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refactor market side ops

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This commit is contained in:
Daniel Pyrathon 2020-09-28 13:57:30 -07:00
parent 7bc9701c81
commit 90ad5eb6c4
1 changed files with 82 additions and 86 deletions
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168
packages/asset-swapper/src/utils/market_operation_utils/index.ts
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@ -33,6 +33,7 @@ import {
DexSample, DexSample,
ERC20BridgeSource, ERC20BridgeSource,
FeeSchedule, FeeSchedule,
GenerateOptimizedOrdersOpts,
GetMarketOrdersOpts, GetMarketOrdersOpts,
MarketSideLiquidity, MarketSideLiquidity,
OptimizedMarketOrder, OptimizedMarketOrder,
@ -40,7 +41,6 @@ import {
OptimizerResultWithReport, OptimizerResultWithReport,
OrderDomain, OrderDomain,
TokenAdjacencyGraph, TokenAdjacencyGraph,
GenerateOptimizedOrdersOpts,
} from './types'; } from './types';
// tslint:disable:boolean-naming // tslint:disable:boolean-naming
@ -363,76 +363,7 @@ export class MarketOperationUtils {
takerAmount: BigNumber, takerAmount: BigNumber,
opts?: Partial<GetMarketOrdersOpts>, opts?: Partial<GetMarketOrdersOpts>,
): Promise<OptimizerResultWithReport> { ): Promise<OptimizerResultWithReport> {
const defaultOpts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts }; return this._getMarketSideOrdersAsync(nativeOrders, takerAmount, MarketOperation.Sell, opts);
const optimizerOpts: GenerateOptimizedOrdersOpts = {
bridgeSlippage: defaultOpts.bridgeSlippage,
maxFallbackSlippage: defaultOpts.maxFallbackSlippage,
excludedSources: defaultOpts.excludedSources,
feeSchedule: defaultOpts.feeSchedule,
allowFallback: defaultOpts.allowFallback,
shouldBatchBridgeOrders: defaultOpts.shouldBatchBridgeOrders,
};
// Compute an optimized path for on-chain DEX and open-orderbook. This should not include RFQ liquidity.
const marketSideLiquidity = await this.getMarketSellLiquidityAsync(nativeOrders, takerAmount, defaultOpts);
let optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, optimizerOpts);
// If RFQ liquidity is enabled, make a request to check RFQ liquidity
const { rfqt } = defaultOpts;
if (rfqt && rfqt.quoteRequestor && marketSideLiquidity.quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)) {
// If we are making an indicative quote, make the RFQT request and then re-run the sampler if new orders come back.
if (rfqt.isIndicative) {
const indicativeQuotes = await getRfqtIndicativeQuotesAsync(
nativeOrders[0].makerAssetData,
nativeOrders[0].takerAssetData,
MarketOperation.Sell,
takerAmount,
defaultOpts,
);
if (indicativeQuotes.length > 0) {
optimizerResult = await this._generateOptimizedOrdersAsync({
...marketSideLiquidity,
rfqtIndicativeQuotes: indicativeQuotes,
}, optimizerOpts);
}
} else {
// A firm quote is being requested. Ensure that `intentOnFilling` is enabled.
if (rfqt.intentOnFilling) {
// Extra validation happens when requesting a firm quote, such as ensuring that the takerAddress
// is indeed valid.
if (!rfqt.takerAddress || rfqt.takerAddress === NULL_ADDRESS) {
throw new Error('RFQ-T requests must specify a taker address');
}
const firmQuotes = await rfqt.quoteRequestor.requestRfqtFirmQuotesAsync(
nativeOrders[0].makerAssetData,
nativeOrders[0].takerAssetData,
takerAmount,
MarketOperation.Sell,
rfqt,
);
if (firmQuotes.length > 0) {
optimizerResult = await this._generateOptimizedOrdersAsync({
...marketSideLiquidity,
nativeOrders: marketSideLiquidity.nativeOrders.concat(firmQuotes.map(quote => quote.signedOrder)),
}, optimizerOpts);
}
}
}
}
// Compute Quote Report and return the results.
