927fe2b58b
* separated comparison price function into a new file, accounted for backup orders * removed scratch code * Adjusted documentation, object naming * Refactored comparisonPrice function to use adjusted rate from optimizer, used native order fee schedule to adjust for order fees * Small fixes to function, added unit tests * Adjusted fee calculation for comparisonPrice function * use available OptimalPathRate object * fix lint error in test, separate out fee calculation * Fixed market operation utils test, added additional checks for fee schedule * removed unused dep, prettier
123 lines
4.3 KiB
TypeScript
123 lines
4.3 KiB
TypeScript
// tslint:disable:custom-no-magic-numbers
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import { BigNumber } 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 { MarketOperation } from '../src/types';
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import { getComparisonPrices } from '../src/utils/market_operation_utils/comparison_price';
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import { SourceFilters } from '../src/utils/market_operation_utils/source_filters';
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import { DexSample, ERC20BridgeSource, MarketSideLiquidity } from '../src/utils/market_operation_utils/types';
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import { chaiSetup } from './utils/chai_setup';
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chaiSetup.configure();
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const expect = chai.expect;
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const DAI_TOKEN = '0x6b175474e89094c44da98b954eedeac495271d0f';
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const ETH_TOKEN = '0xeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee';
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const GAS_PRICE = new BigNumber(50e9); // 50 gwei
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const NATIVE_ORDER_FEE = new BigNumber(220e3); // 220K gas
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// DEX samples to fill in MarketSideLiquidity
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const kyberSample1: DexSample = {
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source: ERC20BridgeSource.Kyber,
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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 dexQuotes: DexSample[] = [kyberSample1, uniswapSample1];
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const feeSchedule = {
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[ERC20BridgeSource.Native]: _.constant(GAS_PRICE.times(NATIVE_ORDER_FEE)),
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};
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const buyMarketSideLiquidity: MarketSideLiquidity = {
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// needed params
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ethToOutputRate: new BigNumber(500),
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ethToInputRate: new BigNumber(1),
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side: MarketOperation.Buy,
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makerTokenDecimals: 18,
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takerTokenDecimals: 18,
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// extra
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inputAmount: new BigNumber(0),
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inputToken: ETH_TOKEN,
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outputToken: DAI_TOKEN,
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dexQuotes: [dexQuotes],
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nativeOrders: [],
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orderFillableAmounts: [],
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twoHopQuotes: [],
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rfqtIndicativeQuotes: [],
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quoteSourceFilters: new SourceFilters(),
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};
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const sellMarketSideLiquidity: MarketSideLiquidity = {
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// needed params
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ethToOutputRate: new BigNumber(500),
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ethToInputRate: new BigNumber(1),
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side: MarketOperation.Sell,
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makerTokenDecimals: 18,
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takerTokenDecimals: 18,
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// extra
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inputAmount: new BigNumber(0),
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inputToken: ETH_TOKEN,
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outputToken: DAI_TOKEN,
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dexQuotes: [dexQuotes],
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nativeOrders: [],
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orderFillableAmounts: [],
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twoHopQuotes: [],
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rfqtIndicativeQuotes: [],
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quoteSourceFilters: new SourceFilters(),
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};
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describe('getComparisonPrices', async () => {
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it('should create a proper comparison price for Sells', () => {
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// test selling 10 ETH for DAI
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// here, ETH is the input token
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// and DAI is the output token
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const AMOUNT = new BigNumber(10 * 1e18);
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// raw maker over taker rate, let's say is 500 flat
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const adjustedRate = new BigNumber(500);
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const comparisonPrices = getComparisonPrices(adjustedRate, AMOUNT, sellMarketSideLiquidity, feeSchedule);
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// expected outcome
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const EXPECTED_PRICE = new BigNumber('500.55');
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expect(comparisonPrices.wholeOrder).to.deep.eq(EXPECTED_PRICE);
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});
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it('should create a proper comparison price for Buys', () => {
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// test buying 10 ETH with DAI
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// here, ETH is the input token
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// and DAI is the output token (now from the maker's perspective)
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const AMOUNT = new BigNumber(10 * 1e18);
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// raw maker over taker rate, let's say is ETH/DAI rate is 500 flat
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const adjustedRate = new BigNumber(1).dividedBy(new BigNumber(500));
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const comparisonPrices = getComparisonPrices(adjustedRate, AMOUNT, buyMarketSideLiquidity, feeSchedule);
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// expected outcome
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const EXPECTED_PRICE = new BigNumber('0.0020022024');
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expect(comparisonPrices.wholeOrder).to.deep.eq(EXPECTED_PRICE);
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});
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it('should not return a price if takerAmount is < 0', () => {
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// test selling 0.00001 ETH for DAI
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// this will result in a negative comparison price, but here we should return undefined
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const AMOUNT = new BigNumber(0.00001 * 1e18);
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// raw maker over taker rate, let's say is 500 flat
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const adjustedRate = new BigNumber(500);
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const comparisonPrices = getComparisonPrices(adjustedRate, AMOUNT, sellMarketSideLiquidity, feeSchedule);
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expect(comparisonPrices.wholeOrder === undefined);
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});
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});
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