959 lines
46 KiB
TypeScript
959 lines
46 KiB
TypeScript
import { getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
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import {
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assertRoughlyEquals,
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constants,
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expect,
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getRandomFloat,
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getRandomInteger,
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Numberish,
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randomAddress,
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} from '@0x/contracts-test-utils';
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import { Web3Wrapper } from '@0x/dev-utils';
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import { assetDataUtils, generatePseudoRandomSalt } from '@0x/order-utils';
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import { AssetProxyId, ERC20BridgeAssetData, SignedOrder } from '@0x/types';
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import { BigNumber, fromTokenUnitAmount, hexUtils, NULL_ADDRESS } from '@0x/utils';
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import * as _ from 'lodash';
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import { MarketOperationUtils } from '../src/utils/market_operation_utils/';
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import { BUY_SOURCES, DEFAULT_CURVE_OPTS, SELL_SOURCES } from '../src/utils/market_operation_utils/constants';
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import { DexOrderSampler } from '../src/utils/market_operation_utils/sampler';
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import { DexSample, ERC20BridgeSource } from '../src/utils/market_operation_utils/types';
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// tslint:disable: custom-no-magic-numbers
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describe('MarketOperationUtils tests', () => {
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const CHAIN_ID = 1;
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const contractAddresses = getContractAddressesForChainOrThrow(CHAIN_ID);
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const ETH2DAI_BRIDGE_ADDRESS = contractAddresses.eth2DaiBridge;
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const KYBER_BRIDGE_ADDRESS = contractAddresses.kyberBridge;
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const UNISWAP_BRIDGE_ADDRESS = contractAddresses.uniswapBridge;
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const CURVE_BRIDGE_ADDRESS = contractAddresses.curveBridge;
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const MAKER_TOKEN = randomAddress();
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const TAKER_TOKEN = randomAddress();
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const MAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(MAKER_TOKEN);
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const TAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(TAKER_TOKEN);
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let originalSamplerOperations: any;
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before(() => {
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originalSamplerOperations = DexOrderSampler.ops;
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});
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after(() => {
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DexOrderSampler.ops = originalSamplerOperations;
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});
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function createOrder(overrides?: Partial<SignedOrder>): SignedOrder {
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return {
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chainId: CHAIN_ID,
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exchangeAddress: contractAddresses.exchange,
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makerAddress: constants.NULL_ADDRESS,
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takerAddress: constants.NULL_ADDRESS,
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senderAddress: constants.NULL_ADDRESS,
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feeRecipientAddress: randomAddress(),
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salt: generatePseudoRandomSalt(),
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expirationTimeSeconds: getRandomInteger(0, 2 ** 64),
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makerAssetData: MAKER_ASSET_DATA,
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takerAssetData: TAKER_ASSET_DATA,
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makerFeeAssetData: constants.NULL_BYTES,
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takerFeeAssetData: constants.NULL_BYTES,
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makerAssetAmount: getRandomInteger(1, 1e18),
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takerAssetAmount: getRandomInteger(1, 1e18),
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makerFee: constants.ZERO_AMOUNT,
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takerFee: constants.ZERO_AMOUNT,
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signature: hexUtils.random(),
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...overrides,
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};
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}
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function getSourceFromAssetData(assetData: string): ERC20BridgeSource {
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if (assetData.length === 74) {
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return ERC20BridgeSource.Native;
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}
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const bridgeAddress = hexUtils.slice(assetData, 48, 68).toLowerCase();
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switch (bridgeAddress) {
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case KYBER_BRIDGE_ADDRESS.toLowerCase():
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return ERC20BridgeSource.Kyber;
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case ETH2DAI_BRIDGE_ADDRESS.toLowerCase():
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return ERC20BridgeSource.Eth2Dai;
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case UNISWAP_BRIDGE_ADDRESS.toLowerCase():
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return ERC20BridgeSource.Uniswap;
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case CURVE_BRIDGE_ADDRESS.toLowerCase():
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const curveSource = Object.keys(DEFAULT_CURVE_OPTS).filter(
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k => assetData.indexOf(DEFAULT_CURVE_OPTS[k].curveAddress.slice(2)) !== -1,
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);
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return curveSource[0] as ERC20BridgeSource;
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default:
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break;
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}
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throw new Error(`Unknown bridge address: ${bridgeAddress}`);
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}
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function assertSamePrefix(actual: string, expected: string): void {
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expect(actual.substr(0, expected.length)).to.eq(expected);
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}
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function createOrdersFromSellRates(takerAssetAmount: BigNumber, rates: Numberish[]): SignedOrder[] {
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const singleTakerAssetAmount = takerAssetAmount.div(rates.length).integerValue(BigNumber.ROUND_UP);
