[WIP] Slippage calculations from Ethereum DEX Prices Service (EDPS)

packages/pipeline/src/scripts/pull_slippage.ts

@@ -0,0 +1,38 @@
+import * as R from 'ramda';
+import { Connection, ConnectionOptions, createConnection, Repository } from 'typeorm';
+import { logUtils } from '@0x/utils';
+import { EdpsExchange, EdpsSource, PriceResponse, PriceSource } from '../data_sources/slippage';
+import { handleError } from '../utils';
+import { string, number } from 'prop-types';
+import { calculateSlippage } from '../parsers/slippage';
+import { SlippageRecord } from '../entities';
+import * as ormConfig from '../ormconfig';
+
+// Number of orders to save at once.
+const BATCH_SAVE_SIZE = 1000;
+
+// USD amounts for slippage depths
+const USD_AMOUNTS = [10, 100, 1000];
+const TOKENS = ['ZRX', 'MKR', 'DAI', 'KNC', 'BNB']; // TODO: fetch from database
+
+(async () => {
+    const priceSource = new PriceSource();
+    const edpsSource = new EdpsSource();
+    const resultsPerAmount = await TOKENS.map(async (symbol) => {
+        const usdPrice = await priceSource.getUsdPriceAsync(symbol);
+        USD_AMOUNTS.map(async (usdAmount) => {
+            const amount = usdAmount / usdPrice;
+            console.log(amount);
+            const buyEdps = await edpsSource.getEdpsAsync('buy', symbol, amount);
+            const sellEdps = await edpsSource.getEdpsAsync('sell', symbol, amount);
+
+            for(let exchange of buyEdps.keys()) {
+                const slippageRecord = await calculateSlippage(usdAmount, exchange, buyEdps, sellEdps)
+                if (slippageRecord)
+                    console.log(slippageRecord);
+            }
+
+        }
+    )});
+    //process.exit(0);
+})().catch(handleError);