ee985240fb
* Remove old JS router and add a FillAdjustor Clean up JS router and unused functions Remove more unused functions, add adjustment of fills Comment on why we use fill over sample update CODEOWNERS lint Clean up Fill removing unused properties Remove CollapsedFills, omit flags bigint Create GasSchedule vs FeeSchedule, return Fill and gas on OptimizedOrder Use Fill Adjustment in Phase2 of routing Fix Limit orders being treated as VIP * Fix case where dex liquidity is empty * Use best gas adjusted pricing for fee sources * CHANGELOG
377 lines
15 KiB
TypeScript
377 lines
15 KiB
TypeScript
// tslint:disable:custom-no-magic-numbers
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// tslint:disable:no-object-literal-type-assertion
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import { FillQuoteTransformerOrderType, LimitOrder, LimitOrderFields, RfqOrder } from '@0x/protocol-utils';
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import { BigNumber, hexUtils } from '@0x/utils';
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import * as chai from 'chai';
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import * as _ from 'lodash';
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import 'mocha';
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import * as TypeMoq from 'typemoq';
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import { MarketOperation, NativeOrderWithFillableAmounts } from '../src/types';
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import {
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DexSample,
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ERC20BridgeSource,
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Fill,
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MultiHopFillData,
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NativeFillData,
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NativeLimitOrderFillData,
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NativeRfqOrderFillData,
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} from '../src/utils/market_operation_utils/types';
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import { QuoteRequestor } from '../src/utils/quote_requestor';
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import {
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BridgeQuoteReportEntry,
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generateQuoteReport,
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MultiHopQuoteReportEntry,
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NativeLimitOrderQuoteReportEntry,
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NativeRfqOrderQuoteReportEntry,
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QuoteReportEntry,
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} from './../src/utils/quote_report_generator';
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import { chaiSetup } from './utils/chai_setup';
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import { getRandomAmount, getRandomSignature } from './utils/utils';
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chaiSetup.configure();
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const expect = chai.expect;
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function fillFromNativeOrder(order: NativeOrderWithFillableAmounts): Fill<NativeFillData> {
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const fillData = {
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order: order.order,
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signature: order.signature,
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maxTakerTokenFillAmount: order.fillableTakerAmount,
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};
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return {
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sourcePathId: hexUtils.random(),
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source: ERC20BridgeSource.Native,
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type: order.type,
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input: order.order.takerAmount,
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output: order.order.makerAmount,
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fillData:
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order.type === FillQuoteTransformerOrderType.Limit
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? (fillData as NativeLimitOrderFillData)
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: (fillData as NativeRfqOrderFillData),
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adjustedOutput: order.order.makerAmount,
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flags: BigInt(0),
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gas: 1,
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};
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}
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describe('generateQuoteReport', async () => {
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it('should generate report properly for sell', () => {
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const marketOperation: MarketOperation = MarketOperation.Sell;
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const balancerSample2: DexSample = {
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source: ERC20BridgeSource.BalancerV2,
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input: new BigNumber(10003),
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output: new BigNumber(10004),
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fillData: {},
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};
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const uniswapSample2: DexSample = {
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source: ERC20BridgeSource.UniswapV2,
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input: new BigNumber(10005),
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output: new BigNumber(10006),
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fillData: {},
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};
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const orderbookOrder1: NativeOrderWithFillableAmounts = {
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order: new LimitOrder({ takerAmount: new BigNumber(1000) }),
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type: FillQuoteTransformerOrderType.Limit,
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fillableTakerAmount: new BigNumber(1000),
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fillableMakerAmount: getRandomAmount(),
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fillableTakerFeeAmount: getRandomAmount(),
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signature: getRandomSignature(),
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};
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const orderbookOrder2: NativeOrderWithFillableAmounts = {
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order: new LimitOrder({ takerAmount: new BigNumber(198) }),
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type: FillQuoteTransformerOrderType.Limit,
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fillableTakerAmount: new BigNumber(99), // takerAmount minus 99
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fillableMakerAmount: getRandomAmount(),
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fillableTakerFeeAmount: getRandomAmount(),
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signature: getRandomSignature(),
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};
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const rfqtOrder1: NativeOrderWithFillableAmounts = {
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order: new RfqOrder({ takerAmount: new BigNumber(100) }),
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type: FillQuoteTransformerOrderType.Rfq,
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fillableTakerAmount: new BigNumber(100),
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fillableMakerAmount: getRandomAmount(),
