d06daf2957
* feat: integrate Rust router with asset-swapper WIP * fix: produce outputFees in the format the Rust router expects * fix: correct output fee calc and only use the rust router for sells * fix: make sure numbers sent to the rust router are integers * hack: try to debug why rust router output is being overestimated WIP * refactor: clean up router debugging code * fix: don't use negative output fees for sells * feat: try VIP sources in isolation and compare with routing all sources * fix: adjust for FQT overhead when choosing between VIP, all sources WIP * fix: pass gasPrice to path_optimizer for EP overhead calculations * feat: buy support with the Rust Router WIP * chore: WIP commit trying to get buys working * refactor: use samples instead of fills for the Rust router * feat: add vip handling hack to sample based routing * fix: revert to 200 samplings for rust router when using pure samples * refactor: remove old hacky Path based Rust code, add back feature toggle * fix: scale both fill output and adjustedOutput my same factor as input * feat: initial plumbing for supporting RFQ/Limit orders * fix: incorrect bump of input amount by one base unit before routing * fix: add fake samples for rfq/limit orders to fulfill the 3 sample req * fix pass rfq orders in the correct format to the rust router * chore: remove debugging logs and clean up code & comments * fix: use published version of @0x/neon-router * hack: scale routed amounts to account for precision loss of number/f64 * refactor: clean up code and address initial review comments * fix: only remove trailing 0 output samples before passing to the router * refactor: consolidate eth to output token calc into ethToOutputAmount fn * fix: interpolate input between samples on output amount instead of price * fix: return no path when we have no samples, add sanity asserts * refactor: fix interpolation comment wording * fix: remove double adjusted source route input amount * chore: update changelog for asset-swapper
1728 lines
80 KiB
TypeScript
1728 lines
80 KiB
TypeScript
// tslint:disable: no-unbound-method
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import { ChainId, getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
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import {
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assertRoughlyEquals,
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constants,
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expect,
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getRandomFloat,
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Numberish,
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randomAddress,
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} from '@0x/contracts-test-utils';
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import { FillQuoteTransformerOrderType, LimitOrder, RfqOrder, SignatureType } from '@0x/protocol-utils';
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import { BigNumber, hexUtils, NULL_BYTES } from '@0x/utils';
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import { Web3Wrapper } from '@0x/web3-wrapper';
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import { Pool } from '@balancer-labs/sor/dist/types';
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import * as _ from 'lodash';
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import * as TypeMoq from 'typemoq';
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import { MarketOperation, QuoteRequestor, RfqRequestOpts, SignedNativeOrder } from '../src';
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import { Integrator, NativeOrderWithFillableAmounts } from '../src/types';
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import { MarketOperationUtils } from '../src/utils/market_operation_utils/';
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import {
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BUY_SOURCE_FILTER_BY_CHAIN_ID,
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POSITIVE_INF,
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SELL_SOURCE_FILTER_BY_CHAIN_ID,
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SOURCE_FLAGS,
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} from '../src/utils/market_operation_utils/constants';
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import { createFills } from '../src/utils/market_operation_utils/fills';
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import { PoolsCache } from '../src/utils/market_operation_utils/pools_cache';
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import { DexOrderSampler } from '../src/utils/market_operation_utils/sampler';
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import { BATCH_SOURCE_FILTERS } from '../src/utils/market_operation_utils/sampler_operations';
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import { SourceFilters } from '../src/utils/market_operation_utils/source_filters';
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import {
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AggregationError,
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DexSample,
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ERC20BridgeSource,
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FillData,
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GenerateOptimizedOrdersOpts,
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GetMarketOrdersOpts,
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LiquidityProviderFillData,
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MarketSideLiquidity,
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NativeFillData,
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OptimizedMarketBridgeOrder,
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OptimizerResultWithReport,
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TokenAdjacencyGraph,
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} from '../src/utils/market_operation_utils/types';
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const MAKER_TOKEN = randomAddress();
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const TAKER_TOKEN = randomAddress();
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const DEFAULT_INCLUDED = [
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ERC20BridgeSource.Eth2Dai,
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ERC20BridgeSource.Kyber,
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ERC20BridgeSource.Native,
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ERC20BridgeSource.Uniswap,
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];
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const DEFAULT_EXCLUDED = SELL_SOURCE_FILTER_BY_CHAIN_ID[ChainId.Mainnet].sources.filter(
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s => !DEFAULT_INCLUDED.includes(s),
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);
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const BUY_SOURCES = BUY_SOURCE_FILTER_BY_CHAIN_ID[ChainId.Mainnet].sources;
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const SELL_SOURCES = SELL_SOURCE_FILTER_BY_CHAIN_ID[ChainId.Mainnet].sources;
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const TOKEN_ADJACENCY_GRAPH: TokenAdjacencyGraph = { default: [] };
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const SIGNATURE = { v: 1, r: NULL_BYTES, s: NULL_BYTES, signatureType: SignatureType.EthSign };
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const FOO_INTEGRATOR: Integrator = {
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integratorId: 'foo',
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label: 'foo',
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};
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/**
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* gets the orders required for a market sell operation by (potentially) merging native orders with
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* generated bridge orders.
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* @param nativeOrders Native orders. Assumes LimitOrders not RfqOrders
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* @param takerAmount Amount of taker asset to sell.
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* @param opts Options object.
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* @return object with optimized orders and a QuoteReport
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*/
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async function getMarketSellOrdersAsync(
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utils: MarketOperationUtils,
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nativeOrders: SignedNativeOrder[],
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takerAmount: BigNumber,
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opts: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber },
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): Promise<OptimizerResultWithReport> {
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return utils.getOptimizerResultAsync(nativeOrders, takerAmount, MarketOperation.Sell, opts);
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}
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/**
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* gets the orders required for a market buy operation by (potentially) merging native orders with
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* generated bridge orders.
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* @param nativeOrders Native orders. Assumes LimitOrders not RfqOrders
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* @param makerAmount Amount of maker asset to buy.
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* @param opts Options object.
