358 lines
17 KiB
TypeScript
358 lines
17 KiB
TypeScript
import { constants, expect, getRandomFloat, getRandomInteger, randomAddress } from '@0x/contracts-test-utils';
|
|
import { assetDataUtils, generatePseudoRandomSalt } from '@0x/order-utils';
|
|
import { SignedOrder } from '@0x/types';
|
|
import { BigNumber, hexUtils } from '@0x/utils';
|
|
import * as _ from 'lodash';
|
|
|
|
import { DexOrderSampler, getSampleAmounts } from '../src/utils/market_operation_utils/sampler';
|
|
import { ERC20BridgeSource } from '../src/utils/market_operation_utils/types';
|
|
|
|
import { MockSamplerContract } from './utils/mock_sampler_contract';
|
|
|
|
const CHAIN_ID = 1;
|
|
// tslint:disable: custom-no-magic-numbers
|
|
describe('DexSampler tests', () => {
|
|
const MAKER_TOKEN = randomAddress();
|
|
const TAKER_TOKEN = randomAddress();
|
|
const MAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(MAKER_TOKEN);
|
|
const TAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(TAKER_TOKEN);
|
|
|
|
describe('getSampleAmounts()', () => {
|
|
const FILL_AMOUNT = getRandomInteger(1, 1e18);
|
|
const NUM_SAMPLES = 16;
|
|
|
|
it('generates the correct number of amounts', () => {
|
|
const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
|
|
expect(amounts).to.be.length(NUM_SAMPLES);
|
|
});
|
|
|
|
it('first amount is nonzero', () => {
|
|
const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
|
|
expect(amounts[0]).to.not.bignumber.eq(0);
|
|
});
|
|
|
|
it('last amount is the fill amount', () => {
|
|
const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
|
|
expect(amounts[NUM_SAMPLES - 1]).to.bignumber.eq(FILL_AMOUNT);
|
|
});
|
|
|
|
it('can generate a single amount', () => {
|
|
const amounts = getSampleAmounts(FILL_AMOUNT, 1);
|
|
expect(amounts).to.be.length(1);
|
|
expect(amounts[0]).to.bignumber.eq(FILL_AMOUNT);
|
|
});
|
|
|
|
it('generates ascending amounts', () => {
|
|
const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
|
|
for (const i of _.times(NUM_SAMPLES).slice(1)) {
|
|
const prev = amounts[i - 1];
|
|
const amount = amounts[i];
|
|
expect(prev).to.bignumber.lt(amount);
|
|
}
|
|
});
|
|
});
|
|
|
|
function createOrder(overrides?: Partial<SignedOrder>): SignedOrder {
|
|
return {
|
|
chainId: CHAIN_ID,
|
|
exchangeAddress: hexUtils.random(20),
|
|
makerAddress: constants.NULL_ADDRESS,
|
|
takerAddress: constants.NULL_ADDRESS,
|
|
senderAddress: constants.NULL_ADDRESS,
|
|
feeRecipientAddress: randomAddress(),
|
|
salt: generatePseudoRandomSalt(),
|
|
expirationTimeSeconds: getRandomInteger(0, 2 ** 64),
|
|
makerAssetData: MAKER_ASSET_DATA,
|
|
takerAssetData: TAKER_ASSET_DATA,
|
|
makerFeeAssetData: constants.NULL_BYTES,
|
|
takerFeeAssetData: constants.NULL_BYTES,
|
|
makerAssetAmount: getRandomInteger(1, 1e18),
|
|
takerAssetAmount: getRandomInteger(1, 1e18),
|
|
makerFee: constants.ZERO_AMOUNT,
|
|
takerFee: constants.ZERO_AMOUNT,
|
|
signature: hexUtils.random(),
|
|
...overrides,
|
|
};
|
|
}
|
|
const ORDERS = _.times(4, () => createOrder());
|
|
const SIMPLE_ORDERS = ORDERS.map(o => _.omit(o, ['signature', 'chainId', 'exchangeAddress']));
|
|
|
|
describe('operations', () => {
|
|
it('getOrderFillableMakerAmounts()', async () => {
|
|
const expectedFillableAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const sampler = new MockSamplerContract({
|
|
getOrderFillableMakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [fillableAmounts] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getOrderFillableMakerAmounts(ORDERS),
|
|
);
|
|
expect(fillableAmounts).to.deep.eq(expectedFillableAmounts);
|
|
});
|
|
|
|
it('getOrderFillableTakerAmounts()', async () => {
|
|
const expectedFillableAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const sampler = new MockSamplerContract({
|
|
getOrderFillableTakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [fillableAmounts] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getOrderFillableTakerAmounts(ORDERS),
|
|
);
|
|
expect(fillableAmounts).to.deep.eq(expectedFillableAmounts);
|
|
});
|
|
|
|
it('getKyberSellQuotes()', async () => {
|
|
const expectedTakerToken = hexUtils.random(20);
|
|
const expectedMakerToken = hexUtils.random(20);
|
|
const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
|
|
const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
|
|
const sampler = new MockSamplerContract({
|
|
sampleSellsFromKyberNetwork: (takerToken, makerToken, fillAmounts) => {
