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
427 lines
18 KiB
TypeScript
427 lines
18 KiB
TypeScript
// tslint:disable:custom-no-magic-numbers
|
|
import { orderHashUtils } from '@0x/order-utils';
|
|
import { SignedOrder } from '@0x/types';
|
|
import { BigNumber, hexUtils } from '@0x/utils';
|
|
import * as chai from 'chai';
|
|
import * as _ from 'lodash';
|
|
import 'mocha';
|
|
import * as TypeMoq from 'typemoq';
|
|
|
|
import { MarketOperation } from '../src/types';
|
|
import {
|
|
CollapsedFill,
|
|
DexSample,
|
|
ERC20BridgeSource,
|
|
MultiHopFillData,
|
|
NativeCollapsedFill,
|
|
} from '../src/utils/market_operation_utils/types';
|
|
import { QuoteRequestor } from '../src/utils/quote_requestor';
|
|
|
|
import {
|
|
BridgeReportSource,
|
|
generateQuoteReport,
|
|
MultiHopReportSource,
|
|
NativeOrderbookReportSource,
|
|
NativeRFQTReportSource,
|
|
QuoteReportSource,
|
|
} from './../src/utils/quote_report_generator';
|
|
import { chaiSetup } from './utils/chai_setup';
|
|
import { testOrderFactory } from './utils/test_order_factory';
|
|
|
|
chaiSetup.configure();
|
|
const expect = chai.expect;
|
|
|
|
const collapsedFillFromNativeOrder = (order: SignedOrder): NativeCollapsedFill => {
|
|
return {
|
|
sourcePathId: hexUtils.random(),
|
|
source: ERC20BridgeSource.Native,
|
|
input: order.takerAssetAmount,
|
|
output: order.makerAssetAmount,
|
|
fillData: {
|
|
order: {
|
|
...order,
|
|
fillableMakerAssetAmount: new BigNumber(1),
|
|
fillableTakerAssetAmount: new BigNumber(1),
|
|
fillableTakerFeeAmount: new BigNumber(1),
|
|
},
|
|
},
|
|
subFills: [],
|
|
};
|
|
};
|
|
|
|
describe('generateQuoteReport', async () => {
|
|
it('should generate report properly for sell', () => {
|
|
const marketOperation: MarketOperation = MarketOperation.Sell;
|
|
|
|
const kyberSample1: DexSample = {
|
|
source: ERC20BridgeSource.Kyber,
|
|
input: new BigNumber(10000),
|
|
output: new BigNumber(10001),
|
|
};
|
|
const kyberSample2: DexSample = {
|
|
source: ERC20BridgeSource.Kyber,
|
|
input: new BigNumber(10003),
|
|
output: new BigNumber(10004),
|
|
};
|
|
const uniswapSample1: DexSample = {
|
|
source: ERC20BridgeSource.UniswapV2,
|
|
input: new BigNumber(10003),
|
|
output: new BigNumber(10004),
|
|
};
|
|
const uniswapSample2: DexSample = {
|
|
source: ERC20BridgeSource.UniswapV2,
|
|
input: new BigNumber(10005),
|
|
output: new BigNumber(10006),
|
|
};
|
|
const dexQuotes: DexSample[] = [kyberSample1, kyberSample2, uniswapSample1, uniswapSample2];
|
|
|
|
const orderbookOrder1FillableAmount = new BigNumber(1000);
|
|
const orderbookOrder1 = testOrderFactory.generateTestSignedOrder({
|
|
signature: 'orderbookOrder1',
|
|
takerAssetAmount: orderbookOrder1FillableAmount,
|
|
});
|
|
const orderbookOrder2FillableAmount = new BigNumber(99);
|
|
const orderbookOrder2 = testOrderFactory.generateTestSignedOrder({
|
|
signature: 'orderbookOrder2',
|
|
takerAssetAmount: orderbookOrder2FillableAmount.plus(99),
|
|
});
|
|
const rfqtOrder1FillableAmount = new BigNumber(100);
|
|
const rfqtOrder1 = testOrderFactory.generateTestSignedOrder({
|
|
signature: 'rfqtOrder1',
|
|
takerAssetAmount: rfqtOrder1FillableAmount,
|
|
});
|
|