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* @return object with optimized orders and a QuoteReport
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*/
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async function getMarketBuyOrdersAsync(
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utils: MarketOperationUtils,
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nativeOrders: SignedNativeOrder[],
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makerAmount: BigNumber,
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opts: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber },
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): Promise<OptimizerResultWithReport> {
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return utils.getOptimizerResultAsync(nativeOrders, makerAmount, MarketOperation.Buy, opts);
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}
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class MockPoolsCache extends PoolsCache {
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constructor(private readonly _handler: (takerToken: string, makerToken: string) => Pool[]) {
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super({});
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}
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protected async _fetchPoolsForPairAsync(takerToken: string, makerToken: string): Promise<Pool[]> {
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return this._handler(takerToken, makerToken);
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}
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}
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// Return some pool so that sampling functions are called for Balancer, BalancerV2, and Cream
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// tslint:disable:custom-no-magic-numbers
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const mockPoolsCache = new MockPoolsCache((_takerToken: string, _makerToken: string) => {
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return [
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{
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id: '0xe4b2554b622cc342ac7d6dc19b594553577941df000200000000000000000003',
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balanceIn: new BigNumber('13655.491506618973154788'),
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balanceOut: new BigNumber('8217005.926472'),
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weightIn: new BigNumber('0.5'),
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weightOut: new BigNumber('0.5'),
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swapFee: new BigNumber('0.008'),
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spotPrice: new BigNumber(596.92685),
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},
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];
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});
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// tslint:enable:custom-no-magic-numbers
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// tslint:disable: custom-no-magic-numbers promise-function-async
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describe('MarketOperationUtils tests', () => {
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const CHAIN_ID = ChainId.Mainnet;
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const contractAddresses = {
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...getContractAddressesForChainOrThrow(CHAIN_ID),
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};
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function getMockedQuoteRequestor(
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type: 'indicative' | 'firm',
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results: SignedNativeOrder[],
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verifiable: TypeMoq.Times,
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): TypeMoq.IMock<QuoteRequestor> {
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const args: [any, any, any, any, any, any] = [
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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];
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const requestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose, true);
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requestor
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.setup(mqr => mqr.getMakerUriForSignature(TypeMoq.It.isValue(SIGNATURE)))
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.returns(() => 'https://foo.bar');
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if (type === 'firm') {
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requestor
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.setup(r => r.requestRfqtFirmQuotesAsync(...args))
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.returns(async () => results)
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.verifiable(verifiable);
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} else {
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requestor
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.setup(r => r.requestRfqtIndicativeQuotesAsync(...args))
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.returns(async () => results.map(r => r.order))
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.verifiable(verifiable);
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}
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return requestor;
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}
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function createOrdersFromSellRates(takerAmount: BigNumber, rates: Numberish[]): SignedNativeOrder[] {
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const singleTakerAmount = takerAmount.div(rates.length).integerValue(BigNumber.ROUND_UP);
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return rates.map(r => {
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const o: SignedNativeOrder = {
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order: {
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...new LimitOrder({
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makerAmount: singleTakerAmount.times(r).integerValue(),
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takerAmount: singleTakerAmount,
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}),
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},
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signature: SIGNATURE,
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type: FillQuoteTransformerOrderType.Limit,
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};
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return o;
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});
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}
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function createOrdersFromBuyRates(makerAmount: BigNumber, rates: Numberish[]): SignedNativeOrder[] {
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const singleMakerAmount = makerAmount.div(rates.length).integerValue(BigNumber.ROUND_UP);
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return rates.map(r => {
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const o: SignedNativeOrder = {
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order: {
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...new LimitOrder({
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makerAmount: singleMakerAmount,
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takerAmount: singleMakerAmount.div(r).integerValue(),
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}),
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},
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signature: SIGNATURE,
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type: FillQuoteTransformerOrderType.Limit,
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};
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return o;
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});
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}
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const ORDER_DOMAIN = {
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exchangeAddress: contractAddresses.exchange,
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chainId: CHAIN_ID,
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};
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function createSamplesFromRates(
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source: ERC20BridgeSource,
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inputs: Numberish[],
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rates: Numberish[],
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fillData?: FillData,
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): DexSample[] {
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const samples: DexSample[] = [];
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inputs.forEach((input, i) => {
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const rate = rates[i];
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samples.push({
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source,
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fillData: fillData || DEFAULT_FILL_DATA[source],
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input: new BigNumber(input),
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output: new BigNumber(input)
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.minus(i === 0 ? 0 : samples[i - 1].input)
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.times(rate)
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.plus(i === 0 ? 0 : samples[i - 1].output)
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.integerValue(),
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});
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});
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return samples;
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}
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type GetMultipleQuotesOperation = (
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sources: ERC20BridgeSource[],
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makerToken: string,
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takerToken: string,
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fillAmounts: BigNumber[],
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wethAddress: string,
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tokenAdjacencyGraph: TokenAdjacencyGraph,
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liquidityProviderAddress?: string,
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) => DexSample[][];
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function createGetMultipleSellQuotesOperationFromRates(rates: RatesBySource): GetMultipleQuotesOperation {
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return (
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sources: ERC20BridgeSource[],
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_makerToken: string,
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_takerToken: string,
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fillAmounts: BigNumber[],
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_wethAddress: string,
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) => {
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return BATCH_SOURCE_FILTERS.getAllowed(sources).map(s => createSamplesFromRates(s, fillAmounts, rates[s]));
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};
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}
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function createGetMultipleBuyQuotesOperationFromRates(rates: RatesBySource): GetMultipleQuotesOperation {
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return (
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sources: ERC20BridgeSource[],
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_makerToken: string,
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_takerToken: string,
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fillAmounts: BigNumber[],
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_wethAddress: string,
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) => {
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return BATCH_SOURCE_FILTERS.getAllowed(sources).map(s =>
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createSamplesFromRates(
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s,
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fillAmounts,
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rates[s].map(r => new BigNumber(1).div(r)),
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),
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);
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};
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}
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type GetMedianRateOperation = (
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sources: ERC20BridgeSource[],
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makerToken: string,
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takerToken: string,
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fillAmounts: BigNumber[],
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wethAddress: string,
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liquidityProviderAddress?: string,
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) => BigNumber;
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function createGetMedianSellRate(rate: Numberish): GetMedianRateOperation {
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return (