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return rates.map(r =>
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createOrder({
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makerAssetAmount: singleTakerAssetAmount.times(r).integerValue(),
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takerAssetAmount: singleTakerAssetAmount,
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}),
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);
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}
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function createOrdersFromBuyRates(makerAssetAmount: BigNumber, rates: Numberish[]): SignedOrder[] {
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const singleMakerAssetAmount = makerAssetAmount.div(rates.length).integerValue(BigNumber.ROUND_UP);
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return rates.map(r =>
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createOrder({
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makerAssetAmount: singleMakerAssetAmount,
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takerAssetAmount: singleMakerAssetAmount.div(r).integerValue(),
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}),
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);
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}
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const ORDER_DOMAIN = {
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exchangeAddress: contractAddresses.exchange,
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chainId: CHAIN_ID,
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};
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function createSamplesFromRates(source: ERC20BridgeSource, inputs: Numberish[], rates: Numberish[]): DexSample[] {
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const samples: DexSample[] = [];
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inputs.forEach((input, i) => {
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const rate = rates[i];
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samples.push({
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source,
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input: new BigNumber(input),
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output: new BigNumber(input)
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.minus(i === 0 ? 0 : samples[i - 1].input)
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.times(rate)
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.plus(i === 0 ? 0 : samples[i - 1].output)
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.integerValue(),
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});
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});
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return samples;
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}
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type GetMultipleQuotesOperation = (
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sources: ERC20BridgeSource[],
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makerToken: string,
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takerToken: string,
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fillAmounts: BigNumber[],
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liquidityProviderAddress?: string,
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) => DexSample[][];
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function createGetMultipleSellQuotesOperationFromRates(rates: RatesBySource): GetMultipleQuotesOperation {
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return (sources: ERC20BridgeSource[], makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => {
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return sources.map(s => createSamplesFromRates(s, fillAmounts, rates[s]));
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};
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}
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function callTradeOperationAndRetainLiquidityProviderParams(
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tradeOperation: (rates: RatesBySource) => GetMultipleQuotesOperation,
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rates: RatesBySource,
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): [{ sources: ERC20BridgeSource[]; liquidityProviderAddress?: string }, GetMultipleQuotesOperation] {
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const liquidityPoolParams: { sources: ERC20BridgeSource[]; liquidityProviderAddress?: string } = {
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sources: [],
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liquidityProviderAddress: undefined,
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};
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const fn = (
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sources: ERC20BridgeSource[],
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makerToken: string,
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takerToken: string,
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fillAmounts: BigNumber[],
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liquidityProviderAddress?: string,
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) => {
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liquidityPoolParams.liquidityProviderAddress = liquidityProviderAddress;
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liquidityPoolParams.sources = sources;
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return tradeOperation(rates)(sources, makerToken, takerToken, fillAmounts, liquidityProviderAddress);
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};
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return [liquidityPoolParams, fn];
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}
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function createGetMultipleBuyQuotesOperationFromRates(rates: RatesBySource): GetMultipleQuotesOperation {
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return (sources: ERC20BridgeSource[], makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => {
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return sources.map(s => createSamplesFromRates(s, fillAmounts, rates[s].map(r => new BigNumber(1).div(r))));
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};
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}
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type GetMedianRateOperation = (
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sources: ERC20BridgeSource[],
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makerToken: string,
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takerToken: string,
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fillAmounts: BigNumber[],
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liquidityProviderAddress?: string,
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) => BigNumber;
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type GetLiquidityProviderFromRegistryOperation = (
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registryAddress: string,
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takerToken: string,
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makerToken: string,
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) => string;
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function createGetMedianSellRate(rate: Numberish): GetMedianRateOperation {
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return (sources: ERC20BridgeSource[], makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => {
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return new BigNumber(rate);
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};
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}
