bab34c2d21
* `@0x/contracts-erc20-bridge-sampler`: Add TwoHopSampler + refactor * `@0x/asset-swapper`: Refactor + add two-hop skeleton * Round out two-hop support in asset-swapper * Add BalancerSampler, use it for two-hop quotes * Fix bugs discovered from simbot * rebases are hard * Add intermediate token to MultiHop source breakdown * Fix market buy bugs * Use hybrid on-chain/off-chain sampling for Balancer * Another day, another rebase * Update changelogs * Address PR feedback, CI fixes * Address more PR feedback
667 lines
32 KiB
TypeScript
667 lines
32 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 { assetDataUtils, generatePseudoRandomSalt } from '@0x/order-utils';
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import { SignedOrder } from '@0x/types';
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import { BigNumber, hexUtils } from '@0x/utils';
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import * as _ from 'lodash';
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import {
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BalancerPool,
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computeBalancerBuyQuote,
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computeBalancerSellQuote,
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} from '../src/utils/market_operation_utils/balancer_utils';
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import { DexOrderSampler, getSampleAmounts } from '../src/utils/market_operation_utils/sampler';
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import { ERC20BridgeSource } from '../src/utils/market_operation_utils/types';
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import { MockBalancerPoolsCache } from './utils/mock_balancer_pools_cache';
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import { MockBancorService } from './utils/mock_bancor_service';
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import { MockSamplerContract } from './utils/mock_sampler_contract';
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import { provider } from './utils/web3_wrapper';
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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 MAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(MAKER_TOKEN);
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const TAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(TAKER_TOKEN);
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const wethAddress = getContractAddressesForChainOrThrow(CHAIN_ID).etherToken;
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const exchangeAddress = getContractAddressesForChainOrThrow(CHAIN_ID).exchange;
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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<SignedOrder>): SignedOrder {
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return {
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chainId: CHAIN_ID,
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exchangeAddress: randomAddress(),
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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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const ORDERS = _.times(4, () => createOrder());
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const SIMPLE_ORDERS = ORDERS.map(o => _.omit(o, ['signature', 'chainId', 'exchangeAddress']));
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describe('operations', () => {
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it('getOrderFillableMakerAmounts()', async () => {
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const expectedFillableAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const sampler = new MockSamplerContract({
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getOrderFillableMakerAssetAmounts: (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(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getOrderFillableMakerAmounts(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('getOrderFillableTakerAmounts()', async () => {
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const expectedFillableAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const sampler = new MockSamplerContract({
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getOrderFillableTakerAssetAmounts: (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(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getOrderFillableTakerAmounts(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: (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(sampler);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getKyberSellQuotes(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('getLiquidityProviderSellQuotes()', async () => {
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const expectedMakerToken = randomAddress();
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const expectedTakerToken = randomAddress();
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const registry = randomAddress();
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const poolAddress = randomAddress();
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const sampler = new MockSamplerContract({
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sampleSellsFromLiquidityProviderRegistry: (registryAddress, takerToken, makerToken, _fillAmounts) => {
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expect(registryAddress).to.eq(registry);
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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)], poolAddress];
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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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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wethAddress,
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registry,
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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 },
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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 registry = randomAddress();
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const poolAddress = randomAddress();
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const sampler = new MockSamplerContract({
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sampleBuysFromLiquidityProviderRegistry: (registryAddress, takerToken, makerToken, _fillAmounts) => {