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fillableTakerFeeAmount: getRandomAmount(),
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signature: getRandomSignature(),
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};
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const rfqtOrder2: NativeOrderWithFillableAmounts = {
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order: new RfqOrder({ takerAmount: new BigNumber(1101) }),
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type: FillQuoteTransformerOrderType.Rfq,
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fillableTakerAmount: new BigNumber(1001),
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fillableMakerAmount: getRandomAmount(),
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fillableTakerFeeAmount: getRandomAmount(),
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signature: getRandomSignature(),
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};
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const nativeOrders: NativeOrderWithFillableAmounts[] = [
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orderbookOrder1,
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rfqtOrder1,
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rfqtOrder2,
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orderbookOrder2,
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];
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// generate path
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const uniswap2Fill: Fill = {
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...uniswapSample2,
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sourcePathId: hexUtils.random(),
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type: FillQuoteTransformerOrderType.Bridge,
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adjustedOutput: uniswapSample2.output,
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flags: BigInt(0),
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gas: 1,
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};
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const balancer2Fill: Fill = {
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...balancerSample2,
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sourcePathId: hexUtils.random(),
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type: FillQuoteTransformerOrderType.Bridge,
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adjustedOutput: balancerSample2.output,
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flags: BigInt(0),
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gas: 1,
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};
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const orderbookOrder2Fill: Fill = fillFromNativeOrder(orderbookOrder2);
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const rfqtOrder2Fill: Fill = fillFromNativeOrder(rfqtOrder2);
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const pathGenerated: Fill[] = [rfqtOrder2Fill, orderbookOrder2Fill, uniswap2Fill, balancer2Fill];
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// quote generator mock
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const quoteRequestor = TypeMoq.Mock.ofType<QuoteRequestor>();
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quoteRequestor
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.setup(qr => qr.getMakerUriForSignature(rfqtOrder1.signature))
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.returns(() => {
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return 'https://rfqt1.provider.club';
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})
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.verifiable(TypeMoq.Times.atLeastOnce());
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quoteRequestor
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.setup(qr => qr.getMakerUriForSignature(rfqtOrder2.signature))
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.returns(() => {
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return 'https://rfqt2.provider.club';
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})
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.verifiable(TypeMoq.Times.atLeastOnce());
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const orderReport = generateQuoteReport(
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marketOperation,
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nativeOrders,
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pathGenerated,
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undefined,
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quoteRequestor.object,
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);
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const rfqtOrder1Source: NativeRfqOrderQuoteReportEntry = {
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liquiditySource: ERC20BridgeSource.Native,
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makerAmount: rfqtOrder1.order.makerAmount,
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takerAmount: rfqtOrder1.order.takerAmount,
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fillableTakerAmount: rfqtOrder1.fillableTakerAmount,
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isRFQ: true,
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makerUri: 'https://rfqt1.provider.club',
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nativeOrder: rfqtOrder1.order,
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fillData: {
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order: rfqtOrder1.order,
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} as NativeRfqOrderFillData,
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};
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const rfqtOrder2Source: NativeRfqOrderQuoteReportEntry = {
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liquiditySource: ERC20BridgeSource.Native,
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makerAmount: rfqtOrder2.order.makerAmount,
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takerAmount: rfqtOrder2.order.takerAmount,
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fillableTakerAmount: rfqtOrder2.fillableTakerAmount,
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isRFQ: true,
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makerUri: 'https://rfqt2.provider.club',
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nativeOrder: rfqtOrder2.order,
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fillData: {
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order: rfqtOrder2.order,
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} as NativeRfqOrderFillData,
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};
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const orderbookOrder2Source: NativeLimitOrderQuoteReportEntry = {
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liquiditySource: ERC20BridgeSource.Native,
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makerAmount: orderbookOrder2.order.makerAmount,
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takerAmount: orderbookOrder2.order.takerAmount,
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fillableTakerAmount: orderbookOrder2.fillableTakerAmount,
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isRFQ: false,
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fillData: {
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order: orderbookOrder2.order,
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} as NativeLimitOrderFillData,
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};
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const uniswap2Source: BridgeQuoteReportEntry = {
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liquiditySource: ERC20BridgeSource.UniswapV2,
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makerAmount: uniswapSample2.output,
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takerAmount: uniswapSample2.input,
