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

* 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>

packages/asset-swapper/src/index.ts

@@ -103,6 +103,7 @@ export {
     MockedRfqtFirmQuoteResponse,
     OrderPrunerPermittedFeeTypes,
     RfqtMakerAssetOfferings,
+    RfqtFirmQuoteValidator,
     RfqtRequestOpts,
     SamplerOverrides,
     SignedOrderWithFillableAmounts,

packages/asset-swapper/src/types.ts

@@ -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;

packages/asset-swapper/src/utils/market_operation_utils/index.ts

@@ -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(
+                                nativeOrders: marketSideLiquidity.nativeOrders.concat(firmQuoteSignedOrders),
-                                    firmQuotes.map(quote => quote.signedOrder),
-                                ),
                                 orderFillableAmounts: marketSideLiquidity.orderFillableAmounts.concat(
-                                    firmQuotes.map(quote => quote.signedOrder.takerAssetAmount),
+                                    rfqOrderFillableAmounts,
                                 ),
                             },
                             optimizerOpts,

packages/asset-swapper/src/utils/market_operation_utils/types.ts

@@ -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;