added testing for generating swap quotes
This commit is contained in:
David Sun
parent
347c6d02cf
commit
9401bb53e8
@ -358,7 +358,6 @@ function findTakerTokenAmountNeededToBuyZrx(
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order,
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makerFillAmount,
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);
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// TODO(dave4506) may remove if this is for affiliate fees (asset-buyer2.0)
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const extraFeeAmount = remainingFillableMakerAssetAmount.isGreaterThanOrEqualTo(adjustedMakerFillAmount)
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? constants.ZERO_AMOUNT
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: adjustedMakerFillAmount.minus(makerFillAmount);
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@ -16,7 +16,295 @@ const expect = chai.expect;
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// tslint:disable:custom-no-magic-numbers
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describe('swapQuoteCalculator', () => {
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describe('#calculate', () => {
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describe('#calculateMarketSellSwapQuote', () => {
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let firstOrder: SignedOrder;
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let firstRemainingFillAmount: BigNumber;
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let secondOrder: SignedOrder;
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let secondRemainingFillAmount: BigNumber;
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let ordersAndFillableAmounts: OrdersAndFillableAmounts;
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let smallFeeOrderAndFillableAmount: OrdersAndFillableAmounts;
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let allFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts;
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beforeEach(() => {
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// generate two orders for our desired maker asset
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// the first order has a rate of 4 makerAsset / WETH with a takerFee of 200 ZRX and has only 200 / 400 makerAsset units left to fill (half fillable)
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// the second order has a rate of 2 makerAsset / WETH with a takerFee of 100 ZRX and has 200 / 200 makerAsset units left to fill (completely fillable)
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// generate one order for fees
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// the fee order has a rate of 1 ZRX / WETH with no taker fee and has 100 ZRX left to fill (completely fillable)
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firstOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(400),
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takerAssetAmount: new BigNumber(100),
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takerFee: new BigNumber(200),
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});
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firstRemainingFillAmount = new BigNumber(200);
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secondOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(200),
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takerAssetAmount: new BigNumber(100),
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takerFee: new BigNumber(100),
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});
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secondRemainingFillAmount = secondOrder.makerAssetAmount;
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ordersAndFillableAmounts = {
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orders: [firstOrder, secondOrder],
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remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount],
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};
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const smallFeeOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(100),
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takerAssetAmount: new BigNumber(100),
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});
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smallFeeOrderAndFillableAmount = {
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orders: [smallFeeOrder],
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remainingFillableMakerAssetAmounts: [smallFeeOrder.makerAssetAmount],
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};
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const largeFeeOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(113),
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takerAssetAmount: new BigNumber(200),
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takerFee: new BigNumber(11),
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});
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allFeeOrdersAndFillableAmounts = {
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orders: [smallFeeOrder, largeFeeOrder],
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remainingFillableMakerAssetAmounts: [
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smallFeeOrder.makerAssetAmount,
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largeFeeOrder.makerAssetAmount.minus(largeFeeOrder.takerFee),
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],
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};
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});
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describe('InsufficientLiquidityError', () => {
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it('should throw if not enough taker asset liquidity (multiple orders)', () => {
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// we have 150 takerAsset units available to fill but attempt to calculate a quote for 200 takerAsset units
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(200),
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0,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(150));
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});
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it('should throw if not enough taker asset liquidity (multiple orders with 20% slippage)', () => {
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// we have 150 takerAsset units available to fill but attempt to calculate a quote for 200 makerAsset units
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(200),
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0.2,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(125));
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});
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it('should throw if not enough taker asset liquidity (multiple orders with 5% slippage)', () => {
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// we have 150 takerAsset units available to fill but attempt to calculate a quote for 200 makerAsset units
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(200),
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0.05,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(142));
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});
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it('should throw if not enough taker asset liquidity (partially filled order)', () => {
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const firstOrderAndFillableAmount: OrdersAndFillableAmounts = {
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orders: [firstOrder],
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remainingFillableMakerAssetAmounts: [firstRemainingFillAmount],
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};