|
|
expect(takerToken).to.eq(expectedTakerToken);
|
|
expect(makerToken).to.eq(expectedMakerToken);
|
|
expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
|
|
return expectedMakerFillAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [fillableAmounts] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getKyberSellQuotes(
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedTakerFillAmounts,
|
|
),
|
|
);
|
|
expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
|
|
});
|
|
|
|
it('getEth2DaiSellQuotes()', async () => {
|
|
const expectedTakerToken = hexUtils.random(20);
|
|
const expectedMakerToken = hexUtils.random(20);
|
|
const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
|
|
const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
|
|
const sampler = new MockSamplerContract({
|
|
sampleSellsFromEth2Dai: (takerToken, makerToken, fillAmounts) => {
|
|
expect(takerToken).to.eq(expectedTakerToken);
|
|
expect(makerToken).to.eq(expectedMakerToken);
|
|
expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
|
|
return expectedMakerFillAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [fillableAmounts] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getEth2DaiSellQuotes(
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedTakerFillAmounts,
|
|
),
|
|
);
|
|
expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
|
|
});
|
|
|
|
it('getUniswapSellQuotes()', async () => {
|
|
const expectedTakerToken = hexUtils.random(20);
|
|
const expectedMakerToken = hexUtils.random(20);
|
|
const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
|
|
const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
|
|
const sampler = new MockSamplerContract({
|
|
sampleSellsFromUniswap: (takerToken, makerToken, fillAmounts) => {
|
|
expect(takerToken).to.eq(expectedTakerToken);
|
|
expect(makerToken).to.eq(expectedMakerToken);
|
|
expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
|
|
return expectedMakerFillAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [fillableAmounts] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getUniswapSellQuotes(
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedTakerFillAmounts,
|
|
),
|
|
);
|
|
expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
|
|
});
|
|
|
|
it('getEth2DaiBuyQuotes()', async () => {
|
|
const expectedTakerToken = hexUtils.random(20);
|
|
const expectedMakerToken = hexUtils.random(20);
|
|
const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
|
|
const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
|
|
const sampler = new MockSamplerContract({
|
|
sampleBuysFromEth2Dai: (takerToken, makerToken, fillAmounts) => {
|
|
expect(takerToken).to.eq(expectedTakerToken);
|
|
expect(makerToken).to.eq(expectedMakerToken);
|
|
expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
|
|
return expectedTakerFillAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [fillableAmounts] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getEth2DaiBuyQuotes(
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedMakerFillAmounts,
|
|
),
|
|
);
|
|
expect(fillableAmounts).to.deep.eq(expectedTakerFillAmounts);
|
|
});
|
|
|
|
it('getUniswapBuyQuotes()', async () => {
|
|
const expectedTakerToken = hexUtils.random(20);
|
|
const expectedMakerToken = hexUtils.random(20);
|
|
const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
|
|
const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
|
|
const sampler = new MockSamplerContract({
|
|
sampleBuysFromUniswap: (takerToken, makerToken, fillAmounts) => {
|
|
expect(takerToken).to.eq(expectedTakerToken);
|
|
expect(makerToken).to.eq(expectedMakerToken);
|
|
expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
|
|
return expectedTakerFillAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [fillableAmounts] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getUniswapBuyQuotes(
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedMakerFillAmounts,
|
|
),
|
|
);
|
|
expect(fillableAmounts).to.deep.eq(expectedTakerFillAmounts);
|
|
});
|
|
|
|
interface RatesBySource {
|
|
[src: string]: BigNumber;
|
|
}
|
|
|
|
it('getSellQuotes()', async () => {
|
|
const expectedTakerToken = hexUtils.random(20);
|
|
const expectedMakerToken = hexUtils.random(20);
|
|
const sources = [ERC20BridgeSource.Kyber, ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap];
|
|
const ratesBySource: RatesBySource = {
|
|