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_sources: ERC20BridgeSource[],
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_makerToken: string,
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_takerToken: string,
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_fillAmounts: BigNumber[],
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_wethAddress: string,
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) => {
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return new BigNumber(rate);
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};
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}
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|
function createDecreasingRates(count: number): BigNumber[] {
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const rates: BigNumber[] = [];
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const initialRate = getRandomFloat(1e-3, 1e2);
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_.times(count, () => getRandomFloat(0.95, 1)).forEach((r, i) => {
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const prevRate = i === 0 ? initialRate : rates[i - 1];
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rates.push(prevRate.times(r));
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});
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return rates;
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}
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const NUM_SAMPLES = 3;
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|
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interface RatesBySource {
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[source: string]: Numberish[];
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|
}
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|
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|
const ZERO_RATES: RatesBySource = Object.assign(
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{},
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...Object.values(ERC20BridgeSource).map(source => ({
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[source]: _.times(NUM_SAMPLES, () => 0),
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})),
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);
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const DEFAULT_RATES: RatesBySource = {
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...ZERO_RATES,
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[ERC20BridgeSource.Native]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Eth2Dai]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Uniswap]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Kyber]: createDecreasingRates(NUM_SAMPLES),
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};
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|
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interface FillDataBySource {
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[source: string]: FillData;
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|
}
|
|
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const DEFAULT_FILL_DATA: FillDataBySource = {
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[ERC20BridgeSource.UniswapV2]: { tokenAddressPath: [] },
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[ERC20BridgeSource.Balancer]: { poolAddress: randomAddress() },
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[ERC20BridgeSource.BalancerV2]: {
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vault: randomAddress(),
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poolId: randomAddress(),
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deadline: Math.floor(Date.now() / 1000) + 300,
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},
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|
[ERC20BridgeSource.Bancor]: { path: [], networkAddress: randomAddress() },
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|
[ERC20BridgeSource.Kyber]: { hint: '0x', reserveId: '0x', networkAddress: randomAddress() },
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|
[ERC20BridgeSource.Curve]: {
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pool: {
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poolAddress: randomAddress(),
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tokens: [TAKER_TOKEN, MAKER_TOKEN],
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exchangeFunctionSelector: hexUtils.random(4),
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sellQuoteFunctionSelector: hexUtils.random(4),
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buyQuoteFunctionSelector: hexUtils.random(4),
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},
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fromTokenIdx: 0,
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toTokenIdx: 1,
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},
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[ERC20BridgeSource.Swerve]: {
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pool: {
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poolAddress: randomAddress(),
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|
tokens: [TAKER_TOKEN, MAKER_TOKEN],
|
|
exchangeFunctionSelector: hexUtils.random(4),
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|
sellQuoteFunctionSelector: hexUtils.random(4),
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|
buyQuoteFunctionSelector: hexUtils.random(4),
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|
},
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|
fromTokenIdx: 0,
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|
toTokenIdx: 1,
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|
},
|
|
[ERC20BridgeSource.SnowSwap]: {
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pool: {
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poolAddress: randomAddress(),
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|
tokens: [TAKER_TOKEN, MAKER_TOKEN],
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exchangeFunctionSelector: hexUtils.random(4),
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|
sellQuoteFunctionSelector: hexUtils.random(4),
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buyQuoteFunctionSelector: hexUtils.random(4),
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},
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|
fromTokenIdx: 0,
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toTokenIdx: 1,
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|
},
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|
[ERC20BridgeSource.Smoothy]: {
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pool: {
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poolAddress: randomAddress(),
|
|
tokens: [TAKER_TOKEN, MAKER_TOKEN],
|
|
exchangeFunctionSelector: hexUtils.random(4),
|
|
sellQuoteFunctionSelector: hexUtils.random(4),
|
|
buyQuoteFunctionSelector: hexUtils.random(4),
|
|
},
|
|
fromTokenIdx: 0,
|
|
toTokenIdx: 1,
|
|
},
|
|
[ERC20BridgeSource.Saddle]: {
|
|
pool: {
|
|
poolAddress: randomAddress(),
|
|
tokens: [TAKER_TOKEN, MAKER_TOKEN],
|
|
exchangeFunctionSelector: hexUtils.random(4),
|
|
sellQuoteFunctionSelector: hexUtils.random(4),
|
|
buyQuoteFunctionSelector: hexUtils.random(4),
|
|
},
|
|
fromTokenIdx: 0,
|
|
toTokenIdx: 1,
|
|
},
|
|
[ERC20BridgeSource.LiquidityProvider]: { poolAddress: randomAddress() },
|
|
[ERC20BridgeSource.SushiSwap]: { tokenAddressPath: [] },
|
|
[ERC20BridgeSource.Mooniswap]: { poolAddress: randomAddress() },
|
|
[ERC20BridgeSource.Native]: { order: new LimitOrder() },
|
|
[ERC20BridgeSource.MultiHop]: {},
|
|
[ERC20BridgeSource.Shell]: { poolAddress: randomAddress() },
|
|
[ERC20BridgeSource.Component]: { poolAddress: randomAddress() },
|
|
[ERC20BridgeSource.Cream]: { poolAddress: randomAddress() },
|
|
[ERC20BridgeSource.Dodo]: {},
|
|
[ERC20BridgeSource.DodoV2]: {},
|
|
[ERC20BridgeSource.CryptoCom]: { tokenAddressPath: [] },
|
|
[ERC20BridgeSource.Linkswap]: { tokenAddressPath: [] },
|
|
[ERC20BridgeSource.Uniswap]: { router: randomAddress() },
|
|
[ERC20BridgeSource.Eth2Dai]: { router: randomAddress() },
|
|
[ERC20BridgeSource.MakerPsm]: {},
|
|
[ERC20BridgeSource.KyberDmm]: { tokenAddressPath: [], router: randomAddress(), poolsPath: [] },
|
|
};
|
|
|
|
const DEFAULT_OPS = {
|
|
getTokenDecimals(_makerAddress: string, _takerAddress: string): BigNumber[] {
|
|
const result = new BigNumber(18);
|
|
return [result, result];
|
|
},
|
|
getLimitOrderFillableTakerAmounts(orders: SignedNativeOrder[]): BigNumber[] {
|
|
return orders.map(o => o.order.takerAmount);
|
|
},
|
|
getLimitOrderFillableMakerAmounts(orders: SignedNativeOrder[]): BigNumber[] {
|
|
return orders.map(o => o.order.makerAmount);
|
|
},
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(DEFAULT_RATES),
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(DEFAULT_RATES),
|
|
getMedianSellRate: createGetMedianSellRate(1),
|
|
getTwoHopSellQuotes: (..._params: any[]) => [],
|
|
getTwoHopBuyQuotes: (..._params: any[]) => [],
|
|
isAddressContract: (..._params: any[]) => false,
|
|
};
|
|
|
|
const MOCK_SAMPLER = ({
|
|
async executeAsync(...ops: any[]): Promise<any[]> {
|
|
return MOCK_SAMPLER.executeBatchAsync(ops);
|
|
},
|
|
async executeBatchAsync(ops: any[]): Promise<any[]> {
|
|
return ops;
|
|
},
|
|
poolsCaches: {
|
|
[ERC20BridgeSource.BalancerV2]: mockPoolsCache,
|
|
[ERC20BridgeSource.Balancer]: mockPoolsCache,
|
|
[ERC20BridgeSource.Cream]: mockPoolsCache,
|
|
},
|
|
liquidityProviderRegistry: {},
|
|
chainId: CHAIN_ID,
|
|
} as any) as DexOrderSampler;
|
|
|
|
function replaceSamplerOps(ops: Partial<typeof DEFAULT_OPS> = {}): void {
|
|
Object.assign(MOCK_SAMPLER, DEFAULT_OPS);
|
|
Object.assign(MOCK_SAMPLER, ops);
|
|
}
|
|
|
|
describe('MarketOperationUtils', () => {
|
|
let marketOperationUtils: MarketOperationUtils;
|
|
|
|
before(async () => {
|
|
marketOperationUtils = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
|
|
});
|
|
|
|
describe('getMarketSellOrdersAsync()', () => {
|
|
const FILL_AMOUNT = new BigNumber('100e18');
|
|
const ORDERS = createOrdersFromSellRates(
|
|
FILL_AMOUNT,
|
|
_.times(NUM_SAMPLES, i => DEFAULT_RATES[ERC20BridgeSource.Native][i]),
|
|
);
|
|
const DEFAULT_OPTS: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber } = {
|
|
numSamples: NUM_SAMPLES,
|
|
sampleDistributionBase: 1,
|
|
bridgeSlippage: 0,
|
|
maxFallbackSlippage: 100,
|
|
excludedSources: DEFAULT_EXCLUDED,
|
|
allowFallback: false,
|
|
gasSchedule: {},
|
|
feeSchedule: {},
|
|
gasPrice: new BigNumber(30e9),
|
|
};
|
|
|
|
beforeEach(() => {
|
|
replaceSamplerOps();
|
|
});
|
|
|
|
it('queries `numSamples` samples', async () => {
|
|
const numSamples = _.random(1, NUM_SAMPLES);
|
|
let actualNumSamples = 0;
|
|
replaceSamplerOps({
|
|
getSellQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
actualNumSamples = amounts.length;
|
|
return DEFAULT_OPS.getSellQuotes(
|
|
sources,
|
|
makerToken,
|
|
takerToken,
|
|
amounts,
|
|
wethAddress,
|
|
TOKEN_ADJACENCY_GRAPH,
|
|
);
|
|
},
|
|
});
|
|
await getMarketSellOrdersAsync(marketOperationUtils, ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
numSamples,
|
|
});
|
|
expect(actualNumSamples).eq(numSamples);
|
|
});
|
|
|
|
it('polls all DEXes if `excludedSources` is empty', async () => {
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getSellQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getSellQuotes(
|
|
sources,
|
|
makerToken,
|
|
takerToken,
|
|
amounts,
|
|
wethAddress,
|
|
TOKEN_ADJACENCY_GRAPH,
|
|
);
|
|
},
|
|
getTwoHopSellQuotes: (...args: any[]) => {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
return DEFAULT_OPS.getTwoHopSellQuotes(...args);
|
|
},
|
|
});
|
|
await getMarketSellOrdersAsync(marketOperationUtils, ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.equals(SELL_SOURCES.slice().sort());
|
|
});
|
|
|
|
it('does not poll DEXes in `excludedSources`', async () => {
|
|
const excludedSources = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.Eth2Dai];
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getSellQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getSellQuotes(
|
|
sources,
|
|
makerToken,
|
|
takerToken,
|
|
amounts,
|
|
wethAddress,
|
|
TOKEN_ADJACENCY_GRAPH,
|
|
);
|
|
},
|
|
getTwoHopSellQuotes: (sources: ERC20BridgeSource[], ...args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
sourcesPolled.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopSellQuotes(...args);
|
|
},
|
|
});
|
|
await getMarketSellOrdersAsync(marketOperationUtils, ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources,
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.equals(_.without(SELL_SOURCES, ...excludedSources).sort());
|
|
});
|
|
|
|
it('only polls DEXes in `includedSources`', async () => {
|
|
const includedSources = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.Eth2Dai];
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getSellQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getSellQuotes(
|
|
sources,
|
|
makerToken,
|
|
takerToken,
|
|
amounts,
|
|
wethAddress,
|
|
TOKEN_ADJACENCY_GRAPH,
|
|
);
|
|
},
|
|
getTwoHopSellQuotes: (sources: ERC20BridgeSource[], ...args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
sourcesPolled.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopSellQuotes(sources, ...args);
|
|
},
|
|
});
|
|
await getMarketSellOrdersAsync(marketOperationUtils, ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
includedSources,
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.equals(includedSources.sort());
|
|
});
|
|
|
|
// // TODO (xianny): v4 will have a new way of representing bridge data
|
|
// it('generates bridge orders with correct asset data', async () => {
|
|
// const improvedOrdersResponse = await getMarketSellOrdersAsync(
|
|
// marketOperationUtils,
|
|
// // Pass in empty orders to prevent native orders from being used.
