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@0x/asset-swapper: Fix sporadically failing quote simulation tests.

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This commit is contained in:
Lawrence Forman 2020-04-23 12:32:27 -04:00
parent 4d8d944fe5
commit 712958d8c8
2 changed files with 62 additions and 55 deletions
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4
packages/asset-swapper/CHANGELOG.json
View File

@ -57,6 +57,10 @@
{
"note": "Added Curve `sUSD`",
"pr": 2563
},
{
"note": "Fix sporadically failing quote simulation tests",
"pr": 2564
}
]
},

113
packages/asset-swapper/test/quote_simulation_test.ts
View File

@ -1,10 +1,4 @@
import {
assertIntegerRoughlyEquals,
constants,
expect,
getRandomInteger,
randomAddress,
} from '@0x/contracts-test-utils';
import { constants, expect, getRandomInteger, randomAddress } from '@0x/contracts-test-utils';
import { assetDataUtils } from '@0x/order-utils';
import { BigNumber } from '@0x/utils';
import * as _ from 'lodash';
@ -28,9 +22,18 @@ describe('quote_simulation tests', async () => {
const TAKER_TOKEN = randomAddress();
const DEFAULT_MAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(MAKER_TOKEN);
const DEFAULT_TAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(TAKER_TOKEN);
const EPS = 1e7; // Some precision lost when crafting these orders.
const GAS_SCHEDULE = { [ERC20BridgeSource.Native]: 1 };
// Check if two numbers are within `maxError` error rate within each other (default 1 bps).
function assertRoughlyEquals(n1: BigNumber, n2: BigNumber, maxError: BigNumber | number = 1e-12): void {
// |n2-n1| / max(|n1|, |n2|)
const err = n2
.minus(n1)
.abs()
.div(BigNumber.max(n1.abs(), n2.abs()));
expect(err).to.bignumber.lt(maxError);
}
function createQuoteFillOrders(
opts: Partial<{
fillableInput: BigNumber;
@ -236,7 +239,7 @@ describe('quote_simulation tests', async () => {
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
expect(totalFilledInput).to.bignumber.eq(fillableInput);
assertIntegerRoughlyEquals(totalFilledOutput, fillableOutput, EPS);
assertRoughlyEquals(totalFilledOutput, fillableOutput);
expect(result.protocolFee).to.bignumber.eq(1);
expect(result.gas).to.eq(fillsCount);
});
@ -262,7 +265,7 @@ describe('quote_simulation tests', async () => {
.div(fillableInput)
.times(fillableOutput)
.integerValue();
assertIntegerRoughlyEquals(totalFilledOutput, expectedOutputFilledAmount, EPS);
assertRoughlyEquals(totalFilledOutput, expectedOutputFilledAmount);
expect(result.protocolFee).to.bignumber.eq(1);
expect(result.gas).to.eq(1);
});
@ -307,7 +310,7 @@ describe('quote_simulation tests', async () => {
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
expect(totalFilledInput).to.bignumber.eq(fillableInput);
assertIntegerRoughlyEquals(totalFilledOutput, fillableOutput, EPS);
assertRoughlyEquals(totalFilledOutput, fillableOutput);
expect(result.protocolFee).to.bignumber.eq(1);
expect(result.gas).to.eq(fillsCount);
});
@ -331,8 +334,8 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, totalFillableInput, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, totalFillableInput, EPS);
assertIntegerRoughlyEquals(totalFilledOutput, fillableOutput, EPS);
assertRoughlyEquals(totalFilledInput, totalFillableInput);
assertRoughlyEquals(totalFilledOutput, fillableOutput);
assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
expect(result.protocolFee).to.bignumber.eq(1);
expect(result.gas).to.eq(fillsCount);
@ -358,7 +361,7 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, inputFillAmount, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, inputFillAmount, EPS);
assertRoughlyEquals(totalFilledInput, inputFillAmount);
