3f4bb933d1
* v4 FillQuoteTransformer (#104) * Update FQT to support v4 orders * `@0x/contracts-zero-ex`: Tweak FQT `@0x/contracts-zero-ex`: Drop `ERC20BridgeTransfer` event and add `PartialQuoteFill` event. * `@0x/contracts-utils`: Add `LibSafeMathV06.downcastToUint128()` * `@0x/protocol-utils`: Update transformer utils for V4 FQT * `@0x/contracts-zero-ex`: Fixing FQT tests... * `@0x/contracts-zero-ex`: rename FQT bridge event * `@0x/contracts-zero-ex`: Un-`only` tests * `@0x/migrations`: Update `BridgeAdapter` deployment * `@0x/contracts-integrations`: Delete `mtx_tests` * `@0x/protocol-utils`: Address review comments * `@0x/contracts-zero-ex`: Address review comments * `@0x/migrations`: Update migrations Co-authored-by: Michael Zhu <mchl.zhu.96@gmail.com> Co-authored-by: Lawrence Forman <me@merklejerk.com> * v4: Asset-swapper (main branch) (#113) * refactor quote_requestor * WIP v4/asset-swapper: Clean up SwapQuoter and remove @0x/orderbook * Start replacing SignedOrder everywhere * wip: new order type * wip * remove order-utils from most places * hack: Play around with VerboseX types (#119) * hack: Play around with VerboseX types * More hacks * Fix up the bridgeData encodings * Rework Orderbook return type * feat: Don't charge a protocol fee for RFQ orders WIP (#121) * fix simple build errors * simplify types a little * remove SwapQuoteCalculator: unnecessary abstraction * Fix all ./src build errors; make types consistent * export more types for use in 0x API; modify Orderbook interface * stop overriding APIOrder * feat: RFQ v4 + consolidated bridge encoders (#125) * feat: check if taker address is contract * Rework bridge data * Worst case adjustments * RFQT v4 * Future/v4 validate orders (#126) * RFQT v4 * v4 validate native orders * use default invalid signature * refactor rfqt validations in swap quoter * fix types * fix RFQT unlisted api key * remove priceAwareRFQFlag * adjust maker/taker amounts * update JSON schemas * filter zero fillable orders Co-authored-by: xianny <xianny@gmail.com> * fix type export Co-authored-by: xianny <xianny@gmail.com> * remove order-utils as much as possible * work on tests compile * Comment out quote reporter test * updated tests * restore order-utils accidental changes * some lints * Remove old fill_test * ts lint disable for now * update quote report * Re-enable quote report tests * make fill data required field * fix lint * type guards * force fillData as required * fix lint * fix naming * exports * adjust MultiBridge by slippage * cleanups (checkpoint 1) * cleanup types (checkpoint #2) * remove unused deps * `@0x/contract-addresses`: Deploy new FQT (#129) Co-authored-by: Lawrence Forman <me@merklejerk.com> * commit bump to republish * DRY up the rfqt mocker * fix: Balancer load top pools (#131) * fix: Balancer load top 250 pools * refetch top pools on an interval Co-authored-by: Jacob Evans <jacob@dekz.net> Co-authored-by: Kim Persson <kimpers@users.noreply.github.com> Co-authored-by: Lawrence Forman <lawrence@0xproject.com> Co-authored-by: Lawrence Forman <me@merklejerk.com> * Update post rebase * prettier * Remove test helpers exported in asset-swapper * Clean up from review comments * prettier * lint * recreate rfqt mocker * change merge and INVALID_SIGNATURE Co-authored-by: Lawrence Forman <lawrence@0xproject.com> Co-authored-by: Michael Zhu <mchl.zhu.96@gmail.com> Co-authored-by: Lawrence Forman <me@merklejerk.com> Co-authored-by: Xianny <8582774+xianny@users.noreply.github.com> Co-authored-by: Kim Persson <kimpers@users.noreply.github.com>
678 lines
31 KiB
TypeScript
678 lines
31 KiB
TypeScript
import { getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
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import {
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constants,
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expect,
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getRandomFloat,
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getRandomInteger,
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randomAddress,
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toBaseUnitAmount,
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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, NULL_BYTES } 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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const CHAIN_ID = 1;
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// tslint:disable: custom-no-magic-numbers
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describe('DexSampler tests', () => {
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const MAKER_TOKEN = randomAddress();
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const TAKER_TOKEN = randomAddress();
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const wethAddress = getContractAddressesForChainOrThrow(CHAIN_ID).etherToken;
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const exchangeAddress = getContractAddressesForChainOrThrow(CHAIN_ID).exchange;
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const exchangeProxyAddress = getContractAddressesForChainOrThrow(CHAIN_ID).exchangeProxy;
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const tokenAdjacencyGraph: TokenAdjacencyGraph = { default: [wethAddress] };
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describe('getSampleAmounts()', () => {
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const FILL_AMOUNT = getRandomInteger(1, 1e18);
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const NUM_SAMPLES = 16;
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it('generates the correct number of amounts', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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expect(amounts).to.be.length(NUM_SAMPLES);
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});
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it('first amount is nonzero', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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expect(amounts[0]).to.not.bignumber.eq(0);
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});