|
|
// ORDERS.map(o => ({ ...o, makerAmount: constants.ZERO_AMOUNT })),
|
|
// FILL_AMOUNT,
|
|
// DEFAULT_OPTS,
|
|
// );
|
|
// const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
// expect(improvedOrders).to.not.be.length(0);
|
|
// for (const order of improvedOrders) {
|
|
// expect(getSourceFromAssetData(order.makerAssetData)).to.exist('');
|
|
// const makerAssetDataPrefix = hexUtils.slice(
|
|
// assetDataUtils.encodeERC20BridgeAssetData(
|
|
// MAKER_TOKEN,
|
|
// constants.NULL_ADDRESS,
|
|
// constants.NULL_BYTES,
|
|
// ),
|
|
// 0,
|
|
// 36,
|
|
// );
|
|
// assertSamePrefix(order.makerAssetData, makerAssetDataPrefix);
|
|
// expect(order.takerAssetData).to.eq(TAKER_ASSET_DATA);
|
|
// }
|
|
// });
|
|
|
|
it('getMarketSellOrdersAsync() optimizer will be called once only if price-aware RFQ is disabled', async () => {
|
|
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
|
MarketOperationUtils,
|
|
TypeMoq.MockBehavior.Loose,
|
|
false,
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
);
|
|
mockedMarketOpUtils.callBase = true;
|
|
|
|
// Ensure that `_generateOptimizedOrdersAsync` is only called once
|
|
mockedMarketOpUtils
|
|
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
|
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
|
.verifiable(TypeMoq.Times.once());
|
|
|
|
const totalAssetAmount = ORDERS.map(o => o.order.takerAmount).reduce((a, b) => a.plus(b));
|
|
await mockedMarketOpUtils.object.getOptimizerResultAsync(
|
|
ORDERS,
|
|
totalAssetAmount,
|
|
MarketOperation.Sell,
|
|
DEFAULT_OPTS,
|
|
);
|
|
mockedMarketOpUtils.verifyAll();
|
|
});
|
|
|
|
it('optimizer will send in a comparison price to RFQ providers', async () => {
|
|
// Set up mocked quote requestor, will return an order that is better
|
|
// than the best of the orders.
|
|
const mockedQuoteRequestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose, false, {});
|
|
|
|
let requestedComparisonPrice: BigNumber | undefined;
|
|
|
|
// to get a comparisonPrice, you need a feeschedule for a native order
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Native]: _.constant(new BigNumber(1)),
|
|
};
|
|
mockedQuoteRequestor
|
|
.setup(mqr => mqr.getMakerUriForSignature(TypeMoq.It.isValue(SIGNATURE)))
|
|
.returns(() => 'https://foo.bar');
|
|
mockedQuoteRequestor
|
|
.setup(mqr =>
|
|
mqr.requestRfqtFirmQuotesAsync(
|
|
TypeMoq.It.isAny(),
|
|
TypeMoq.It.isAny(),
|
|
TypeMoq.It.isAny(),
|
|
TypeMoq.It.isAny(),
|
|
TypeMoq.It.isAny(),
|
|
TypeMoq.It.isAny(),
|
|
),
|
|
)
|
|
.callback(
|
|
(
|
|
_makerToken: string,
|
|
_takerToken: string,
|
|
_assetFillAmount: BigNumber,
|
|
_marketOperation: MarketOperation,
|
|
comparisonPrice: BigNumber | undefined,
|
|
_options: RfqRequestOpts,
|
|
) => {
|
|
requestedComparisonPrice = comparisonPrice;
|
|
},
|
|
)
|
|
.returns(async () => {
|
|
return [
|
|
{
|
|
order: {
|
|
...new RfqOrder({
|
|
makerToken: MAKER_TOKEN,
|
|
takerToken: TAKER_TOKEN,
|
|
makerAmount: Web3Wrapper.toBaseUnitAmount(321, 6),
|
|
takerAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
|
|
}),
|
|
},
|
|
signature: SIGNATURE,
|
|
type: FillQuoteTransformerOrderType.Rfq,
|
|
},
|
|
];
|
|
});
|
|
|
|
// Set up sampler, will only return 1 on-chain order
|
|
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
|
MarketOperationUtils,
|
|
TypeMoq.MockBehavior.Loose,
|
|
false,
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
);
|
|
mockedMarketOpUtils.callBase = true;
|
|
mockedMarketOpUtils
|
|
.setup(mou =>
|
|
mou.getMarketSellLiquidityAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny(), TypeMoq.It.isAny()),
|
|
)
|
|
.returns(async () => {
|
|
return {
|
|
side: MarketOperation.Sell,
|
|
inputAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
|
|
inputToken: MAKER_TOKEN,
|
|
outputToken: TAKER_TOKEN,
|
|
inputAmountPerEth: Web3Wrapper.toBaseUnitAmount(1, 18),
|
|
outputAmountPerEth: Web3Wrapper.toBaseUnitAmount(1, 6),
|
|
quoteSourceFilters: new SourceFilters(),
|
|
makerTokenDecimals: 6,
|
|
takerTokenDecimals: 18,
|
|
quotes: {
|
|
dexQuotes: [],
|
|
rfqtIndicativeQuotes: [],
|
|
twoHopQuotes: [],
|
|
nativeOrders: [
|
|
{
|
|
order: new LimitOrder({
|
|
makerToken: MAKER_TOKEN,
|
|
takerToken: TAKER_TOKEN,
|
|
makerAmount: Web3Wrapper.toBaseUnitAmount(320, 6),
|
|
takerAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
|
|
}),
|
|
fillableTakerAmount: Web3Wrapper.toBaseUnitAmount(1, 18),
|
|
fillableMakerAmount: Web3Wrapper.toBaseUnitAmount(320, 6),
|
|
fillableTakerFeeAmount: new BigNumber(0),
|
|
type: FillQuoteTransformerOrderType.Limit,
|
|
signature: SIGNATURE,
|
|
},
|
|
],
|
|
},
|
|
isRfqSupported: true,
|
|
};
|
|
});
|
|
const result = await mockedMarketOpUtils.object.getOptimizerResultAsync(
|
|
ORDERS,
|
|
Web3Wrapper.toBaseUnitAmount(1, 18),
|
|
MarketOperation.Sell,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
feeSchedule,
|
|
rfqt: {
|
|
isIndicative: false,
|
|
integrator: FOO_INTEGRATOR,
|
|
takerAddress: randomAddress(),
|
|
txOrigin: randomAddress(),
|
|
intentOnFilling: true,
|
|
quoteRequestor: {
|
|
requestRfqtFirmQuotesAsync: mockedQuoteRequestor.object.requestRfqtFirmQuotesAsync,
|
|
getMakerUriForSignature: mockedQuoteRequestor.object.getMakerUriForSignature,
|
|
} as any,
|
|
},
|
|
},
|
|
);
|
|
expect(result.optimizedOrders.length).to.eql(1);
|
|
// tslint:disable-next-line:no-unnecessary-type-assertion
|
|
expect(requestedComparisonPrice!.toString()).to.eql('320');
