER_DOMAIN,
|
||||
);
|
||||
mockedMarketOpUtils.callBase = true;
|
||||
mockedMarketOpUtils
|
||||
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
||||
.returns(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
||||
if (msl.nativeOrders.length === 1) {
|
||||
hasFirstOptimizationRun = true;
|
||||
throw new Error(AggregationError.NoOptimalPath);
|
||||
} else if (msl.nativeOrders.length === 3) {
|
||||
hasSecondOptimizationRun = true;
|
||||
return mockedMarketOpUtils.target._generateOptimizedOrdersAsync(msl, _opts);
|
||||
} else {
|
||||
throw new Error('Invalid path. this error message should never appear');
|
||||
}
|
||||
})
|
||||
.verifiable(TypeMoq.Times.exactly(2));
|
||||
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS.slice(2, ORDERS.length),
|
||||
totalAssetAmount,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: false,
|
||||
apiKey: 'foo',
|
||||
takerAddress: randomAddress(),
|
||||
intentOnFilling: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
},
|
||||
);
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
|
||||
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
|
||||
ORDERS.slice(2, ORDERS.length),
|
||||
totalAssetAmount,
|
||||
{
|
||||
...DEFAULT_OPTS,
|
||||
rfqt: {
|
||||
isIndicative: false,
|
||||
apiKey: 'foo',
|
||||
takerAddress: randomAddress(),
|
||||
isPriceAwareRFQEnabled: true,
|
||||
intentOnFilling: true,
|
||||
quoteRequestor: {
|
||||
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
||||
} as any,
|
||||
},
|
||||
},
|
||||
);
|
||||
mockedMarketOpUtils.verifyAll();
|
||||
requestor.verifyAll();
|
||||
|
||||
expect(hasFirstOptimizationRun).to.eql(true);
|
||||
expect(hasSecondOptimizationRun).to.eql(true);
|
||||
}
|
||||
: undefined,
|
||||
);
|
||||
expect(hasFirstOptimizationRun).to.eql(true);
|
||||
expect(hasSecondOptimizationRun).to.eql(true);
|
||||
});
|
||||
|
||||
it('getMarketSellOrdersAsync() will raise a NoOptimalPath error if no path was found during on-chain DEX optimization and RFQ optimization', async () => {
|
||||
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user