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fix: Changed price-aware RFQ flag to be a argument parameter (#13)

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* Changed price-aware RFQ flag to be a argument parameter

* prettified tests

* lint
This commit is contained in:
Daniel Pyrathon 2020-10-27 12:56:26 -07:00 committed by GitHub
parent 99f5be8378
commit 689a8881c2
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GPG Key ID: 4AEE18F83AFDEB23
5 changed files with 321 additions and 357 deletions
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1
packages/asset-swapper/src/constants.ts
View File

@ -89,6 +89,7 @@ const DEFAULT_SWAP_QUOTE_REQUEST_OPTS: SwapQuoteRequestOpts = {
const DEFAULT_RFQT_REQUEST_OPTS: Partial<RfqtRequestOpts> = {
makerEndpointMaxResponseTimeMs: 1000,
isPriceAwareRFQEnabled: false,
};
export const DEFAULT_INFO_LOGGER: LogFunction = (obj, msg) =>

4
packages/asset-swapper/src/swap_quoter.ts
View File

@ -8,7 +8,7 @@ import { BlockParamLiteral, SupportedProvider, ZeroExProvider } from 'ethereum-t
import * as _ from 'lodash';
import { artifacts } from './artifacts';
import { BRIDGE_ADDRESSES_BY_CHAIN, constants, IS_PRICE_AWARE_RFQ_ENABLED } from './constants';
import { BRIDGE_ADDRESSES_BY_CHAIN, constants } from './constants';
import {
AssetSwapperContractAddresses,
CalculateSwapQuoteOpts,
@ -701,8 +701,8 @@ export class SwapQuoter {
}
if (
!IS_PRICE_AWARE_RFQ_ENABLED && // Price-aware RFQ is disabled.
opts.rfqt && // This is an RFQT-enabled API request
!opts.rfqt.isPriceAwareRFQEnabled && // If Price-aware RFQ is enabled, firm quotes are requested later on in the process.
opts.rfqt.intentOnFilling && // The requestor is asking for a firm quote
opts.rfqt.apiKey &&
this._isApiKeyWhitelisted(opts.rfqt.apiKey) && // A valid API key was provided

11
packages/asset-swapper/src/types.ts
View File

@ -251,6 +251,17 @@ export interface RfqtRequestOpts {
isIndicative?: boolean;
makerEndpointMaxResponseTimeMs?: number;
nativeExclusivelyRFQT?: boolean;
/**
* This feature flag allows us to merge the price-aware RFQ pricing
* project while still controlling when to activate the feature. We plan to do some
* data analysis work and address some of the issues with maker fillable amounts
* in later milestones. Once the feature is fully rolled out and is providing value
* and we have assessed that there is no user impact, we will proceed in cleaning up
* the feature flag. When that time comes, follow this PR to "undo" the feature flag:
* https://github.com/0xProject/0x-monorepo/pull/2735
*/
isPriceAwareRFQEnabled?: boolean;
}
/**

9
packages/asset-swapper/src/utils/market_operation_utils/index.ts
View File

@ -4,7 +4,6 @@ import { BigNumber, NULL_ADDRESS } from '@0x/utils';
import { Web3Wrapper } from '@0x/web3-wrapper';
import * as _ from 'lodash';
import { IS_PRICE_AWARE_RFQ_ENABLED } from '../../constants';
import { AssetSwapperContractAddresses, MarketOperation, Omit } from '../../types';
import { QuoteRequestor } from '../quote_requestor';
@ -216,8 +215,9 @@ export class MarketOperationUtils {
),
);
const isPriceAwareRfqEnabled = _opts.rfqt && _opts.rfqt.isPriceAwareRFQEnabled;
const rfqtPromise =
!IS_PRICE_AWARE_RFQ_ENABLED && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
!isPriceAwareRfqEnabled && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
? getRfqtIndicativeQuotesAsync(
nativeOrders[0].makerAssetData,
nativeOrders[0].takerAssetData,
@ -364,8 +364,9 @@ export class MarketOperationUtils {
this._liquidityProviderRegistry,
),
);
const isPriceAwareRfqEnabled = _opts.rfqt && _opts.rfqt.isPriceAwareRFQEnabled;
const rfqtPromise =
!IS_PRICE_AWARE_RFQ_ENABLED && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
!isPriceAwareRfqEnabled && quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
? getRfqtIndicativeQuotesAsync(
nativeOrders[0].makerAssetData,
nativeOrders[0].takerAssetData,
@ -677,8 +678,8 @@ export class MarketOperationUtils {
// If RFQ liquidity is enabled, make a request to check RFQ liquidity
const { rfqt } = _opts;
if (
IS_PRICE_AWARE_RFQ_ENABLED &&
rfqt &&
rfqt.isPriceAwareRFQEnabled &&
rfqt.quoteRequestor &&
marketSideLiquidity.quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)
) {