let quoteReport: QuoteReport | undefined;
if (defaultOpts.shouldGenerateQuoteReport) {
quoteReport = MarketOperationUtils._computeQuoteReport(
nativeOrders,
defaultOpts.rfqt ? defaultOpts.rfqt.quoteRequestor : undefined,
marketSideLiquidity,
optimizerResult,
);
}
return {...optimizerResult, quoteReport};
} }
/** /**
@ -448,21 +379,7 @@ export class MarketOperationUtils {
makerAmount: BigNumber, makerAmount: BigNumber,
opts?: Partial<GetMarketOrdersOpts>, opts?: Partial<GetMarketOrdersOpts>,
): Promise<OptimizerResultWithReport> { ): Promise<OptimizerResultWithReport> {
const defaultOpts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts }; return this._getMarketSideOrdersAsync(nativeOrders, makerAmount, MarketOperation.Buy, opts);
const marketSideLiquidity = await this.getMarketBuyLiquidityAsync(nativeOrders, makerAmount, defaultOpts);
const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
bridgeSlippage: defaultOpts.bridgeSlippage,
maxFallbackSlippage: defaultOpts.maxFallbackSlippage,
excludedSources: defaultOpts.excludedSources,
feeSchedule: defaultOpts.feeSchedule,
allowFallback: defaultOpts.allowFallback,
shouldBatchBridgeOrders: defaultOpts.shouldBatchBridgeOrders,
});
let quoteReport: QuoteReport | undefined;
if (defaultOpts.shouldGenerateQuoteReport && defaultOpts.rfqt && defaultOpts.rfqt.quoteRequestor) {
quoteReport = MarketOperationUtils._computeQuoteReport(nativeOrders, defaultOpts.rfqt.quoteRequestor, marketSideLiquidity, optimizerResult);
}
return {...optimizerResult, quoteReport};
} }
/** /**
@ -565,6 +482,85 @@ export class MarketOperationUtils {
); );
} }
private async _getMarketSideOrdersAsync(
nativeOrders: SignedOrder[],
amount: BigNumber,
side: MarketOperation,
opts?: Partial<GetMarketOrdersOpts>,
): Promise<OptimizerResultWithReport> {
const defaultOpts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
const optimizerOpts: GenerateOptimizedOrdersOpts = {
bridgeSlippage: defaultOpts.bridgeSlippage,
maxFallbackSlippage: defaultOpts.maxFallbackSlippage,
excludedSources: defaultOpts.excludedSources,
feeSchedule: defaultOpts.feeSchedule,
allowFallback: defaultOpts.allowFallback,
shouldBatchBridgeOrders: defaultOpts.shouldBatchBridgeOrders,
};
// Compute an optimized path for on-chain DEX and open-orderbook. This should not include RFQ liquidity.
const marketLiquidityFnAsync = side === MarketOperation.Sell ? this.getMarketSellLiquidityAsync.bind(this) : this.getMarketBuyLiquidityAsync.bind(this);
const marketSideLiquidity = await marketLiquidityFnAsync(nativeOrders, amount, defaultOpts);
let optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, optimizerOpts);
// If RFQ liquidity is enabled, make a request to check RFQ liquidity
const { rfqt } = defaultOpts;
if (rfqt && rfqt.quoteRequestor && marketSideLiquidity.quoteSourceFilters.isAllowed(ERC20BridgeSource.Native)) {
// If we are making an indicative quote, make the RFQT request and then re-run the sampler if new orders come back.
if (rfqt.isIndicative) {
const indicativeQuotes = await getRfqtIndicativeQuotesAsync(
nativeOrders[0].makerAssetData,
nativeOrders[0].takerAssetData,
side,
amount,
defaultOpts,
);
if (indicativeQuotes.length > 0) {
optimizerResult = await this._generateOptimizedOrdersAsync({
...marketSideLiquidity,
rfqtIndicativeQuotes: indicativeQuotes,
}, optimizerOpts);
}
} else {
// A firm quote is being requested. Ensure that `intentOnFilling` is enabled.
if (rfqt.intentOnFilling) {
// Extra validation happens when requesting a firm quote, such as ensuring that the takerAddress
// is indeed valid.
if (!rfqt.takerAddress || rfqt.takerAddress === NULL_ADDRESS) {
throw new Error('RFQ-T requests must specify a taker address');
}
const firmQuotes = await rfqt.quoteRequestor.requestRfqtFirmQuotesAsync(
nativeOrders[0].makerAssetData,
nativeOrders[0].takerAssetData,
amount,
side,
rfqt,
);
if (firmQuotes.length > 0) {
optimizerResult = await this._generateOptimizedOrdersAsync({
...marketSideLiquidity,
nativeOrders: marketSideLiquidity.nativeOrders.concat(firmQuotes.map(quote => quote.signedOrder)),
}, optimizerOpts);
}
}
}
}
// Compute Quote Report and return the results.
let quoteReport: QuoteReport | undefined;
if (defaultOpts.shouldGenerateQuoteReport) {
quoteReport = MarketOperationUtils._computeQuoteReport(
nativeOrders,
defaultOpts.rfqt ? defaultOpts.rfqt.quoteRequestor : undefined,
marketSideLiquidity,
optimizerResult,
);
}
return {...optimizerResult, quoteReport};
}
private async _generateOptimizedOrdersAsync( private async _generateOptimizedOrdersAsync(
marketSideLiquidity: MarketSideLiquidity, marketSideLiquidity: MarketSideLiquidity,
opts: GenerateOptimizedOrdersOpts, opts: GenerateOptimizedOrdersOpts,