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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firstOrderAndFillableAmount,
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smallFeeOrderAndFillableAmount,
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new BigNumber(51),
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0,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(50));
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});
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it('should throw if not enough taker asset liquidity (completely fillable order)', () => {
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const completelyFillableOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(123),
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takerAssetAmount: new BigNumber(80),
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takerFee: new BigNumber(200),
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});
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const completelyFillableOrdersAndFillableAmount: OrdersAndFillableAmounts = {
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orders: [completelyFillableOrder],
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remainingFillableMakerAssetAmounts: [completelyFillableOrder.makerAssetAmount],
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};
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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completelyFillableOrdersAndFillableAmount,
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smallFeeOrderAndFillableAmount,
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new BigNumber(81),
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0,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(80));
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});
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it('should throw with 1 amount available if no slippage', () => {
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const smallOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(1),
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takerAssetAmount: new BigNumber(1),
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takerFee: new BigNumber(0),
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});
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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{ orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] },
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smallFeeOrderAndFillableAmount,
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new BigNumber(100),
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0,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(1));
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});
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it('should throw with 0 available to fill if amount rounds to 0', () => {
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const smallOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(1),
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takerAssetAmount: new BigNumber(1),
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takerFee: new BigNumber(0),
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});
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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{ orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] },
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smallFeeOrderAndFillableAmount,
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new BigNumber(100),
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0.2,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(0));
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});
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});
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it('should not throw if order is fillable', () => {
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expect(() =>
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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allFeeOrdersAndFillableAmounts,
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new BigNumber(125),
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0,
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false,
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),
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).to.not.throw();
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});
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it('should throw if not enough ZRX liquidity', () => {
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// we request 300 makerAsset units but the ZRX order is only enough to fill the first order, which only has 200 makerAssetUnits available
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expect(() =>
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(125),
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0,
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false,
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),
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).to.throw(SwapQuoterError.InsufficientZrxLiquidity);
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});
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it('calculates a correct swapQuote with no slippage', () => {
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// we request 100 takerAsset units which can be filled using the first order
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// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
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const assetSellAmount = new BigNumber(50);
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const slippagePercentage = 0;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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assetSellAmount,
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slippagePercentage,
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false,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]);
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expect(swapQuote.feeOrders).to.deep.equal([smallFeeOrderAndFillableAmount.orders[0]]);
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// test if rates are correct
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// 50 eth to fill the first order + 100 eth for fees
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const expectedMakerAssetAmountForTakerAsset = new BigNumber(200);
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const expectedTakerAssetAmountForZrxFees = new BigNumber(100);
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const expectedTotalTakerAssetAmount = assetSellAmount.plus(
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expectedTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.bestCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
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assetSellAmount,
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);
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expect(swapQuote.bestCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.bestCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
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expectedTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.bestCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(expectedTotalTakerAssetAmount);
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// because we have no slippage protection, minRate is equal to maxRate
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expect(swapQuote.worstCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
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assetSellAmount,
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);