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function getLiquidityProviderFromRegistry(): GetLiquidityProviderFromRegistryOperation {
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return (registryAddress: string, takerToken: string, makerToken: string): string => {
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return NULL_ADDRESS;
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};
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}
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function getLiquidityProviderFromRegistryAndReturnCallParameters(
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liquidityProviderAddress: string = NULL_ADDRESS,
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): [
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{ registryAddress?: string; takerToken?: string; makerToken?: string },
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GetLiquidityProviderFromRegistryOperation
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] {
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const callArgs: { registryAddress?: string; takerToken?: string; makerToken?: string } = {
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registryAddress: undefined,
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takerToken: undefined,
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makerToken: undefined,
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};
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const fn = (registryAddress: string, takerToken: string, makerToken: string): string => {
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callArgs.makerToken = makerToken;
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callArgs.takerToken = takerToken;
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callArgs.registryAddress = registryAddress;
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return liquidityProviderAddress;
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};
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return [callArgs, fn];
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}
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function createDecreasingRates(count: number): BigNumber[] {
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const rates: BigNumber[] = [];
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const initialRate = getRandomFloat(1e-3, 1e2);
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_.times(count, () => getRandomFloat(0.95, 1)).forEach((r, i) => {
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const prevRate = i === 0 ? initialRate : rates[i - 1];
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rates.push(prevRate.times(r));
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});
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return rates;
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}
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const NUM_SAMPLES = 3;
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interface RatesBySource {
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[source: string]: Numberish[];
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}
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const DEFAULT_RATES: RatesBySource = {
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[ERC20BridgeSource.Native]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Eth2Dai]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Kyber]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Uniswap]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.CurveUsdcDai]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.CurveUsdcDaiUsdt]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.CurveUsdcDaiUsdtTusd]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.CurveUsdcDaiUsdtBusd]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.LiquidityProvider]: _.times(NUM_SAMPLES, () => 0),
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};
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const DEFAULT_OPS = {
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getOrderFillableTakerAmounts(orders: SignedOrder[]): BigNumber[] {
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return orders.map(o => o.takerAssetAmount);
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},
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getOrderFillableMakerAmounts(orders: SignedOrder[]): BigNumber[] {
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return orders.map(o => o.makerAssetAmount);
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},
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getSellQuotes: createGetMultipleSellQuotesOperationFromRates(DEFAULT_RATES),
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getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(DEFAULT_RATES),
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getMedianSellRate: createGetMedianSellRate(1),
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getLiquidityProviderFromRegistry: getLiquidityProviderFromRegistry(),
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};
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function replaceSamplerOps(ops: Partial<typeof DEFAULT_OPS> = {}): void {
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DexOrderSampler.ops = {
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...DEFAULT_OPS,
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...ops,
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} as any;
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}
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const MOCK_SAMPLER = ({
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async executeAsync(...ops: any[]): Promise<any[]> {
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return ops;
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},
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async executeBatchAsync(ops: any[]): Promise<any[]> {
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return ops;
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},
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} as any) as DexOrderSampler;
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describe('MarketOperationUtils', () => {
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let marketOperationUtils: MarketOperationUtils;
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before(async () => {
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marketOperationUtils = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
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});
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describe('getMarketSellOrdersAsync()', () => {
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const FILL_AMOUNT = new BigNumber('100e18');
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const ORDERS = createOrdersFromSellRates(
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FILL_AMOUNT,
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_.times(NUM_SAMPLES, i => DEFAULT_RATES[ERC20BridgeSource.Native][i]),
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);
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const DEFAULT_OPTS = {
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numSamples: NUM_SAMPLES,
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sampleDistributionBase: 1,
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bridgeSlippage: 0,
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maxFallbackSlippage: 100,
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excludedSources: Object.keys(DEFAULT_CURVE_OPTS) as ERC20BridgeSource[],
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allowFallback: false,
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};
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beforeEach(() => {
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replaceSamplerOps();
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});
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it('queries `numSamples` samples', async () => {
