protocol/apps-node/api/test/swap_test.ts

593 lines
25 KiB
TypeScript

import { WETH9Contract } from '@0x/contract-wrappers';
import { DummyERC20TokenContract } from '@0x/contracts-erc20';
import { BlockchainLifecycle } from 'dev-utils-deprecated';
import { isNativeSymbolOrAddress } from '@0x/token-metadata';
import { ObjectMap } from '@0x/types';
import Web3ProviderEngine from 'web3-provider-engine';
import { BigNumber } from '@0x/utils';
import { Server } from 'http';
import * as HttpStatus from 'http-status-codes';
import * as _ from 'lodash';
import 'mocha';
import { expect } from 'chai';
import supertest from 'supertest';
import { getAppAsync } from '../src/app';
import { getDefaultAppDependenciesAsync } from '../src/runners/utils';
import { AppDependencies } from '../src/types';
import { BUY_SOURCE_FILTER_BY_CHAIN_ID, ERC20BridgeSource, LimitOrderFields } from '../src/asset-swapper';
import * as config from '../src/config';
import { AFFILIATE_FEE_TRANSFORMER_GAS, GAS_LIMIT_BUFFER_MULTIPLIER, SWAP_PATH } from '../src/constants';
import { getDBConnectionOrThrow } from '../src/db_connection';
import { ValidationErrorCodes, ValidationErrorReasons } from '../src/errors';
import { GetSwapQuoteResponse, SignedLimitOrder } from '../src/types';
import {
CHAIN_ID,
CONTRACT_ADDRESSES,
ETHEREUM_RPC_URL,
ETH_TOKEN_ADDRESS,
getProvider,
MATCHA_AFFILIATE_ADDRESS,
MATCHA_AFFILIATE_ENCODED_PARTIAL_ORDER_DATA,
MAX_INT,
MAX_MINT_AMOUNT,
NULL_ADDRESS,
SYMBOL_TO_ADDRESS,
WETH_TOKEN_ADDRESS,
ZRX_TOKEN_ADDRESS,
} from './constants';
import { setupDependenciesAsync, teardownDependenciesAsync } from './utils/deployment';
import { constructRoute, httpGetAsync } from './utils/http_utils';
import { MockOrderWatcher } from './utils/mock_order_watcher';
import { getRandomSignedLimitOrderAsync } from './utils/orders';
import { ChainId } from '@0x/contract-addresses';
import { Web3Wrapper } from '@0x/web3-wrapper';
import { expectCorrectQuoteResponse, expectSwapError } from './test_utils';
import { getRandomInteger, randomAddress } from './utils/random';
// Force reload of the app avoid variables being polluted between test suites
// Warning: You probably don't want to move this
delete require.cache[require.resolve('../src/app')];
delete require.cache[require.resolve('../src/runners/utils')];
const SUITE_NAME = 'Swap API';
const EXCLUDED_SOURCES = BUY_SOURCE_FILTER_BY_CHAIN_ID[ChainId.Mainnet].sources.filter(
(s) => s !== ERC20BridgeSource.Native,
);
const DEFAULT_QUERY_PARAMS = {
buyToken: 'ZRX',
sellToken: 'WETH',
excludedSources: EXCLUDED_SOURCES.join(','),
};
const MAKER_WETH_AMOUNT = new BigNumber('1000000000000000000');
const ONE_THOUSAND_IN_BASE = new BigNumber('1000000000000000000000');
const ZERO_EX_SOURCE = { name: '0x', proportion: new BigNumber('1') };
describe(SUITE_NAME, () => {
let app: Express.Application;
let server: Server;
let dependencies: AppDependencies;
let accounts: string[];
let takerAddress: string;
let makerAddress: string;
const invalidTakerAddress = '0x0000000000000000000000000000000000000001';
let blockchainLifecycle: BlockchainLifecycle;
let provider: Web3ProviderEngine;
before(async () => {
await setupDependenciesAsync(SUITE_NAME);
const connection = await getDBConnectionOrThrow();
await connection.runMigrations();
provider = getProvider();
const web3Wrapper = new Web3Wrapper(provider);
blockchainLifecycle = new BlockchainLifecycle(web3Wrapper);
const mockOrderWatcher = new MockOrderWatcher(connection);
accounts = await web3Wrapper.getAvailableAddressesAsync();
[, makerAddress, takerAddress] = accounts;
// Set up liquidity.