const rfqtOrder2FillableAmount = new BigNumber(1001);
|
|
const rfqtOrder2 = testOrderFactory.generateTestSignedOrder({
|
|
signature: 'rfqtOrder2',
|
|
takerAssetAmount: rfqtOrder2FillableAmount.plus(100),
|
|
});
|
|
const nativeOrders: SignedOrder[] = [orderbookOrder1, rfqtOrder1, rfqtOrder2, orderbookOrder2];
|
|
const orderFillableAmounts: BigNumber[] = [
|
|
orderbookOrder1FillableAmount,
|
|
rfqtOrder1FillableAmount,
|
|
rfqtOrder2FillableAmount,
|
|
orderbookOrder2FillableAmount,
|
|
];
|
|
|
|
// generate path
|
|
const uniswap2Fill: CollapsedFill = { ...uniswapSample2, subFills: [], sourcePathId: hexUtils.random() };
|
|
const kyber2Fill: CollapsedFill = { ...kyberSample2, subFills: [], sourcePathId: hexUtils.random() };
|
|
const orderbookOrder2Fill: CollapsedFill = collapsedFillFromNativeOrder(orderbookOrder2);
|
|
const rfqtOrder2Fill: CollapsedFill = collapsedFillFromNativeOrder(rfqtOrder2);
|
|
const pathGenerated: CollapsedFill[] = [rfqtOrder2Fill, orderbookOrder2Fill, uniswap2Fill, kyber2Fill];
|
|
|
|
// quote generator mock
|
|
const quoteRequestor = TypeMoq.Mock.ofType<QuoteRequestor>();
|
|
quoteRequestor
|
|
.setup(qr => qr.getMakerUriForOrderHash(orderHashUtils.getOrderHash(orderbookOrder2)))
|
|
.returns(() => {
|
|
return undefined;
|
|
})
|
|
.verifiable(TypeMoq.Times.atLeastOnce());
|
|
quoteRequestor
|
|
.setup(qr => qr.getMakerUriForOrderHash(orderHashUtils.getOrderHash(rfqtOrder1)))
|
|
.returns(() => {
|
|
return 'https://rfqt1.provider.club';
|
|
})
|
|
.verifiable(TypeMoq.Times.atLeastOnce());
|
|
quoteRequestor
|
|
.setup(qr => qr.getMakerUriForOrderHash(orderHashUtils.getOrderHash(rfqtOrder2)))
|
|
.returns(() => {
|
|
return 'https://rfqt2.provider.club';
|
|
})
|
|
.verifiable(TypeMoq.Times.atLeastOnce());
|
|
|
|
const orderReport = generateQuoteReport(
|
|
marketOperation,
|
|
dexQuotes,
|
|
[],
|
|
nativeOrders,
|
|
orderFillableAmounts,
|
|
pathGenerated,
|
|
quoteRequestor.object,
|
|
);
|
|
|
|
const rfqtOrder1Source: NativeRFQTReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Native,
|
|
makerAmount: rfqtOrder1.makerAssetAmount,
|
|
takerAmount: rfqtOrder1.takerAssetAmount,
|
|
orderHash: orderHashUtils.getOrderHash(rfqtOrder1),
|
|
nativeOrder: rfqtOrder1,
|
|
fillableTakerAmount: rfqtOrder1FillableAmount,
|
|
isRfqt: true,
|
|
makerUri: 'https://rfqt1.provider.club',
|
|
};
|
|
const rfqtOrder2Source: NativeRFQTReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Native,
|
|
makerAmount: rfqtOrder2.makerAssetAmount,
|
|
takerAmount: rfqtOrder2.takerAssetAmount,
|
|
orderHash: orderHashUtils.getOrderHash(rfqtOrder2),
|
|
nativeOrder: rfqtOrder2,
|
|
fillableTakerAmount: rfqtOrder2FillableAmount,
|
|
isRfqt: true,
|
|
makerUri: 'https://rfqt2.provider.club',
|
|
};
|
|
const orderbookOrder1Source: NativeOrderbookReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Native,
|
|
makerAmount: orderbookOrder1.makerAssetAmount,
|
|
takerAmount: orderbookOrder1.takerAssetAmount,
|
|
orderHash: orderHashUtils.getOrderHash(orderbookOrder1),
|
|
nativeOrder: orderbookOrder1,
|
|
fillableTakerAmount: orderbookOrder1FillableAmount,
|
|
isRfqt: false,
|
|
};
|
|