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const numSamples = _.random(1, NUM_SAMPLES);
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let actualNumSamples = 0;
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replaceSamplerOps({
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getSellQuotes: (sources, makerToken, takerToken, amounts) => {
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actualNumSamples = amounts.length;
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return DEFAULT_OPS.getSellQuotes(sources, makerToken, takerToken, amounts);
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},
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});
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await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
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...DEFAULT_OPTS,
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numSamples,
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});
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expect(actualNumSamples).eq(numSamples);
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});
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it('polls all DEXes if `excludedSources` is empty', async () => {
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let sourcesPolled: ERC20BridgeSource[] = [];
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replaceSamplerOps({
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getSellQuotes: (sources, makerToken, takerToken, amounts) => {
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sourcesPolled = sources.slice();
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return DEFAULT_OPS.getSellQuotes(sources, makerToken, takerToken, amounts);
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},
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});
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await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
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...DEFAULT_OPTS,
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excludedSources: [],
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});
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expect(sourcesPolled.sort()).to.deep.eq(SELL_SOURCES.slice().sort());
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});
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it('polls the liquidity provider when the registry is provided in the arguments', async () => {
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const [args, fn] = callTradeOperationAndRetainLiquidityProviderParams(
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createGetMultipleSellQuotesOperationFromRates,
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DEFAULT_RATES,
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);
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replaceSamplerOps({
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getSellQuotes: fn,
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});
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const registryAddress = randomAddress();
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const newMarketOperationUtils = new MarketOperationUtils(
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MOCK_SAMPLER,
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contractAddresses,
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ORDER_DOMAIN,
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registryAddress,
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);
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await newMarketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
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...DEFAULT_OPTS,
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excludedSources: [],
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});
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expect(args.sources.sort()).to.deep.eq(
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SELL_SOURCES.concat([ERC20BridgeSource.LiquidityProvider]).sort(),
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);
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expect(args.liquidityProviderAddress).to.eql(registryAddress);
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});
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it('does not poll DEXes in `excludedSources`', async () => {
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const excludedSources = _.sampleSize(SELL_SOURCES, _.random(1, SELL_SOURCES.length));
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let sourcesPolled: ERC20BridgeSource[] = [];
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replaceSamplerOps({
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getSellQuotes: (sources, makerToken, takerToken, amounts) => {
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sourcesPolled = sources.slice();
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return DEFAULT_OPS.getSellQuotes(sources, makerToken, takerToken, amounts);
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},
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});
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await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
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...DEFAULT_OPTS,
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excludedSources,
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});
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expect(sourcesPolled.sort()).to.deep.eq(_.without(SELL_SOURCES, ...excludedSources).sort());
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});
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it('generates bridge orders with correct asset data', async () => {
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const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
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// Pass in empty orders to prevent native orders from being used.
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ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
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FILL_AMOUNT,
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DEFAULT_OPTS,
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);
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expect(improvedOrders).to.not.be.length(0);
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for (const order of improvedOrders) {
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expect(getSourceFromAssetData(order.makerAssetData)).to.exist('');
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const makerAssetDataPrefix = hexUtils.slice(
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assetDataUtils.encodeERC20BridgeAssetData(
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MAKER_TOKEN,
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constants.NULL_ADDRESS,
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constants.NULL_BYTES,
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),
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0,
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36,
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);
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assertSamePrefix(order.makerAssetData, makerAssetDataPrefix);
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expect(order.takerAssetData).to.eq(TAKER_ASSET_DATA);
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}
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});
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it('generates bridge orders with correct taker amount', async () => {
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const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
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// Pass in empty orders to prevent native orders from being used.
