protocol/packages/asset-swapper/test/exchange_proxy_swap_quote_consumer_test.ts

442 lines
22 KiB
TypeScript

import { getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
import { constants as contractConstants, getRandomInteger, Numberish, randomAddress } from '@0x/contracts-test-utils';
import {
assetDataUtils,
decodeAffiliateFeeTransformerData,
decodeFillQuoteTransformerData,
decodePayTakerTransformerData,
decodeWethTransformerData,
ETH_TOKEN_ADDRESS,
FillQuoteTransformerSide,
getTransformerAddress,
} from '@0x/order-utils';
import { Order } from '@0x/types';
import { AbiEncoder, BigNumber, hexUtils } from '@0x/utils';
import * as chai from 'chai';
import * as _ from 'lodash';
import 'mocha';
import { constants } from '../src/constants';
import { ExchangeProxySwapQuoteConsumer } from '../src/quote_consumers/exchange_proxy_swap_quote_consumer';
import { getSwapMinBuyAmount } from '../src/quote_consumers/utils';
import { MarketBuySwapQuote, MarketOperation, MarketSellSwapQuote } from '../src/types';
import { ERC20BridgeSource, OptimizedMarketOrder } from '../src/utils/market_operation_utils/types';
import { chaiSetup } from './utils/chai_setup';
chaiSetup.configure();
const expect = chai.expect;
const { NULL_ADDRESS } = constants;
const { MAX_UINT256, ZERO_AMOUNT } = contractConstants;
// tslint:disable: custom-no-magic-numbers
describe('ExchangeProxySwapQuoteConsumer', () => {
const CHAIN_ID = 1;
const TAKER_TOKEN = randomAddress();
const MAKER_TOKEN = randomAddress();
const INTERMEDIATE_TOKEN = randomAddress();
const TRANSFORMER_DEPLOYER = randomAddress();
const contractAddresses = {
...getContractAddressesForChainOrThrow(CHAIN_ID),
exchangeProxy: randomAddress(),
exchangeProxyAllowanceTarget: randomAddress(),
exchangeProxyTransformerDeployer: TRANSFORMER_DEPLOYER,
transformers: {
wethTransformer: getTransformerAddress(TRANSFORMER_DEPLOYER, 1),
payTakerTransformer: getTransformerAddress(TRANSFORMER_DEPLOYER, 2),
fillQuoteTransformer: getTransformerAddress(TRANSFORMER_DEPLOYER, 3),
affiliateFeeTransformer: getTransformerAddress(TRANSFORMER_DEPLOYER, 4),
},
};
let consumer: ExchangeProxySwapQuoteConsumer;
before(async () => {
const fakeProvider = {
async sendAsync(): Promise<void> {
/* noop */
},
};
consumer = new ExchangeProxySwapQuoteConsumer(fakeProvider, contractAddresses, { chainId: CHAIN_ID });
});
function getRandomAmount(maxAmount: Numberish = '1e18'): BigNumber {
return getRandomInteger(1, maxAmount);
}
function createAssetData(token?: string): string {
return assetDataUtils.encodeERC20AssetData(token || randomAddress());
}
function getRandomOrder(): OptimizedMarketOrder {
return {
fillableMakerAssetAmount: getRandomAmount(),
fillableTakerFeeAmount: getRandomAmount(),
fillableTakerAssetAmount: getRandomAmount(),
fills: [],
chainId: CHAIN_ID,
exchangeAddress: contractAddresses.exchange,
expirationTimeSeconds: getRandomInteger(1, 2e9),
feeRecipientAddress: randomAddress(),
makerAddress: randomAddress(),
makerAssetAmount: getRandomAmount(),
takerAssetAmount: getRandomAmount(),
makerFee: getRandomAmount(),
takerFee: getRandomAmount(),
salt: getRandomAmount(2e9),
signature: hexUtils.random(66),
senderAddress: NULL_ADDRESS,
takerAddress: NULL_ADDRESS,
makerAssetData: createAssetData(MAKER_TOKEN),
takerAssetData: createAssetData(TAKER_TOKEN),
makerFeeAssetData: createAssetData(),
takerFeeAssetData: createAssetData(),
};
}
function getRandomQuote(side: MarketOperation): MarketBuySwapQuote | MarketSellSwapQuote {
return {
gasPrice: getRandomInteger(1, 1e9),
type: side,
makerAssetData: createAssetData(MAKER_TOKEN),
