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add new fqt and support for otc orders in asset-swapper exchange proxy swap qutoe consumer

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This commit is contained in:
Noah Khamliche
2022-07-13 21:56:50 -04:00
parent f7cb7a0f51
commit 8f5e7d7fb5
6 changed files with 159 additions and 12 deletions
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65
contracts/zero-ex/contracts/src/transformers/FillQuoteTransformer.sol
View File

@@ -31,6 +31,7 @@ import "../features/libs/LibNativeOrder.sol";
import "./bridges/IBridgeAdapter.sol";
import "./Transformer.sol";
import "./LibERC20Transformer.sol";
import "../IZeroEx.sol";
/// @dev A transformer that fills an ERC20 market sell/buy quote.
/// This transformer shortcuts bridge orders and fills them directly
@@ -52,7 +53,8 @@ contract FillQuoteTransformer is
enum OrderType {
Bridge,
Limit,
Rfq
Rfq,
Otc
}
struct LimitOrderInfo {
@@ -69,6 +71,13 @@ contract FillQuoteTransformer is
uint256 maxTakerTokenFillAmount;
}
struct OtcOrderInfo {
LibNativeOrder.OtcOrder order;
LibSignature.Signature signature;
// Maximum taker token amount of this limit order to fill.
uint256 maxTakerTokenFillAmount;
}
/// @dev Transform data to ABI-encode and pass into `transform()`.
struct TransformData {
// Whether we are performing a market sell or buy.
@@ -86,6 +95,8 @@ contract FillQuoteTransformer is
LimitOrderInfo[] limitOrders;
// Native RFQ orders. Sorted by fill sequence.
RfqOrderInfo[] rfqOrders;
// Otc orders. Sorted by fill sequence.
OtcOrderInfo[] otcOrders;
// The sequence to fill the orders in. Each item will fill the next
// order of that type in either `bridgeOrders`, `limitOrders`,
@@ -123,7 +134,7 @@ contract FillQuoteTransformer is
uint256 soldAmount;
uint256 protocolFee;
uint256 takerTokenBalanceRemaining;
uint256[3] currentIndices;
uint256[4] currentIndices;
OrderType currentOrderType;
}
@@ -147,12 +158,12 @@ contract FillQuoteTransformer is
IBridgeAdapter public immutable bridgeAdapter;
/// @dev The exchange proxy contract.
INativeOrdersFeature public immutable zeroEx;
IZeroEx public immutable zeroEx;
/// @dev Create this contract.
/// @param bridgeAdapter_ The bridge adapter contract.
/// @param zeroEx_ The Exchange Proxy contract.
constructor(IBridgeAdapter bridgeAdapter_, INativeOrdersFeature zeroEx_)
constructor(IBridgeAdapter bridgeAdapter_, IZeroEx zeroEx_)
public
Transformer()
{
@@ -183,7 +194,8 @@ contract FillQuoteTransformer is
if (data.bridgeOrders.length
+ data.limitOrders.length
+ data.rfqOrders.length != data.fillSequence.length
+ data.rfqOrders.length
+ data.otcOrders.length != data.fillSequence.length
) {
LibTransformERC20RichErrors.InvalidTransformDataError(
LibTransformERC20RichErrors.InvalidTransformDataErrorCode.INVALID_ARRAY_LENGTH,
@@ -198,15 +210,16 @@ contract FillQuoteTransformer is
// Approve the exchange proxy to spend our sell tokens if native orders
// are present.
if (data.limitOrders.length + data.rfqOrders.length != 0) {
if (data.limitOrders.length + data.rfqOrders.length + data.otcOrders.length != 0) {
data.sellToken.approveIfBelow(address(zeroEx), data.fillAmount);
// Compute the protocol fee if a limit order is present.
if (data.limitOrders.length != 0) {
state.protocolFee = uint256(zeroEx.getProtocolFeeMultiplier())
.safeMul(tx.gasprice);
}
}
state.ethRemaining = address(this).balance;
// Fill the orders.
@@ -222,6 +235,7 @@ contract FillQuoteTransformer is
state.currentOrderType = OrderType(data.fillSequence[i]);
uint256 orderIndex = state.currentIndices[uint256(state.currentOrderType)];
// Fill the order.
FillOrderResults memory results;
if (state.currentOrderType == OrderType.Bridge) {
@@ -230,6 +244,8 @@ contract FillQuoteTransformer is
results = _fillLimitOrder(data.limitOrders[orderIndex], data, state);
} else if (state.currentOrderType == OrderType.Rfq) {
results = _fillRfqOrder(data.rfqOrders[orderIndex], data, state);
} else if (state.currentOrderType == OrderType.Otc) {
results = _fillOtcOrder(data.otcOrders[orderIndex], data, state);
} else {
revert("INVALID_ORDER_TYPE");
}
@@ -402,6 +418,41 @@ contract FillQuoteTransformer is
} catch {}
}
// Fill a single RFQ order.
function _fillOtcOrder(
OtcOrderInfo memory orderInfo,
TransformData memory data,
FillState memory state
)
private
returns (FillOrderResults memory results)
{
uint256 takerTokenFillAmount = LibSafeMathV06.min256(
_computeTakerTokenFillAmount(
data,
state,
orderInfo.order.takerAmount,
orderInfo.order.makerAmount,
0
),
orderInfo.maxTakerTokenFillAmount
);
try
zeroEx.fillOtcOrder
(
orderInfo.order,
orderInfo.signature,
takerTokenFillAmount.safeDowncastToUint128()
)
returns (uint128 takerTokenFilledAmount, uint128 makerTokenFilledAmount)
{
results.takerTokenSoldAmount = takerTokenFilledAmount;
results.makerTokenBoughtAmount = makerTokenFilledAmount;
} catch {
revert("FillQuoteTransformer/OTC_ORDER_FILL_FAILED");
}
}
// Compute the next taker token fill amount of a generic order.
function _computeTakerTokenFillAmount(
TransformData memory data,