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ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
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FILL_AMOUNT,
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DEFAULT_OPTS,
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);
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const totalTakerAssetAmount = BigNumber.sum(...improvedOrders.map(o => o.takerAssetAmount));
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expect(totalTakerAssetAmount).to.bignumber.gte(FILL_AMOUNT);
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});
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it('generates bridge orders with max slippage of `bridgeSlippage`', async () => {
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const bridgeSlippage = _.random(0.1, true);
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const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
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// Pass in empty orders to prevent native orders from being used.
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ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
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FILL_AMOUNT,
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{ ...DEFAULT_OPTS, bridgeSlippage },
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);
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expect(improvedOrders).to.not.be.length(0);
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for (const order of improvedOrders) {
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const expectedMakerAmount = order.fill.totalMakerAssetAmount;
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const slippage = 1 - order.makerAssetAmount.div(expectedMakerAmount.plus(1)).toNumber();
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assertRoughlyEquals(slippage, bridgeSlippage, 1);
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}
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});
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it('can mix convex sources', async () => {
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const rates: RatesBySource = {};
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rates[ERC20BridgeSource.Native] = [0.4, 0.3, 0.2, 0.1];
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rates[ERC20BridgeSource.Uniswap] = [0.5, 0.05, 0.05, 0.05];
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rates[ERC20BridgeSource.Eth2Dai] = [0.6, 0.05, 0.05, 0.05];
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rates[ERC20BridgeSource.Kyber] = [0, 0, 0, 0]; // unused
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replaceSamplerOps({
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getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
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});
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const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
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createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
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FILL_AMOUNT,
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{ ...DEFAULT_OPTS, numSamples: 4 },
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);
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const orderSources = improvedOrders.map(o => o.fill.source);
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const expectedSources = [
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ERC20BridgeSource.Eth2Dai,
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ERC20BridgeSource.Uniswap,
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ERC20BridgeSource.Native,
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ERC20BridgeSource.Native,
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];
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expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
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});
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it('Kyber is exclusive against Uniswap and Eth2Dai', async () => {
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const rates: RatesBySource = {};
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rates[ERC20BridgeSource.Native] = [0.3, 0.2, 0.1, 0.05];
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rates[ERC20BridgeSource.Uniswap] = [0.5, 0.05, 0.05, 0.05];
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|
rates[ERC20BridgeSource.Eth2Dai] = [0.6, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Kyber] = [0.4, 0.05, 0.05, 0.05];
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4 },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
if (orderSources.includes(ERC20BridgeSource.Kyber)) {
|
|
expect(orderSources).to.not.include(ERC20BridgeSource.Uniswap);
|
|
expect(orderSources).to.not.include(ERC20BridgeSource.Eth2Dai);
|
|
} else {
|
|
expect(orderSources).to.not.include(ERC20BridgeSource.Kyber);
|
|
}
|
|
});
|
|
|
|
const ETH_TO_MAKER_RATE = 1.5;
|
|
|
|
it('factors in fees for native orders', async () => {
|
|
// Native orders will have the best rates but have fees,
|
|
// dropping their effective rates.
|
|
const nativeFeeRate = 0.06;
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [1, 0.99, 0.98, 0.97], // Effectively [0.94, 0.93, 0.92, 0.91]
|
|
[ERC20BridgeSource.Uniswap]: [0.96, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.95, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Kyber]: [0.1, 0.1, 0.1, 0.1],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Native]: FILL_AMOUNT.div(4)
|
|
.times(nativeFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_MAKER_RATE),
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('factors in fees for dexes', async () => {
|
|
// Kyber will have the best rates but will have fees,
|
|
// dropping its effective rates.
