Feature/bunny hop (#2647)
* `@0x/contracts-erc20-bridge-sampler`: Add TwoHopSampler + refactor * `@0x/asset-swapper`: Refactor + add two-hop skeleton * Round out two-hop support in asset-swapper * Add BalancerSampler, use it for two-hop quotes * Fix bugs discovered from simbot * rebases are hard * Add intermediate token to MultiHop source breakdown * Fix market buy bugs * Use hybrid on-chain/off-chain sampling for Balancer * Another day, another rebase * Update changelogs * Address PR feedback, CI fixes * Address more PR feedback
This commit is contained in:
mzhu25
GitHub
@@ -18,7 +18,7 @@ import {
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computeBalancerSellQuote,
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} from '../src/utils/market_operation_utils/balancer_utils';
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import { DexOrderSampler, getSampleAmounts } from '../src/utils/market_operation_utils/sampler';
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import { ERC20BridgeSource, FillData } from '../src/utils/market_operation_utils/types';
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import { ERC20BridgeSource } from '../src/utils/market_operation_utils/types';
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import { MockBalancerPoolsCache } from './utils/mock_balancer_pools_cache';
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import { MockBancorService } from './utils/mock_bancor_service';
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@@ -108,7 +108,7 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getOrderFillableMakerAmounts(ORDERS, exchangeAddress),
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dexOrderSampler.getOrderFillableMakerAmounts(ORDERS, exchangeAddress),
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);
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expect(fillableAmounts).to.deep.eq(expectedFillableAmounts);
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});
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@@ -124,7 +124,7 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getOrderFillableTakerAmounts(ORDERS, exchangeAddress),
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dexOrderSampler.getOrderFillableTakerAmounts(ORDERS, exchangeAddress),
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);
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expect(fillableAmounts).to.deep.eq(expectedFillableAmounts);
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});
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@@ -144,36 +144,32 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getKyberSellQuotes(
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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),
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dexOrderSampler.getKyberSellQuotes(expectedMakerToken, expectedTakerToken, expectedTakerFillAmounts),
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);
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expect(fillableAmounts.map(q => q.amount)).to.deep.eq(expectedMakerFillAmounts);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getLiquidityProviderSellQuotes()', async () => {
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const expectedMakerToken = randomAddress();
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const expectedTakerToken = randomAddress();
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const registry = randomAddress();
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const poolAddress = randomAddress();
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const sampler = new MockSamplerContract({
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sampleSellsFromLiquidityProviderRegistry: (registryAddress, takerToken, makerToken, _fillAmounts) => {
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expect(registryAddress).to.eq(registry);
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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return [toBaseUnitAmount(1001)];
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return [[toBaseUnitAmount(1001)], poolAddress];
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [result] = await dexOrderSampler.executeAsync(
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await DexOrderSampler.ops.getSellQuotesAsync(
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dexOrderSampler.getSellQuotes(
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[ERC20BridgeSource.LiquidityProvider],
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expectedMakerToken,
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expectedTakerToken,
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[toBaseUnitAmount(1000)],
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wethAddress,
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dexOrderSampler.balancerPoolsCache,
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registry,
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),
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);
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@@ -183,7 +179,7 @@ describe('DexSampler tests', () => {
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source: 'LiquidityProvider',
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output: toBaseUnitAmount(1001),
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input: toBaseUnitAmount(1000),
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fillData: undefined,
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fillData: { poolAddress },
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},
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],
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]);
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@@ -193,23 +189,23 @@ describe('DexSampler tests', () => {
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const expectedMakerToken = randomAddress();
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const expectedTakerToken = randomAddress();
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const registry = randomAddress();
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const poolAddress = randomAddress();
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const sampler = new MockSamplerContract({
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sampleBuysFromLiquidityProviderRegistry: (registryAddress, takerToken, makerToken, _fillAmounts) => {
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expect(registryAddress).to.eq(registry);
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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return [toBaseUnitAmount(999)];
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return [[toBaseUnitAmount(999)], poolAddress];
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [result] = await dexOrderSampler.executeAsync(
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await DexOrderSampler.ops.getBuyQuotesAsync(
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dexOrderSampler.getBuyQuotes(
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[ERC20BridgeSource.LiquidityProvider],
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expectedMakerToken,
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expectedTakerToken,
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[toBaseUnitAmount(1000)],
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wethAddress,
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dexOrderSampler.balancerPoolsCache,
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registry,
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),
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);
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@@ -219,7 +215,7 @@ describe('DexSampler tests', () => {
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source: 'LiquidityProvider',
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output: toBaseUnitAmount(999),
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input: toBaseUnitAmount(1000),
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fillData: undefined,
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fillData: { poolAddress },
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},
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],