97
packages/asset-swapper/test/market_operation_utils_test.ts
View File

@ -17,7 +17,6 @@ import * as _ from 'lodash';
import * as TypeMoq from 'typemoq';
import { MarketOperation, QuoteRequestor, RfqtRequestOpts, SignedOrderWithFillableAmounts } from '../src';
import { IS_PRICE_AWARE_RFQ_ENABLED } from '../src/constants';
import { getRfqtIndicativeQuotesAsync, MarketOperationUtils } from '../src/utils/market_operation_utils/';
import { BalancerPoolsCache } from '../src/utils/market_operation_utils/balancer_utils';
import {
@ -746,10 +745,7 @@ describe('MarketOperationUtils tests', () => {
}
});
it(
'getMarketSellOrdersAsync() optimizer will be called once only if RFQ if not defined',
IS_PRICE_AWARE_RFQ_ENABLED
? async () => {
it('getMarketSellOrdersAsync() optimizer will be called once only if price-aware RFQ is disabled', async () => {
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
MarketOperationUtils,
TypeMoq.MockBehavior.Loose,
@ -767,28 +763,14 @@ describe('MarketOperationUtils tests', () => {
.verifiable(TypeMoq.Times.once());
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
ORDERS,
totalAssetAmount,
DEFAULT_OPTS,
);
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(ORDERS, totalAssetAmount, DEFAULT_OPTS);
mockedMarketOpUtils.verifyAll();
}
: undefined,
);
});
it(
'optimizer will send in a comparison price to RFQ providers',
IS_PRICE_AWARE_RFQ_ENABLED
? async () => {
it('optimizer will send in a comparison price to RFQ providers', async () => {
// Set up mocked quote requestor, will return an order that is better
// than the best of the orders.
const mockedQuoteRequestor = TypeMoq.Mock.ofType(
QuoteRequestor,
TypeMoq.MockBehavior.Loose,
false,
{},
);
const mockedQuoteRequestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose, false, {});
let requestedComparisonPrice: BigNumber | undefined;
mockedQuoteRequestor
@ -839,11 +821,7 @@ describe('MarketOperationUtils tests', () => {
mockedMarketOpUtils.callBase = true;
mockedMarketOpUtils
.setup(mou =>
mou.getMarketSellLiquidityAsync(
TypeMoq.It.isAny(),
TypeMoq.It.isAny(),
TypeMoq.It.isAny(),
),
mou.getMarketSellLiquidityAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny(), TypeMoq.It.isAny()),
)
.returns(async () => {
return {
@ -880,9 +858,9 @@ describe('MarketOperationUtils tests', () => {
apiKey: 'foo',
takerAddress: randomAddress(),
intentOnFilling: true,
isPriceAwareRFQEnabled: true,
quoteRequestor: {
requestRfqtFirmQuotesAsync:
mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync,
requestRfqtFirmQuotesAsync: mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync,
} as any,
},
},
@ -892,14 +870,9 @@ describe('MarketOperationUtils tests', () => {
expect(requestedComparisonPrice!.toString()).to.eql('320');
expect(result.optimizedOrders[0].makerAssetAmount.toString()).to.eql('321000000');
expect(result.optimizedOrders[0].takerAssetAmount.toString()).to.eql('1000000000000000000');
}
: undefined,
);
});
it(
'getMarketSellOrdersAsync() will not rerun the optimizer if no orders are returned',
IS_PRICE_AWARE_RFQ_ENABLED
? async () => {
it('getMarketSellOrdersAsync() will not rerun the optimizer if no orders are returned', async () => {
// Ensure that `_generateOptimizedOrdersAsync` is only called once
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
MarketOperationUtils,
@ -925,6 +898,7 @@ describe('MarketOperationUtils tests', () => {
apiKey: 'foo',
takerAddress: randomAddress(),
intentOnFilling: true,
isPriceAwareRFQEnabled: true,
quoteRequestor: {
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
} as any,
@ -932,19 +906,10 @@ describe('MarketOperationUtils tests', () => {
});
mockedMarketOpUtils.verifyAll();
requestor.verifyAll();
}
: undefined,
);
});
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[] = [];
@ -976,11 +941,11 @@ describe('MarketOperationUtils tests', () => {
rfqt: {
isIndicative: true,
apiKey: 'foo',
isPriceAwareRFQEnabled: true,
takerAddress: randomAddress(),
intentOnFilling: true,
quoteRequestor: {
requestRfqtIndicativeQuotesAsync:
requestor.object.requestRfqtIndicativeQuotesAsync,
requestRfqtIndicativeQuotesAsync: requestor.object.requestRfqtIndicativeQuotesAsync,
} as any,
},
},
@ -998,14 +963,9 @@ describe('MarketOperationUtils tests', () => {
expect(numIndicativeQuotesInCall.length).to.eql(2);
expect(numIndicativeQuotesInCall[0]).to.eql(0);
expect(numIndicativeQuotesInCall[1]).to.eql(2);
}
: undefined,
);
});
it(
'getMarketSellOrdersAsync() will rerun the optimizer if one or more RFQ orders are returned',
IS_PRICE_AWARE_RFQ_ENABLED
? async () => {
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
@ -1040,6 +1000,7 @@ describe('MarketOperationUtils tests', () => {
apiKey: 'foo',
takerAddress: randomAddress(),
intentOnFilling: true,
isPriceAwareRFQEnabled: true,
quoteRequestor: {
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
} as any,
@ -1054,21 +1015,12 @@ describe('MarketOperationUtils tests', () => {
// The first call to optimizer was with an extra RFQ order.
expect(numOrdersInCall[0]).to.eql(2);
expect(numOrdersInCall[1]).to.eql(3);
}
: undefined,
);
});
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 () => {
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 requestor = getMockedQuoteRequestor('firm', [ORDERS[0], ORDERS[1]], TypeMoq.Times.once());
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
MarketOperationUtils,
@ -1104,6 +1056,7 @@ describe('MarketOperationUtils tests', () => {
isIndicative: false,
apiKey: 'foo',
takerAddress: randomAddress(),
isPriceAwareRFQEnabled: true,
intentOnFilling: true,
quoteRequestor: {
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
@ -1116,9 +1069,7 @@ describe('MarketOperationUtils tests', () => {
expect(hasFirstOptimizationRun).to.eql(true);
expect(hasSecondOptimizationRun).to.eql(true);
}
: undefined,
);
});
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(