|
|
expect(result.optimizedOrders[0].makerAmount.toString()).to.eql('321000000');
|
|
expect(result.optimizedOrders[0].takerAmount.toString()).to.eql('1000000000000000000');
|
|
});
|
|
|
|
it('getMarketSellOrdersAsync() will not rerun the optimizer if no orders are returned', async () => {
|
|
// Ensure that `_generateOptimizedOrdersAsync` is only called once
|
|
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
|
MarketOperationUtils,
|
|
TypeMoq.MockBehavior.Loose,
|
|
false,
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
);
|
|
mockedMarketOpUtils.callBase = true;
|
|
mockedMarketOpUtils
|
|
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
|
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
|
.verifiable(TypeMoq.Times.once());
|
|
|
|
const requestor = getMockedQuoteRequestor('firm', [], TypeMoq.Times.once());
|
|
|
|
const totalAssetAmount = ORDERS.map(o => o.order.takerAmount).reduce((a, b) => a.plus(b));
|
|
await mockedMarketOpUtils.object.getOptimizerResultAsync(
|
|
ORDERS,
|
|
totalAssetAmount,
|
|
MarketOperation.Sell,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
rfqt: {
|
|
isIndicative: false,
|
|
integrator: FOO_INTEGRATOR,
|
|
takerAddress: randomAddress(),
|
|
intentOnFilling: true,
|
|
txOrigin: randomAddress(),
|
|
quoteRequestor: {
|
|
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
|
} as any,
|
|
},
|
|
},
|
|
);
|
|
mockedMarketOpUtils.verifyAll();
|
|
requestor.verifyAll();
|
|
});
|
|
|
|
it('getMarketSellOrdersAsync() will rerun the optimizer if one or more indicative are returned', async () => {
|
|
const requestor = getMockedQuoteRequestor('indicative', [ORDERS[0], ORDERS[1]], TypeMoq.Times.once());
|
|
|
|
const numOrdersInCall: number[] = [];
|
|
const numIndicativeQuotesInCall: number[] = [];
|
|
|
|
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
|
MarketOperationUtils,
|
|
TypeMoq.MockBehavior.Loose,
|
|
false,
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
);
|
|
mockedMarketOpUtils.callBase = true;
|
|
mockedMarketOpUtils
|
|
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
|
.callback(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
|
numOrdersInCall.push(msl.quotes.nativeOrders.length);
|
|
numIndicativeQuotesInCall.push(msl.quotes.rfqtIndicativeQuotes.length);
|
|
})
|
|
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
|
.verifiable(TypeMoq.Times.exactly(2));
|
|
|
|
const totalAssetAmount = ORDERS.map(o => o.order.takerAmount).reduce((a, b) => a.plus(b));
|
|
await mockedMarketOpUtils.object.getOptimizerResultAsync(
|
|
ORDERS.slice(2, ORDERS.length),
|
|
totalAssetAmount,
|
|
MarketOperation.Sell,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
rfqt: {
|
|
isIndicative: true,
|
|
integrator: FOO_INTEGRATOR,
|
|
takerAddress: randomAddress(),
|
|
txOrigin: randomAddress(),
|
|
intentOnFilling: true,
|
|
quoteRequestor: {
|
|
requestRfqtIndicativeQuotesAsync: requestor.object.requestRfqtIndicativeQuotesAsync,
|
|
getMakerUriForSignature: requestor.object.getMakerUriForSignature,
|
|
} as any,
|
|
},
|
|
},
|
|
);
|
|
mockedMarketOpUtils.verifyAll();
|
|
requestor.verifyAll();
|
|
|
|
// The first and second optimizer call contains same number of RFQ orders.
|
|
expect(numOrdersInCall.length).to.eql(2);
|
|
expect(numOrdersInCall[0]).to.eql(1);
|
|
expect(numOrdersInCall[1]).to.eql(1);
|
|
|
|
// The first call to optimizer will have no RFQ indicative quotes. The second call will have
|
|
// two indicative quotes.
|
|
expect(numIndicativeQuotesInCall.length).to.eql(2);
|
|
expect(numIndicativeQuotesInCall[0]).to.eql(0);
|
|
expect(numIndicativeQuotesInCall[1]).to.eql(2);
|
|
});
|
|
|
|
it('getMarketSellOrdersAsync() will rerun the optimizer if one or more RFQ orders are returned', async () => {
|
|
const requestor = getMockedQuoteRequestor('firm', [ORDERS[0]], TypeMoq.Times.once());
|
|
|
|
// Ensure that `_generateOptimizedOrdersAsync` is only called once
|
|
|
|
// TODO: Ensure fillable amounts increase too
|
|
const numOrdersInCall: number[] = [];
|
|
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
|
MarketOperationUtils,
|
|
TypeMoq.MockBehavior.Loose,
|
|
false,
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
);
|
|
mockedMarketOpUtils.callBase = true;
|
|
mockedMarketOpUtils
|
|
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
|
.callback(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
|
numOrdersInCall.push(msl.quotes.nativeOrders.length);
|
|
})
|
|
.returns(async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b))
|
|
.verifiable(TypeMoq.Times.exactly(2));
|
|
|
|
const totalAssetAmount = ORDERS.map(o => o.order.takerAmount).reduce((a, b) => a.plus(b));
|
|
await mockedMarketOpUtils.object.getOptimizerResultAsync(
|
|
ORDERS.slice(1, ORDERS.length),
|
|
totalAssetAmount,
|
|
MarketOperation.Sell,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
rfqt: {
|
|
isIndicative: false,
|
|
integrator: {
|
|
integratorId: 'foo',
|
|
label: 'foo',
|
|
},
|
|
takerAddress: randomAddress(),
|
|
intentOnFilling: true,
|
|
txOrigin: randomAddress(),
|
|
quoteRequestor: {
|
|
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
|
} as any,
|
|
},
|
|
},
|
|
);
|
|
mockedMarketOpUtils.verifyAll();
|
|
requestor.verifyAll();
|
|
expect(numOrdersInCall.length).to.eql(2);
|
|
|
|
// The first call to optimizer was without an RFQ order.
|
|
// The first call to optimizer was with an extra RFQ order.
