@0x/asset-swapper: Rebase against development and pay protocol fees.
This commit is contained in:
Lawrence Forman
@@ -1,19 +1,19 @@
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import { orderFactory } from '@0x/order-utils/lib/src/order_factory';
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import { Orderbook } from '@0x/orderbook';
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import { Web3ProviderEngine } from '@0x/subproviders';
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import { AssetPairsItem, SignedOrder } from '@0x/types';
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import { BigNumber } from '@0x/utils';
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import { Web3Wrapper } from '@0x/web3-wrapper';
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import * as chai from 'chai';
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import 'mocha';
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import * as TypeMoq from 'typemoq';
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import { SwapQuoter } from '../src';
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import { constants } from '../src/constants';
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import { LiquidityForAssetData, OrdersAndFillableAmounts } from '../src/types';
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import { LiquidityForTakerMakerAssetDataPair, PrunedSignedOrder } from '../src/types';
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import { chaiSetup } from './utils/chai_setup';
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import { mockAvailableAssetDatas, mockedSwapQuoterWithOrdersAndFillableAmounts, orderbookMock } from './utils/mocks';
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import { mockAvailableAssetDatas, mockedSwapQuoterWithPrunedSignedOrders, orderbookMock } from './utils/mocks';
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import { testOrderFactory } from './utils/test_order_factory';
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import { baseUnitAmount } from './utils/utils';
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chaiSetup.configure();
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const expect = chai.expect;
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@@ -27,10 +27,6 @@ const WETH_ASSET_DATA = '0xf47261b0000000000000000000000000c02aaa39b223fe8d0a0e5
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const WETH_DECIMALS = constants.ETHER_TOKEN_DECIMALS;
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const ZERO = new BigNumber(0);
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const baseUnitAmount = (unitAmount: number, decimals = TOKEN_DECIMALS): BigNumber => {
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return Web3Wrapper.toBaseUnitAmount(new BigNumber(unitAmount), decimals);
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};
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const assetsToAssetPairItems = (makerAssetData: string, takerAssetData: string): AssetPairsItem[] => {
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const defaultAssetPairItem = {
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minAmount: ZERO,
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@@ -64,15 +60,15 @@ const assetsToAssetPairItems = (makerAssetData: string, takerAssetData: string):
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const expectLiquidityResult = async (
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web3Provider: Web3ProviderEngine,
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orderbook: Orderbook,
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ordersAndFillableAmounts: OrdersAndFillableAmounts,
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expectedLiquidityResult: LiquidityForAssetData,
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prunedOrders: PrunedSignedOrder[],
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expectedLiquidityResult: LiquidityForTakerMakerAssetDataPair,
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) => {
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const mockedSwapQuoter = mockedSwapQuoterWithOrdersAndFillableAmounts(
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const mockedSwapQuoter = mockedSwapQuoterWithPrunedSignedOrders(
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web3Provider,
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orderbook,
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FAKE_MAKER_ASSET_DATA,
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WETH_ASSET_DATA,
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ordersAndFillableAmounts,
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prunedOrders,
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);
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const liquidityResult = await mockedSwapQuoter.object.getLiquidityForMakerTakerAssetDataPairAsync(
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FAKE_MAKER_ASSET_DATA,
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@@ -130,8 +126,8 @@ describe('SwapQuoter', () => {
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FAKE_TAKER_ASSET_DATA,
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);
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expect(liquidityResult).to.deep.equal({
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makerTokensAvailableInBaseUnits: new BigNumber(0),
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takerTokensAvailableInBaseUnits: new BigNumber(0),
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makerAssetAvailableInBaseUnits: new BigNumber(0),
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takerAssetAvailableInBaseUnits: new BigNumber(0),
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});
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});
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@@ -144,20 +140,15 @@ describe('SwapQuoter', () => {
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FAKE_TAKER_ASSET_DATA,
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);
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expect(liquidityResult).to.deep.equal({
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makerTokensAvailableInBaseUnits: new BigNumber(0),
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takerTokensAvailableInBaseUnits: new BigNumber(0),
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makerAssetAvailableInBaseUnits: new BigNumber(0),
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takerAssetAvailableInBaseUnits: new BigNumber(0),
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});
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});
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});
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describe('assetData is supported', () => {
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// orders
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const sellTwoTokensFor1Weth: SignedOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: baseUnitAmount(2),
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takerAssetAmount: baseUnitAmount(1, WETH_DECIMALS),
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chainId: 42,
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});