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expect(swapQuote.worstCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.worstCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
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expectedTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.worstCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(
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expectedTotalTakerAssetAmount,
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);
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});
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it('calculates a correct swapQuote with slippage', () => {
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// we request 50 takerAsset units which can be filled using the first order
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// however with 50% slippage we are protecting the buy with 25 extra takerAssetUnits
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// so we need enough orders to fill 75 takerAssetUnits
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// 150 takerAssetUnits can only be filled using both orders
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// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
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const assetSellAmount = new BigNumber(50);
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const slippagePercentage = 0.5;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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allFeeOrdersAndFillableAmounts,
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assetSellAmount,
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slippagePercentage,
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false,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal(ordersAndFillableAmounts.orders);
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expect(swapQuote.feeOrders).to.deep.equal(allFeeOrdersAndFillableAmounts.orders);
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// test if rates are correct
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// 50 eth to fill the first order + 100 eth for fees
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const expectedMakerAssetAmountForTakerAsset = new BigNumber(200);
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const expectedTakerAssetAmountForZrxFees = new BigNumber(100);
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const expectedTotalTakerAssetAmount = assetSellAmount.plus(
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expectedTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.bestCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
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assetSellAmount,
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);
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expect(swapQuote.bestCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.bestCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
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expectedTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.bestCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(expectedTotalTakerAssetAmount);
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// 100 eth to fill the first order + 208 eth for fees
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const expectedWorstMakerAssetAmountForTakerAsset = new BigNumber(100);
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const expectedWorstTakerAssetAmountForZrxFees = new BigNumber(99);
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const expectedWorstTotalTakerAssetAmount = assetSellAmount.plus(
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expectedWorstTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.worstCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
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assetSellAmount,
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);
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expect(swapQuote.worstCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedWorstMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.worstCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
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expectedWorstTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.worstCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(
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expectedWorstTotalTakerAssetAmount,
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);
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});
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});
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describe('#calculateMarketBuySwapQuote', () => {
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let firstOrder: SignedOrder;
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let firstRemainingFillAmount: BigNumber;
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let secondOrder: SignedOrder;
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@ -71,7 +359,7 @@ describe('swapQuoteCalculator', () => {
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it('should throw if not enough maker asset liquidity (multiple orders)', () => {
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// we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
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const errorFunction = () => {
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swapQuoteCalculator.calculate(
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(500),
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@ -84,7 +372,7 @@ describe('swapQuoteCalculator', () => {
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it('should throw if not enough maker asset liquidity (multiple orders with 20% slippage)', () => {
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// we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
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const errorFunction = () => {
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swapQuoteCalculator.calculate(
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(500),
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@ -97,7 +385,7 @@ describe('swapQuoteCalculator', () => {
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it('should throw if not enough maker asset liquidity (multiple orders with 5% slippage)', () => {
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// we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
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const errorFunction = () => {
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swapQuoteCalculator.calculate(
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(600),
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@ -114,7 +402,7 @@ describe('swapQuoteCalculator', () => {
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};
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const errorFunction = () => {
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swapQuoteCalculator.calculate(
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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firstOrderAndFillableAmount,
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smallFeeOrderAndFillableAmount,
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new BigNumber(201),
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@ -135,7 +423,7 @@ describe('swapQuoteCalculator', () => {
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remainingFillableMakerAssetAmounts: [completelyFillableOrder.makerAssetAmount],
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};
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const errorFunction = () => {
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swapQuoteCalculator.calculate(