|
|
expect(numOrdersInCall[0]).to.eql(2);
|
|
expect(numOrdersInCall[1]).to.eql(3);
|
|
});
|
|
|
|
it('getMarketSellOrdersAsync() will not raise a NoOptimalPath error if no initial path was found during on-chain DEX optimization, but a path was found after RFQ optimization', async () => {
|
|
let hasFirstOptimizationRun = false;
|
|
let hasSecondOptimizationRun = false;
|
|
const requestor = getMockedQuoteRequestor('firm', [ORDERS[0], ORDERS[1]], TypeMoq.Times.once());
|
|
|
|
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
|
MarketOperationUtils,
|
|
TypeMoq.MockBehavior.Loose,
|
|
false,
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
);
|
|
mockedMarketOpUtils.callBase = true;
|
|
mockedMarketOpUtils
|
|
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
|
.returns(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
|
if (msl.quotes.nativeOrders.length === 1) {
|
|
hasFirstOptimizationRun = true;
|
|
throw new Error(AggregationError.NoOptimalPath);
|
|
} else if (msl.quotes.nativeOrders.length === 3) {
|
|
hasSecondOptimizationRun = true;
|
|
return mockedMarketOpUtils.target._generateOptimizedOrdersAsync(msl, _opts);
|
|
} else {
|
|
throw new Error('Invalid path. this error message should never appear');
|
|
}
|
|
})
|
|
.verifiable(TypeMoq.Times.exactly(2));
|
|
|
|
const totalAssetAmount = ORDERS.map(o => o.order.takerAmount).reduce((a, b) => a.plus(b));
|
|
await mockedMarketOpUtils.object.getOptimizerResultAsync(
|
|
ORDERS.slice(2, ORDERS.length),
|
|
totalAssetAmount,
|
|
MarketOperation.Sell,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
rfqt: {
|
|
isIndicative: false,
|
|
integrator: FOO_INTEGRATOR,
|
|
takerAddress: randomAddress(),
|
|
txOrigin: randomAddress(),
|
|
intentOnFilling: true,
|
|
quoteRequestor: {
|
|
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
|
|
} as any,
|
|
},
|
|
},
|
|
);
|
|
mockedMarketOpUtils.verifyAll();
|
|
requestor.verifyAll();
|
|
|
|
expect(hasFirstOptimizationRun).to.eql(true);
|
|
expect(hasSecondOptimizationRun).to.eql(true);
|
|
});
|
|
|
|
it('getMarketSellOrdersAsync() will raise a NoOptimalPath error if no path was found during on-chain DEX optimization and RFQ optimization', async () => {
|
|
const mockedMarketOpUtils = TypeMoq.Mock.ofType(
|
|
MarketOperationUtils,
|
|
TypeMoq.MockBehavior.Loose,
|
|
false,
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
);
|
|
mockedMarketOpUtils.callBase = true;
|
|
mockedMarketOpUtils
|
|
.setup(m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny()))
|
|
.returns(async (msl: MarketSideLiquidity, _opts: GenerateOptimizedOrdersOpts) => {
|
|
throw new Error(AggregationError.NoOptimalPath);
|
|
})
|
|
.verifiable(TypeMoq.Times.exactly(1));
|
|
|
|
try {
|
|
await mockedMarketOpUtils.object.getOptimizerResultAsync(
|
|
ORDERS.slice(2, ORDERS.length),
|
|
ORDERS[0].order.takerAmount,
|
|
MarketOperation.Sell,
|
|
DEFAULT_OPTS,
|
|
);
|
|
expect.fail(`Call should have thrown "${AggregationError.NoOptimalPath}" but instead succeded`);
|
|
} catch (e) {
|
|
if (e.message !== AggregationError.NoOptimalPath) {
|
|
expect.fail(e);
|
|
}
|
|
}
|
|
mockedMarketOpUtils.verifyAll();
|
|
});
|
|
|
|
it('generates bridge orders with correct taker amount', async () => {
|
|
const improvedOrdersResponse = await getMarketSellOrdersAsync(
|
|
marketOperationUtils,
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
DEFAULT_OPTS,
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const totaltakerAmount = BigNumber.sum(...improvedOrders.map(o => o.takerAmount));
|
|
expect(totaltakerAmount).to.bignumber.gte(FILL_AMOUNT);
|
|
});
|
|
|
|
it('generates bridge orders with max slippage of `bridgeSlippage`', async () => {
|
|
const bridgeSlippage = _.random(0.1, true);
|
|
const improvedOrdersResponse = await getMarketSellOrdersAsync(
|
|
marketOperationUtils,
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, bridgeSlippage },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
expect(improvedOrders).to.not.be.length(0);
|
|
for (const order of improvedOrders) {
|
|
const expectedMakerAmount = order.fills[0].output;
|
|
const slippage = new BigNumber(1).minus(order.makerAmount.div(expectedMakerAmount.plus(1)));
|
|
assertRoughlyEquals(slippage, bridgeSlippage, 1);
|
|
}
|
|
});
|
|
|
|
it('can mix convex sources', async () => {
|
|
const rates: RatesBySource = { ...DEFAULT_RATES };
|
|
rates[ERC20BridgeSource.Native] = [0.4, 0.3, 0.2, 0.1];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.5, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.6, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Kyber] = [0, 0, 0, 0]; // unused
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await getMarketSellOrdersAsync(
|
|
marketOperationUtils,
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4 },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
const ETH_TO_MAKER_RATE = 1.5;
|
|
|
|
it('factors in fees for native orders', async () => {
|
|
// Native orders will have the best rates but have fees,
|
|
// dropping their effective rates.
|
|
const nativeFeeRate = 0.06;
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [1, 0.99, 0.98, 0.97], // Effectively [0.94, 0.93, 0.92, 0.91]
|
|
[ERC20BridgeSource.Uniswap]: [0.96, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.95, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Kyber]: [0.1, 0.1, 0.1, 0.1],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Native]: _.constant(
|
|
FILL_AMOUNT.div(4)
|
|
.times(nativeFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_MAKER_RATE),
|
|
),
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrdersResponse = await getMarketSellOrdersAsync(
|
|
marketOperationUtils,
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('factors in fees for dexes', async () => {
|
|
// Kyber will have the best rates but will have fees,
|
|
// dropping its effective rates.
|
|
const uniswapFeeRate = 0.2;
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [0.95, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Kyber]: [0.1, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.92, 0.1, 0.1, 0.1],
|
|
// Effectively [0.8, ~0.5, ~0, ~0]
|
|
[ERC20BridgeSource.Uniswap]: [1, 0.7, 0.2, 0.2],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Uniswap]: _.constant(
|
|
FILL_AMOUNT.div(4)
|
|
.times(uniswapFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_MAKER_RATE),
|
|
),
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrdersResponse = await getMarketSellOrdersAsync(
|
|
marketOperationUtils,
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('can mix one concave source', async () => {
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Kyber]: [0, 0, 0, 0], // Won't use
|
|
[ERC20BridgeSource.Eth2Dai]: [0.5, 0.85, 0.75, 0.75], // Concave
|
|
[ERC20BridgeSource.Uniswap]: [0.96, 0.2, 0.1, 0.1],
|
|
[ERC20BridgeSource.Native]: [0.95, 0.2, 0.2, 0.1],
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrdersResponse = await getMarketSellOrdersAsync(
|
|
marketOperationUtils,
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4 },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('does not create a fallback if below maxFallbackSlippage', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Native] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Uniswap] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.49, 0.49, 0.49, 0.49];
|
|
rates[ERC20BridgeSource.Kyber] = [0.35, 0.2, 0.01, 0.01];
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await getMarketSellOrdersAsync(
|
|
marketOperationUtils,
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true, maxFallbackSlippage: 0.25 },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const firstSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Native, ERC20BridgeSource.Uniswap];
|
|
const secondSources: ERC20BridgeSource[] = [];
|
|
expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
|
|
expect(orderSources.slice(firstSources.length).sort()).to.deep.eq(secondSources.sort());
|
|
});
|
|
|
|
it('is able to create a order from LiquidityProvider', async () => {
|
|
const liquidityProviderAddress = (DEFAULT_FILL_DATA[ERC20BridgeSource.LiquidityProvider] as any)
|
|
.poolAddress;
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.LiquidityProvider] = [1, 1, 1, 1];
|
|
MOCK_SAMPLER.liquidityProviderRegistry[liquidityProviderAddress] = {
|
|
tokens: [MAKER_TOKEN, TAKER_TOKEN],
|
|
gasCost: 0,
|
|
};
|
|
replaceSamplerOps({
|
|
getLimitOrderFillableTakerAmounts: () => [constants.ZERO_AMOUNT],
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
|
|
const sampler = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
|
|
const ordersAndReport = await sampler.getOptimizerResultAsync(
|
|
[
|
|
{
|
|
order: new LimitOrder({
|
|
makerToken: MAKER_TOKEN,
|
|
takerToken: TAKER_TOKEN,
|
|
}),
|
|
type: FillQuoteTransformerOrderType.Limit,
|
|
signature: {} as any,
|
|
},
|
|
],
|
|
FILL_AMOUNT,
|
|
MarketOperation.Sell,
|
|
{
|
|
includedSources: [ERC20BridgeSource.LiquidityProvider],
|
|
excludedSources: [],
|
|
numSamples: 4,
|
|
bridgeSlippage: 0,
|
|
gasPrice: new BigNumber(30e9),
|
|
},
|
|
);
|
|
const result = ordersAndReport.optimizedOrders;
|
|
expect(result.length).to.eql(1);
|
|
expect(
|
|
(result[0] as OptimizedMarketBridgeOrder<LiquidityProviderFillData>).fillData.poolAddress,
|
|
).to.eql(liquidityProviderAddress);
|
|
|
|
// // TODO (xianny): decode bridge data in v4 format
|
|
// // tslint:disable-next-line:no-unnecessary-type-assertion
|
|
// const decodedAssetData = assetDataUtils.decodeAssetDataOrThrow(
|
|
// result[0].makerAssetData,
|
|
// ) as ERC20BridgeAssetData;
|
|
// expect(decodedAssetData.assetProxyId).to.eql(AssetProxyId.ERC20Bridge);
|
|
// expect(decodedAssetData.bridgeAddress).to.eql(liquidityProviderAddress);
|
|
// expect(result[0].takerAmount).to.bignumber.eql(FILL_AMOUNT);
|
|
});
|
|
|
|
it('factors in exchange proxy gas overhead', async () => {
|
|
// Uniswap has a slightly better rate than LiquidityProvider,
|
|
// but LiquidityProvider is better accounting for the EP gas overhead.