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const sellTenTokensFor10Weth: SignedOrder = orderFactory.createSignedOrderFromPartial({
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const sellTenTokensFor10Weth: SignedOrder = testOrderFactory.generateTestSignedOrder({
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makerAssetAmount: baseUnitAmount(10),
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takerAssetAmount: baseUnitAmount(10, WETH_DECIMALS),
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chainId: 42,
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@@ -168,98 +159,145 @@ describe('SwapQuoter', () => {
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});
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it('should return 0s when no orders available', async () => {
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const ordersAndFillableAmounts: OrdersAndFillableAmounts = {
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orders: [],
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remainingFillableMakerAssetAmounts: [],
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};
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const prunedOrders: PrunedSignedOrder[] = [];
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const expectedResult = {
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makerTokensAvailableInBaseUnits: new BigNumber(0),
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takerTokensAvailableInBaseUnits: new BigNumber(0),
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makerAssetAvailableInBaseUnits: new BigNumber(0),
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takerAssetAvailableInBaseUnits: new BigNumber(0),
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};
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await expectLiquidityResult(
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mockWeb3Provider.object,
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mockOrderbook.object,
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ordersAndFillableAmounts,
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prunedOrders,
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expectedResult,
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);
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});
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it('should return correct computed value when orders provided with full fillableAmounts', async () => {
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const orders: SignedOrder[] = [sellTwoTokensFor1Weth, sellTenTokensFor10Weth];
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const ordersAndFillableAmounts = {
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orders: [sellTwoTokensFor1Weth, sellTenTokensFor10Weth],
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remainingFillableMakerAssetAmounts: orders.map(o => o.makerAssetAmount),
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};
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const expectedMakerTokensAvailable = orders[0].makerAssetAmount.plus(orders[1].makerAssetAmount);
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const expectedTakerTokensAvailable = orders[0].takerAssetAmount.plus(orders[1].takerAssetAmount);
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const prunedOrders: PrunedSignedOrder[] = [
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{
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...sellTenTokensFor10Weth,
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...{
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fillableMakerAssetAmount: sellTenTokensFor10Weth.makerAssetAmount,
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fillableTakerAssetAmount: sellTenTokensFor10Weth.takerAssetAmount,
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fillableTakerFeeAmount: constants.ZERO_AMOUNT,
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},
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},
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{
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...sellTenTokensFor10Weth,
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...{
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fillableMakerAssetAmount: sellTenTokensFor10Weth.makerAssetAmount,
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fillableTakerAssetAmount: sellTenTokensFor10Weth.takerAssetAmount,
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fillableTakerFeeAmount: constants.ZERO_AMOUNT,
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},
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},
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];
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const expectedMakerAssetAvailable = prunedOrders[0].makerAssetAmount.plus(
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prunedOrders[1].makerAssetAmount,
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);
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const expectedTakerAssetAvailable = prunedOrders[0].takerAssetAmount.plus(
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prunedOrders[1].takerAssetAmount,
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);
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const expectedResult = {
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makerTokensAvailableInBaseUnits: expectedMakerTokensAvailable,
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takerTokensAvailableInBaseUnits: expectedTakerTokensAvailable,
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makerAssetAvailableInBaseUnits: expectedMakerAssetAvailable,
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takerAssetAvailableInBaseUnits: expectedTakerAssetAvailable,
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};
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await expectLiquidityResult(
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mockWeb3Provider.object,
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mockOrderbook.object,
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ordersAndFillableAmounts,
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prunedOrders,
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expectedResult,
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);
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});
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it('should return correct computed value with one partial fillableAmounts', async () => {
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const ordersAndFillableAmounts = {
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orders: [sellTwoTokensFor1Weth],
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remainingFillableMakerAssetAmounts: [baseUnitAmount(1)],
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};
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const prunedOrders: PrunedSignedOrder[] = [
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{
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...sellTenTokensFor10Weth,
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...{
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fillableMakerAssetAmount: baseUnitAmount(1),
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fillableTakerAssetAmount: baseUnitAmount(0.5, WETH_DECIMALS),
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fillableTakerFeeAmount: constants.ZERO_AMOUNT,
