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Allow injection of an RfqtFirmQuoteValidator and an RfqtQuoteObserver (#11)

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* Allow injection of RFQT quote hooks

* Remove QuoteObserver

* Remove unnecessary `async`

* modernized the code based on latest spec

* prettify

Co-authored-by: Daniel Pyrathon <daniel@0x.org>
This commit is contained in:
F. Eugene Aumson 2020-11-23 15:05:28 -05:00 committed by GitHub
parent ab698cec14
commit 85f5d32de2
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GPG Key ID: 4AEE18F83AFDEB23
4 changed files with 18 additions and 8 deletions
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1
packages/asset-swapper/src/index.ts
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@ -103,6 +103,7 @@ export {
MockedRfqtFirmQuoteResponse,
OrderPrunerPermittedFeeTypes,
RfqtMakerAssetOfferings,
RfqtFirmQuoteValidator,
RfqtRequestOpts,
SamplerOverrides,
SignedOrderWithFillableAmounts,

4
packages/asset-swapper/src/types.ts
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@ -295,6 +295,10 @@ export interface RfqtMakerAssetOfferings {
export type LogFunction = (obj: object, msg?: string, ...args: any[]) => void;
export interface RfqtFirmQuoteValidator {
getRFQTTakerFillableAmounts(quotes: SignedOrder[]): Promise<BigNumber[]>;
}
export interface SwapQuoterRfqtOpts {
takerApiKeyWhitelist: string[];
makerAssetOfferings: RfqtMakerAssetOfferings;

18
packages/asset-swapper/src/utils/market_operation_utils/index.ts
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@ -683,20 +683,24 @@ export class MarketOperationUtils {
rfqt,
);
if (firmQuotes.length > 0) {
// Compute the RFQ order fillable amounts. This is done by performing a "soft" order
// validation and by checking order balances that are monitored by our worker.
// If a firm quote validator does not exist, then we assume that all orders are valid.
const firmQuoteSignedOrders = firmQuotes.map(quote => quote.signedOrder);
const rfqOrderFillableAmounts =
rfqt.firmQuoteValidator === undefined
? firmQuoteSignedOrders.map(signedOrder => signedOrder.takerAssetAmount)
: await rfqt.firmQuoteValidator.getRFQTTakerFillableAmounts(firmQuoteSignedOrders);
// Re-run optimizer with the new firm quote. This is the second and last time
// we run the optimized in a block of code. In this case, we don't catch a potential `NoOptimalPath` exception
// and we let it bubble up if it happens.
//
// NOTE: as of now, we assume that RFQ orders are 100% fillable because these are trusted market makers, therefore
// we do not perform an extra check to get fillable taker amounts.
optimizerResult = await this._generateOptimizedOrdersAsync(
{
...marketSideLiquidity,
nativeOrders: marketSideLiquidity.nativeOrders.concat(
firmQuotes.map(quote => quote.signedOrder),
),
nativeOrders: marketSideLiquidity.nativeOrders.concat(firmQuoteSignedOrders),
orderFillableAmounts: marketSideLiquidity.orderFillableAmounts.concat(
firmQuotes.map(quote => quote.signedOrder.takerAssetAmount),
rfqOrderFillableAmounts,
),
},
optimizerOpts,

3
packages/asset-swapper/src/utils/market_operation_utils/types.ts
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@ -2,7 +2,7 @@ import { RFQTIndicativeQuote } from '@0x/quote-server';
import { MarketOperation, SignedOrder } from '@0x/types';
import { BigNumber } from '@0x/utils';
import { RfqtRequestOpts, SignedOrderWithFillableAmounts } from '../../types';
import { RfqtFirmQuoteValidator, RfqtRequestOpts, SignedOrderWithFillableAmounts } from '../../types';
import { QuoteRequestor } from '../../utils/quote_requestor';
import { QuoteReport } from '../quote_report_generator';
@ -239,6 +239,7 @@ export interface OptimizedMarketOrder extends SignedOrderWithFillableAmounts {
export interface GetMarketOrdersRfqtOpts extends RfqtRequestOpts {
quoteRequestor?: QuoteRequestor;
firmQuoteValidator?: RfqtFirmQuoteValidator;
}
export type FeeEstimate = (fillData?: FillData) => number | BigNumber;