17
contracts/zero-ex/test/transformers/fill_quote_transformer_test.ts
View File

@@ -16,6 +16,8 @@ import {
FillQuoteTransformerSide as Side,
LimitOrder,
LimitOrderFields,
OtcOrder,
OtcOrderFields,
RfqOrder,
RfqOrderFields,
Signature,
@@ -26,7 +28,7 @@ import * as _ from 'lodash';
import { artifacts } from '../artifacts';
import { TestFillQuoteTransformerBridgeContract } from '../generated-wrappers/test_fill_quote_transformer_bridge';
import { getRandomLimitOrder, getRandomRfqOrder } from '../utils/orders';
import { getRandomLimitOrder, getRandomRfqOrder, getRandomOtcOrder } from '../utils/orders';
import {
EthereumBridgeAdapterContract,
FillQuoteTransformerContract,
@@ -142,6 +144,18 @@ blockchainTests.resets('FillQuoteTransformer', env => {
};
}
function createOtcOrder(fields: Partial<OtcOrderFields> = {}): OtcOrder {
return getRandomOtcOrder({
makerToken: makerToken.address,
takerToken: takerToken.address,
makerAmount: getRandomInteger('0.1e18', '1e18'),
takerAmount: getRandomInteger('0.1e18', '1e18'),
maker,
taker,
...fields,
});
}
function createOrderSignature(preFilledTakerAmount: Numberish = 0): Signature {
return {
// The r field of the signature is the pre-filled amount.
@@ -394,6 +408,7 @@ blockchainTests.resets('FillQuoteTransformer', env => {
bridgeOrders: [],
limitOrders: [],
rfqOrders: [],
otcOrders: [],
fillSequence: [],
fillAmount: MAX_UINT256,
refundReceiver: NULL_ADDRESS,

51
packages/asset-swapper/src/quote_consumers/exchange_proxy_swap_quote_consumer.ts
View File

@@ -42,6 +42,7 @@ import {
FinalUniswapV3FillData,
LiquidityProviderFillData,
MooniswapFillData,
NativeOtcOrderFillData,
NativeRfqOrderFillData,
OptimizedMarketBridgeOrder,
OptimizedMarketOrder,
@@ -374,6 +375,56 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
};
}
//OTC orders
if(
[ChainId.Mainnet, ChainId.Polygon].includes(this.chainId) &&
!isToETH &&
!isFromETH &&
quote.orders.every(o => o.type === FillQuoteTransformerOrderType.Otc) &&
!requiresTransformERC20(optsWithDefaults)
){
const otcOrdersData = quote.orders.map(o => o.fillData as NativeOtcOrderFillData);
const fillAmountPerOrder = (() => {
// Don't think order taker amounts are clipped to actual sell amount
// (the last one might be too large) so figure them out manually.
let remaining = sellAmount;
const fillAmounts = [];
for (const o of quote.orders) {
const fillAmount = BigNumber.min(o.takerAmount, remaining);
fillAmounts.push(fillAmount);
remaining = remaining.minus(fillAmount);
}
return fillAmounts;
})();
// grab the amount to fill on each OtcOrder (if more than 1)
let callData;
if(isFromETH){
callData = this._exchangeProxy.fillOtcOrderWithEth(
otcOrdersData[0].order, otcOrdersData[0].signature
).getABIEncodedTransactionData();
}
if(isToETH){
callData = this._exchangeProxy.fillOtcOrderForEth(
otcOrdersData[0].order, otcOrdersData[0].signature, fillAmountPerOrder[0]
).getABIEncodedTransactionData();
}
else{
callData = this._exchangeProxy.fillOtcOrder(
otcOrdersData[0].order, otcOrdersData[0].signature, fillAmountPerOrder[0]
).getABIEncodedTransactionData();
}
return {
calldataHexString: callData,
ethAmount: ZERO_AMOUNT,
toAddress: this._exchangeProxy.address,
allowanceTarget: this._exchangeProxy.address,
gasOverhead: ZERO_AMOUNT,
};
}
if (this.chainId === ChainId.Mainnet && isMultiplexBatchFillCompatible(quote, optsWithDefaults)) {
return {
calldataHexString: this._encodeMultiplexBatchFillCalldata(