[ERC20BridgeSource.Kyber]: getRandomFloat(0, 100),
|
|
[ERC20BridgeSource.Eth2Dai]: getRandomFloat(0, 100),
|
|
[ERC20BridgeSource.Uniswap]: getRandomFloat(0, 100),
|
|
};
|
|
const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
|
|
const sampler = new MockSamplerContract({
|
|
sampleSellsFromKyberNetwork: (takerToken, makerToken, fillAmounts) => {
|
|
expect(takerToken).to.eq(expectedTakerToken);
|
|
expect(makerToken).to.eq(expectedMakerToken);
|
|
expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
|
|
return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Kyber]).integerValue());
|
|
},
|
|
sampleSellsFromUniswap: (takerToken, makerToken, fillAmounts) => {
|
|
expect(takerToken).to.eq(expectedTakerToken);
|
|
expect(makerToken).to.eq(expectedMakerToken);
|
|
expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
|
|
return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Uniswap]).integerValue());
|
|
},
|
|
sampleSellsFromEth2Dai: (takerToken, makerToken, fillAmounts) => {
|
|
expect(takerToken).to.eq(expectedTakerToken);
|
|
expect(makerToken).to.eq(expectedMakerToken);
|
|
expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
|
|
return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Eth2Dai]).integerValue());
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [quotes] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getSellQuotes(
|
|
sources,
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedTakerFillAmounts,
|
|
),
|
|
);
|
|
expect(quotes).to.be.length(sources.length);
|
|
const expectedQuotes = sources.map(s =>
|
|
expectedTakerFillAmounts.map(a => ({
|
|
source: s,
|
|
input: a,
|
|
output: a.times(ratesBySource[s]).integerValue(),
|
|
})),
|
|
);
|
|
expect(quotes).to.deep.eq(expectedQuotes);
|
|
});
|
|
|
|
it('getBuyQuotes()', async () => {
|
|
const expectedTakerToken = hexUtils.random(20);
|
|
const expectedMakerToken = hexUtils.random(20);
|
|
const sources = [ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap];
|
|
const ratesBySource: RatesBySource = {
|
|
[ERC20BridgeSource.Eth2Dai]: getRandomFloat(0, 100),
|
|
[ERC20BridgeSource.Uniswap]: getRandomFloat(0, 100),
|
|
};
|
|
const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
|
|
const sampler = new MockSamplerContract({
|
|
sampleBuysFromUniswap: (takerToken, makerToken, fillAmounts) => {
|
|
expect(takerToken).to.eq(expectedTakerToken);
|
|
expect(makerToken).to.eq(expectedMakerToken);
|
|
expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
|
|
return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Uniswap]).integerValue());
|
|
},
|
|
sampleBuysFromEth2Dai: (takerToken, makerToken, fillAmounts) => {
|
|
expect(takerToken).to.eq(expectedTakerToken);
|
|
expect(makerToken).to.eq(expectedMakerToken);
|
|
expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
|
|
return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Eth2Dai]).integerValue());
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [quotes] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getBuyQuotes(
|
|
sources,
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedMakerFillAmounts,
|
|
),
|
|
);
|
|
expect(quotes).to.be.length(sources.length);
|
|
const expectedQuotes = sources.map(s =>
|
|
expectedMakerFillAmounts.map(a => ({
|
|
source: s,
|
|
input: a,
|
|
output: a.times(ratesBySource[s]).integerValue(),
|
|
})),
|
|
);
|
|
expect(quotes).to.deep.eq(expectedQuotes);
|
|
});
|
|
});
|
|
|
|
describe('batched operations', () => {
|
|
it('getOrderFillableMakerAmounts(), getOrderFillableTakerAmounts()', async () => {
|
|
const expectedFillableTakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const expectedFillableMakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const sampler = new MockSamplerContract({
|
|
getOrderFillableMakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableMakerAmounts;
|
|
},
|
|
getOrderFillableTakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableTakerAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [fillableMakerAmounts, fillableTakerAmounts] = await dexOrderSampler.executeAsync(
|
|
DexOrderSampler.ops.getOrderFillableMakerAmounts(ORDERS),
|
|
DexOrderSampler.ops.getOrderFillableTakerAmounts(ORDERS),
|
|
);
|
|
expect(fillableMakerAmounts).to.deep.eq(expectedFillableMakerAmounts);
|
|
expect(fillableTakerAmounts).to.deep.eq(expectedFillableTakerAmounts);
|
|
});
|
|
});
|
|
});
|
|
// tslint:disable-next-line: max-file-line-count
|