feat: Balancer V2 integration (#206)
* add balancer v2 * fetch balancer v2 pools from subgraph * feat: initial stab at a Balancer V2 Sampler WIP * feat: add sampling for buys and fix build issues WIP [untested] * fix: BalancerV2Sampler implementation issues, works on Kovan * chore: BalancerV2 sampling boilerplate * fix: update Balancer V2 mainnet address * fix: consolidate differences between the 2 working branches * fix: use mainnet Balancer V2 subgraph * fix: stack too deep by minimizing and inline Balancer V2 vault interface * fix: address review comments and clean up * fix: sampler vault interface and pools cache assuming a pool has swaps * address more review comments * fix: TS type issues and add a comment about deadline argument * fix: pools_cache_tests incorrect token addresses, prettier incompat * fix: make ERC20BridgeSampler support BalancerV2 non view sampler fns * fix: use a struct for passing encoded bridge data for Balancer V2 * chore: add changelog entries * fix: improve gas accuracy of gas schedule for Balancer V2 & Maker Psm * fix: don't exclude sources with stale caches & wait for cache refresh * rebase * `@0x/asset-swapper`: Fix stack too deep errors in sampler Co-authored-by: Kim Persson <kimpersson88@gmail.com> Co-authored-by: Lawrence Forman <me@merklejerk.com>
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Xianny
GitHub
@@ -9,14 +9,12 @@ import {
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} from '@0x/contracts-test-utils';
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import { FillQuoteTransformerOrderType, LimitOrderFields, SignatureType } from '@0x/protocol-utils';
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import { BigNumber, hexUtils, NULL_ADDRESS } from '@0x/utils';
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import { Pool } from '@balancer-labs/sor/dist/types';
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import * as _ from 'lodash';
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import { SignedOrder } from '../src/types';
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import { DexOrderSampler, getSampleAmounts } from '../src/utils/market_operation_utils/sampler';
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import { ERC20BridgeSource, TokenAdjacencyGraph } from '../src/utils/market_operation_utils/types';
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import { MockBalancerPoolsCache } from './utils/mock_balancer_pools_cache';
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import { MockSamplerContract } from './utils/mock_sampler_contract';
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import { generatePseudoRandomSalt } from './utils/utils';
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@@ -112,7 +110,6 @@ describe('DexSampler tests', () => {
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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@@ -137,7 +134,6 @@ describe('DexSampler tests', () => {
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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@@ -166,7 +162,6 @@ describe('DexSampler tests', () => {
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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@@ -200,7 +195,6 @@ describe('DexSampler tests', () => {
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undefined,
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undefined,
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undefined,
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undefined,
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{
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[poolAddress]: { tokens: [expectedMakerToken, expectedTakerToken], gasCost },
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},
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@@ -245,7 +239,6 @@ describe('DexSampler tests', () => {
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undefined,
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undefined,
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undefined,
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undefined,
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{
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[poolAddress]: { tokens: [expectedMakerToken, expectedTakerToken], gasCost },
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},
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@@ -291,7 +284,6 @@ describe('DexSampler tests', () => {
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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@@ -325,7 +317,6 @@ describe('DexSampler tests', () => {
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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@@ -358,7 +349,6 @@ describe('DexSampler tests', () => {
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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@@ -391,7 +381,6 @@ describe('DexSampler tests', () => {
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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@@ -425,7 +414,6 @@ describe('DexSampler tests', () => {
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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@@ -490,7 +478,6 @@ describe('DexSampler tests', () => {
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sampler,
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undefined,
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undefined,
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undefined,
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tokenAdjacencyGraph,
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@@ -542,38 +529,6 @@ describe('DexSampler tests', () => {
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expect(quotes).to.have.lengthOf(sources.length + additionalSourceCount);
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expect(quotes).to.deep.eq(expectedQuotes.concat(uniswapV2ETHQuotes));
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});
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it('getSellQuotes() fetches pools but not samples from Balancer', async () => {
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// HACK
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// We disabled the off-chain sampling due to incorrect data observed between
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// on-chain and off-chain sampling
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
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const pools: Pool[] = [generateBalancerPool(), generateBalancerPool()];
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const balancerPoolsCache = new MockBalancerPoolsCache({
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getPoolsForPairAsync: async (takerToken: string, makerToken: string) => {
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expect(takerToken).equal(expectedTakerToken);
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expect(makerToken).equal(expectedMakerToken);
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return Promise.resolve(pools);
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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new MockSamplerContract({}),
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undefined,