|
|
const uniswapFeeRate = 0.2;
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [0.95, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Kyber]: [0.1, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.92, 0.1, 0.1, 0.1],
|
|
// Effectively [0.8, ~0.5, ~0, ~0]
|
|
[ERC20BridgeSource.Uniswap]: [1, 0.7, 0.2, 0.2],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Uniswap]: FILL_AMOUNT.div(4)
|
|
.times(uniswapFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_MAKER_RATE),
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('can mix one concave source', async () => {
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Kyber]: [0, 0, 0, 0], // Won't use
|
|
[ERC20BridgeSource.Eth2Dai]: [0.5, 0.85, 0.75, 0.75], // Concave
|
|
[ERC20BridgeSource.Uniswap]: [0.96, 0.2, 0.1, 0.1],
|
|
[ERC20BridgeSource.Native]: [0.95, 0.2, 0.2, 0.1],
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4 },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('fallback orders use different sources', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Native] = [0.9, 0.8, 0.5, 0.5];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.6, 0.05, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.4, 0.3, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Kyber] = [0.35, 0.2, 0.01, 0.01];
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const firstSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Uniswap,
|
|
];
|
|
const secondSources = [ERC20BridgeSource.Eth2Dai];
|
|
expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
|
|
expect(orderSources.slice(firstSources.length).sort()).to.deep.eq(secondSources.sort());
|
|
});
|
|
|
|
it('does not create a fallback if below maxFallbackSlippage', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Native] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Uniswap] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.49, 0.49, 0.49, 0.49];
|
|
rates[ERC20BridgeSource.Kyber] = [0.35, 0.2, 0.01, 0.01];
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true, maxFallbackSlippage: 0.5 },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const firstSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Native, ERC20BridgeSource.Uniswap];
|
|
const secondSources: ERC20BridgeSource[] = [];
|
|
expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
|
|
expect(orderSources.slice(firstSources.length).sort()).to.deep.eq(secondSources.sort());
|
|
});
|
|
|
|
it('is able to create a order from LiquidityProvider', async () => {
|
|
const registryAddress = randomAddress();
|
|
const liquidityProviderAddress = randomAddress();
|
|
const xAsset = randomAddress();
|
|
const yAsset = randomAddress();
|
|
const toSell = fromTokenUnitAmount(10);
|
|
|
|
const [getSellQuotesParams, getSellQuotesFn] = callTradeOperationAndRetainLiquidityProviderParams(
|
|
createGetMultipleSellQuotesOperationFromRates,
|
|
{
|
|
[ERC20BridgeSource.LiquidityProvider]: createDecreasingRates(5),
|
|
},
|
|
);
|
|
const [
|
|
getLiquidityProviderParams,
|
|
getLiquidityProviderFn,
|
|
] = getLiquidityProviderFromRegistryAndReturnCallParameters(liquidityProviderAddress);
|
|
replaceSamplerOps({
|
|
getOrderFillableTakerAmounts: () => [constants.ZERO_AMOUNT],
|
|
getSellQuotes: getSellQuotesFn,
|
|
getLiquidityProviderFromRegistry: getLiquidityProviderFn,
|
|
});
|
|
|
|
const sampler = new MarketOperationUtils(
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
registryAddress,
|
|
);
|
|
const result = await sampler.getMarketSellOrdersAsync(
|
|
[
|
|
createOrder({
|
|
makerAssetData: assetDataUtils.encodeERC20AssetData(xAsset),
|
|
takerAssetData: assetDataUtils.encodeERC20AssetData(yAsset),
|
|
}),
|
|
],
|
|
Web3Wrapper.toBaseUnitAmount(10, 18),
|
|
{ excludedSources: SELL_SOURCES, numSamples: 4, bridgeSlippage: 0 },
|
|
);
|
|
expect(result.length).to.eql(1);
|
|
expect(result[0].makerAddress).to.eql(liquidityProviderAddress);
|
|
|
|
// tslint:disable-next-line:no-unnecessary-type-assertion
|
|