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it('last amount is the fill amount', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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expect(amounts[NUM_SAMPLES - 1]).to.bignumber.eq(FILL_AMOUNT);
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});
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it('can generate a single amount', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, 1);
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expect(amounts).to.be.length(1);
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expect(amounts[0]).to.bignumber.eq(FILL_AMOUNT);
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});
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it('generates ascending amounts', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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for (const i of _.times(NUM_SAMPLES).slice(1)) {
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const prev = amounts[i - 1];
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const amount = amounts[i];
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expect(prev).to.bignumber.lt(amount);
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}
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});
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});
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function createOrder(overrides?: Partial<LimitOrderFields>): SignedOrder<LimitOrderFields> {
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const o: SignedOrder<LimitOrderFields> = {
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order: {
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salt: generatePseudoRandomSalt(),
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expiry: getRandomInteger(0, 2 ** 64),
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makerToken: MAKER_TOKEN,
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takerToken: TAKER_TOKEN,
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makerAmount: getRandomInteger(1, 1e18),
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takerAmount: getRandomInteger(1, 1e18),
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takerTokenFeeAmount: constants.ZERO_AMOUNT,
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chainId: CHAIN_ID,
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pool: NULL_BYTES,
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feeRecipient: NULL_ADDRESS,
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sender: NULL_ADDRESS,
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maker: NULL_ADDRESS,
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taker: NULL_ADDRESS,
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verifyingContract: exchangeProxyAddress,
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...overrides,
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},
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signature: { v: 1, r: hexUtils.random(), s: hexUtils.random(), signatureType: SignatureType.EthSign },
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type: FillQuoteTransformerOrderType.Limit,
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};
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return o;
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}
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const ORDERS = _.times(4, () => createOrder());
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const SIMPLE_ORDERS = ORDERS.map(o => _.omit(o, ['signature', 'chainId']));
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describe('operations', () => {
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// TODO jacob
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it.skip('getLimitOrderFillableMakerAssetAmounts()', async () => {
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const expectedFillableAmounts = 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 expectedFillableAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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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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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getLimitOrderFillableMakerAmounts(ORDERS, exchangeAddress),
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);
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expect(fillableAmounts).to.deep.eq(expectedFillableAmounts);
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});
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// TODO jacob
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it.skip('getLimitOrderFillableTakerAssetAmounts()', async () => {
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const expectedFillableAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const sampler = new MockSamplerContract({
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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 expectedFillableAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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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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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getLimitOrderFillableTakerAmounts(ORDERS, exchangeAddress),
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);
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expect(fillableAmounts).to.deep.eq(expectedFillableAmounts);
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});
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it('getKyberSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleSellsFromKyberNetwork: (_reserveOffset, takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return ['0x', '0x', expectedMakerFillAmounts];
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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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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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getKyberSellQuotes(
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new BigNumber(0),