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balancerPoolsCache,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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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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expect(quotes).to.have.lengthOf(0);
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});
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it('getBuyQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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@@ -620,7 +575,6 @@ describe('DexSampler tests', () => {
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sampler,
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undefined,
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undefined,
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undefined,
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tokenAdjacencyGraph,
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undefined,
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@@ -665,80 +619,39 @@ describe('DexSampler tests', () => {
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expect(quotes).to.have.lengthOf(sources.length + 1);
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expect(quotes).to.deep.eq(expectedQuotes.concat(uniswapV2ETHQuotes));
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});
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it('getBuyQuotes() uses samples from Balancer', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
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const pools: Pool[] = [generateBalancerPool(), generateBalancerPool()];
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const balancerPoolsCache = new MockBalancerPoolsCache({
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getPoolsForPairAsync: async (takerToken: string, makerToken: string) => {
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expect(takerToken).equal(expectedTakerToken);
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expect(makerToken).equal(expectedMakerToken);
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return Promise.resolve(pools);
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},
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describe('batched operations', () => {
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it('getLimitOrderFillableMakerAssetAmounts(), getLimitOrderFillableTakerAssetAmounts()', async () => {
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const expectedFillableTakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const expectedFillableMakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const sampler = new MockSamplerContract({
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getLimitOrderFillableMakerAssetAmounts: (orders, signatures) => {
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expect(orders).to.deep.eq(SIMPLE_ORDERS);
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expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
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return expectedFillableMakerAmounts;
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},
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getLimitOrderFillableTakerAssetAmounts: (orders, signatures) => {
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expect(orders).to.deep.eq(SIMPLE_ORDERS);
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expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
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return expectedFillableTakerAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableMakerAmounts, fillableTakerAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getLimitOrderFillableMakerAmounts(ORDERS, exchangeProxyAddress),
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dexOrderSampler.getLimitOrderFillableTakerAmounts(ORDERS, exchangeProxyAddress),
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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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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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new MockSamplerContract({}),
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undefined,
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balancerPoolsCache,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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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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expect(quotes).to.have.lengthOf(0);
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});
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});
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describe('batched operations', () => {
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it('getLimitOrderFillableMakerAssetAmounts(), getLimitOrderFillableTakerAssetAmounts()', async () => {
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const expectedFillableTakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const expectedFillableMakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const sampler = new MockSamplerContract({
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getLimitOrderFillableMakerAssetAmounts: (orders, signatures) => {
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expect(orders).to.deep.eq(SIMPLE_ORDERS);
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expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
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return expectedFillableMakerAmounts;
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},
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getLimitOrderFillableTakerAssetAmounts: (orders, signatures) => {
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expect(orders).to.deep.eq(SIMPLE_ORDERS);
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expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
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return expectedFillableTakerAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableMakerAmounts, fillableTakerAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getLimitOrderFillableMakerAmounts(ORDERS, exchangeProxyAddress),
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dexOrderSampler.getLimitOrderFillableTakerAmounts(ORDERS, exchangeProxyAddress),
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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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});
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});
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});
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function generateBalancerPool(): Pool {
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return {
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id: randomAddress(),
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balanceIn: getRandomInteger(1, 1e18),
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balanceOut: getRandomInteger(1, 1e18),
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weightIn: getRandomInteger(0, 1e5),
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weightOut: getRandomInteger(0, 1e5),
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swapFee: getRandomInteger(0, 1e5),
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};
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}
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// tslint:disable-next-line: max-file-line-count
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