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},
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},
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];
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const expectedResult = {
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makerTokensAvailableInBaseUnits: baseUnitAmount(1),
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takerTokensAvailableInBaseUnits: baseUnitAmount(0.5, WETH_DECIMALS),
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makerAssetAvailableInBaseUnits: baseUnitAmount(1),
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takerAssetAvailableInBaseUnits: baseUnitAmount(0.5, WETH_DECIMALS),
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};
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await expectLiquidityResult(
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mockWeb3Provider.object,
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mockOrderbook.object,
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ordersAndFillableAmounts,
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prunedOrders,
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expectedResult,
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);
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});
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it('should return correct computed value with multiple orders and fillable amounts', async () => {
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const ordersAndFillableAmounts = {
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orders: [sellTwoTokensFor1Weth, sellTenTokensFor10Weth],
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remainingFillableMakerAssetAmounts: [baseUnitAmount(1), baseUnitAmount(3)],
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};
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const prunedOrders: PrunedSignedOrder[] = [
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{
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...sellTenTokensFor10Weth,
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...{
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fillableMakerAssetAmount: baseUnitAmount(1),
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fillableTakerAssetAmount: baseUnitAmount(0.5, WETH_DECIMALS),
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fillableTakerFeeAmount: constants.ZERO_AMOUNT,
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},
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},
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{
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...sellTenTokensFor10Weth,
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...{
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fillableMakerAssetAmount: baseUnitAmount(3),
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fillableTakerAssetAmount: baseUnitAmount(3, WETH_DECIMALS),
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fillableTakerFeeAmount: constants.ZERO_AMOUNT,
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},
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},
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];
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const expectedResult = {
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makerTokensAvailableInBaseUnits: baseUnitAmount(4),
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takerTokensAvailableInBaseUnits: baseUnitAmount(3.5, WETH_DECIMALS),
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makerAssetAvailableInBaseUnits: baseUnitAmount(4),
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takerAssetAvailableInBaseUnits: baseUnitAmount(3.5, WETH_DECIMALS),
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};
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await expectLiquidityResult(
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mockWeb3Provider.object,
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mockOrderbook.object,
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ordersAndFillableAmounts,
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prunedOrders,
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expectedResult,
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);
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});
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it('should return 0s when no amounts fillable', async () => {
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const ordersAndFillableAmounts = {
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orders: [sellTwoTokensFor1Weth, sellTenTokensFor10Weth],
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remainingFillableMakerAssetAmounts: [baseUnitAmount(0), baseUnitAmount(0)],
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};
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const prunedOrders: PrunedSignedOrder[] = [
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{
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...sellTenTokensFor10Weth,
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...{
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fillableMakerAssetAmount: constants.ZERO_AMOUNT,
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fillableTakerAssetAmount: constants.ZERO_AMOUNT,
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fillableTakerFeeAmount: constants.ZERO_AMOUNT,
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},
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},
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{
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...sellTenTokensFor10Weth,
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...{
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fillableMakerAssetAmount: constants.ZERO_AMOUNT,
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fillableTakerAssetAmount: constants.ZERO_AMOUNT,
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fillableTakerFeeAmount: constants.ZERO_AMOUNT,
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},
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},
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];
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const expectedResult = {
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makerTokensAvailableInBaseUnits: baseUnitAmount(0),
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takerTokensAvailableInBaseUnits: baseUnitAmount(0, WETH_DECIMALS),
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makerAssetAvailableInBaseUnits: constants.ZERO_AMOUNT,
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takerAssetAvailableInBaseUnits: constants.ZERO_AMOUNT,
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};
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await expectLiquidityResult(
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mockWeb3Provider.object,
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mockOrderbook.object,
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ordersAndFillableAmounts,
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prunedOrders,
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expectedResult,
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);
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});
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