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [0.01, 0.01, 0.01, 0.01],
|
|
[ERC20BridgeSource.Uniswap]: [1, 1, 1, 1],
|
|
[ERC20BridgeSource.LiquidityProvider]: [0.9999, 0.9999, 0.9999, 0.9999],
|
|
};
|
|
MOCK_SAMPLER.liquidityProviderRegistry[randomAddress()] = {
|
|
tokens: [MAKER_TOKEN, TAKER_TOKEN],
|
|
gasCost: 0,
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const optimizer = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
|
|
const gasPrice = 100e9; // 100 gwei
|
|
const exchangeProxyOverhead = (sourceFlags: bigint) =>
|
|
sourceFlags === SOURCE_FLAGS.LiquidityProvider
|
|
? constants.ZERO_AMOUNT
|
|
: new BigNumber(1.3e5).times(gasPrice);
|
|
const improvedOrdersResponse = await optimizer.getOptimizerResultAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
MarketOperation.Sell,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
numSamples: 4,
|
|
includedSources: [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.LiquidityProvider,
|
|
],
|
|
excludedSources: [],
|
|
exchangeProxyOverhead,
|
|
},
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [ERC20BridgeSource.LiquidityProvider];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
});
|
|
|
|
describe('getMarketBuyOrdersAsync()', () => {
|
|
const FILL_AMOUNT = new BigNumber('100e18');
|
|
const ORDERS = createOrdersFromBuyRates(
|
|
FILL_AMOUNT,
|
|
_.times(NUM_SAMPLES, () => DEFAULT_RATES[ERC20BridgeSource.Native][0]),
|
|
);
|
|
const GAS_PRICE = new BigNumber(100e9); // 100 gwei
|
|
const DEFAULT_OPTS: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber } = {
|
|
numSamples: NUM_SAMPLES,
|
|
sampleDistributionBase: 1,
|
|
bridgeSlippage: 0,
|
|
maxFallbackSlippage: 100,
|
|
excludedSources: DEFAULT_EXCLUDED,
|
|
allowFallback: false,
|
|
gasSchedule: {},
|
|
feeSchedule: {},
|
|
gasPrice: GAS_PRICE,
|
|
};
|
|
|
|
beforeEach(() => {
|
|
replaceSamplerOps();
|
|
});
|
|
|
|
it('queries `numSamples` samples', async () => {
|
|
const numSamples = _.random(1, 16);
|
|
let actualNumSamples = 0;
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
actualNumSamples = amounts.length;
|
|
return DEFAULT_OPS.getBuyQuotes(
|
|
sources,
|
|
makerToken,
|
|
takerToken,
|
|
amounts,
|
|
wethAddress,
|
|
TOKEN_ADJACENCY_GRAPH,
|
|
);
|
|
},
|
|
});
|
|
await getMarketBuyOrdersAsync(marketOperationUtils, ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
numSamples,
|
|
});
|
|
expect(actualNumSamples).eq(numSamples);
|
|
});
|
|
|
|
it('polls all DEXes if `excludedSources` is empty', async () => {
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getBuyQuotes(
|
|
sources,
|
|
makerToken,
|
|
takerToken,
|
|
amounts,
|
|
wethAddress,
|
|
TOKEN_ADJACENCY_GRAPH,
|
|
);
|
|
},
|
|
getTwoHopBuyQuotes: (sources: ERC20BridgeSource[], ..._args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
sourcesPolled.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopBuyQuotes(..._args);
|
|
},
|
|
});
|
|
await getMarketBuyOrdersAsync(marketOperationUtils, ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.equals(BUY_SOURCES.sort());
|
|
});
|
|
|
|
it('does not poll DEXes in `excludedSources`', async () => {
|
|
const excludedSources = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.Eth2Dai];
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getBuyQuotes(
|
|
sources,
|
|
makerToken,
|
|
takerToken,
|
|
amounts,
|
|
wethAddress,
|
|
TOKEN_ADJACENCY_GRAPH,
|
|
);
|
|
},
|
|
getTwoHopBuyQuotes: (sources: ERC20BridgeSource[], ..._args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
sourcesPolled.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopBuyQuotes(..._args);
|
|
},
|
|
});
|
|
await getMarketBuyOrdersAsync(marketOperationUtils, ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources,
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.eq(_.without(BUY_SOURCES, ...excludedSources).sort());
|
|
});
|
|
|
|
it('only polls DEXes in `includedSources`', async () => {
|
|
const includedSources = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.Eth2Dai];
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getBuyQuotes(
|
|
sources,
|
|
makerToken,
|
|
takerToken,
|
|
amounts,
|
|
wethAddress,
|
|
TOKEN_ADJACENCY_GRAPH,
|
|
);
|
|
},
|
|
getTwoHopBuyQuotes: (sources: ERC20BridgeSource[], ..._args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
sourcesPolled.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopBuyQuotes(..._args);
|
|
},
|
|
});
|
|
await getMarketBuyOrdersAsync(marketOperationUtils, ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
includedSources,
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.eq(includedSources.sort());
|
|
});
|
|
|
|
// it('generates bridge orders with correct asset data', async () => {
|
|
// const improvedOrdersResponse = await getMarketBuyOrdersAsync(
|
|
// marketOperationUtils,
|
|
// // Pass in empty orders to prevent native orders from being used.
|
|
// ORDERS.map(o => ({ ...o, makerAmount: constants.ZERO_AMOUNT })),
|
|
// FILL_AMOUNT,
|
|
// DEFAULT_OPTS,
|
|
// );
|
|
// const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
// expect(improvedOrders).to.not.be.length(0);
|
|
// for (const order of improvedOrders) {
|
|
// expect(getSourceFromAssetData(order.makerAssetData)).to.exist('');
|
|
// const makerAssetDataPrefix = hexUtils.slice(
|
|
// assetDataUtils.encodeERC20BridgeAssetData(
|
|
// MAKER_TOKEN,
|
|
// constants.NULL_ADDRESS,
|
|
// constants.NULL_BYTES,
|
|
// ),
|
|
// 0,
|
|
// 36,
|
|
// );
|
|
// assertSamePrefix(order.makerAssetData, makerAssetDataPrefix);
|
|
// expect(order.takerAssetData).to.eq(TAKER_ASSET_DATA);
|
|
// }
|
|
// });
|
|
|
|
it('generates bridge orders with correct maker amount', async () => {
|
|
const improvedOrdersResponse = await getMarketBuyOrdersAsync(
|
|
marketOperationUtils,
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
DEFAULT_OPTS,
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const totalmakerAmount = BigNumber.sum(...improvedOrders.map(o => o.makerAmount));
|
|
expect(totalmakerAmount).to.bignumber.gte(FILL_AMOUNT);
|
|
});
|
|
|
|
it('generates bridge orders with max slippage of `bridgeSlippage`', async () => {
|
|
const bridgeSlippage = _.random(0.1, true);
|
|
const improvedOrdersResponse = await getMarketBuyOrdersAsync(
|
|
marketOperationUtils,
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, bridgeSlippage },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
expect(improvedOrders).to.not.be.length(0);
|
|
for (const order of improvedOrders) {
|
|
const expectedTakerAmount = order.fills[0].output;
|
|
const slippage = order.takerAmount.div(expectedTakerAmount.plus(1)).minus(1);
|
|
assertRoughlyEquals(slippage, bridgeSlippage, 1);
|
|
}
|
|
});
|
|
|
|
it('can mix convex sources', async () => {
|
|
const rates: RatesBySource = { ...ZERO_RATES };
|
|
rates[ERC20BridgeSource.Native] = [0.4, 0.3, 0.2, 0.1];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.5, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.6, 0.05, 0.05, 0.05];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await getMarketBuyOrdersAsync(
|
|
marketOperationUtils,
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4 },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
const ETH_TO_TAKER_RATE = 1.5;
|
|
|
|
it('factors in fees for native orders', async () => {
|
|
// Native orders will have the best rates but have fees,
|
|
// dropping their effective rates.