takerAssetData: createAssetData(TAKER_TOKEN),
orders: [getRandomOrder()],
bestCaseQuoteInfo: {
feeTakerAssetAmount: getRandomAmount(),
makerAssetAmount: getRandomAmount(),
gas: Math.floor(Math.random() * 8e6),
protocolFeeInWeiAmount: getRandomAmount(),
takerAssetAmount: getRandomAmount(),
totalTakerAssetAmount: getRandomAmount(),
},
worstCaseQuoteInfo: {
feeTakerAssetAmount: getRandomAmount(),
makerAssetAmount: getRandomAmount(),
gas: Math.floor(Math.random() * 8e6),
protocolFeeInWeiAmount: getRandomAmount(),
takerAssetAmount: getRandomAmount(),
totalTakerAssetAmount: getRandomAmount(),
},
...(side === MarketOperation.Buy
? { makerAssetFillAmount: getRandomAmount() }
: { takerAssetFillAmount: getRandomAmount() }),
} as any;
}
function getRandomTwoHopQuote(side: MarketOperation): MarketBuySwapQuote | MarketSellSwapQuote {
const intermediateTokenAssetData = createAssetData(INTERMEDIATE_TOKEN);
return {
...getRandomQuote(side),
orders: [
{ ...getRandomOrder(), makerAssetData: intermediateTokenAssetData },
{ ...getRandomOrder(), takerAssetData: intermediateTokenAssetData },
],
isTwoHop: true,
} as any;
}
function getRandomSellQuote(): MarketSellSwapQuote {
return getRandomQuote(MarketOperation.Sell) as MarketSellSwapQuote;
}
function getRandomBuyQuote(): MarketBuySwapQuote {
return getRandomQuote(MarketOperation.Buy) as MarketBuySwapQuote;
}
type PlainOrder = Exclude<Order, ['chainId', 'exchangeAddress']>;
function cleanOrders(orders: OptimizedMarketOrder[]): PlainOrder[] {
return orders.map(
o =>
_.omit(o, [
'chainId',
'exchangeAddress',
'fillableMakerAssetAmount',
'fillableTakerAssetAmount',
'fillableTakerFeeAmount',
'fills',
'signature',
]) as PlainOrder,
);
}
const transformERC20Encoder = AbiEncoder.createMethod('transformERC20', [
{ type: 'address', name: 'inputToken' },
{ type: 'address', name: 'outputToken' },
{ type: 'uint256', name: 'inputTokenAmount' },
{ type: 'uint256', name: 'minOutputTokenAmount' },
{
type: 'tuple[]',
name: 'transformations',
components: [{ type: 'uint32', name: 'deploymentNonce' }, { type: 'bytes', name: 'data' }],
},
]);
interface TransformERC20Args {
inputToken: string;
outputToken: string;
inputTokenAmount: BigNumber;
minOutputTokenAmount: BigNumber;
transformations: Array<{
deploymentNonce: BigNumber;
data: string;
}>;
}
const liquidityProviderEncoder = AbiEncoder.createMethod('sellToLiquidityProvider', [
{ type: 'address', name: 'inputToken' },
{ type: 'address', name: 'outputToken' },
{ type: 'address', name: 'target' },
{ type: 'address', name: 'recipient' },
{ type: 'uint256', name: 'sellAmount' },
{ type: 'uint256', name: 'minBuyAmount' },
{ type: 'bytes', name: 'auxiliaryData' },
]);
interface LiquidityProviderArgs {
inputToken: string;
outputToken: string;
target: string;
recipient: string;
sellAmount: BigNumber;
minBuyAmount: BigNumber;
auxiliaryData: string;
}
describe('getCalldataOrThrow()', () => {
it('can produce a sell quote', async () => {
const quote = getRandomSellQuote();
const callInfo = await consumer.getCalldataOrThrowAsync(quote);
const callArgs = transformERC20Encoder.decode(callInfo.calldataHexString) as TransformERC20Args;
expect(callArgs.inputToken).to.eq(TAKER_TOKEN);
expect(callArgs.outputToken).to.eq(MAKER_TOKEN);
expect(callArgs.inputTokenAmount).to.bignumber.eq(quote.worstCaseQuoteInfo.totalTakerAssetAmount);
expect(callArgs.minOutputTokenAmount).to.bignumber.eq(getSwapMinBuyAmount(quote));
expect(callArgs.transformations).to.be.length(2);
expect(
callArgs.transformations[0].deploymentNonce.toNumber() ===
consumer.transformerNonces.fillQuoteTransformer,