await blockchainLifecycle.startAsync();
const wethToken = new WETH9Contract(CONTRACT_ADDRESSES.etherToken, provider);
const zrxToken = new DummyERC20TokenContract(CONTRACT_ADDRESSES.zrxToken, provider);
// EP setup so maker address can take
await zrxToken.mint(MAX_MINT_AMOUNT).awaitTransactionSuccessAsync({ from: takerAddress });
await zrxToken.mint(MAX_MINT_AMOUNT).awaitTransactionSuccessAsync({ from: makerAddress });
await wethToken.deposit().awaitTransactionSuccessAsync({ from: takerAddress, value: MAKER_WETH_AMOUNT });
await wethToken.deposit().awaitTransactionSuccessAsync({ from: makerAddress, value: MAKER_WETH_AMOUNT });
await wethToken
.approve(CONTRACT_ADDRESSES.exchangeProxy, MAX_INT)
.awaitTransactionSuccessAsync({ from: takerAddress });
await wethToken
.approve(CONTRACT_ADDRESSES.exchangeProxy, MAX_INT)
.awaitTransactionSuccessAsync({ from: makerAddress });
await zrxToken
.approve(CONTRACT_ADDRESSES.exchangeProxy, MAX_INT)
.awaitTransactionSuccessAsync({ from: takerAddress });
await zrxToken
.approve(CONTRACT_ADDRESSES.exchangeProxy, MAX_INT)
.awaitTransactionSuccessAsync({ from: makerAddress });
const limitOrders: Partial<LimitOrderFields>[] = [
{
makerToken: ZRX_TOKEN_ADDRESS,
takerToken: WETH_TOKEN_ADDRESS,
makerAmount: ONE_THOUSAND_IN_BASE,
takerAmount: ONE_THOUSAND_IN_BASE,
maker: makerAddress,
},
{
makerToken: ZRX_TOKEN_ADDRESS,
takerToken: WETH_TOKEN_ADDRESS,
makerAmount: ONE_THOUSAND_IN_BASE,
takerAmount: ONE_THOUSAND_IN_BASE.multipliedBy(2),
maker: makerAddress,
},
{
makerToken: ZRX_TOKEN_ADDRESS,
takerToken: WETH_TOKEN_ADDRESS,
makerAmount: MAX_MINT_AMOUNT,
takerAmount: ONE_THOUSAND_IN_BASE.multipliedBy(3),
maker: makerAddress,
},
{
makerToken: WETH_TOKEN_ADDRESS,
takerToken: ZRX_TOKEN_ADDRESS,
makerAmount: MAKER_WETH_AMOUNT,
takerAmount: ONE_THOUSAND_IN_BASE,
maker: makerAddress,
},
];
const signPartialOrder = (order: Partial<LimitOrderFields>) => getRandomSignedLimitOrderAsync(provider, order);
const signedOrders: SignedLimitOrder[] = await Promise.all(limitOrders.map(signPartialOrder));
await mockOrderWatcher.postOrdersAsync(signedOrders);
// start the 0x-api app
dependencies = await getDefaultAppDependenciesAsync(provider, {
...config.defaultHttpServiceConfig,
ethereumRpcUrl: ETHEREUM_RPC_URL,
});
({ app, server } = await getAppAsync(
{ ...dependencies },
{ ...config.defaultHttpServiceConfig, ethereumRpcUrl: ETHEREUM_RPC_URL },
));
});
after(async () => {
await blockchainLifecycle.revertAsync();
await new Promise<void>((resolve, reject) => {
server.close((err?: Error) => {
if (err) {
reject(err);
}
resolve();
});
});
await teardownDependenciesAsync(SUITE_NAME);
});
describe(`/quote should handle valid token parameter permutations`, () => {
const WETH_BUY_AMOUNT = MAKER_WETH_AMOUNT.div(10).toString();
const ZRX_BUY_AMOUNT = ONE_THOUSAND_IN_BASE.div(10).toString();
const parameterPermutations = [
{ buyToken: 'ZRX', sellToken: 'WETH', buyAmount: ZRX_BUY_AMOUNT },
{ buyToken: 'WETH', sellToken: 'ZRX', buyAmount: WETH_BUY_AMOUNT },