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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),
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);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getLiquidityProviderSellQuotes()', async () => {
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const expectedMakerToken = randomAddress();
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const expectedTakerToken = randomAddress();
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const poolAddress = randomAddress();
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const gasCost = 123;
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const sampler = new MockSamplerContract({
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sampleSellsFromLiquidityProvider: (providerAddress, takerToken, makerToken, _fillAmounts) => {
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expect(providerAddress).to.eq(poolAddress);
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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return [toBaseUnitAmount(1001)];
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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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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{
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[poolAddress]: { tokens: [expectedMakerToken, expectedTakerToken], gasCost },
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},
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async () => undefined,
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);
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const [result] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getSellQuotes(
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[ERC20BridgeSource.LiquidityProvider],
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expectedMakerToken,
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expectedTakerToken,
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[toBaseUnitAmount(1000)],
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),
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);
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expect(result).to.deep.equal([
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[
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{
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source: 'LiquidityProvider',
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output: toBaseUnitAmount(1001),
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input: toBaseUnitAmount(1000),
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fillData: { poolAddress, gasCost },
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},
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],
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]);
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});
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it('getLiquidityProviderBuyQuotes()', async () => {
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const expectedMakerToken = randomAddress();
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const expectedTakerToken = randomAddress();
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const poolAddress = randomAddress();
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const gasCost = 321;
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const sampler = new MockSamplerContract({
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sampleBuysFromLiquidityProvider: (providerAddress, takerToken, makerToken, _fillAmounts) => {
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expect(providerAddress).to.eq(poolAddress);
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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return [toBaseUnitAmount(999)];
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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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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{
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[poolAddress]: { tokens: [expectedMakerToken, expectedTakerToken], gasCost },
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},
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async () => undefined,
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);
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const [result] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getBuyQuotes(
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[ERC20BridgeSource.LiquidityProvider],
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expectedMakerToken,
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expectedTakerToken,
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[toBaseUnitAmount(1000)],
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),
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);
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expect(result).to.deep.equal([
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[
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{
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source: 'LiquidityProvider',
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output: toBaseUnitAmount(999),
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input: toBaseUnitAmount(1000),
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fillData: { poolAddress, gasCost },
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},
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],
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]);
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});
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it('getEth2DaiSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleSellsFromEth2Dai: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return expectedMakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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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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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getEth2DaiSellQuotes(expectedMakerToken, expectedTakerToken, expectedTakerFillAmounts),