);
expect(
callArgs.transformations[1].deploymentNonce.toNumber() ===
consumer.transformerNonces.payTakerTransformer,
);
const fillQuoteTransformerData = decodeFillQuoteTransformerData(callArgs.transformations[0].data);
expect(fillQuoteTransformerData.side).to.eq(FillQuoteTransformerSide.Sell);
expect(fillQuoteTransformerData.fillAmount).to.bignumber.eq(quote.takerAssetFillAmount);
expect(fillQuoteTransformerData.orders).to.deep.eq(cleanOrders(quote.orders));
expect(fillQuoteTransformerData.signatures).to.deep.eq(quote.orders.map(o => o.signature));
expect(fillQuoteTransformerData.sellToken).to.eq(TAKER_TOKEN);
expect(fillQuoteTransformerData.buyToken).to.eq(MAKER_TOKEN);
const payTakerTransformerData = decodePayTakerTransformerData(callArgs.transformations[1].data);
expect(payTakerTransformerData.amounts).to.deep.eq([]);
expect(payTakerTransformerData.tokens).to.deep.eq([TAKER_TOKEN, MAKER_TOKEN, ETH_TOKEN_ADDRESS]);
});
it('can produce a buy quote', async () => {
const quote = getRandomBuyQuote();
const callInfo = await consumer.getCalldataOrThrowAsync(quote);
const callArgs = transformERC20Encoder.decode(callInfo.calldataHexString) as TransformERC20Args;
expect(callArgs.inputToken).to.eq(TAKER_TOKEN);
expect(callArgs.outputToken).to.eq(MAKER_TOKEN);
expect(callArgs.inputTokenAmount).to.bignumber.eq(quote.worstCaseQuoteInfo.totalTakerAssetAmount);
expect(callArgs.minOutputTokenAmount).to.bignumber.eq(getSwapMinBuyAmount(quote));
expect(callArgs.transformations).to.be.length(2);
expect(
callArgs.transformations[0].deploymentNonce.toNumber() ===
consumer.transformerNonces.fillQuoteTransformer,
);
expect(
callArgs.transformations[1].deploymentNonce.toNumber() ===
consumer.transformerNonces.payTakerTransformer,
);
const fillQuoteTransformerData = decodeFillQuoteTransformerData(callArgs.transformations[0].data);
expect(fillQuoteTransformerData.side).to.eq(FillQuoteTransformerSide.Buy);
expect(fillQuoteTransformerData.fillAmount).to.bignumber.eq(quote.makerAssetFillAmount);
expect(fillQuoteTransformerData.orders).to.deep.eq(cleanOrders(quote.orders));
expect(fillQuoteTransformerData.signatures).to.deep.eq(quote.orders.map(o => o.signature));
expect(fillQuoteTransformerData.sellToken).to.eq(TAKER_TOKEN);
expect(fillQuoteTransformerData.buyToken).to.eq(MAKER_TOKEN);
const payTakerTransformerData = decodePayTakerTransformerData(callArgs.transformations[1].data);
expect(payTakerTransformerData.amounts).to.deep.eq([]);
expect(payTakerTransformerData.tokens).to.deep.eq([TAKER_TOKEN, MAKER_TOKEN, ETH_TOKEN_ADDRESS]);
});
it('ERC20 -> ERC20 does not have a WETH transformer', async () => {
const quote = getRandomSellQuote();
const callInfo = await consumer.getCalldataOrThrowAsync(quote);
const callArgs = transformERC20Encoder.decode(callInfo.calldataHexString) as TransformERC20Args;
const nonces = callArgs.transformations.map(t => t.deploymentNonce);
expect(nonces).to.not.include(consumer.transformerNonces.wethTransformer);
});
it('ETH -> ERC20 has a WETH transformer before the fill', async () => {
const quote = getRandomSellQuote();
const callInfo = await consumer.getCalldataOrThrowAsync(quote, {
extensionContractOpts: { isFromETH: true },
});
const callArgs = transformERC20Encoder.decode(callInfo.calldataHexString) as TransformERC20Args;
expect(callArgs.transformations[0].deploymentNonce.toNumber()).to.eq(
consumer.transformerNonces.wethTransformer,
);
const wethTransformerData = decodeWethTransformerData(callArgs.transformations[0].data);
expect(wethTransformerData.amount).to.bignumber.eq(quote.worstCaseQuoteInfo.totalTakerAssetAmount);
