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Curve ERC20Bridge (#2480)

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* Curve ERC20Bridge

* ERC20BridgeSampler Curve (#2483)

* ERC20Sampler Curve

* Use Bridge Sources for each Curve

* Support multiple versions of the Curve contract

* CHANGELOG and redeployed Curve (mainnet)

* Fix Market ops utils test

* Added Curve DAI USDC USDT TUSD

* Bump sampler gas limit default

* Decode the Curve in tests

* Disable Curve in Buy tests

* blockchainTests.fork.resets Curve and Sampler
This commit is contained in:
Jacob Evans
2020-02-15 17:02:19 +11:00
committed by GitHub
parent dcce8276b8
commit e05a03a842
35 changed files with 839 additions and 35 deletions
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36
packages/asset-swapper/test/market_operation_utils_test.ts
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@@ -14,6 +14,7 @@ import { SignedOrder } from '@0x/types';
import { BigNumber, hexUtils } from '@0x/utils';
import * as _ from 'lodash';
import { constants as assetSwapperConstants } from '../src/constants';
import { MarketOperationUtils } from '../src/utils/market_operation_utils/';
import { constants as marketOperationUtilConstants } from '../src/utils/market_operation_utils/constants';
import { DexOrderSampler } from '../src/utils/market_operation_utils/sampler';
@@ -28,6 +29,7 @@ describe('MarketOperationUtils tests', () => {
const ETH2DAI_BRIDGE_ADDRESS = contractAddresses.eth2DaiBridge;
const KYBER_BRIDGE_ADDRESS = contractAddresses.kyberBridge;
const UNISWAP_BRIDGE_ADDRESS = contractAddresses.uniswapBridge;
const CURVE_BRIDGE_ADDRESS = contractAddresses.curveBridge;
const MAKER_TOKEN = randomAddress();
const TAKER_TOKEN = randomAddress();
@@ -78,6 +80,11 @@ describe('MarketOperationUtils tests', () => {
return ERC20BridgeSource.Eth2Dai;
case UNISWAP_BRIDGE_ADDRESS.toLowerCase():
return ERC20BridgeSource.Uniswap;
case CURVE_BRIDGE_ADDRESS.toLowerCase():
const curveSource = Object.keys(assetSwapperConstants.DEFAULT_CURVE_OPTS).filter(
k => assetData.indexOf(assetSwapperConstants.DEFAULT_CURVE_OPTS[k].curveAddress.slice(2)) !== -1,
);
return curveSource[0] as ERC20BridgeSource;
default:
break;
}
@@ -116,13 +123,15 @@ describe('MarketOperationUtils tests', () => {
type GetQuotesOperation = (makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => BigNumber[];
function createGetSellQuotesOperationFromRates(rates: Numberish[]): GetQuotesOperation {
return (makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => {
return (...args) => {
const fillAmounts = args.pop() as BigNumber[];
return fillAmounts.map((a, i) => a.times(rates[i]).integerValue());
};
}
function createGetBuyQuotesOperationFromRates(rates: Numberish[]): GetQuotesOperation {
return (makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => {
return (...args) => {
const fillAmounts = args.pop() as BigNumber[];
return fillAmounts.map((a, i) => a.div(rates[i]).integerValue());
};
}
@@ -179,6 +188,9 @@ describe('MarketOperationUtils tests', () => {
[ERC20BridgeSource.Eth2Dai]: createDecreasingRates(NUM_SAMPLES),
[ERC20BridgeSource.Kyber]: createDecreasingRates(NUM_SAMPLES),
[ERC20BridgeSource.Uniswap]: createDecreasingRates(NUM_SAMPLES),
[ERC20BridgeSource.CurveUsdcDai]: createDecreasingRates(NUM_SAMPLES),
[ERC20BridgeSource.CurveUsdcDaiUsdt]: createDecreasingRates(NUM_SAMPLES),
[ERC20BridgeSource.CurveUsdcDaiUsdtTusd]: createDecreasingRates(NUM_SAMPLES),
};
function findSourceWithMaxOutput(rates: RatesBySource): ERC20BridgeSource {
@@ -209,6 +221,7 @@ describe('MarketOperationUtils tests', () => {
getEth2DaiSellQuotes: createGetSellQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Eth2Dai]),
getUniswapBuyQuotes: createGetBuyQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Uniswap]),
getEth2DaiBuyQuotes: createGetBuyQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Eth2Dai]),
getCurveSellQuotes: createGetSellQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.CurveUsdcDai]),
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(DEFAULT_RATES),
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(DEFAULT_RATES),
};
@@ -386,6 +399,9 @@ describe('MarketOperationUtils tests', () => {
rates[ERC20BridgeSource.Uniswap] = [0.5, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Eth2Dai] = [0.6, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Kyber] = [0.7, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.CurveUsdcDai] = [0, 0, 0, 0];
rates[ERC20BridgeSource.CurveUsdcDaiUsdt] = [0, 0, 0, 0];
rates[ERC20BridgeSource.CurveUsdcDaiUsdtTusd] = [0, 0, 0, 0];
replaceSamplerOps({
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
});
@@ -411,6 +427,9 @@ describe('MarketOperationUtils tests', () => {
rates[ERC20BridgeSource.Uniswap] = [0.5, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Eth2Dai] = [0.6, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Kyber] = [0.4, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.CurveUsdcDai] = [0, 0, 0, 0];
rates[ERC20BridgeSource.CurveUsdcDaiUsdt] = [0, 0, 0, 0];
rates[ERC20BridgeSource.CurveUsdcDaiUsdtTusd] = [0, 0, 0, 0];
replaceSamplerOps({
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
});
@@ -436,6 +455,9 @@ describe('MarketOperationUtils tests', () => {
rates[ERC20BridgeSource.Uniswap] = [0.15, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Eth2Dai] = [0.15, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Kyber] = [0.7, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.CurveUsdcDai] = [0, 0, 0, 0];
rates[ERC20BridgeSource.CurveUsdcDaiUsdt] = [0, 0, 0, 0];
rates[ERC20BridgeSource.CurveUsdcDaiUsdtTusd] = [0, 0, 0, 0];
replaceSamplerOps({
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
});
@@ -516,7 +538,15 @@ describe('MarketOperationUtils tests', () => {
});
it('returns the most cost-effective single source if `runLimit == 0`', async () => {
const bestSource = findSourceWithMaxOutput(_.omit(DEFAULT_RATES, ERC20BridgeSource.Kyber));
const bestSource = findSourceWithMaxOutput(
_.omit(
DEFAULT_RATES,
ERC20BridgeSource.Kyber,
ERC20BridgeSource.CurveUsdcDai,
ERC20BridgeSource.CurveUsdcDaiUsdt,
ERC20BridgeSource.CurveUsdcDaiUsdtTusd,
),
);
expect(bestSource).to.exist('');
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
...DEFAULT_OPTS,