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@0x/asset-swapper: Refactor market op utils.

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`@0x/asset-swapper`: add fallback orders.
`@0x/asset-swapper`: Remove `noConflicts` and `dustThreshold` options.
`@0x/asset-swapper`: Add `allowFallback` option.
This commit is contained in:
Lawrence Forman
2020-03-05 14:23:54 -05:00
parent 58b6c25d5c
commit 6ccadcb928
22 changed files with 1159 additions and 1015 deletions
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252
packages/asset-swapper/test/market_operation_utils_test.ts
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@@ -14,14 +14,11 @@ import { AssetProxyId, ERC20BridgeAssetData, SignedOrder } from '@0x/types';
import { BigNumber, fromTokenUnitAmount, hexUtils, NULL_ADDRESS } from '@0x/utils';
import * as _ from 'lodash';
import { constants as assetSwapperConstants } from '../src/constants';
import { MarketOperationUtils } from '../src/utils/market_operation_utils/';
import { constants as marketOperationUtilConstants } from '../src/utils/market_operation_utils/constants';
import { BUY_SOURCES, DEFAULT_CURVE_OPTS, SELL_SOURCES } from '../src/utils/market_operation_utils/constants';
import { DexOrderSampler } from '../src/utils/market_operation_utils/sampler';
import { DexSample, ERC20BridgeSource } from '../src/utils/market_operation_utils/types';
const { BUY_SOURCES, SELL_SOURCES } = marketOperationUtilConstants;
// tslint:disable: custom-no-magic-numbers
describe('MarketOperationUtils tests', () => {
const CHAIN_ID = 1;
@@ -81,8 +78,8 @@ describe('MarketOperationUtils tests', () => {
case UNISWAP_BRIDGE_ADDRESS.toLowerCase():
return ERC20BridgeSource.Uniswap;
case CURVE_BRIDGE_ADDRESS.toLowerCase():
const curveSource = Object.keys(assetSwapperConstants.DEFAULT_CURVE_OPTS).filter(
k => assetData.indexOf(assetSwapperConstants.DEFAULT_CURVE_OPTS[k].curveAddress.slice(2)) !== -1,
const curveSource = Object.keys(DEFAULT_CURVE_OPTS).filter(
k => assetData.indexOf(DEFAULT_CURVE_OPTS[k].curveAddress.slice(2)) !== -1,
);
return curveSource[0] as ERC20BridgeSource;
default:
@@ -120,20 +117,21 @@ describe('MarketOperationUtils tests', () => {
chainId: CHAIN_ID,
};
type GetQuotesOperation = (makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => BigNumber[];
function createGetSellQuotesOperationFromRates(rates: Numberish[]): GetQuotesOperation {
return (...args) => {
const fillAmounts = args.pop() as BigNumber[];
return fillAmounts.map((a, i) => a.times(rates[i]).integerValue());
};
}
function createGetBuyQuotesOperationFromRates(rates: Numberish[]): GetQuotesOperation {
return (...args) => {
const fillAmounts = args.pop() as BigNumber[];
return fillAmounts.map((a, i) => a.div(rates[i]).integerValue());
};
function createSamplesFromRates(source: ERC20BridgeSource, inputs: Numberish[], rates: Numberish[]): DexSample[] {
const samples: DexSample[] = [];
inputs.forEach((input, i) => {
const rate = rates[i];
samples.push({
source,
input: new BigNumber(input),
output: new BigNumber(input)
.minus(i === 0 ? 0 : samples[i - 1].input)
.times(rate)
.plus(i === 0 ? 0 : samples[i - 1].output)
.integerValue(),
});
});
return samples;
}
type GetMultipleQuotesOperation = (
@@ -146,13 +144,7 @@ describe('MarketOperationUtils tests', () => {
function createGetMultipleSellQuotesOperationFromRates(rates: RatesBySource): GetMultipleQuotesOperation {
return (sources: ERC20BridgeSource[], makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => {
return sources.map(s =>
fillAmounts.map((a, i) => ({
source: s,
input: a,
output: a.times(rates[s][i]).integerValue(),
})),
);
return sources.map(s => createSamplesFromRates(s, fillAmounts, rates[s]));
};
}
@@ -180,13 +172,7 @@ describe('MarketOperationUtils tests', () => {
function createGetMultipleBuyQuotesOperationFromRates(rates: RatesBySource): GetMultipleQuotesOperation {
return (sources: ERC20BridgeSource[], makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => {
return sources.map(s =>
fillAmounts.map((a, i) => ({
source: s,
input: a,
output: a.div(rates[s][i]).integerValue(),
})),
);
return sources.map(s => createSamplesFromRates(s, fillAmounts, rates[s].map(r => new BigNumber(1).div(r))));
};
}
@@ -264,22 +250,6 @@ describe('MarketOperationUtils tests', () => {
[ERC20BridgeSource.LiquidityProvider]: _.times(NUM_SAMPLES, () => 0),
};
function findSourceWithMaxOutput(rates: RatesBySource): ERC20BridgeSource {
const minSourceRates = Object.keys(rates).map(s => _.last(rates[s]) as BigNumber);
const bestSourceRate = BigNumber.max(...minSourceRates);
let source = Object.keys(rates)[_.findIndex(minSourceRates, t => bestSourceRate.eq(t))] as ERC20BridgeSource;
// Native order rates play by different rules.
