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@0x/asset-swapper: Reintroduce runLimit option.

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`@0x/asset-swapper`: Make native fills one single path.
`@0x/asset-swapper`: Redo the optimizer algo again to be more thorough.
`@0x/asset-swapper`: Make `getMedianSellRate()` return `1` if maker token == taker token.
This commit is contained in:
Lawrence Forman
2020-03-09 01:37:15 -04:00
parent d0805d4bbb
commit 8179a964ea
13 changed files with 175 additions and 251 deletions
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88
packages/asset-swapper/test/market_operation_utils_test.ts
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@@ -287,7 +287,7 @@ describe('MarketOperationUtils tests', () => {
});
describe('getMarketSellOrdersAsync()', () => {
const FILL_AMOUNT = getRandomInteger(1, 1e18);
const FILL_AMOUNT = new BigNumber('100e18');
const ORDERS = createOrdersFromSellRates(
FILL_AMOUNT,
_.times(NUM_SAMPLES, i => DEFAULT_RATES[ERC20BridgeSource.Native][i]),
@@ -432,31 +432,7 @@ describe('MarketOperationUtils tests', () => {
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] = [0.7, 0.05, 0.05, 0.05];
replaceSamplerOps({
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
});
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.Kyber,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
});
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];
rates[ERC20BridgeSource.Eth2Dai] = [0.6, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Kyber] = [0.4, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Kyber] = [0, 0, 0, 0]; // unused
replaceSamplerOps({
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
});
@@ -472,15 +448,15 @@ describe('MarketOperationUtils tests', () => {
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
});
it('excludes Uniswap and Eth2Dai when Kyber is used first', async () => {
it('Kyber is exclusive against Uniswap and Eth2Dai', 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];
rates[ERC20BridgeSource.Eth2Dai] = [0.15, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Kyber] = [0.7, 0.05, 0.05, 0.05];
rates[ERC20BridgeSource.Native] = [0.3, 0.2, 0.1, 0.05];
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] = [0.4, 0.05, 0.05, 0.05];
replaceSamplerOps({
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
});
@@ -490,8 +466,12 @@ describe('MarketOperationUtils tests', () => {
{ ...DEFAULT_OPTS, numSamples: 4 },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [ERC20BridgeSource.Kyber, ERC20BridgeSource.Native];
expect(orderSources).to.deep.eq(expectedSources);
if (orderSources.includes(ERC20BridgeSource.Kyber)) {
expect(orderSources).to.not.include(ERC20BridgeSource.Uniswap);
expect(orderSources).to.not.include(ERC20BridgeSource.Eth2Dai);
} else {
expect(orderSources).to.not.include(ERC20BridgeSource.Kyber);
}
});
const ETH_TO_MAKER_RATE = 1.5;
@@ -501,7 +481,7 @@ describe('MarketOperationUtils tests', () => {
// 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.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],
@@ -522,12 +502,12 @@ describe('MarketOperationUtils tests', () => {
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
ERC20BridgeSource.Native,
ERC20BridgeSource.Uniswap,
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
});
it('factors in fees for dexes', async () => {
@@ -561,7 +541,7 @@ describe('MarketOperationUtils tests', () => {
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.Uniswap,
];
expect(orderSources).to.deep.eq(expectedSources);
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
});
it('can mix one concave source', async () => {
@@ -586,7 +566,7 @@ describe('MarketOperationUtils tests', () => {
ERC20BridgeSource.Uniswap,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
});
it('fallback orders use different sources', async () => {
@@ -604,15 +584,10 @@ describe('MarketOperationUtils tests', () => {
{ ...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);
const firstSources = [ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap];
const secondSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Kyber, ERC20BridgeSource.Native];
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 () => {
@@ -673,7 +648,7 @@ describe('MarketOperationUtils tests', () => {
});
describe('getMarketBuyOrdersAsync()', () => {
const FILL_AMOUNT = getRandomInteger(1, 1e18);
const FILL_AMOUNT = new BigNumber('100e18');
const ORDERS = createOrdersFromBuyRates(
FILL_AMOUNT,
_.times(NUM_SAMPLES, () => DEFAULT_RATES[ERC20BridgeSource.Native][0]),
@@ -832,7 +807,7 @@ describe('MarketOperationUtils tests', () => {
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
});
const ETH_TO_TAKER_RATE = 1.5;
@@ -868,7 +843,7 @@ describe('MarketOperationUtils tests', () => {
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
});
it('factors in fees for dexes', async () => {
@@ -901,7 +876,7 @@ describe('MarketOperationUtils tests', () => {
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.Uniswap,
];
expect(orderSources).to.deep.eq(expectedSources);
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
});
it('fallback orders use different sources', async () => {
@@ -918,16 +893,15 @@ describe('MarketOperationUtils tests', () => {
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true },
);
const orderSources = improvedOrders.map(o => o.fill.source);
const expectedSources = [
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.Uniswap,
// Fallback
const firstSources = [ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap];
const secondSources = [
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
ERC20BridgeSource.Native,
];
expect(orderSources).to.deep.eq(expectedSources);
expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
expect(orderSources.slice(firstSources.length).sort()).to.deep.eq(secondSources.sort());
});
});
});