|
|
const nativeFeeRate = 0.06;
|
|
const rates: RatesBySource = {
|
|
...ZERO_RATES,
|
|
[ERC20BridgeSource.Native]: [1, 0.99, 0.98, 0.97], // Effectively [0.94, ~0.93, ~0.92, ~0.91]
|
|
[ERC20BridgeSource.Uniswap]: [0.96, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.95, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Kyber]: [0.1, 0.1, 0.1, 0.1],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Native]: _.constant(
|
|
FILL_AMOUNT.div(4)
|
|
.times(nativeFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_TAKER_RATE),
|
|
),
|
|
};
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
|
});
|
|
const improvedOrdersResponse = await getMarketBuyOrdersAsync(
|
|
marketOperationUtils,
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('factors in fees for dexes', async () => {
|
|
// Uniswap will have the best rates but will have fees,
|
|
// dropping its effective rates.
|
|
const uniswapFeeRate = 0.2;
|
|
const rates: RatesBySource = {
|
|
...ZERO_RATES,
|
|
[ERC20BridgeSource.Native]: [0.95, 0.1, 0.1, 0.1],
|
|
// Effectively [0.8, ~0.5, ~0, ~0]
|
|
[ERC20BridgeSource.Uniswap]: [1, 0.7, 0.2, 0.2],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.92, 0.1, 0.1, 0.1],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Uniswap]: _.constant(
|
|
FILL_AMOUNT.div(4)
|
|
.times(uniswapFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_TAKER_RATE),
|
|
),
|
|
};
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
|
});
|
|
const improvedOrdersResponse = await getMarketBuyOrdersAsync(
|
|
marketOperationUtils,
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('does not create a fallback if below maxFallbackSlippage', async () => {
|
|
const rates: RatesBySource = { ...ZERO_RATES };
|
|
rates[ERC20BridgeSource.Native] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Uniswap] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.49, 0.49, 0.49, 0.49];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await getMarketBuyOrdersAsync(
|
|
marketOperationUtils,
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true, maxFallbackSlippage: 0.25 },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const firstSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Native, ERC20BridgeSource.Uniswap];
|
|
const secondSources: ERC20BridgeSource[] = [];
|
|
expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
|
|
expect(orderSources.slice(firstSources.length).sort()).to.deep.eq(secondSources.sort());
|
|
});
|
|
|
|
it('factors in exchange proxy gas overhead', async () => {
|
|
// Uniswap has a slightly better rate than LiquidityProvider,
|
|
// but LiquidityProvider is better accounting for the EP gas overhead.
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [0.01, 0.01, 0.01, 0.01],
|
|
[ERC20BridgeSource.Uniswap]: [1, 1, 1, 1],
|
|
[ERC20BridgeSource.LiquidityProvider]: [0.9999, 0.9999, 0.9999, 0.9999],
|
|
};
|
|
MOCK_SAMPLER.liquidityProviderRegistry[randomAddress()] = {
|
|
tokens: [MAKER_TOKEN, TAKER_TOKEN],
|
|
gasCost: 0,
|
|
};
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
|
});
|
|
const optimizer = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
|
|
const exchangeProxyOverhead = (sourceFlags: bigint) =>
|
|
sourceFlags === SOURCE_FLAGS.LiquidityProvider
|
|
? constants.ZERO_AMOUNT
|
|
: new BigNumber(1.3e5).times(GAS_PRICE);
|
|
const improvedOrdersResponse = await optimizer.getOptimizerResultAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
MarketOperation.Buy,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
numSamples: 4,
|
|
includedSources: [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.LiquidityProvider,
|
|
],
|
|
excludedSources: [],
|
|
exchangeProxyOverhead,
|
|
},
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [ERC20BridgeSource.LiquidityProvider];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
});
|
|
});
|
|
|
|
describe('createFills', () => {
|
|
const takerAmount = new BigNumber(5000000);
|
|
const outputAmountPerEth = new BigNumber(0.5);
|
|
// tslint:disable-next-line:no-object-literal-type-assertion
|
|
const smallOrder: NativeOrderWithFillableAmounts = {
|
|
order: {
|
|
...new LimitOrder({
|
|
chainId: 1,
|
|
maker: 'SMALL_ORDER',
|
|
takerAmount,
|
|
makerAmount: takerAmount.times(2),
|
|
}),
|
|
},
|
|
fillableMakerAmount: takerAmount.times(2),
|
|
fillableTakerAmount: takerAmount,
|
|
fillableTakerFeeAmount: new BigNumber(0),
|
|
type: FillQuoteTransformerOrderType.Limit,
|
|
signature: SIGNATURE,
|
|
};
|
|
const largeOrder: NativeOrderWithFillableAmounts = {
|
|
order: {
|
|
...new LimitOrder({
|
|
chainId: 1,
|
|
maker: 'LARGE_ORDER',
|
|
takerAmount: smallOrder.order.takerAmount.times(2),
|
|
makerAmount: smallOrder.order.makerAmount.times(2),
|
|
}),
|
|
},
|
|
fillableTakerAmount: smallOrder.fillableTakerAmount.times(2),
|
|
fillableMakerAmount: smallOrder.fillableMakerAmount.times(2),
|
|
fillableTakerFeeAmount: new BigNumber(0),
|
|
type: FillQuoteTransformerOrderType.Limit,
|
|
signature: SIGNATURE,
|
|
};
|
|
const orders = [smallOrder, largeOrder];
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Native]: _.constant(2e5),
|
|
};
|
|
|
|
it('penalizes native fill based on target amount when target is smaller', () => {
|
|
const path = createFills({
|
|
side: MarketOperation.Sell,
|
|
orders,
|
|
dexQuotes: [],
|
|
targetInput: takerAmount.minus(1),
|
|
outputAmountPerEth,
|
|
feeSchedule,
|
|
});
|
|
expect((path[0][0].fillData as NativeFillData).order.maker).to.eq(smallOrder.order.maker);
|
|
expect(path[0][0].input).to.be.bignumber.eq(takerAmount.minus(1));
|
|
});
|
|
|
|
it('penalizes native fill based on available amount when target is larger', () => {
|
|
const path = createFills({
|
|
side: MarketOperation.Sell,
|
|
orders,
|
|
dexQuotes: [],
|
|
targetInput: POSITIVE_INF,
|
|
outputAmountPerEth,
|
|
feeSchedule,
|
|
});
|
|
expect((path[0][0].fillData as NativeFillData).order.maker).to.eq(largeOrder.order.maker);
|
|
expect((path[0][1].fillData as NativeFillData).order.maker).to.eq(smallOrder.order.maker);
|
|
});
|
|
});
|
|
});
|
|
// tslint:disable-next-line: max-file-line-count
|