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fillData: {},
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};
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const balancer2Source: BridgeQuoteReportEntry = {
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liquiditySource: ERC20BridgeSource.BalancerV2,
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makerAmount: balancerSample2.output,
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takerAmount: balancerSample2.input,
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fillData: {},
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};
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const expectedSourcesConsidered: QuoteReportEntry[] = [rfqtOrder1Source, rfqtOrder2Source];
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const expectedSourcesDelivered: QuoteReportEntry[] = [
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rfqtOrder2Source,
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orderbookOrder2Source,
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uniswap2Source,
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balancer2Source,
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];
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expectEqualQuoteReportEntries(orderReport.sourcesConsidered, expectedSourcesConsidered, `sourcesConsidered`);
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expectEqualQuoteReportEntries(orderReport.sourcesDelivered, expectedSourcesDelivered, `sourcesDelivered`);
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quoteRequestor.verifyAll();
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});
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it('should handle properly for buy without quoteRequestor', () => {
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const marketOperation: MarketOperation = MarketOperation.Buy;
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const balancerSample1: DexSample = {
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source: ERC20BridgeSource.BalancerV2,
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input: new BigNumber(10000),
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output: new BigNumber(10001),
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fillData: {},
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};
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const uniswapSample1: DexSample = {
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source: ERC20BridgeSource.UniswapV2,
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input: new BigNumber(10003),
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output: new BigNumber(10004),
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fillData: {},
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};
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const orderbookOrder1: NativeOrderWithFillableAmounts = {
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order: new LimitOrder({ takerAmount: new BigNumber(1101) }),
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type: FillQuoteTransformerOrderType.Limit,
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fillableTakerAmount: new BigNumber(1000),
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fillableMakerAmount: getRandomAmount(),
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fillableTakerFeeAmount: getRandomAmount(),
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signature: getRandomSignature(),
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};
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const orderbookOrder2: NativeOrderWithFillableAmounts = {
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order: new LimitOrder({ takerAmount: new BigNumber(5101) }),
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type: FillQuoteTransformerOrderType.Limit,
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fillableTakerAmount: new BigNumber(5000), // takerAmount minus 99
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fillableMakerAmount: getRandomAmount(),
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fillableTakerFeeAmount: getRandomAmount(),
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signature: getRandomSignature(),
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};
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const nativeOrders = [orderbookOrder1, orderbookOrder2];
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// generate path
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const orderbookOrder1Fill: Fill = fillFromNativeOrder(orderbookOrder1);
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const uniswap1Fill: Fill = {
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...uniswapSample1,
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sourcePathId: hexUtils.random(),
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type: FillQuoteTransformerOrderType.Bridge,
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adjustedOutput: uniswapSample1.output,
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flags: BigInt(0),
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gas: 1,
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};
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const balancer1Fill: Fill = {
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...balancerSample1,
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sourcePathId: hexUtils.random(),
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type: FillQuoteTransformerOrderType.Bridge,
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adjustedOutput: balancerSample1.output,
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flags: BigInt(0),
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gas: 1,
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};
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const pathGenerated: Fill[] = [orderbookOrder1Fill, uniswap1Fill, balancer1Fill];
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const orderReport = generateQuoteReport(marketOperation, nativeOrders, pathGenerated);
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const orderbookOrder1Source: NativeLimitOrderQuoteReportEntry = {
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liquiditySource: ERC20BridgeSource.Native,
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makerAmount: orderbookOrder1.order.makerAmount,
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takerAmount: orderbookOrder1.order.takerAmount,
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fillableTakerAmount: orderbookOrder1.fillableTakerAmount,
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isRFQ: false,
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fillData: {
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order: orderbookOrder1.order,
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} as NativeLimitOrderFillData,
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};
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const uniswap1Source: BridgeQuoteReportEntry = {
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liquiditySource: ERC20BridgeSource.UniswapV2,
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makerAmount: uniswapSample1.input,
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takerAmount: uniswapSample1.output,
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fillData: {},
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};
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const balancer1Source: BridgeQuoteReportEntry = {
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liquiditySource: ERC20BridgeSource.BalancerV2,
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makerAmount: balancerSample1.input,
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takerAmount: balancerSample1.output,
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fillData: {},
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};
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// No order is considered here because only Native RFQ orders are considered.