{ buyToken: ZRX_TOKEN_ADDRESS, sellToken: 'WETH', buyAmount: ZRX_BUY_AMOUNT },
{ buyToken: ZRX_TOKEN_ADDRESS, sellToken: WETH_TOKEN_ADDRESS, buyAmount: ZRX_BUY_AMOUNT },
// { buyToken: 'ZRX', sellToken: UNKNOWN_TOKEN_ADDRESS, buyAmount: ZRX_BUY_AMOUNT },
{ buyToken: 'ZRX', sellToken: 'ETH', buyAmount: ZRX_BUY_AMOUNT },
{ buyToken: 'ETH', sellToken: 'ZRX', buyAmount: WETH_BUY_AMOUNT },
{ buyToken: 'ZRX', sellToken: ETH_TOKEN_ADDRESS, buyAmount: ZRX_BUY_AMOUNT },
{ buyToken: ETH_TOKEN_ADDRESS, sellToken: 'ZRX', buyAmount: WETH_BUY_AMOUNT },
];
parameterPermutations.map((parameters) => {
it(`should return a valid quote for ${JSON.stringify(parameters)}`, async () => {
const response = await requestSwap(app, 'quote', parameters);
expectCorrectQuoteResponse(response, {
buyAmount: new BigNumber(parameters.buyAmount),
sellTokenAddress: parameters.sellToken.startsWith('0x')
? parameters.sellToken
: SYMBOL_TO_ADDRESS[parameters.sellToken],
buyTokenAddress: parameters.buyToken.startsWith('0x')
? parameters.buyToken
: SYMBOL_TO_ADDRESS[parameters.buyToken],
allowanceTarget: isNativeSymbolOrAddress(parameters.sellToken, CHAIN_ID)
? NULL_ADDRESS
: CONTRACT_ADDRESSES.exchangeProxy,
sources: [ZERO_EX_SOURCE],
});
});
});
});
describe('/price', async () => {
it('should respond with 200 OK even if the the takerAddress cannot complete a trade', async () => {
// The taker does not have an allowance
const swapResponse = await requestSwap(app, 'price', {
takerAddress: invalidTakerAddress,
sellToken: 'WETH',
buyToken: 'ZRX',
sellAmount: '10000',
});
expect(swapResponse.statusCode).eq(HttpStatus.StatusCodes.OK);
});
});
describe('/quote', async () => {
it("should respond with INSUFFICIENT_ASSET_LIQUIDITY when there's no liquidity (empty orderbook, sampling excluded, no RFQ)", async () => {
const response = await requestSwap(app, 'quote', { buyAmount: '10000000000000000000000000000000' });
expectSwapError(response, {
validationErrors: [
{
code: ValidationErrorCodes.ValueOutOfRange,
description:
'We are not able to fulfill an order for this token pair at the requested amount due to a lack of liquidity',
field: 'buyAmount',
reason: 'INSUFFICIENT_ASSET_LIQUIDITY',
},
],
});
});
it('should handle wrapping of native token', async () => {
const response = await requestSwap(app, 'quote', {
sellToken: 'ETH',
buyToken: 'WETH',
sellAmount: '10000000',
});
expectCorrectQuoteResponse(response, {
sellTokenAddress: ETH_TOKEN_ADDRESS,
buyTokenAddress: WETH_TOKEN_ADDRESS,
buyAmount: new BigNumber('10000000'),
});
});
it('should handle unwrapping of native token', async () => {
const response = await requestSwap(app, 'quote', {
sellToken: 'WETH',
buyToken: 'ETH',
sellAmount: '10000000',
});
expectCorrectQuoteResponse(response, {
sellTokenAddress: WETH_TOKEN_ADDRESS,
buyTokenAddress: ETH_TOKEN_ADDRESS,
buyAmount: new BigNumber('10000000'),
});
});
it('should respect buyAmount', async () => {
const response = await requestSwap(app, 'quote', { buyAmount: '1234' });
expectCorrectQuoteResponse(response, { buyAmount: new BigNumber(1234) });