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expect(registryAddress).to.eq(registry);
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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)], poolAddress];
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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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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wethAddress,
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registry,
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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 },
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},
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],
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]);
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});
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it('getMultiBridgeSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const multiBridge = randomAddress();
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const sampler = new MockSamplerContract({
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sampleSellsFromMultiBridge: (
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multiBridgeAddress,
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takerToken,
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_intermediateToken,
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makerToken,
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_fillAmounts,
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) => {
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expect(multiBridgeAddress).to.eq(multiBridge);
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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(sampler);
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const [result] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getSellQuotes(
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[ERC20BridgeSource.MultiBridge],
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expectedMakerToken,
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expectedTakerToken,
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[toBaseUnitAmount(1000)],
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randomAddress(),
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randomAddress(),
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multiBridge,
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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: 'MultiBridge',
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output: toBaseUnitAmount(1001),
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input: toBaseUnitAmount(1000),
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fillData: { poolAddress: multiBridge },
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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(sampler);
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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(sampler);
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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: (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(sampler);
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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(sampler);
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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(sampler);
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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 = [
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ERC20BridgeSource.Kyber,
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ERC20BridgeSource.Eth2Dai,
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ERC20BridgeSource.Uniswap,
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ERC20BridgeSource.UniswapV2,
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];
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const ratesBySource: RatesBySource = {
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[ERC20BridgeSource.Kyber]: getRandomFloat(0, 100),
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[ERC20BridgeSource.Eth2Dai]: getRandomFloat(0, 100),
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[ERC20BridgeSource.Uniswap]: getRandomFloat(0, 100),
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[ERC20BridgeSource.UniswapV2]: getRandomFloat(0, 100),
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};
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
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const sampler = new MockSamplerContract({
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sampleSellsFromKyberNetwork: (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 fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Kyber]).integerValue());
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},
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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 fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Uniswap]).integerValue());
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},
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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 fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Eth2Dai]).integerValue());
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},
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sampleSellsFromUniswapV2: (path, fillAmounts) => {
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if (path.length === 2) {
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expect(path).to.deep.eq([expectedTakerToken, expectedMakerToken]);
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} else if (path.length === 3) {
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expect(path).to.deep.eq([expectedTakerToken, wethAddress, expectedMakerToken]);
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} else {
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expect(path).to.have.lengthOf.within(2, 3);
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}
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue());
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},
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});
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const dexOrderSampler = new DexOrderSampler(sampler);