if (source !== ERC20BridgeSource.Native) {
const nativeTotalRate = BigNumber.sum(...rates[ERC20BridgeSource.Native]).div(
rates[ERC20BridgeSource.Native].length,
);
if (nativeTotalRate.gt(bestSourceRate)) {
source = ERC20BridgeSource.Native;
}
}
return source;
}
const DEFAULT_OPS = {
getOrderFillableTakerAmounts(orders: SignedOrder[]): BigNumber[] {
return orders.map(o => o.takerAssetAmount);
@@ -287,12 +257,6 @@ describe('MarketOperationUtils tests', () => {
getOrderFillableMakerAmounts(orders: SignedOrder[]): BigNumber[] {
return orders.map(o => o.makerAssetAmount);
},
getKyberSellQuotes: createGetSellQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Kyber]),
getUniswapSellQuotes: createGetSellQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Uniswap]),
getEth2DaiSellQuotes: createGetSellQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Eth2Dai]),
getUniswapBuyQuotes: createGetBuyQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Uniswap]),
getEth2DaiBuyQuotes: createGetBuyQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Eth2Dai]),
getCurveSellQuotes: createGetSellQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.CurveUsdcDai]),
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(DEFAULT_RATES),
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(DEFAULT_RATES),
getMedianSellRate: createGetMedianSellRate(1),
@@ -330,10 +294,10 @@ describe('MarketOperationUtils tests', () => {
);
const DEFAULT_OPTS = {
numSamples: NUM_SAMPLES,
runLimit: 0,
sampleDistributionBase: 1,
bridgeSlippage: 0,
excludedSources: Object.keys(assetSwapperConstants.DEFAULT_CURVE_OPTS) as ERC20BridgeSource[],
excludedSources: Object.keys(DEFAULT_CURVE_OPTS) as ERC20BridgeSource[],
allowFallback: false,
};
beforeEach(() => {
@@ -341,7 +305,7 @@ describe('MarketOperationUtils tests', () => {
});
it('queries `numSamples` samples', async () => {
const numSamples = _.random(1, 16);
const numSamples = _.random(1, NUM_SAMPLES);
let actualNumSamples = 0;
replaceSamplerOps({
getSellQuotes: (sources, makerToken, takerToken, amounts) => {
@@ -412,18 +376,6 @@ describe('MarketOperationUtils tests', () => {
expect(sourcesPolled.sort()).to.deep.eq(_.without(SELL_SOURCES, ...excludedSources).sort());
});
it('returns the most cost-effective single source if `runLimit == 0`', async () => {
const bestSource = findSourceWithMaxOutput(DEFAULT_RATES);
expect(bestSource).to.exist('');
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
...DEFAULT_OPTS,
runLimit: 0,
});
const uniqueAssetDatas = _.uniq(improvedOrders.map(o => o.makerAssetData));
expect(uniqueAssetDatas).to.be.length(1);
expect(getSourceFromAssetData(uniqueAssetDatas[0])).to.be.eq(bestSource);
});
it('generates bridge orders with correct asset data', async () => {
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
// Pass in empty orders to prevent native orders from being used.