const orderbookOrder2Source: NativeOrderbookReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Native,
|
|
makerAmount: orderbookOrder2.makerAssetAmount,
|
|
takerAmount: orderbookOrder2.takerAssetAmount,
|
|
orderHash: orderHashUtils.getOrderHash(orderbookOrder2),
|
|
nativeOrder: orderbookOrder2,
|
|
fillableTakerAmount: orderbookOrder2FillableAmount,
|
|
isRfqt: false,
|
|
};
|
|
const uniswap1Source: BridgeReportSource = {
|
|
liquiditySource: ERC20BridgeSource.UniswapV2,
|
|
makerAmount: uniswapSample1.output,
|
|
takerAmount: uniswapSample1.input,
|
|
};
|
|
const uniswap2Source: BridgeReportSource = {
|
|
liquiditySource: ERC20BridgeSource.UniswapV2,
|
|
makerAmount: uniswapSample2.output,
|
|
takerAmount: uniswapSample2.input,
|
|
};
|
|
const kyber1Source: BridgeReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Kyber,
|
|
makerAmount: kyberSample1.output,
|
|
takerAmount: kyberSample1.input,
|
|
};
|
|
const kyber2Source: BridgeReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Kyber,
|
|
makerAmount: kyberSample2.output,
|
|
takerAmount: kyberSample2.input,
|
|
};
|
|
|
|
const expectedSourcesConsidered: QuoteReportSource[] = [
|
|
kyber1Source,
|
|
kyber2Source,
|
|
uniswap1Source,
|
|
uniswap2Source,
|
|
orderbookOrder1Source,
|
|
rfqtOrder1Source,
|
|
rfqtOrder2Source,
|
|
orderbookOrder2Source,
|
|
];
|
|
|
|
expect(orderReport.sourcesConsidered.length).to.eql(expectedSourcesConsidered.length);
|
|
|
|
orderReport.sourcesConsidered.forEach((actualSourcesConsidered, idx) => {
|
|
const expectedSourceConsidered = expectedSourcesConsidered[idx];
|
|
expect(actualSourcesConsidered).to.eql(
|
|
expectedSourceConsidered,
|
|
`sourceConsidered incorrect at index ${idx}`,
|
|
);
|
|
});
|
|
|
|
const expectedSourcesDelivered: QuoteReportSource[] = [
|
|
rfqtOrder2Source,
|
|
orderbookOrder2Source,
|
|
uniswap2Source,
|
|
kyber2Source,
|
|
];
|
|
expect(orderReport.sourcesDelivered.length).to.eql(expectedSourcesDelivered.length);
|
|
orderReport.sourcesDelivered.forEach((actualSourceDelivered, idx) => {
|
|
const expectedSourceDelivered = expectedSourcesDelivered[idx];
|
|
|
|
// remove fillable values
|
|
if (actualSourceDelivered.liquiditySource === ERC20BridgeSource.Native) {
|
|
actualSourceDelivered.nativeOrder = _.omit(actualSourceDelivered.nativeOrder, [
|
|
'fillableMakerAssetAmount',
|
|
'fillableTakerAssetAmount',
|
|
'fillableTakerFeeAmount',
|
|
]) as SignedOrder;
|
|
}
|
|
|
|
expect(actualSourceDelivered).to.eql(expectedSourceDelivered, `sourceDelivered incorrect at index ${idx}`);
|
|
});
|
|
|
|
quoteRequestor.verifyAll();
|
|
});
|
|
it('should handle properly for buy without quoteRequestor', () => {
|
|
const marketOperation: MarketOperation = MarketOperation.Buy;
|
|
const kyberSample1: DexSample = {
|
|
source: ERC20BridgeSource.Kyber,
|
|
input: new BigNumber(10000),
|
|
output: new BigNumber(10001),
|
|
};
|
|
const uniswapSample1: DexSample = {
|
|
source: ERC20BridgeSource.UniswapV2,
|
|
input: new BigNumber(10003),
|
|
output: new BigNumber(10004),
|
|
};
|
|
const dexQuotes: DexSample[] = [kyberSample1, uniswapSample1];
|
|
|
|
const orderbookOrder1FillableAmount = new BigNumber(1000);
|
|