expect(totalFilledOutput).to.bignumber.lt(fillableOutput);
assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
expect(result.protocolFee).to.bignumber.eq(1);
@ -385,8 +388,8 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, inputFillAmount, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, totalFillableInput, EPS);
assertIntegerRoughlyEquals(totalFilledOutput, fillableOutput, EPS);
assertRoughlyEquals(totalFilledInput, totalFillableInput);
assertRoughlyEquals(totalFilledOutput, fillableOutput);
assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
expect(result.protocolFee).to.bignumber.eq(1);
expect(result.gas).to.eq(fillsCount);
@ -411,8 +414,8 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, fillableInput, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, fillableInput, EPS);
assertIntegerRoughlyEquals(totalFilledOutput, totalFillableOutput, EPS);
assertRoughlyEquals(totalFilledInput, fillableInput);
assertRoughlyEquals(totalFilledOutput, totalFillableOutput);
assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
expect(result.protocolFee).to.bignumber.eq(1);
expect(result.gas).to.eq(fillsCount);
@ -438,7 +441,7 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, inputFillAmount, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, inputFillAmount, EPS);
assertRoughlyEquals(totalFilledInput, inputFillAmount);
expect(totalFilledOutput).to.bignumber.lt(totalFillableOutput);
assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
expect(result.protocolFee).to.bignumber.eq(1);
@ -465,8 +468,8 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, inputFillAmount, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, fillableInput, EPS);
assertIntegerRoughlyEquals(totalFilledOutput, totalFillableOutput, EPS);
assertRoughlyEquals(totalFilledInput, fillableInput);
assertRoughlyEquals(totalFilledOutput, totalFillableOutput);
assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
expect(result.protocolFee).to.bignumber.eq(1);
expect(result.gas).to.eq(fillsCount);
@ -533,8 +536,8 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, totalFillableInput, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, totalFillableInput, EPS);
assertIntegerRoughlyEquals(totalFilledOutput, fillableOutput, EPS);
assertRoughlyEquals(totalFilledInput, totalFillableInput);
assertRoughlyEquals(totalFilledOutput, fillableOutput);
assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
expect(result.protocolFee).to.bignumber.eq(fillOrders.length);
expect(result.gas).to.eq(countCollapsedFills(fillOrders));
@ -557,7 +560,7 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, inputFillAmount, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, inputFillAmount, EPS);
assertRoughlyEquals(totalFilledInput, inputFillAmount);
expect(totalFilledOutput).to.bignumber.lt(fillableOutput);
assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
expect(result.protocolFee).to.bignumber.lte(fillOrders.length);
@ -581,8 +584,8 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, inputFillAmount, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, totalFillableInput, EPS);
assertIntegerRoughlyEquals(totalFilledOutput, fillableOutput, EPS);
assertRoughlyEquals(totalFilledInput, totalFillableInput);
assertRoughlyEquals(totalFilledOutput, fillableOutput);
assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
expect(result.protocolFee).to.bignumber.eq(fillOrders.length);
expect(result.gas).to.eq(countCollapsedFills(fillOrders));
@ -604,8 +607,8 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, fillableInput, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, fillableInput, EPS);
assertIntegerRoughlyEquals(totalFilledOutput, totalFillableOutput, EPS);