5
packages/asset-swapper/src/quote_consumers/quote_consumer_utils.ts
View File

@@ -113,11 +113,12 @@ function isOptimizedRfqOrder(x: OptimizedMarketOrder): x is OptimizedMarketOrder
*/
export function getFQTTransformerDataFromOptimizedOrders(
orders: OptimizedMarketOrder[],
): Pick<FillQuoteTransformerData, 'bridgeOrders' | 'limitOrders' | 'rfqOrders' | 'fillSequence'> {
const fqtData: Pick<FillQuoteTransformerData, 'bridgeOrders' | 'limitOrders' | 'rfqOrders' | 'fillSequence'> = {
): Pick<FillQuoteTransformerData, 'bridgeOrders' | 'limitOrders' | 'rfqOrders' | 'otcOrders' | 'fillSequence'> {
const fqtData: Pick<FillQuoteTransformerData, 'bridgeOrders' | 'limitOrders' | 'rfqOrders' | 'otcOrders' | 'fillSequence'> = {
bridgeOrders: [],
limitOrders: [],
rfqOrders: [],
otcOrders: [],
fillSequence: [],
};

4
packages/asset-swapper/src/utils/market_operation_utils/types.ts
View File

@@ -1,6 +1,7 @@
import {
FillQuoteTransformerLimitOrderInfo,
FillQuoteTransformerOrderType,
FillQuoteTransformerOtcOrderInfo,
FillQuoteTransformerRfqOrderInfo,
} from '@0x/protocol-utils';
import { MarketOperation } from '@0x/types';
@@ -196,7 +197,8 @@ export interface FillData {}
// `FillData` for native fills. Represents a single native order
export type NativeRfqOrderFillData = FillQuoteTransformerRfqOrderInfo;
export type NativeLimitOrderFillData = FillQuoteTransformerLimitOrderInfo;
export type NativeFillData = NativeRfqOrderFillData | NativeLimitOrderFillData;
export type NativeOtcOrderFillData = FillQuoteTransformerOtcOrderInfo;
export type NativeFillData = NativeRfqOrderFillData | NativeLimitOrderFillData | NativeOtcOrderFillData;
// Represents an individual DEX sample from the sampler contract
export interface DexSample<TFillData extends FillData = FillData> {

29
packages/protocol-utils/src/transformer_utils.ts
View File

@@ -1,7 +1,7 @@
import { AbiEncoder, BigNumber, hexUtils, NULL_ADDRESS } from '@0x/utils';
import * as ethjs from 'ethereumjs-util';
import { LimitOrder, LimitOrderFields, RfqOrder, RfqOrderFields } from './orders';
import { LimitOrder, LimitOrderFields, OtcOrder, OtcOrderFields, RfqOrder, RfqOrderFields } from './orders';
import { Signature, SIGNATURE_ABI } from './signature_utils';
const BRIDGE_ORDER_ABI_COMPONENTS = [
@@ -39,6 +39,21 @@ const RFQ_ORDER_INFO_ABI_COMPONENTS = [
{ name: 'maxTakerTokenFillAmount', type: 'uint256' },
];
const OTC_ORDER_INFO_ABI_COMPONENTS = [
{
name: 'order',
type: 'tuple',
components: OtcOrder.STRUCT_ABI,
},
{
name: 'signature',
type: 'tuple',
components: SIGNATURE_ABI,
},
{ name: 'maxTakerTokenFillAmount', type: 'uint256' },
];
/**
* ABI encoder for `FillQuoteTransformer.TransformData`
*/
@@ -65,6 +80,11 @@ export const fillQuoteTransformerDataEncoder = AbiEncoder.create([
type: 'tuple[]',
components: RFQ_ORDER_INFO_ABI_COMPONENTS,
},
{
name: 'otcOrders',
type: 'tuple[]',
components: OTC_ORDER_INFO_ABI_COMPONENTS,
},
{ name: 'fillSequence', type: 'uint8[]' },
{ name: 'fillAmount', type: 'uint256' },
{ name: 'refundReceiver', type: 'address' },
@@ -87,6 +107,7 @@ export enum FillQuoteTransformerOrderType {
Bridge,
Limit,
Rfq,
Otc
}
/**
@@ -99,6 +120,7 @@ export interface FillQuoteTransformerData {
bridgeOrders: FillQuoteTransformerBridgeOrder[];
limitOrders: FillQuoteTransformerLimitOrderInfo[];
rfqOrders: FillQuoteTransformerRfqOrderInfo[];
otcOrders: FillQuoteTransformerOtcOrderInfo[];
fillSequence: FillQuoteTransformerOrderType[];
fillAmount: BigNumber;
refundReceiver: string;
@@ -176,6 +198,11 @@ export type FillQuoteTransformerLimitOrderInfo = FillQuoteTransformerNativeOrder
*/
export type FillQuoteTransformerRfqOrderInfo = FillQuoteTransformerNativeOrderInfo<RfqOrderFields>;
/**
* `FillQuoteTransformer.RfqOrderInfo`
*/
export type FillQuoteTransformerOtcOrderInfo = FillQuoteTransformerNativeOrderInfo<OtcOrderFields>;
/**
* ABI-encode a `FillQuoteTransformer.TransformData` type.
*/