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const [quotes] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getSellQuotes(
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sources,
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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wethAddress,
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),
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);
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const expectedQuotes = sources.map(s =>
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expectedTakerFillAmounts.map(a => ({
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source: s,
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input: a,
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output: a.times(ratesBySource[s]).integerValue(),
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fillData:
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s === ERC20BridgeSource.UniswapV2
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? { tokenAddressPath: [expectedTakerToken, expectedMakerToken] }
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: {},
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})),
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|
);
|
|
const uniswapV2ETHQuotes = [
|
|
expectedTakerFillAmounts.map(a => ({
|
|
source: ERC20BridgeSource.UniswapV2,
|
|
input: a,
|
|
output: a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue(),
|
|
fillData: {
|
|
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('getSellQuotes() uses samples from Balancer', async () => {
|
|
const expectedTakerToken = randomAddress();
|
|
const expectedMakerToken = randomAddress();
|
|
const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
|
|
const pools: BalancerPool[] = [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,
|
|
undefined,
|
|
balancerPoolsCache,
|
|
);
|
|
const quotes = await dexOrderSampler.getBalancerSellQuotesOffChainAsync(
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedTakerFillAmounts,
|
|
);
|
|
const expectedQuotes = pools.map(p =>
|
|
expectedTakerFillAmounts.map(a => ({
|
|
source: ERC20BridgeSource.Balancer,
|
|
input: a,
|
|
output: computeBalancerSellQuote(p, a),
|
|
fillData: { poolAddress: p.id },
|
|
})),
|
|
);
|
|
expect(quotes).to.have.lengthOf(2); // one array per pool
|
|
expect(quotes).to.deep.eq(expectedQuotes);
|
|
});
|
|
it('getSellQuotes() uses samples from Bancor', async () => {
|
|
const expectedTakerToken = randomAddress();
|
|
const expectedMakerToken = randomAddress();
|
|
const networkAddress = randomAddress();
|
|
const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
|
|
const rate = getRandomFloat(0, 100);
|
|
const bancorService = new MockBancorService(provider, {
|
|
getQuoteAsync: async (fromToken: string, toToken: string, amount: BigNumber) => {
|
|
expect(fromToken).equal(expectedTakerToken);
|
|
expect(toToken).equal(expectedMakerToken);
|
|
return Promise.resolve({
|
|
fillData: { path: [fromToken, toToken], networkAddress },
|
|
amount: amount.multipliedBy(rate),
|
|
});
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(
|
|
new MockSamplerContract({}),
|
|
undefined, // sampler overrides
|
|
bancorService,
|
|
undefined, // balancer cache
|
|
);
|
|
const quotes = await dexOrderSampler.getBancorSellQuotesOffChainAsync(
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedTakerFillAmounts,
|
|
);
|
|
const expectedQuotes = expectedTakerFillAmounts.map(a => ({
|
|
source: ERC20BridgeSource.Bancor,
|
|
input: a,
|
|
output: a.multipliedBy(rate),
|
|
fillData: { path: [expectedTakerToken, expectedMakerToken], networkAddress },
|
|
}));
|
|
expect(quotes).to.deep.eq(expectedQuotes);
|
|
});
|
|
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);
|
|
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: (path, fillAmounts) => {
|
|
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);
|
|
const [quotes] = await dexOrderSampler.executeAsync(
|
|
dexOrderSampler.getBuyQuotes(
|
|
sources,
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedMakerFillAmounts,
|
|
wethAddress,
|
|
),
|
|
);
|
|
const expectedQuotes = sources.map(s =>
|
|
expectedMakerFillAmounts.map(a => ({
|
|
source: s,
|
|
input: a,
|
|
output: a.times(ratesBySource[s]).integerValue(),
|
|
fillData:
|
|
s === ERC20BridgeSource.UniswapV2
|
|
? { tokenAddressPath: [expectedTakerToken, expectedMakerToken] }
|
|
: {},
|
|
})),
|
|
);
|
|
const uniswapV2ETHQuotes = [
|
|
expectedMakerFillAmounts.map(a => ({
|
|
source: ERC20BridgeSource.UniswapV2,
|
|
input: a,
|
|
output: a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue(),
|
|
fillData: {
|
|
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: BalancerPool[] = [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,
|
|
undefined,
|
|
balancerPoolsCache,
|
|
);
|
|
const quotes = await dexOrderSampler.getBalancerBuyQuotesOffChainAsync(
|
|
expectedMakerToken,
|
|
expectedTakerToken,
|
|
expectedMakerFillAmounts,
|
|
);
|
|
const expectedQuotes = pools.map(p =>
|
|
expectedMakerFillAmounts.map(a => ({
|
|
source: ERC20BridgeSource.Balancer,
|
|
input: a,
|
|
output: computeBalancerBuyQuote(p, a),
|
|
fillData: { poolAddress: p.id },
|
|
})),
|
|
);
|
|
expect(quotes).to.have.lengthOf(2); // one set per pool
|
|
expect(quotes).to.deep.eq(expectedQuotes);
|
|
});
|
|
});
|
|
|
|
describe('batched operations', () => {
|
|
it('getOrderFillableMakerAmounts(), getOrderFillableTakerAmounts()', async () => {
|
|
const expectedFillableTakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const expectedFillableMakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const sampler = new MockSamplerContract({
|
|
getOrderFillableMakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableMakerAmounts;
|
|
},
|
|
getOrderFillableTakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableTakerAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(sampler);
|
|
const [fillableMakerAmounts, fillableTakerAmounts] = await dexOrderSampler.executeAsync(
|
|
dexOrderSampler.getOrderFillableMakerAmounts(ORDERS, exchangeAddress),
|
|
dexOrderSampler.getOrderFillableTakerAmounts(ORDERS, exchangeAddress),
|
|
);
|
|
expect(fillableMakerAmounts).to.deep.eq(expectedFillableMakerAmounts);
|
|
expect(fillableTakerAmounts).to.deep.eq(expectedFillableTakerAmounts);
|
|
});
|
|
});
|
|
});
|
|
function generateBalancerPool(): BalancerPool {
|
|
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
|