@@ -469,10 +421,9 @@ describe('MarketOperationUtils tests', () => {
);
expect(improvedOrders).to.not.be.length(0);
for (const order of improvedOrders) {
const source = getSourceFromAssetData(order.makerAssetData);
const expectedMakerAmount = FILL_AMOUNT.times(_.last(DEFAULT_RATES[source]) as BigNumber);
const expectedMakerAmount = order.fill.totalMakerAssetAmount;
const slippage = 1 - order.makerAssetAmount.div(expectedMakerAmount.plus(1)).toNumber();
assertRoughlyEquals(slippage, bridgeSlippage, 8);
assertRoughlyEquals(slippage, bridgeSlippage, 1);
}
});
@@ -488,19 +439,19 @@ describe('MarketOperationUtils tests', () => {
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, noConflicts: false },
{ ...DEFAULT_OPTS, numSamples: 4 },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
ERC20BridgeSource.Kyber,
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.Uniswap,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
});
it('excludes Kyber when `noConflicts` enabled and Uniswap or Eth2Dai are used first', async () => {
it('excludes Kyber when Uniswap or Eth2Dai are used first', async () => {
const rates: RatesBySource = {};
rates[ERC20BridgeSource.Native] = [0.3, 0.2, 0.1, 0.05];
rates[ERC20BridgeSource.Uniswap] = [0.5, 0.05, 0.05, 0.05];
@@ -512,7 +463,7 @@ describe('MarketOperationUtils tests', () => {
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, noConflicts: true },
{ ...DEFAULT_OPTS, numSamples: 4 },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
@@ -524,7 +475,7 @@ describe('MarketOperationUtils tests', () => {
expect(orderSources).to.deep.eq(expectedSources);
});
it('excludes Uniswap and Eth2Dai when `noConflicts` enabled and Kyber is used first', async () => {
it('excludes Uniswap and Eth2Dai when Kyber is used first', async () => {
const rates: RatesBySource = {};
rates[ERC20BridgeSource.Native] = [0.1, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Uniswap] = [0.15, 0.05, 0.05, 0.05];
@@ -536,15 +487,10 @@ describe('MarketOperationUtils tests', () => {
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, noConflicts: true },
{ ...DEFAULT_OPTS, numSamples: 4 },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
ERC20BridgeSource.Kyber,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
];
const expectedSources = [ERC20BridgeSource.Kyber, ERC20BridgeSource.Native];
expect(orderSources).to.deep.eq(expectedSources);
});
@@ -572,7 +518,7 @@ describe('MarketOperationUtils tests', () => {
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, noConflicts: false, fees },
{ ...DEFAULT_OPTS, numSamples: 4, fees },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
@@ -587,17 +533,17 @@ describe('MarketOperationUtils tests', () => {
it('factors in fees for dexes', async () => {
// Kyber will have the best rates but will have fees,
// dropping its effective rates.