const decodedAssetData = assetDataUtils.decodeAssetDataOrThrow(
|
|
result[0].makerAssetData,
|
|
) as ERC20BridgeAssetData;
|
|
expect(decodedAssetData.assetProxyId).to.eql(AssetProxyId.ERC20Bridge);
|
|
expect(decodedAssetData.bridgeAddress).to.eql(liquidityProviderAddress);
|
|
expect(result[0].takerAssetAmount).to.bignumber.eql(toSell);
|
|
expect(getSellQuotesParams.sources).contains(ERC20BridgeSource.LiquidityProvider);
|
|
expect(getSellQuotesParams.liquidityProviderAddress).is.eql(registryAddress);
|
|
expect(getLiquidityProviderParams.registryAddress).is.eql(registryAddress);
|
|
expect(getLiquidityProviderParams.makerToken).is.eql(yAsset);
|
|
expect(getLiquidityProviderParams.takerToken).is.eql(xAsset);
|
|
});
|
|
});
|
|
|
|
describe('getMarketBuyOrdersAsync()', () => {
|
|
const FILL_AMOUNT = new BigNumber('100e18');
|
|
const ORDERS = createOrdersFromBuyRates(
|
|
FILL_AMOUNT,
|
|
_.times(NUM_SAMPLES, () => DEFAULT_RATES[ERC20BridgeSource.Native][0]),
|
|
);
|
|
const DEFAULT_OPTS = {
|
|
numSamples: NUM_SAMPLES,
|
|
sampleDistributionBase: 1,
|
|
bridgeSlippage: 0,
|
|
maxFallbackSlippage: 100,
|
|
excludedSources: Object.keys(DEFAULT_CURVE_OPTS) as ERC20BridgeSource[],
|
|
allowFallback: false,
|
|
};
|
|
|
|
beforeEach(() => {
|
|
replaceSamplerOps();
|
|
});
|
|
|
|
it('queries `numSamples` samples', async () => {
|
|
const numSamples = _.random(1, 16);
|
|
let actualNumSamples = 0;
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts) => {
|
|
actualNumSamples = amounts.length;
|
|
return DEFAULT_OPS.getBuyQuotes(sources, makerToken, takerToken, amounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
numSamples,
|
|
});
|
|
expect(actualNumSamples).eq(numSamples);
|
|
});
|
|
|
|
it('polls all DEXes if `excludedSources` is empty', async () => {
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts) => {
|
|
sourcesPolled = sources.slice();
|
|
return DEFAULT_OPS.getBuyQuotes(sources, makerToken, takerToken, amounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
});
|
|
expect(sourcesPolled).to.deep.eq(BUY_SOURCES);
|
|
});
|
|
|
|
it('polls the liquidity provider when the registry is provided in the arguments', async () => {
|
|
const [args, fn] = callTradeOperationAndRetainLiquidityProviderParams(
|
|
createGetMultipleBuyQuotesOperationFromRates,
|
|
DEFAULT_RATES,
|
|
);
|
|
replaceSamplerOps({
|
|
getBuyQuotes: fn,
|
|
});
|
|
const registryAddress = randomAddress();
|
|
const newMarketOperationUtils = new MarketOperationUtils(
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
registryAddress,
|
|
);
|
|
await newMarketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
});
|
|
expect(args.sources.sort()).to.deep.eq(
|
|
BUY_SOURCES.concat([ERC20BridgeSource.LiquidityProvider]).sort(),
|
|
);
|
|
expect(args.liquidityProviderAddress).to.eql(registryAddress);
|
|
});
|
|
|
|
it('does not poll DEXes in `excludedSources`', async () => {
|
|
const excludedSources = _.sampleSize(SELL_SOURCES, _.random(1, SELL_SOURCES.length));
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts) => {
|
|
sourcesPolled = sources.slice();
|
|
return DEFAULT_OPS.getBuyQuotes(sources, makerToken, takerToken, amounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources,
|
|
});
|
|
expect(sourcesPolled).to.deep.eq(_.without(BUY_SOURCES, ...excludedSources));
|
|
});
|
|
|
|
it('generates bridge orders with correct asset data', async () => {
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
DEFAULT_OPTS,
|
|
);
|
|
expect(improvedOrders).to.not.be.length(0);
|
|
for (const order of improvedOrders) {
|
|
expect(getSourceFromAssetData(order.makerAssetData)).to.exist('');
|
|
const makerAssetDataPrefix = hexUtils.slice(
|
|
assetDataUtils.encodeERC20BridgeAssetData(
|
|
MAKER_TOKEN,
|
|
constants.NULL_ADDRESS,
|
|
constants.NULL_BYTES,
|
|
),
|
|
0,
|
|
36,
|
|
);
|
|
assertSamePrefix(order.makerAssetData, makerAssetDataPrefix);
|
|
expect(order.takerAssetData).to.eq(TAKER_ASSET_DATA);
|
|
}
|
|
});
|
|
|
|