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);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getUniswapSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleSellsFromUniswap: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return expectedMakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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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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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getUniswapSellQuotes(expectedMakerToken, expectedTakerToken, expectedTakerFillAmounts),
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);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getUniswapV2SellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleSellsFromUniswapV2: (_router, path, fillAmounts) => {
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expect(path).to.deep.eq([expectedMakerToken, expectedTakerToken]);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return expectedMakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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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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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getUniswapV2SellQuotes(
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[expectedMakerToken, expectedTakerToken],
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expectedTakerFillAmounts,
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),
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);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getEth2DaiBuyQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleBuysFromEth2Dai: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
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return expectedTakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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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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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getEth2DaiBuyQuotes(expectedMakerToken, expectedTakerToken, expectedMakerFillAmounts),
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);
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expect(fillableAmounts).to.deep.eq(expectedTakerFillAmounts);
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});
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it('getUniswapBuyQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleBuysFromUniswap: (takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
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return expectedTakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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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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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getUniswapBuyQuotes(expectedMakerToken, expectedTakerToken, expectedMakerFillAmounts),
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);
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expect(fillableAmounts).to.deep.eq(expectedTakerFillAmounts);
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});
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interface RatesBySource {
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[src: string]: BigNumber;
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}
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it('getSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const sources = [ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap, ERC20BridgeSource.UniswapV2];
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const ratesBySource: RatesBySource = {
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|
[ERC20BridgeSource.Kyber]: getRandomFloat(0, 100),
|
|
[ERC20BridgeSource.Eth2Dai]: getRandomFloat(0, 100),
|
|
[ERC20BridgeSource.Uniswap]: getRandomFloat(0, 100),
|
|
[ERC20BridgeSource.UniswapV2]: getRandomFloat(0, 100),
|
|
};
|
|
const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
|
|
let uniswapRouter: string;
|
|
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 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());
|
|
},
|
|
sampleSellsFromUniswapV2: (router, path, fillAmounts) => {
|
|
uniswapRouter = router;
|
|
if (path.length === 2) {
|
|
expect(path).to.deep.eq([expectedTakerToken, expectedMakerToken]);
|
|
} else if (path.length === 3) {
|
|
expect(path).to.deep.eq([expectedTakerToken, wethAddress, expectedMakerToken]);
|
|
} else {
|
|
expect(path).to.have.lengthOf.within(2, 3);
|
|
}
|
|
expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
|
|
return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue());
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(
|
|
sampler,
|
|
undefined,
|
|
undefined,
|
|
undefined,
|
|
tokenAdjacencyGraph,
|
|
undefined,
|
|
async () => undefined,
|
|
);
|
|
const [quotes] = await dexOrderSampler.executeAsync(
|
|
dexOrderSampler.getSellQuotes(
|
|
sources,
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedTakerFillAmounts,
|
|
),
|
|
);
|
|
const expectedQuotes = sources.map(s =>
|
|
expectedTakerFillAmounts.map(a => ({
|
|
source: s,
|
|
input: a,
|
|
output: a.times(ratesBySource[s]).integerValue(),
|
|
fillData:
|
|
s === ERC20BridgeSource.UniswapV2
|
|
? { router: uniswapRouter, tokenAddressPath: [expectedTakerToken, expectedMakerToken] }
|
|
: {},
|
|
})),
|
|
);
|
|
const uniswapV2ETHQuotes = [
|
|
expectedTakerFillAmounts.map(a => ({
|
|
source: ERC20BridgeSource.UniswapV2,
|
|
input: a,
|
|
output: a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue(),
|
|
fillData: {
|
|
router: uniswapRouter,
|
|
tokenAddressPath: [expectedTakerToken, wethAddress, expectedMakerToken],
|
|
},
|
|
})),
|
|
];
|
|
// extra quote for Uniswap V2, which provides a direct quote (tokenA -> tokenB) AND an ETH quote (tokenA -> ETH -> tokenB)
|
|
const additionalSourceCount = 1;