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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completelyFillableOrdersAndFillableAmount,
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smallFeeOrderAndFillableAmount,
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new BigNumber(124),
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@ -152,7 +440,7 @@ describe('swapQuoteCalculator', () => {
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takerFee: new BigNumber(0),
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});
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const errorFunction = () => {
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swapQuoteCalculator.calculate(
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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{ orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] },
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smallFeeOrderAndFillableAmount,
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new BigNumber(600),
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@ -169,7 +457,7 @@ describe('swapQuoteCalculator', () => {
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takerFee: new BigNumber(0),
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});
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const errorFunction = () => {
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swapQuoteCalculator.calculate(
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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{ orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] },
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smallFeeOrderAndFillableAmount,
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new BigNumber(600),
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@ -182,7 +470,7 @@ describe('swapQuoteCalculator', () => {
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});
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it('should not throw if order is fillable', () => {
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expect(() =>
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swapQuoteCalculator.calculate(
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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ordersAndFillableAmounts,
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allFeeOrdersAndFillableAmounts,
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new BigNumber(300),
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@ -194,7 +482,7 @@ describe('swapQuoteCalculator', () => {
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it('should throw if not enough ZRX liquidity', () => {
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// we request 300 makerAsset units but the ZRX order is only enough to fill the first order, which only has 200 makerAssetUnits available
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expect(() =>
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swapQuoteCalculator.calculate(
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(300),
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@ -208,7 +496,7 @@ describe('swapQuoteCalculator', () => {
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// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
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const assetBuyAmount = new BigNumber(200);
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const slippagePercentage = 0;
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const swapQuote = swapQuoteCalculator.calculate(
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const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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assetBuyAmount,
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@ -243,7 +531,7 @@ describe('swapQuoteCalculator', () => {
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expectedTotalTakerAssetAmount,
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);
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});
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it('calculates a correct swapQuote with with slippage', () => {
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it('calculates a correct swapQuote with slippage', () => {
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// we request 200 makerAsset units which can be filled using the first order
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// however with 50% slippage we are protecting the buy with 100 extra makerAssetUnits
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// so we need enough orders to fill 300 makerAssetUnits
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@ -251,7 +539,7 @@ describe('swapQuoteCalculator', () => {
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// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
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const assetBuyAmount = new BigNumber(200);
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const slippagePercentage = 0.5;
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const swapQuote = swapQuoteCalculator.calculate(
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const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
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ordersAndFillableAmounts,
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allFeeOrdersAndFillableAmounts,
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assetBuyAmount,
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|
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@ -3,7 +3,7 @@ import { SignedOrder } from '@0x/types';
|
||||
import { BigNumber } from '@0x/utils';
|
||||
import * as _ from 'lodash';
|
||||
|
||||
import { SwapQuote } from '../../src';
|
||||
import { MarketBuySwapQuote, MarketSellSwapQuote } from '../../src';
|
||||
|
||||
const ZERO_BIG_NUMBER = new BigNumber(0);
|
||||
|
||||
@ -25,11 +25,11 @@ export const getSignedOrdersWithNoFees = (
|
||||
);
|
||||
};
|
||||
|
||||
export const getFullyFillableSwapQuoteWithNoFees = (
|
||||
export const getFullyFillableMarketBuySwapQuoteWithNoFees = (
|
||||
makerAssetData: string,
|
||||
takerAssetData: string,
|
||||
orders: SignedOrder[],
|
||||
): SwapQuote => {
|
||||
): MarketBuySwapQuote => {
|
||||
const makerAssetFillAmount = _.reduce(
|
||||
orders,
|
||||
(a: BigNumber, c: SignedOrder) => a.plus(c.makerAssetAmount),
|
||||
@ -41,6 +41,7 @@ export const getFullyFillableSwapQuoteWithNoFees = (
|
||||
ZERO_BIG_NUMBER,
|
||||
);
|
||||
const quoteInfo = {
|
||||
makerTokenAmount: makerAssetFillAmount,
|
||||
takerTokenAmount: totalTakerTokenAmount,
|
||||
feeTakerTokenAmount: ZERO_BIG_NUMBER,
|
||||
totalTakerTokenAmount,
|
||||
@ -56,3 +57,36 @@ export const getFullyFillableSwapQuoteWithNoFees = (
|
||||
worstCaseQuoteInfo: quoteInfo,
|
||||
};
|
||||
};
|
||||
|
||||
export const getFullyFillableMarketSellSwapQuoteWithNoFees = (
|
||||
makerAssetData: string,
|
||||
takerAssetData: string,
|
||||
orders: SignedOrder[],
|
||||
): MarketSellSwapQuote => {
|
||||
const makerAssetFillAmount = _.reduce(
|
||||
orders,
|
||||
(a: BigNumber, c: SignedOrder) => a.plus(c.makerAssetAmount),
|
||||
ZERO_BIG_NUMBER,
|
||||
);
|
||||
const totalTakerTokenAmount = _.reduce(
|
||||
orders,
|
||||
(a: BigNumber, c: SignedOrder) => a.plus(c.takerAssetAmount),
|
||||
ZERO_BIG_NUMBER,
|
||||
);
|
||||
const quoteInfo = {
|
||||
makerTokenAmount: makerAssetFillAmount,
|
||||
takerTokenAmount: totalTakerTokenAmount,
|
||||
feeTakerTokenAmount: ZERO_BIG_NUMBER,
|
||||
totalTakerTokenAmount,
|
||||
};
|
||||
|
||||
return {
|
||||
makerAssetData,
|
||||
takerAssetData,
|
||||
orders,
|
||||
feeOrders: [],
|
||||
takerAssetFillAmount: totalTakerTokenAmount,
|
||||
bestCaseQuoteInfo: quoteInfo,
|
||||
worstCaseQuoteInfo: quoteInfo,
|
||||
};
|
||||
};
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user