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]);
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@@ -246,13 +242,12 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [result] = await dexOrderSampler.executeAsync(
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await DexOrderSampler.ops.getSellQuotesAsync(
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dexOrderSampler.getSellQuotes(
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[ERC20BridgeSource.MultiBridge],
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expectedMakerToken,
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expectedTakerToken,
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[toBaseUnitAmount(1000)],
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randomAddress(),
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dexOrderSampler.balancerPoolsCache,
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randomAddress(),
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multiBridge,
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),
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@@ -263,7 +258,7 @@ describe('DexSampler tests', () => {
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source: 'MultiBridge',
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output: toBaseUnitAmount(1001),
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input: toBaseUnitAmount(1000),
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fillData: undefined,
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fillData: { poolAddress: multiBridge },
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},
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],
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]);
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@@ -284,13 +279,9 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getEth2DaiSellQuotes(
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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),
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dexOrderSampler.getEth2DaiSellQuotes(expectedMakerToken, expectedTakerToken, expectedTakerFillAmounts),
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);
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expect(fillableAmounts.map(q => q.amount)).to.deep.eq(expectedMakerFillAmounts);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getUniswapSellQuotes()', async () => {
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@@ -308,13 +299,9 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getUniswapSellQuotes(
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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),
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dexOrderSampler.getUniswapSellQuotes(expectedMakerToken, expectedTakerToken, expectedTakerFillAmounts),
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);
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expect(fillableAmounts.map(q => q.amount)).to.deep.eq(expectedMakerFillAmounts);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getUniswapV2SellQuotes()', async () => {
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@@ -331,12 +318,12 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getUniswapV2SellQuotes(
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dexOrderSampler.getUniswapV2SellQuotes(
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[expectedMakerToken, expectedTakerToken],
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expectedTakerFillAmounts,
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),
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);
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expect(fillableAmounts.map(q => q.amount)).to.deep.eq(expectedMakerFillAmounts);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getEth2DaiBuyQuotes()', async () => {
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@@ -354,13 +341,9 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getEth2DaiBuyQuotes(
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expectedMakerToken,
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expectedTakerToken,
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expectedMakerFillAmounts,
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),
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dexOrderSampler.getEth2DaiBuyQuotes(expectedMakerToken, expectedTakerToken, expectedMakerFillAmounts),
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);
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expect(fillableAmounts.map(q => q.amount)).to.deep.eq(expectedTakerFillAmounts);
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expect(fillableAmounts).to.deep.eq(expectedTakerFillAmounts);
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});
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it('getUniswapBuyQuotes()', async () => {
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@@ -378,13 +361,9 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getUniswapBuyQuotes(
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expectedMakerToken,
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expectedTakerToken,
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expectedMakerFillAmounts,
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),
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dexOrderSampler.getUniswapBuyQuotes(expectedMakerToken, expectedTakerToken, expectedMakerFillAmounts),
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);
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expect(fillableAmounts.map(q => q.amount)).to.deep.eq(expectedTakerFillAmounts);
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expect(fillableAmounts).to.deep.eq(expectedTakerFillAmounts);
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});
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interface RatesBySource {
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@@ -440,13 +419,12 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [quotes] = await dexOrderSampler.executeAsync(
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await DexOrderSampler.ops.getSellQuotesAsync(
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dexOrderSampler.getSellQuotes(
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sources,
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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wethAddress,
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dexOrderSampler.balancerPoolsCache,
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),
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);
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const expectedQuotes = sources.map(s =>
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@@ -457,7 +435,7 @@ describe('DexSampler tests', () => {
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fillData:
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s === ERC20BridgeSource.UniswapV2
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? { tokenAddressPath: [expectedTakerToken, expectedMakerToken] }
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: ((undefined as any) as FillData),
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: {},
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})),
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);
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const uniswapV2ETHQuotes = [
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@@ -488,19 +466,14 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(
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new MockSamplerContract({}),
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undefined, // sampler overrides
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undefined, // bancor service
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undefined,
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undefined,
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balancerPoolsCache,
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);
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const [quotes] = await dexOrderSampler.executeAsync(
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await DexOrderSampler.ops.getSellQuotesAsync(