it('generates bridge orders with correct taker amount', async () => {
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
DEFAULT_OPTS,
|
|
);
|
|
const totalMakerAssetAmount = BigNumber.sum(...improvedOrders.map(o => o.makerAssetAmount));
|
|
expect(totalMakerAssetAmount).to.bignumber.gte(FILL_AMOUNT);
|
|
});
|
|
|
|
it('generates bridge orders with max slippage of `bridgeSlippage`', async () => {
|
|
const bridgeSlippage = _.random(0.1, true);
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, bridgeSlippage },
|
|
);
|
|
expect(improvedOrders).to.not.be.length(0);
|
|
for (const order of improvedOrders) {
|
|
const expectedTakerAmount = order.fill.totalTakerAssetAmount;
|
|
const slippage = order.takerAssetAmount.div(expectedTakerAmount.plus(1)).toNumber() - 1;
|
|
assertRoughlyEquals(slippage, bridgeSlippage, 1);
|
|
}
|
|
});
|
|
|
|
it('can mix convex sources', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Native] = [0.4, 0.3, 0.2, 0.1];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.5, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.6, 0.05, 0.05, 0.05];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4 },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
const ETH_TO_TAKER_RATE = 1.5;
|
|
|
|
it('factors in fees for native orders', async () => {
|
|
// Native orders will have the best rates but have fees,
|
|
// dropping their effective rates.
|
|
const nativeFeeRate = 0.06;
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [1, 0.99, 0.98, 0.97], // Effectively [0.94, ~0.93, ~0.92, ~0.91]
|
|
[ERC20BridgeSource.Uniswap]: [0.96, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.95, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Kyber]: [0.1, 0.1, 0.1, 0.1],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Native]: FILL_AMOUNT.div(4)
|
|
.times(nativeFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_TAKER_RATE),
|
|
};
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('factors in fees for dexes', async () => {
|
|
// Uniswap will have the best rates but will have fees,
|
|
// dropping its effective rates.
|
|
const uniswapFeeRate = 0.2;
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [0.95, 0.1, 0.1, 0.1],
|
|
// Effectively [0.8, ~0.5, ~0, ~0]
|
|
[ERC20BridgeSource.Uniswap]: [1, 0.7, 0.2, 0.2],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.92, 0.1, 0.1, 0.1],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Uniswap]: FILL_AMOUNT.div(4)
|
|
.times(uniswapFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_TAKER_RATE),
|
|
};
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('fallback orders use different sources', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Native] = [0.9, 0.8, 0.5, 0.5];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.6, 0.05, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.4, 0.3, 0.01, 0.01];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const firstSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Uniswap,
|
|
];
|
|
const secondSources = [ERC20BridgeSource.Eth2Dai];
|
|
expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
|
|
expect(orderSources.slice(firstSources.length).sort()).to.deep.eq(secondSources.sort());
|
|
});
|
|
|
|
it('does not create a fallback if below maxFallbackSlippage', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Native] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Uniswap] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.49, 0.49, 0.49, 0.49];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true, maxFallbackSlippage: 0.5 },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const firstSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Native, ERC20BridgeSource.Uniswap];
|
|
const secondSources: ERC20BridgeSource[] = [];
|
|
expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
|
|
expect(orderSources.slice(firstSources.length).sort()).to.deep.eq(secondSources.sort());
|
|
});
|
|
});
|
|
});
|
|
});
|
|
// tslint:disable-next-line: max-file-line-count
|