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const expectedSourcesConsidered: QuoteReportEntry[] = [];
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const expectedSourcesDelivered: QuoteReportEntry[] = [orderbookOrder1Source, uniswap1Source, balancer1Source];
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expectEqualQuoteReportEntries(orderReport.sourcesConsidered, expectedSourcesConsidered, `sourcesConsidered`);
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expectEqualQuoteReportEntries(orderReport.sourcesDelivered, expectedSourcesDelivered, `sourcesDelivered`);
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});
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it('should correctly generate report for a two-hop quote', () => {
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const marketOperation: MarketOperation = MarketOperation.Sell;
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const orderbookOrder1: NativeOrderWithFillableAmounts = {
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order: new LimitOrder({ takerAmount: new BigNumber(1101) }),
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type: FillQuoteTransformerOrderType.Limit,
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fillableTakerAmount: new BigNumber(1000),
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fillableMakerAmount: getRandomAmount(),
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fillableTakerFeeAmount: getRandomAmount(),
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signature: getRandomSignature(),
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};
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const twoHopFillData: MultiHopFillData = {
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intermediateToken: hexUtils.random(20),
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firstHopSource: {
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source: ERC20BridgeSource.Balancer,
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fillData: {},
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encodeCall: () => '',
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handleCallResults: _callResults => [new BigNumber(1337)],
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handleRevert: _c => [],
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},
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secondHopSource: {
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source: ERC20BridgeSource.Curve,
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fillData: {},
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encodeCall: () => '',
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handleCallResults: _callResults => [new BigNumber(1337)],
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handleRevert: _c => [],
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},
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};
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const twoHopSample: DexSample<MultiHopFillData> = {
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source: ERC20BridgeSource.MultiHop,
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input: new BigNumber(3005),
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output: new BigNumber(3006),
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fillData: twoHopFillData,
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};
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const orderReport = generateQuoteReport(marketOperation, [orderbookOrder1], twoHopSample);
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const twoHopSource: MultiHopQuoteReportEntry = {
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liquiditySource: ERC20BridgeSource.MultiHop,
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makerAmount: twoHopSample.output,
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takerAmount: twoHopSample.input,
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hopSources: [ERC20BridgeSource.Balancer, ERC20BridgeSource.Curve],
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fillData: twoHopFillData,
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};
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// No entry is present in considered because No RFQ orders were reported.
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const expectedSourcesConsidered: QuoteReportEntry[] = [];
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expectEqualQuoteReportEntries(orderReport.sourcesConsidered, expectedSourcesConsidered, `sourcesConsidered`);
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expect(orderReport.sourcesDelivered.length).to.eql(1);
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expect(orderReport.sourcesDelivered[0]).to.deep.equal(twoHopSource);
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});
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});
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function expectEqualQuoteReportEntries(
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actual: QuoteReportEntry[],
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expected: QuoteReportEntry[],
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variableName: string = 'quote report entries',
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): void {
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expect(actual.length).to.eql(expected.length);
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actual.forEach((actualEntry, idx) => {
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const expectedEntry = expected[idx];
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// remove fillable values
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if (actualEntry.liquiditySource === ERC20BridgeSource.Native) {
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actualEntry.fillData.order = _.omit(actualEntry.fillData.order, [
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'fillableMakerAmount',
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'fillableTakerAmount',
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'fillableTakerFeeAmount',
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]) as LimitOrderFields;
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expect(actualEntry.fillData.order).to.eql(
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// tslint:disable-next-line:no-unnecessary-type-assertion
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(expectedEntry.fillData as NativeFillData).order,
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`${variableName} incorrect at index ${idx}`,
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);
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}
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expect(_.omit(actualEntry, 'fillData')).to.eql(
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_.omit(expectedEntry, 'fillData'),
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`${variableName} incorrect at index ${idx}`,
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);
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});
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}
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