expect(wethTransformerData.token).to.eq(ETH_TOKEN_ADDRESS);
});
it('ERC20 -> ETH has a WETH transformer after the fill', async () => {
const quote = getRandomSellQuote();
const callInfo = await consumer.getCalldataOrThrowAsync(quote, {
extensionContractOpts: { isToETH: true },
});
const callArgs = transformERC20Encoder.decode(callInfo.calldataHexString) as TransformERC20Args;
expect(callArgs.transformations[1].deploymentNonce.toNumber()).to.eq(
consumer.transformerNonces.wethTransformer,
);
const wethTransformerData = decodeWethTransformerData(callArgs.transformations[1].data);
expect(wethTransformerData.amount).to.bignumber.eq(MAX_UINT256);
expect(wethTransformerData.token).to.eq(contractAddresses.etherToken);
});
it('Appends an affiliate fee transformer after the fill if a buy token affiliate fee is provided', async () => {
const quote = getRandomSellQuote();
const affiliateFee = {
recipient: randomAddress(),
buyTokenFeeAmount: getRandomAmount(),
sellTokenFeeAmount: ZERO_AMOUNT,
};
const callInfo = await consumer.getCalldataOrThrowAsync(quote, {
extensionContractOpts: { affiliateFee },
});
const callArgs = transformERC20Encoder.decode(callInfo.calldataHexString) as TransformERC20Args;
expect(callArgs.transformations[1].deploymentNonce.toNumber()).to.eq(
consumer.transformerNonces.affiliateFeeTransformer,
);
const affiliateFeeTransformerData = decodeAffiliateFeeTransformerData(callArgs.transformations[1].data);
expect(affiliateFeeTransformerData.fees).to.deep.equal([
{ token: MAKER_TOKEN, amount: affiliateFee.buyTokenFeeAmount, recipient: affiliateFee.recipient },
]);
});
it('Throws if a sell token affiliate fee is provided', async () => {
const quote = getRandomSellQuote();
const affiliateFee = {
recipient: randomAddress(),
buyTokenFeeAmount: ZERO_AMOUNT,
sellTokenFeeAmount: getRandomAmount(),
};
expect(
consumer.getCalldataOrThrowAsync(quote, {
extensionContractOpts: { affiliateFee },
}),
).to.eventually.be.rejectedWith('Affiliate fees denominated in sell token are not yet supported');
});
it('Uses two `FillQuoteTransformer`s if given two-hop sell quote', async () => {
const quote = getRandomTwoHopQuote(MarketOperation.Sell) as MarketSellSwapQuote;
const callInfo = await consumer.getCalldataOrThrowAsync(quote, {
extensionContractOpts: { isTwoHop: true },
});
const callArgs = transformERC20Encoder.decode(callInfo.calldataHexString) as TransformERC20Args;
expect(callArgs.inputToken).to.eq(TAKER_TOKEN);
expect(callArgs.outputToken).to.eq(MAKER_TOKEN);
expect(callArgs.inputTokenAmount).to.bignumber.eq(quote.worstCaseQuoteInfo.totalTakerAssetAmount);
expect(callArgs.minOutputTokenAmount).to.bignumber.eq(getSwapMinBuyAmount(quote));
expect(callArgs.transformations).to.be.length(3);
expect(
callArgs.transformations[0].deploymentNonce.toNumber() ===
consumer.transformerNonces.fillQuoteTransformer,
);
expect(
callArgs.transformations[1].deploymentNonce.toNumber() ===
consumer.transformerNonces.fillQuoteTransformer,
);
expect(
callArgs.transformations[2].deploymentNonce.toNumber() ===
consumer.transformerNonces.payTakerTransformer,
);
const [firstHopOrder, secondHopOrder] = quote.orders;
const firstHopFillQuoteTransformerData = decodeFillQuoteTransformerData(callArgs.transformations[0].data);
expect(firstHopFillQuoteTransformerData.side).to.eq(FillQuoteTransformerSide.Sell);
expect(firstHopFillQuoteTransformerData.fillAmount).to.bignumber.eq(firstHopOrder.takerAssetAmount);
expect(firstHopFillQuoteTransformerData.orders).to.deep.eq(cleanOrders([firstHopOrder]));