const orderbookOrder1 = testOrderFactory.generateTestSignedOrder({
|
|
signature: 'orderbookOrder1',
|
|
takerAssetAmount: orderbookOrder1FillableAmount.plus(101),
|
|
});
|
|
const orderbookOrder2FillableAmount = new BigNumber(5000);
|
|
const orderbookOrder2 = testOrderFactory.generateTestSignedOrder({
|
|
signature: 'orderbookOrder2',
|
|
takerAssetAmount: orderbookOrder2FillableAmount.plus(101),
|
|
});
|
|
const nativeOrders: SignedOrder[] = [orderbookOrder1, orderbookOrder2];
|
|
const orderFillableAmounts: BigNumber[] = [orderbookOrder1FillableAmount, orderbookOrder2FillableAmount];
|
|
|
|
// generate path
|
|
const orderbookOrder1Fill: CollapsedFill = collapsedFillFromNativeOrder(orderbookOrder1);
|
|
const uniswap1Fill: CollapsedFill = { ...uniswapSample1, subFills: [], sourcePathId: hexUtils.random() };
|
|
const kyber1Fill: CollapsedFill = { ...kyberSample1, subFills: [], sourcePathId: hexUtils.random() };
|
|
const pathGenerated: CollapsedFill[] = [orderbookOrder1Fill, uniswap1Fill, kyber1Fill];
|
|
|
|
const orderReport = generateQuoteReport(
|
|
marketOperation,
|
|
dexQuotes,
|
|
[],
|
|
nativeOrders,
|
|
orderFillableAmounts,
|
|
pathGenerated,
|
|
);
|
|
|
|
const orderbookOrder1Source: NativeOrderbookReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Native,
|
|
makerAmount: orderbookOrder1.makerAssetAmount,
|
|
takerAmount: orderbookOrder1.takerAssetAmount,
|
|
orderHash: orderHashUtils.getOrderHash(orderbookOrder1),
|
|
nativeOrder: orderbookOrder1,
|
|
fillableTakerAmount: orderbookOrder1FillableAmount,
|
|
isRfqt: false,
|
|
};
|
|
const orderbookOrder2Source: NativeOrderbookReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Native,
|
|
makerAmount: orderbookOrder2.makerAssetAmount,
|
|
takerAmount: orderbookOrder2.takerAssetAmount,
|
|
orderHash: orderHashUtils.getOrderHash(orderbookOrder2),
|
|
nativeOrder: orderbookOrder2,
|
|
fillableTakerAmount: orderbookOrder2FillableAmount,
|
|
isRfqt: false,
|
|
};
|
|
const uniswap1Source: BridgeReportSource = {
|
|
liquiditySource: ERC20BridgeSource.UniswapV2,
|
|
makerAmount: uniswapSample1.input,
|
|
takerAmount: uniswapSample1.output,
|
|
};
|
|
const kyber1Source: BridgeReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Kyber,
|
|
makerAmount: kyberSample1.input,
|
|
takerAmount: kyberSample1.output,
|
|
};
|
|
|
|
const expectedSourcesConsidered: QuoteReportSource[] = [
|
|
kyber1Source,
|
|
uniswap1Source,
|
|
orderbookOrder1Source,
|
|
orderbookOrder2Source,
|
|
];
|
|
expect(orderReport.sourcesConsidered.length).to.eql(expectedSourcesConsidered.length);
|
|
orderReport.sourcesConsidered.forEach((actualSourcesConsidered, idx) => {
|
|
const expectedSourceConsidered = expectedSourcesConsidered[idx];
|
|
expect(actualSourcesConsidered).to.eql(
|
|
expectedSourceConsidered,
|
|
`sourceConsidered incorrect at index ${idx}`,
|
|
);
|
|
});
|
|
|
|
const expectedSourcesDelivered: QuoteReportSource[] = [orderbookOrder1Source, uniswap1Source, kyber1Source];
|
|
expect(orderReport.sourcesDelivered.length).to.eql(expectedSourcesDelivered.length);
|
|
orderReport.sourcesDelivered.forEach((actualSourceDelivered, idx) => {
|
|
const expectedSourceDelivered = expectedSourcesDelivered[idx];