});
it('should respect sellAmount', async () => {
const response = await requestSwap(app, 'quote', { sellAmount: '1234' });
expectCorrectQuoteResponse(response, { sellAmount: new BigNumber(1234) });
});
it('should respect gasPrice', async () => {
const response = await requestSwap(app, 'quote', { sellAmount: '1234', gasPrice: '150000000000' });
expectCorrectQuoteResponse(response, { gasPrice: new BigNumber('150000000000') });
});
it('should respect protocolFee for non RFQT orders', async () => {
const gasPrice = new BigNumber('150000000000');
const protocolFee = gasPrice.times(config.PROTOCOL_FEE_MULTIPLIER);
const response = await requestSwap(app, 'quote', { sellAmount: '1234', gasPrice: '150000000000' });
expectCorrectQuoteResponse(response, { gasPrice, protocolFee, value: protocolFee });
});
it('should throw an error when requested to exclude all sources', async () => {
const response = await requestSwap(app, 'quote', {
sellAmount: '1234',
excludedSources: Object.values(ERC20BridgeSource).join(','),
});
expectSwapError(response, {
validationErrors: [
{
code: ValidationErrorCodes.ValueOutOfRange,
field: 'excludedSources',
reason: 'Request excluded all sources',
},
],
});
});
it('should not use a source that is in excludedSources', async () => {
// TODO: When non-native source is supported for this test, it should test whether the
// proportion of Native in response.sources is 0 instead of checking whether it failed
// because of INSUFFICIENT_ASSET_LIQUIDITY
const response = await requestSwap(app, 'quote', {
sellAmount: '1234',
excludedSources: `${ERC20BridgeSource.Native}`,
});
expectSwapError(response, {
validationErrors: [
{
code: ValidationErrorCodes.ValueOutOfRange,
description:
'We are not able to fulfill an order for this token pair at the requested amount due to a lack of liquidity',
field: 'sellAmount',
reason: 'INSUFFICIENT_ASSET_LIQUIDITY',
},
],
});
});
it('should not use source that is not in includedSources', async () => {
// TODO: When non-native source is supported for this test, it should test whether the
// proportion of Native in response.sources is 0 instead of checking whether it failed
// because of INSUFFICIENT_ASSET_LIQUIDITY
const response = await requestSwap(app, 'quote', {
sellAmount: '1234',
excludedSources: '',
includedSources: `${ERC20BridgeSource.UniswapV2}`,
});
expectSwapError(response, {
validationErrors: [
{
code: ValidationErrorCodes.ValueOutOfRange,
description:
'We are not able to fulfill an order for this token pair at the requested amount due to a lack of liquidity',
field: 'sellAmount',
reason: 'INSUFFICIENT_ASSET_LIQUIDITY',
},
],
});
});
it('should respect includedSources', async () => {
const response = await requestSwap(app, 'quote', {
sellAmount: '1234',
excludedSources: '',
includedSources: [ERC20BridgeSource.Native].join(','),
});
expectCorrectQuoteResponse(response, { sellAmount: new BigNumber(1234) });
});
it('should return a ExchangeProxy transaction for sellToken=WETH', async () => {
