Add liquidity source breakdown to asset-swapper (#2465)

* add liquidity source breakdown to asset-swapper

* remove debug line

* use OptimizedMarketOrder metadata

* updated change-log

* prettier + lint

* bug fixes

* fixes

* Prettier

* Fix types

Co-authored-by: Jacob Evans <dekz@dekz.net>

packages/asset-swapper/CHANGELOG.json

@@ -1,10 +1,14 @@
 [
     {
-        "version": "4.0.2",
+        "version": "4.1.0",
         "changes": [
             {
                 "note": "Allow contract addresses to be passed as optional constructor ags instead of hardcoding",
                 "pr": 2461
+            },
+            {
+                "note": "Add swap quote liquidity source breakdown",
+                "pr": 2465
             }
         ]
     },

packages/asset-swapper/src/index.ts

@@ -54,6 +54,7 @@ export {
     SwapQuoterOpts,
     SwapQuoteConsumerError,
     SignedOrderWithFillableAmounts,
+    SwapQuoteOrdersBreakdown,
 } from './types';
 export {
     ERC20BridgeSource,

packages/asset-swapper/src/types.ts

@@ -1,4 +1,4 @@
-import { ContractAddresses } from '@0x/migrations';
+import { ContractAddresses } from '@0x/contract-wrappers';
 import { SignedOrder } from '@0x/types';
 import { BigNumber } from '@0x/utils';
 
@@ -142,6 +142,7 @@ export interface SwapQuoteBase {
     orders: SignedOrder[];
     bestCaseQuoteInfo: SwapQuoteInfo;
     worstCaseQuoteInfo: SwapQuoteInfo;
+    sourceBreakdown: SwapQuoteOrdersBreakdown;
 }
 
 /**
@@ -177,6 +178,13 @@ export interface SwapQuoteInfo {
     protocolFeeInWeiAmount: BigNumber;
 }
 
+/**
+ * percentage breakdown of each liquidity source used in quote
+ */
+export interface SwapQuoteOrdersBreakdown {
+    [source: string]: BigNumber;
+}
+
 /**
  * slippagePercentage: The percentage buffer to add to account for slippage. Affects max ETH price estimates. Defaults to 0.2 (20%).
  * gasPrice: gas price to determine protocolFee amount, default to ethGasStation fast amount

packages/asset-swapper/src/utils/swap_quote_calculator.ts

@@ -11,7 +11,9 @@ import {
     MarketSellSwapQuote,
     SignedOrderWithFillableAmounts,
     SwapQuote,
+    SwapQuoteBase,
     SwapQuoteInfo,
+    SwapQuoteOrdersBreakdown,
 } from '../types';
 
 import { fillableAmountsUtils } from './fillable_amounts_utils';
@@ -176,7 +178,9 @@ export class SwapQuoteCalculator {
             true,
         );
 
-        const quoteBase = {
+        const breakdown = this._getSwapQuoteOrdersBreakdown(resultOrders, operation);
+
+        const quoteBase: SwapQuoteBase = {
             takerAssetData,
             makerAssetData,
             // Remove fill metadata.
@@ -184,6 +188,7 @@ export class SwapQuoteCalculator {
             bestCaseQuoteInfo,
             worstCaseQuoteInfo,
             gasPrice,
+            sourceBreakdown: breakdown,
         };
 
         if (operation === MarketOperation.Buy) {
@@ -398,6 +403,34 @@ export class SwapQuoteCalculator {
             protocolFeeInWeiAmount,
         };
     }
+
+    // tslint:disable-next-line: prefer-function-over-method
+    private _getSwapQuoteOrdersBreakdown(
+        orders: OptimizedMarketOrder[],
+        operation: MarketOperation,
+    ): SwapQuoteOrdersBreakdown {
+        // HACK: to shut up linter
+        const breakdown: SwapQuoteOrdersBreakdown = {};
+
+        // total asset amount (accounting for slippage protection)
+        const totalAssetAmount = BigNumber.sum(
+            ...[
+                constants.ZERO_AMOUNT,
+                ...orders.map(o => (operation === MarketOperation.Buy ? o.makerAssetAmount : o.takerAssetAmount)),
+            ],
+        );
+
+        return orders.reduce((acc: SwapQuoteOrdersBreakdown, order: OptimizedMarketOrder): SwapQuoteOrdersBreakdown => {
+            const assetAmount = operation === MarketOperation.Buy ? order.makerAssetAmount : order.takerAssetAmount;
+            const { source } = order.fill;
+            return {
+                ...acc,
+                ...{
+                    [source]: (!!acc[source] ? acc[source].plus(assetAmount) : assetAmount).dividedBy(totalAssetAmount),
+                },
+            };
+        }, breakdown);
+    }
 }
 