assertRoughlyEquals(totalFilledInput, fillableInput);
assertRoughlyEquals(totalFilledOutput, totalFillableOutput);
assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
expect(result.protocolFee).to.bignumber.eq(fillOrders.length);
expect(result.gas).to.eq(countCollapsedFills(fillOrders));
@ -628,7 +631,7 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, inputFillAmount, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, inputFillAmount, EPS);
assertRoughlyEquals(totalFilledInput, inputFillAmount);
expect(totalFilledOutput).to.bignumber.lt(totalFillableOutput);
assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
expect(result.protocolFee).to.bignumber.lte(fillOrders.length);
@ -652,8 +655,8 @@ describe('quote_simulation tests', async () => {
const result = fillQuoteOrders(fillOrders, inputFillAmount, ONE, GAS_SCHEDULE);
const totalFilledInput = result.input.plus(result.inputFee);
const totalFilledOutput = result.output.plus(result.outputFee);
assertIntegerRoughlyEquals(totalFilledInput, fillableInput, EPS);
assertIntegerRoughlyEquals(totalFilledOutput, totalFillableOutput, EPS);
assertRoughlyEquals(totalFilledInput, fillableInput);
assertRoughlyEquals(totalFilledOutput, totalFillableOutput);
assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
expect(result.protocolFee).to.bignumber.eq(fillOrders.length);
expect(result.gas).to.eq(countCollapsedFills(fillOrders));
@ -790,17 +793,17 @@ describe('quote_simulation tests', async () => {
expect(result.gas).to.eq(countCollapsedFills(orders));
expect(result.protocolFeeAmount).to.bignumber.gt(orders.length);
if (side === MarketOperation.Sell) {
assertIntegerRoughlyEquals(result.takerAssetAmount, fillableInput, EPS);
assertIntegerRoughlyEquals(result.totalTakerAssetAmount, totalFillableInput, EPS);
assertIntegerRoughlyEquals(result.makerAssetAmount, fillableOutput, EPS);
assertIntegerRoughlyEquals(result.totalMakerAssetAmount, fillableOutput, EPS);
assertRoughlyEquals(result.takerAssetAmount, fillableInput);
assertRoughlyEquals(result.totalTakerAssetAmount, totalFillableInput);
assertRoughlyEquals(result.makerAssetAmount, fillableOutput);
assertRoughlyEquals(result.totalMakerAssetAmount, fillableOutput);
expect(result.makerAssetAmount).to.bignumber.eq(result.totalMakerAssetAmount);
expect(result.takerFeeMakerAssetAmount).to.bignumber.eq(0);
} else {
assertIntegerRoughlyEquals(result.makerAssetAmount, fillableInput, EPS);
assertIntegerRoughlyEquals(result.totalMakerAssetAmount, totalFillableInput, EPS);
assertIntegerRoughlyEquals(result.takerAssetAmount, fillableOutput, EPS);
assertIntegerRoughlyEquals(result.totalTakerAssetAmount, fillableOutput, EPS);
assertRoughlyEquals(result.makerAssetAmount, fillableInput);
assertRoughlyEquals(result.totalMakerAssetAmount, totalFillableInput);
assertRoughlyEquals(result.takerAssetAmount, fillableOutput);
assertRoughlyEquals(result.totalTakerAssetAmount, fillableOutput);
expect(result.takerAssetAmount).to.bignumber.eq(result.totalTakerAssetAmount);
expect(result.takerFeeTakerAssetAmount).to.bignumber.eq(0);
}
@ -830,12 +833,12 @@ describe('quote_simulation tests', async () => {
expect(result.gas).to.gt(0);
expect(result.protocolFeeAmount).to.bignumber.gt(0);
if (side === MarketOperation.Sell) {
assertIntegerRoughlyEquals(result.totalTakerAssetAmount, inputFillAmount, EPS);
assertRoughlyEquals(result.totalTakerAssetAmount, inputFillAmount);
expect(result.makerAssetAmount).to.bignumber.lt(fillableOutput);
expect(result.makerAssetAmount).to.bignumber.eq(result.totalMakerAssetAmount);
expect(result.takerFeeMakerAssetAmount).to.bignumber.eq(0);
} else {
assertIntegerRoughlyEquals(result.totalMakerAssetAmount, inputFillAmount, EPS);