const response = await requestSwap(app, 'quote', {
sellToken: 'WETH',
sellAmount: '1234',
});
expectCorrectQuoteResponse(response, {
to: CONTRACT_ADDRESSES.exchangeProxy,
});
});
it('should include debugData when debug=true', async () => {
const response = await requestSwap(app, 'quote', {
sellToken: 'WETH',
sellAmount: '1234',
debug: 'true',
});
expectCorrectQuoteResponse(response, {
debugData: {
samplerGasUsage: 130_000, // approximate: +- 50%
blockNumber: 100, // approximate: +- 50%
},
});
});
it('should return a ExchangeProxy transaction for sellToken=ETH', async () => {
const response = await requestSwap(app, 'quote', {
sellToken: 'WETH',
sellAmount: '1234',
});
expectCorrectQuoteResponse(response, {
to: CONTRACT_ADDRESSES.exchangeProxy,
});
});
// TODO: unskip when Docker Ganache snapshot has been updated
it.skip('should not throw a validation error if takerAddress can complete the quote', async () => {
// The maker has an allowance
const response = await requestSwap(app, 'quote', {
takerAddress,
sellToken: 'WETH',
buyToken: 'ZRX',
sellAmount: '10000',
});
expectCorrectQuoteResponse(response, {
sellAmount: new BigNumber(10000),
});
});
it('should throw a validation error if takerAddress cannot complete the quote', async () => {
// The taker does not have an allowance
const response = await requestSwap(app, 'quote', {
takerAddress: invalidTakerAddress,
sellToken: 'WETH',
buyToken: 'ZRX',
sellAmount: '10000',
});
expectSwapError(response, { generalUserError: true });
});
describe('affiliate fees', () => {
const sellQuoteParams = {
...DEFAULT_QUERY_PARAMS,
sellAmount: getRandomInteger(1, 100000).toString(),
};
const buyQuoteParams = {
...DEFAULT_QUERY_PARAMS,
buyAmount: getRandomInteger(1, 100000).toString(),
};
let sellQuoteWithoutFee: GetSwapQuoteResponse;
let buyQuoteWithoutFee: GetSwapQuoteResponse;
before(async () => {
const sellQuoteRoute = constructRoute({
baseRoute: `${SWAP_PATH}/quote`,
queryParams: sellQuoteParams,
});
const sellQuoteResponse = await httpGetAsync({ route: sellQuoteRoute });
sellQuoteWithoutFee = sellQuoteResponse.body;
const buyQuoteRoute = constructRoute({
baseRoute: `${SWAP_PATH}/quote`,
queryParams: buyQuoteParams,
});
const buyQuoteResponse = await httpGetAsync({ route: buyQuoteRoute });
buyQuoteWithoutFee = buyQuoteResponse.body;
});
it('can add a buy token affiliate fee to a sell quote', async () => {
const feeRecipient = randomAddress();
const buyTokenPercentageFee = new BigNumber(0.05);
const response = await requestSwap(app, 'quote', {
...sellQuoteParams,
feeRecipient,
buyTokenPercentageFee: buyTokenPercentageFee.toString(),
});
expectCorrectQuoteResponse(
response,
_.omit(
{
...sellQuoteWithoutFee,
buyAmount: new BigNumber(sellQuoteWithoutFee.buyAmount).dividedBy(
buyTokenPercentageFee.plus(1),
),
estimatedGas: new BigNumber(sellQuoteWithoutFee.estimatedGas).plus(
AFFILIATE_FEE_TRANSFORMER_GAS,
),
gas: new BigNumber(sellQuoteWithoutFee.gas).plus(
AFFILIATE_FEE_TRANSFORMER_GAS.times(GAS_LIMIT_BUFFER_MULTIPLIER),
),