|
|
|
|
// remove fillable values
|
|
if (actualSourceDelivered.liquiditySource === ERC20BridgeSource.Native) {
|
|
actualSourceDelivered.nativeOrder = _.omit(actualSourceDelivered.nativeOrder, [
|
|
'fillableMakerAssetAmount',
|
|
'fillableTakerAssetAmount',
|
|
'fillableTakerFeeAmount',
|
|
]) as SignedOrder;
|
|
}
|
|
|
|
expect(actualSourceDelivered).to.eql(expectedSourceDelivered, `sourceDelivered incorrect at index ${idx}`);
|
|
});
|
|
});
|
|
it('should correctly generate report for a two-hop quote', () => {
|
|
const marketOperation: MarketOperation = MarketOperation.Sell;
|
|
const kyberSample1: DexSample = {
|
|
source: ERC20BridgeSource.Kyber,
|
|
input: new BigNumber(10000),
|
|
output: new BigNumber(10001),
|
|
};
|
|
|
|
const orderbookOrder1FillableAmount = new BigNumber(1000);
|
|
const orderbookOrder1 = testOrderFactory.generateTestSignedOrder({
|
|
signature: 'orderbookOrder1',
|
|
takerAssetAmount: orderbookOrder1FillableAmount.plus(101),
|
|
});
|
|
|
|
const twoHopSample: DexSample<MultiHopFillData> = {
|
|
source: ERC20BridgeSource.MultiHop,
|
|
input: new BigNumber(3005),
|
|
output: new BigNumber(3006),
|
|
fillData: {
|
|
intermediateToken: hexUtils.random(20),
|
|
firstHopSource: {
|
|
source: ERC20BridgeSource.Balancer,
|
|
encodeCall: () => '',
|
|
handleCallResults: _callResults => [new BigNumber(1337)],
|
|
},
|
|
secondHopSource: {
|
|
source: ERC20BridgeSource.Curve,
|
|
encodeCall: () => '',
|
|
handleCallResults: _callResults => [new BigNumber(1337)],
|
|
},
|
|
},
|
|
};
|
|
|
|
const orderReport = generateQuoteReport(
|
|
marketOperation,
|
|
[kyberSample1],
|
|
[twoHopSample],
|
|
[orderbookOrder1],
|
|
[orderbookOrder1FillableAmount],
|
|
twoHopSample,
|
|
);
|
|
const orderbookOrder1Source: NativeOrderbookReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Native,
|
|
makerAmount: orderbookOrder1.makerAssetAmount,
|
|
takerAmount: orderbookOrder1.takerAssetAmount,
|
|
orderHash: orderHashUtils.getOrderHash(orderbookOrder1),
|
|
nativeOrder: orderbookOrder1,
|
|
fillableTakerAmount: orderbookOrder1FillableAmount,
|
|
isRfqt: false,
|
|
};
|
|
const kyber1Source: BridgeReportSource = {
|
|
liquiditySource: ERC20BridgeSource.Kyber,
|
|
makerAmount: kyberSample1.output,
|
|
takerAmount: kyberSample1.input,
|
|
};
|
|
const twoHopSource: MultiHopReportSource = {
|
|
liquiditySource: ERC20BridgeSource.MultiHop,
|
|
makerAmount: twoHopSample.output,
|
|
takerAmount: twoHopSample.input,
|
|
hopSources: [ERC20BridgeSource.Balancer, ERC20BridgeSource.Curve],
|
|
};
|
|
|
|
const expectedSourcesConsidered: QuoteReportSource[] = [kyber1Source, orderbookOrder1Source, twoHopSource];
|
|
expect(orderReport.sourcesConsidered.length).to.eql(expectedSourcesConsidered.length);
|
|
orderReport.sourcesConsidered.forEach((actualSourcesConsidered, idx) => {
|
|
const expectedSourceConsidered = expectedSourcesConsidered[idx];
|
|
expect(actualSourcesConsidered).to.eql(
|
|
expectedSourceConsidered,
|
|
`sourceConsidered incorrect at index ${idx}`,
|
|
);
|
|
});
|
|
|
|
expect(orderReport.sourcesDelivered.length).to.eql(1);
|
|
expect(orderReport.sourcesDelivered[0]).to.deep.equal(twoHopSource);
|
|
});
|
|
});
|