 function getTakerAssetAmountBreakDown(

packages/asset-swapper/test/swap_quote_calculator_test.ts

@@ -98,7 +98,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEELESS,
@@ -117,7 +117,7 @@ describe('swapQuoteCalculator', () => {
         //                 exchangeAddress: contractAddresses.exchange,
         //                 chainId: TESTRPC_CHAIN_ID,
         //             });
-        //             const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //             const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //             await swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEELESS,
         //                 baseUnitAmount(10),
@@ -134,7 +134,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEE_IN_TAKER_ASSET,
@@ -152,7 +152,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEE_IN_TAKER_ASSET,
@@ -170,7 +170,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEE_IN_MAKER_ASSET,
@@ -188,7 +188,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEE_IN_MAKER_ASSET,
@@ -206,7 +206,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
         //                 MIXED_TEST_ORDERS,
@@ -224,7 +224,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
         //                 MIXED_TEST_ORDERS,
@@ -485,7 +485,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEELESS,
@@ -503,7 +503,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEELESS,
@@ -521,7 +521,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEE_IN_TAKER_ASSET,
@@ -539,7 +539,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEE_IN_TAKER_ASSET,
@@ -557,7 +557,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEE_IN_MAKER_ASSET,
@@ -575,7 +575,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
         //                 testOrders.SIGNED_ORDERS_WITH_FILLABLE_AMOUNTS_FEE_IN_MAKER_ASSET,
@@ -593,7 +593,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
         //                 MIXED_TEST_ORDERS,
@@ -611,7 +611,7 @@ describe('swapQuoteCalculator', () => {
         //             exchangeAddress: contractAddresses.exchange,
         //             chainId: TESTRPC_CHAIN_ID,
         //         });
-        //         const swapQuoteCalculator = new SwapQuoteCalculator(protocolFeeUtils, marketOperationUtils);
+        //         const swapQuoteCalculator = new SwapQuoteCalculator( protocolFeeUtils, marketOperationUtils);
         //         const errorFunction = async () => {
         //             await swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
         //                 MIXED_TEST_ORDERS,

packages/asset-swapper/test/utils/swap_quote.ts

@@ -1,6 +1,7 @@
 import { BigNumber } from '@0x/utils';
 import * as _ from 'lodash';
 
+import { ERC20BridgeSource } from '../../src';
 import { constants } from '../../src/constants';
 import { MarketOperation, SignedOrderWithFillableAmounts, SwapQuote } from '../../src/types';
 import { ProtocolFeeUtils } from '../../src/utils/protocol_fee_utils';
@@ -26,6 +27,10 @@ export async function getFullyFillableSwapQuoteWithNoFeesAsync(
         protocolFeeInWeiAmount: await protocolFeeUtils.calculateWorstCaseProtocolFeeAsync(orders, gasPrice),
     };
 
+    const breakdown = {
+        [ERC20BridgeSource.Native]: new BigNumber(1),
+    };
+
     const quoteBase = {
         makerAssetData,
         takerAssetData,
@@ -33,6 +38,7 @@ export async function getFullyFillableSwapQuoteWithNoFeesAsync(
         gasPrice,
         bestCaseQuoteInfo: quoteInfo,
         worstCaseQuoteInfo: quoteInfo,
+        sourceBreakdown: breakdown,
     };
 
     if (operation === MarketOperation.Buy) {