const kyberFeeRate = 0.2;
const uniswapFeeRate = 0.2;
const rates: RatesBySource = {
[ERC20BridgeSource.Native]: [0.95, 0.1, 0.1, 0.1],
[ERC20BridgeSource.Uniswap]: [0.1, 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.Kyber]: [1, 0.7, 0.2, 0.2],
[ERC20BridgeSource.Uniswap]: [1, 0.7, 0.2, 0.2],
};
const fees = {
[ERC20BridgeSource.Kyber]: FILL_AMOUNT.div(4)
.times(kyberFeeRate)
[ERC20BridgeSource.Uniswap]: FILL_AMOUNT.div(4)
.times(uniswapFeeRate)
.dividedToIntegerBy(ETH_TO_MAKER_RATE),
};
replaceSamplerOps({
@@ -607,10 +553,65 @@ describe('MarketOperationUtils tests', () => {
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, noConflicts: false, fees },
{ ...DEFAULT_OPTS, numSamples: 4, fees },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Kyber];
const expectedSources = [
ERC20BridgeSource.Native,
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.Uniswap,
];
expect(orderSources).to.deep.eq(expectedSources);
});
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 improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4 },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.Uniswap,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
});
it('fallback orders use different sources', async () => {
const rates: RatesBySource = {};
rates[ERC20BridgeSource.Eth2Dai] = [0.9, 0.8, 0.5, 0.5];
rates[ERC20BridgeSource.Uniswap] = [0.6, 0.05, 0.01, 0.01];
rates[ERC20BridgeSource.Native] = [0.4, 0.3, 0.01, 0.01];
rates[ERC20BridgeSource.Kyber] = [0.35, 0.2, 0.01, 0.01];
replaceSamplerOps({
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
});
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.Uniswap,
// Fallback
ERC20BridgeSource.Native,
ERC20BridgeSource.Kyber,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
});
@@ -679,9 +680,9 @@ describe('MarketOperationUtils tests', () => {
);
const DEFAULT_OPTS = {
numSamples: NUM_SAMPLES,
runLimit: 0,
sampleDistributionBase: 1,
excludedSources: Object.keys(assetSwapperConstants.DEFAULT_CURVE_OPTS) as ERC20BridgeSource[],
excludedSources: Object.keys(DEFAULT_CURVE_OPTS) as ERC20BridgeSource[],
allowFallback: false,
};
beforeEach(() => {
@@ -760,26 +761,6 @@ describe('MarketOperationUtils tests', () => {
expect(sourcesPolled).to.deep.eq(_.without(BUY_SOURCES, ...excludedSources));
});
it('returns the most cost-effective single source if `runLimit == 0`', async () => {
const bestSource = findSourceWithMaxOutput(
_.omit(
DEFAULT_RATES,
ERC20BridgeSource.Kyber,
ERC20BridgeSource.CurveUsdcDai,
ERC20BridgeSource.CurveUsdcDaiUsdt,
ERC20BridgeSource.CurveUsdcDaiUsdtTusd,
),
);
expect(bestSource).to.exist('');
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
...DEFAULT_OPTS,
runLimit: 0,
});
const uniqueAssetDatas = _.uniq(improvedOrders.map(o => o.makerAssetData));
expect(uniqueAssetDatas).to.be.length(1);
expect(getSourceFromAssetData(uniqueAssetDatas[0])).to.be.eq(bestSource);
});
it('generates bridge orders with correct asset data', async () => {
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
// Pass in empty orders to prevent native orders from being used.
@@ -825,10 +806,9 @@ describe('MarketOperationUtils tests', () => {
);
expect(improvedOrders).to.not.be.length(0);
for (const order of improvedOrders) {
const source = getSourceFromAssetData(order.makerAssetData);
const expectedTakerAmount = FILL_AMOUNT.div(_.last(DEFAULT_RATES[source]) as BigNumber);
const expectedTakerAmount = order.fill.totalTakerAssetAmount;
const slippage = order.takerAssetAmount.div(expectedTakerAmount.plus(1)).toNumber() - 1;
assertRoughlyEquals(slippage, bridgeSlippage, 8);
assertRoughlyEquals(slippage, bridgeSlippage, 1);
}
});
@@ -843,7 +823,7 @@ describe('MarketOperationUtils tests', () => {
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512 },
{ ...DEFAULT_OPTS, numSamples: 4 },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
@@ -879,7 +859,7 @@ describe('MarketOperationUtils tests', () => {
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, fees },
{ ...DEFAULT_OPTS, numSamples: 4, fees },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
@@ -913,7 +893,7 @@ describe('MarketOperationUtils tests', () => {
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, fees },
{ ...DEFAULT_OPTS, numSamples: 4, fees },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
@@ -923,6 +903,32 @@ describe('MarketOperationUtils tests', () => {
];
expect(orderSources).to.deep.eq(expectedSources);
});
it('fallback orders use different sources', async () => {
const rates: RatesBySource = {};
rates[ERC20BridgeSource.Eth2Dai] = [0.9, 0.8, 0.5, 0.5];
rates[ERC20BridgeSource.Uniswap] = [0.6, 0.05, 0.01, 0.01];
rates[ERC20BridgeSource.Native] = [0.4, 0.3, 0.01, 0.01];
replaceSamplerOps({
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
});
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.Uniswap,
// Fallback
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
});
});
});
});