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[ERC20BridgeSource.Balancer],
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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wethAddress,
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dexOrderSampler.balancerPoolsCache,
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),
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const quotes = await dexOrderSampler.getBalancerSellQuotesOffChainAsync(
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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);
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const expectedQuotes = pools.map(p =>
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expectedTakerFillAmounts.map(a => ({
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@@ -535,28 +508,17 @@ describe('DexSampler tests', () => {
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bancorService,
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undefined, // balancer cache
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);
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const [quotes] = await dexOrderSampler.executeAsync(
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await DexOrderSampler.ops.getSellQuotesAsync(
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[ERC20BridgeSource.Bancor],
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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wethAddress,
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undefined, // balancer pools cache
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undefined, // liquidity provider registry address
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undefined, // multibridge address
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bancorService,
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),
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const quotes = await dexOrderSampler.getBancorSellQuotesOffChainAsync(
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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);
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const expectedQuotes = [
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expectedTakerFillAmounts.map(a => ({
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source: ERC20BridgeSource.Bancor,
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input: a,
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output: a.multipliedBy(rate),
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fillData: { path: [expectedTakerToken, expectedMakerToken], networkAddress },
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})),
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];
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expect(quotes).to.have.lengthOf(1); // one set per pool
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const expectedQuotes = expectedTakerFillAmounts.map(a => ({
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source: ERC20BridgeSource.Bancor,
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input: a,
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output: a.multipliedBy(rate),
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fillData: { path: [expectedTakerToken, expectedMakerToken], networkAddress },
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}));
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expect(quotes).to.deep.eq(expectedQuotes);
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});
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it('getBuyQuotes()', async () => {
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@@ -596,13 +558,12 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [quotes] = await dexOrderSampler.executeAsync(
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await DexOrderSampler.ops.getBuyQuotesAsync(
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dexOrderSampler.getBuyQuotes(
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sources,
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expectedMakerToken,
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expectedTakerToken,
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expectedMakerFillAmounts,
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wethAddress,
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dexOrderSampler.balancerPoolsCache,
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),
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);
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const expectedQuotes = sources.map(s =>
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@@ -613,7 +574,7 @@ describe('DexSampler tests', () => {
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fillData:
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s === ERC20BridgeSource.UniswapV2
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? { tokenAddressPath: [expectedTakerToken, expectedMakerToken] }
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: ((undefined as any) as FillData),
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: {},
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})),
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);
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const uniswapV2ETHQuotes = [
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@@ -644,19 +605,14 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(
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new MockSamplerContract({}),
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undefined, // sampler overrides
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undefined, // bancor service
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undefined,
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undefined,
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balancerPoolsCache,
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);
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const [quotes] = await dexOrderSampler.executeAsync(
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await DexOrderSampler.ops.getBuyQuotesAsync(
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[ERC20BridgeSource.Balancer],
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expectedMakerToken,
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expectedTakerToken,
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expectedMakerFillAmounts,
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wethAddress,
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dexOrderSampler.balancerPoolsCache,
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),
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const quotes = await dexOrderSampler.getBalancerBuyQuotesOffChainAsync(
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expectedMakerToken,
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expectedTakerToken,
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expectedMakerFillAmounts,
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);
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const expectedQuotes = pools.map(p =>
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expectedMakerFillAmounts.map(a => ({
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@@ -689,8 +645,8 @@ describe('DexSampler tests', () => {
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [fillableMakerAmounts, fillableTakerAmounts] = await dexOrderSampler.executeAsync(
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DexOrderSampler.ops.getOrderFillableMakerAmounts(ORDERS, exchangeAddress),
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DexOrderSampler.ops.getOrderFillableTakerAmounts(ORDERS, exchangeAddress),
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dexOrderSampler.getOrderFillableMakerAmounts(ORDERS, exchangeAddress),
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dexOrderSampler.getOrderFillableTakerAmounts(ORDERS, exchangeAddress),
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);
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expect(fillableMakerAmounts).to.deep.eq(expectedFillableMakerAmounts);
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expect(fillableTakerAmounts).to.deep.eq(expectedFillableTakerAmounts);
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