price: new BigNumber(sellQuoteWithoutFee.price).dividedBy(buyTokenPercentageFee.plus(1)),
guaranteedPrice: new BigNumber(sellQuoteWithoutFee.guaranteedPrice).dividedBy(
buyTokenPercentageFee.plus(1),
),
},
'data',
'decodedUniqueId',
),
);
});
it('can add a buy token affiliate fee to a buy quote', async () => {
const feeRecipient = randomAddress();
const buyTokenPercentageFee = new BigNumber(0.05);
const response = await requestSwap(app, 'quote', {
...buyQuoteParams,
feeRecipient,
buyTokenPercentageFee: buyTokenPercentageFee.toString(),
});
expectCorrectQuoteResponse(
response,
_.omit(
{
...buyQuoteWithoutFee,
estimatedGas: new BigNumber(buyQuoteWithoutFee.estimatedGas).plus(
AFFILIATE_FEE_TRANSFORMER_GAS,
),
gas: new BigNumber(buyQuoteWithoutFee.gas).plus(
AFFILIATE_FEE_TRANSFORMER_GAS.times(GAS_LIMIT_BUFFER_MULTIPLIER),
),
price: new BigNumber(buyQuoteWithoutFee.price).times(buyTokenPercentageFee.plus(1)),
guaranteedPrice: new BigNumber(buyQuoteWithoutFee.guaranteedPrice).times(
buyTokenPercentageFee.plus(1),
),
},
'data',
'sellAmount',
'orders',
'decodedUniqueId',
),
);
});
it('validation error if given a non-zero sell token fee', async () => {
const feeRecipient = randomAddress();
const response = await requestSwap(app, 'quote', {
...sellQuoteParams,
feeRecipient,
sellTokenPercentageFee: '0.01',
});
expectSwapError(response, {
validationErrors: [
{
code: ValidationErrorCodes.UnsupportedOption,
field: 'sellTokenPercentageFee',
reason: ValidationErrorReasons.ArgumentNotYetSupported,
},
],
});
});
it('validation error if given an invalid percentage', async () => {
const feeRecipient = randomAddress();
const response = await requestSwap(app, 'quote', {
...sellQuoteParams,
feeRecipient,
buyTokenPercentageFee: '1.01',
});
expectSwapError(response, {
validationErrors: [
{
code: ValidationErrorCodes.ValueOutOfRange,
field: 'buyTokenPercentageFee',
reason: ValidationErrorReasons.PercentageOutOfRange,
},
],
});
});
});
describe('affiliate address', () => {
it('encodes affiliate address into quote call data', async () => {
const sellQuoteParams = {
...DEFAULT_QUERY_PARAMS,
sellAmount: getRandomInteger(1, 100000).toString(),
affiliateAddress: MATCHA_AFFILIATE_ADDRESS,
};
const buyQuoteParams = {
...DEFAULT_QUERY_PARAMS,
buyAmount: getRandomInteger(1, 100000).toString(),
affiliateAddress: MATCHA_AFFILIATE_ADDRESS,
};
for (const params of [sellQuoteParams, buyQuoteParams]) {
const quoteRoute = constructRoute({
baseRoute: `${SWAP_PATH}/quote`,
queryParams: params,
});
const quoteResponse = await httpGetAsync({ route: quoteRoute });
expect(quoteResponse.body.data).to.include(MATCHA_AFFILIATE_ENCODED_PARTIAL_ORDER_DATA);
}
});
});
});
});
async function requestSwap(
app: Express.Application,
endpoint: 'price' | 'quote',
queryParams: ObjectMap<string>,
): Promise<supertest.Response> {
const route = constructRoute({
baseRoute: `${SWAP_PATH}/${endpoint}`,
queryParams: {
// NOTE: consider removing default params
...DEFAULT_QUERY_PARAMS,
...queryParams,
},
});
return await httpGetAsync({ app, route });
}