assertRoughlyEquals(result.totalMakerAssetAmount, inputFillAmount);
expect(result.takerAssetAmount).to.bignumber.lt(fillableOutput);
expect(result.takerAssetAmount).to.bignumber.eq(result.totalTakerAssetAmount);
expect(result.takerFeeTakerAssetAmount).to.bignumber.eq(0);
@ -865,17 +868,17 @@ describe('quote_simulation tests', async () => {
expect(result.gas).to.eq(countCollapsedFills(orders));
expect(result.protocolFeeAmount).to.bignumber.gt(orders.length);
if (side === MarketOperation.Sell) {
assertIntegerRoughlyEquals(result.takerAssetAmount, fillableInput, EPS);
assertIntegerRoughlyEquals(result.totalTakerAssetAmount, fillableInput, EPS);
assertIntegerRoughlyEquals(result.makerAssetAmount, fillableOutput, EPS);
assertIntegerRoughlyEquals(result.totalMakerAssetAmount, totalFillableOutput, EPS);
assertRoughlyEquals(result.takerAssetAmount, fillableInput);
assertRoughlyEquals(result.totalTakerAssetAmount, fillableInput);
assertRoughlyEquals(result.makerAssetAmount, fillableOutput);
assertRoughlyEquals(result.totalMakerAssetAmount, totalFillableOutput);
expect(result.takerAssetAmount).to.bignumber.eq(result.totalTakerAssetAmount);
expect(result.takerFeeTakerAssetAmount).to.bignumber.eq(0);
} else {
assertIntegerRoughlyEquals(result.makerAssetAmount, fillableInput, EPS);
assertIntegerRoughlyEquals(result.totalMakerAssetAmount, fillableInput, EPS);
assertIntegerRoughlyEquals(result.takerAssetAmount, fillableOutput, EPS);
assertIntegerRoughlyEquals(result.totalTakerAssetAmount, totalFillableOutput, EPS);
assertRoughlyEquals(result.makerAssetAmount, fillableInput);
assertRoughlyEquals(result.totalMakerAssetAmount, fillableInput);
assertRoughlyEquals(result.takerAssetAmount, fillableOutput);
assertRoughlyEquals(result.totalTakerAssetAmount, totalFillableOutput);
expect(result.makerAssetAmount).to.bignumber.eq(result.totalMakerAssetAmount);
expect(result.takerFeeMakerAssetAmount).to.bignumber.eq(0);
}
@ -903,12 +906,12 @@ describe('quote_simulation tests', async () => {
expect(result.gas).to.gt(0);
expect(result.protocolFeeAmount).to.bignumber.gt(0);
if (side === MarketOperation.Sell) {
assertIntegerRoughlyEquals(result.totalTakerAssetAmount, inputFillAmount, EPS);
assertRoughlyEquals(result.totalTakerAssetAmount, inputFillAmount);
expect(result.makerAssetAmount).to.bignumber.lt(fillableOutput);
expect(result.takerAssetAmount).to.bignumber.eq(result.totalTakerAssetAmount);
expect(result.takerFeeTakerAssetAmount).to.bignumber.eq(0);
} else {
assertIntegerRoughlyEquals(result.totalMakerAssetAmount, inputFillAmount, EPS);
assertRoughlyEquals(result.totalMakerAssetAmount, inputFillAmount);
expect(result.takerAssetAmount).to.bignumber.lt(fillableOutput);
expect(result.makerAssetAmount).to.bignumber.eq(result.totalMakerAssetAmount);
expect(result.takerFeeMakerAssetAmount).to.bignumber.eq(0);
@ -936,12 +939,12 @@ describe('quote_simulation tests', async () => {
});
if (side === MarketOperation.Sell) {
const slippedOutput = fillableOutput.times(1 - orderSlippage).integerValue();
assertIntegerRoughlyEquals(result.totalMakerAssetAmount, slippedOutput);
assertIntegerRoughlyEquals(result.totalTakerAssetAmount, fillableInput);
assertRoughlyEquals(result.totalMakerAssetAmount, slippedOutput);
assertRoughlyEquals(result.totalTakerAssetAmount, fillableInput);
} else {
const slippedOutput = fillableOutput.times(orderSlippage + 1).integerValue();
assertIntegerRoughlyEquals(result.totalMakerAssetAmount, fillableInput);
assertIntegerRoughlyEquals(result.totalTakerAssetAmount, slippedOutput);
assertRoughlyEquals(result.totalMakerAssetAmount, fillableInput);
assertRoughlyEquals(result.totalTakerAssetAmount, slippedOutput);
}
});
});