expect(firstHopFillQuoteTransformerData.signatures).to.deep.eq([firstHopOrder.signature]);
expect(firstHopFillQuoteTransformerData.sellToken).to.eq(TAKER_TOKEN);
expect(firstHopFillQuoteTransformerData.buyToken).to.eq(INTERMEDIATE_TOKEN);
const secondHopFillQuoteTransformerData = decodeFillQuoteTransformerData(callArgs.transformations[1].data);
expect(secondHopFillQuoteTransformerData.side).to.eq(FillQuoteTransformerSide.Sell);
expect(secondHopFillQuoteTransformerData.fillAmount).to.bignumber.eq(contractConstants.MAX_UINT256);
expect(secondHopFillQuoteTransformerData.orders).to.deep.eq(cleanOrders([secondHopOrder]));
expect(secondHopFillQuoteTransformerData.signatures).to.deep.eq([secondHopOrder.signature]);
expect(secondHopFillQuoteTransformerData.sellToken).to.eq(INTERMEDIATE_TOKEN);
expect(secondHopFillQuoteTransformerData.buyToken).to.eq(MAKER_TOKEN);
const payTakerTransformerData = decodePayTakerTransformerData(callArgs.transformations[2].data);
expect(payTakerTransformerData.amounts).to.deep.eq([]);
expect(payTakerTransformerData.tokens).to.deep.eq([
TAKER_TOKEN,
MAKER_TOKEN,
ETH_TOKEN_ADDRESS,
INTERMEDIATE_TOKEN,
]);
});
it.skip('Uses the `LiquidityProviderFeature` if given a single LiquidityProvider order', async () => {
const quote = {
...getRandomSellQuote(),
orders: [
{
...getRandomOrder(),
fills: [
{
source: ERC20BridgeSource.LiquidityProvider,
sourcePathId: '',
input: constants.ZERO_AMOUNT,
output: constants.ZERO_AMOUNT,
subFills: [],
},
],
},
],
};
const callInfo = await consumer.getCalldataOrThrowAsync(quote);
const callArgs = liquidityProviderEncoder.decode(callInfo.calldataHexString) as LiquidityProviderArgs;
expect(callArgs).to.deep.equal({
inputToken: TAKER_TOKEN,
outputToken: MAKER_TOKEN,
target: quote.orders[0].makerAddress,
recipient: constants.NULL_ADDRESS,
sellAmount: quote.worstCaseQuoteInfo.totalTakerAssetAmount,
minBuyAmount: getSwapMinBuyAmount(quote),
auxiliaryData: constants.NULL_BYTES,
});
});
it('allows selling the entire balance for CFL', async () => {
const quote = getRandomSellQuote();
const callInfo = await consumer.getCalldataOrThrowAsync(quote, {
extensionContractOpts: { shouldSellEntireBalance: true },
});
const callArgs = transformERC20Encoder.decode(callInfo.calldataHexString) as TransformERC20Args;
expect(callArgs.inputToken).to.eq(TAKER_TOKEN);
expect(callArgs.outputToken).to.eq(MAKER_TOKEN);
expect(callArgs.inputTokenAmount).to.bignumber.eq(MAX_UINT256);
expect(callArgs.minOutputTokenAmount).to.bignumber.eq(getSwapMinBuyAmount(quote));
expect(callArgs.transformations).to.be.length(2);
expect(
callArgs.transformations[0].deploymentNonce.toNumber() ===
consumer.transformerNonces.fillQuoteTransformer,
);
expect(
callArgs.transformations[1].deploymentNonce.toNumber() ===
consumer.transformerNonces.payTakerTransformer,
);
const fillQuoteTransformerData = decodeFillQuoteTransformerData(callArgs.transformations[0].data);
expect(fillQuoteTransformerData.side).to.eq(FillQuoteTransformerSide.Sell);
expect(fillQuoteTransformerData.fillAmount).to.bignumber.eq(MAX_UINT256);
expect(fillQuoteTransformerData.orders).to.deep.eq(cleanOrders(quote.orders));
expect(fillQuoteTransformerData.signatures).to.deep.eq(quote.orders.map(o => o.signature));
expect(fillQuoteTransformerData.sellToken).to.eq(TAKER_TOKEN);
expect(fillQuoteTransformerData.buyToken).to.eq(MAKER_TOKEN);
const payTakerTransformerData = decodePayTakerTransformerData(callArgs.transformations[1].data);
expect(payTakerTransformerData.amounts).to.deep.eq([]);
expect(payTakerTransformerData.tokens).to.deep.eq([TAKER_TOKEN, MAKER_TOKEN, ETH_TOKEN_ADDRESS]);
});
});
});