|
|
expect(quotes).to.have.lengthOf(sources.length + additionalSourceCount);
|
|
expect(quotes).to.deep.eq(expectedQuotes.concat(uniswapV2ETHQuotes));
|
|
});
|
|
it('getSellQuotes() fetches pools but not samples from Balancer', async () => {
|
|
// HACK
|
|
// We disabled the off-chain sampling due to incorrect data observed between
|
|
// on-chain and off-chain sampling
|
|
const expectedTakerToken = randomAddress();
|
|
const expectedMakerToken = randomAddress();
|
|
const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
|
|
const pools: Pool[] = [generateBalancerPool(), generateBalancerPool()];
|
|
const balancerPoolsCache = new MockBalancerPoolsCache({
|
|
getPoolsForPairAsync: async (takerToken: string, makerToken: string) => {
|
|
expect(takerToken).equal(expectedTakerToken);
|
|
expect(makerToken).equal(expectedMakerToken);
|
|
return Promise.resolve(pools);
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(
|
|
new MockSamplerContract({}),
|
|
undefined,
|
|
balancerPoolsCache,
|
|
undefined,
|
|
undefined,
|
|
undefined,
|
|
async () => undefined,
|
|
);
|
|
const quotes = await dexOrderSampler.getBalancerSellQuotesOffChainAsync(
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedTakerFillAmounts,
|
|
);
|
|
expect(quotes).to.have.lengthOf(0);
|
|
});
|
|
it('getBuyQuotes()', async () => {
|
|
const expectedTakerToken = randomAddress();
|
|
const expectedMakerToken = randomAddress();
|
|
const sources = [ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap, ERC20BridgeSource.UniswapV2];
|
|
const ratesBySource: RatesBySource = {
|
|
[ERC20BridgeSource.Eth2Dai]: getRandomFloat(0, 100),
|
|
[ERC20BridgeSource.Uniswap]: getRandomFloat(0, 100),
|
|
[ERC20BridgeSource.UniswapV2]: getRandomFloat(0, 100),
|
|
};
|
|
const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
|
|
let uniswapRouter: string;
|
|
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());
|
|
},
|
|
sampleBuysFromUniswapV2: (router, path, fillAmounts) => {
|
|
uniswapRouter = router;
|
|
if (path.length === 2) {
|
|
expect(path).to.deep.eq([expectedTakerToken, expectedMakerToken]);
|
|
} else if (path.length === 3) {
|
|
expect(path).to.deep.eq([expectedTakerToken, wethAddress, expectedMakerToken]);
|
|
} else {
|
|
expect(path).to.have.lengthOf.within(2, 3);
|
|
}
|
|
expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
|
|
return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue());
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(
|
|
sampler,
|
|
undefined,
|
|
undefined,
|
|
undefined,
|
|
tokenAdjacencyGraph,
|
|
undefined,
|
|
async () => undefined,
|
|
);
|
|
const [quotes] = await dexOrderSampler.executeAsync(
|
|
dexOrderSampler.getBuyQuotes(sources, expectedMakerToken, expectedTakerToken, expectedMakerFillAmounts),
|
|
);
|
|
const expectedQuotes = sources.map(s =>
|
|
expectedMakerFillAmounts.map(a => ({
|
|
source: s,
|
|
input: a,
|
|
output: a.times(ratesBySource[s]).integerValue(),
|
|
fillData:
|
|
s === ERC20BridgeSource.UniswapV2
|
|
? { router: uniswapRouter, tokenAddressPath: [expectedTakerToken, expectedMakerToken] }
|
|
: {},
|
|
})),
|
|
);
|
|
const uniswapV2ETHQuotes = [
|
|
expectedMakerFillAmounts.map(a => ({
|
|
source: ERC20BridgeSource.UniswapV2,
|
|
input: a,
|
|
output: a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue(),
|
|
fillData: {
|
|
router: uniswapRouter,
|
|
tokenAddressPath: [expectedTakerToken, wethAddress, expectedMakerToken],
|
|
},
|
|
})),
|
|
];
|
|
// extra quote for Uniswap V2, which provides a direct quote (tokenA -> tokenB) AND an ETH quote (tokenA -> ETH -> tokenB)
|
|
expect(quotes).to.have.lengthOf(sources.length + 1);
|
|
expect(quotes).to.deep.eq(expectedQuotes.concat(uniswapV2ETHQuotes));
|
|
});
|
|
it('getBuyQuotes() uses samples from Balancer', async () => {
|
|
const expectedTakerToken = randomAddress();
|
|
const expectedMakerToken = randomAddress();
|
|
const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
|
|
const pools: Pool[] = [generateBalancerPool(), generateBalancerPool()];
|
|
const balancerPoolsCache = new MockBalancerPoolsCache({
|
|
getPoolsForPairAsync: async (takerToken: string, makerToken: string) => {
|
|
expect(takerToken).equal(expectedTakerToken);
|
|
expect(makerToken).equal(expectedMakerToken);
|
|
return Promise.resolve(pools);
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(
|
|
new MockSamplerContract({}),
|
|
undefined,
|
|
balancerPoolsCache,
|
|
undefined,
|
|
undefined,
|
|
undefined,
|
|
async () => undefined,
|
|
);
|
|
const quotes = await dexOrderSampler.getBalancerBuyQuotesOffChainAsync(
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedMakerFillAmounts,
|
|
);
|
|
expect(quotes).to.have.lengthOf(0);
|
|
});
|
|
});
|
|
|
|
describe('batched operations', () => {
|
|
it.skip('getLimitOrderFillableMakerAssetAmounts(), getLimitOrderFillableTakerAssetAmounts()', async () => {
|
|
const expectedFillableTakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const expectedFillableMakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const sampler = new MockSamplerContract({
|
|
getLimitOrderFillableMakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableMakerAmounts;
|
|
},
|
|
getLimitOrderFillableTakerAssetAmounts: (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,
|
|
undefined,
|
|
undefined,
|
|
undefined,
|
|
undefined,
|
|
undefined,
|
|
async () => undefined,
|
|
);
|
|
const [fillableMakerAmounts, fillableTakerAmounts] = await dexOrderSampler.executeAsync(
|
|
dexOrderSampler.getLimitOrderFillableMakerAmounts(ORDERS, exchangeAddress),
|
|
dexOrderSampler.getLimitOrderFillableTakerAmounts(ORDERS, exchangeAddress),
|
|
);
|
|
expect(fillableMakerAmounts).to.deep.eq(expectedFillableMakerAmounts);
|
|
expect(fillableTakerAmounts).to.deep.eq(expectedFillableTakerAmounts);
|
|
});
|
|
});
|
|
});
|
|
function generateBalancerPool(): Pool {
|
|
return {
|
|
id: randomAddress(),
|
|
balanceIn: getRandomInteger(1, 1e18),
|
|
balanceOut: getRandomInteger(1, 1e18),
|
|
weightIn: getRandomInteger(0, 1e5),
|
|
weightOut: getRandomInteger(0, 1e5),
|
|
swapFee: getRandomInteger(0, 1e5),
|
|
};
|
|
}
|
|
// tslint:disable-next-line: max-file-line-count
|