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@0x/asset-swapper: Run prettier

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This commit is contained in:
Lawrence Forman
2020-04-03 00:50:42 -04:00
parent 481136166c
commit d19bb3de8d
5 changed files with 113 additions and 157 deletions
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9
packages/asset-swapper/src/utils/market_operation_utils/orders.ts
View File

@@ -123,7 +123,7 @@ export interface CreateOrderFromPathOpts {
export function createOrdersFromPath(path: Fill[], opts: CreateOrderFromPathOpts): OptimizedMarketOrder[] {
const collapsedPath = collapsePath(path);
const orders: OptimizedMarketOrder[] = [];
for (let i = 0; i < collapsedPath.length;) {
for (let i = 0; i < collapsedPath.length; ) {
if (collapsedPath[i].source === ERC20BridgeSource.Native) {
orders.push(createNativeOrder(collapsedPath[i]));
++i;
@@ -219,8 +219,9 @@ function createBatchedBridgeOrder(fills: CollapsedFill[], opts: CreateOrderFromP
const bridgeOrder = createBridgeOrder(fill, opts);
totalMakerAssetAmount = totalMakerAssetAmount.plus(bridgeOrder.makerAssetAmount);
totalTakerAssetAmount = totalTakerAssetAmount.plus(bridgeOrder.takerAssetAmount);
const { bridgeAddress, bridgeData: orderBridgeData } =
assetDataUtils.decodeAssetDataOrThrow(bridgeOrder.makerAssetData) as ERC20BridgeAssetData;
const { bridgeAddress, bridgeData: orderBridgeData } = assetDataUtils.decodeAssetDataOrThrow(
bridgeOrder.makerAssetData,
) as ERC20BridgeAssetData;
batchedBridgeData.calls.push({
target: bridgeAddress,
bridgeData: orderBridgeData,
@@ -290,7 +291,7 @@ type CommonBridgeOrderFields = Pick<
OptimizedMarketOrder,
Exclude<
keyof OptimizedMarketOrder,
'fills'
| 'fills'
| 'makerAddress'
| 'makerAssetData'
| 'takerAssetData'

129
packages/asset-swapper/src/utils/quote_simulation.ts
View File

@@ -174,14 +174,10 @@ export function fillQuoteOrders(
const filledOutputFee = filledOutput.div(fo.totalOrderOutput).times(fo.totalOrderOutputFee);
result.inputBySource[source] = result.inputBySource[source].plus(filledInput);
result.input = result.input
.plus(filledInput);
result.output = result.output
.plus(filledOutput);
result.inputFee = result.inputFee
.plus(filledInputFee);
result.outputFee = result.outputFee
.plus(filledOutputFee);
result.input = result.input.plus(filledInput);
result.output = result.output.plus(filledOutput);
result.inputFee = result.inputFee.plus(filledInputFee);
result.outputFee = result.outputFee.plus(filledOutputFee);
remainingInput = remainingInput.minus(filledInput.plus(filledInputFee));
}
}
@@ -227,53 +223,48 @@ function createBestCaseFillOrderCalls(quoteInfo: QuoteFillInfo): QuoteFillOrderC
order: o,
...(side === MarketOperation.Sell
? {
totalOrderInput: o.takerAssetAmount,
totalOrderOutput: o.makerAssetAmount,
totalOrderInputFee: isOrderTakerFeePayableWithTakerAsset(o)
? o.takerFee
: ZERO_AMOUNT,
totalOrderOutputFee: isOrderTakerFeePayableWithMakerAsset(o)
? o.takerFee.negated()
: ZERO_AMOUNT,
}
// Buy
: {
totalOrderInput: o.makerAssetAmount,
totalOrderOutput: o.takerAssetAmount,
totalOrderInputFee: isOrderTakerFeePayableWithMakerAsset(o)
? o.takerFee.negated()
: ZERO_AMOUNT,
totalOrderOutputFee: isOrderTakerFeePayableWithTakerAsset(o)
? o.takerFee
: ZERO_AMOUNT,
}
),
totalOrderInput: o.takerAssetAmount,
totalOrderOutput: o.makerAssetAmount,
totalOrderInputFee: isOrderTakerFeePayableWithTakerAsset(o) ? o.takerFee : ZERO_AMOUNT,
totalOrderOutputFee: isOrderTakerFeePayableWithMakerAsset(o) ? o.takerFee.negated() : ZERO_AMOUNT,
}
: // Buy
{
totalOrderInput: o.makerAssetAmount,
totalOrderOutput: o.takerAssetAmount,
totalOrderInputFee: isOrderTakerFeePayableWithMakerAsset(o) ? o.takerFee.negated() : ZERO_AMOUNT,
totalOrderOutputFee: isOrderTakerFeePayableWithTakerAsset(o) ? o.takerFee : ZERO_AMOUNT,
}),
}));
}
function createWorstCaseFillOrderCalls(quoteInfo: QuoteFillInfo): QuoteFillOrderCall[] {
// Reuse best case fill orders.
return createBestCaseFillOrderCalls(quoteInfo).map(fo => ({
...fo,
order: {
...fo.order,
// Apply slippage to order fills and reverse them.
fills: getSlippedOrderFills(fo.order, quoteInfo.side).reverse(),
},
// Reverse the orders.
})).reverse();
return createBestCaseFillOrderCalls(quoteInfo)
.map(fo => ({
...fo,
order: {
...fo.order,
// Apply slippage to order fills and reverse them.
fills: getSlippedOrderFills(fo.order, quoteInfo.side).reverse(),
},
// Reverse the orders.
}))
.reverse();
}
// Apply order slippage to its fill paths.
function getSlippedOrderFills(order: OptimizedMarketOrder, side: MarketOperation): CollapsedFill[] {
const totalInput = BigNumber.sum(...order.fills.map(f => f.input));
const totalOutput = BigNumber.sum(...order.fills.map(f => f.output));
const inputScaling = side === MarketOperation.Sell
? order.fillableTakerAssetAmount.div(totalInput)
: order.fillableMakerAssetAmount.div(totalInput);
const outputScaling = side === MarketOperation.Sell
? order.fillableMakerAssetAmount.div(totalOutput)
: order.fillableTakerAssetAmount.div(totalOutput);
const inputScaling =
side === MarketOperation.Sell
? order.fillableTakerAssetAmount.div(totalInput)
: order.fillableMakerAssetAmount.div(totalInput);
const outputScaling =
side === MarketOperation.Sell
? order.fillableMakerAssetAmount.div(totalOutput)
: order.fillableTakerAssetAmount.div(totalOutput);
return order.fills.map(f => ({
...f,
input: f.input.times(inputScaling),
@@ -307,39 +298,34 @@ function roundIntermediateFillResult(
gas: Math.ceil(ir.gas),
inputBySource: Object.assign(
{},
...Object.entries(ir.inputBySource)
.map(([k, v]) => ({ [k]: roundInputAmount(v, side) })),
...Object.entries(ir.inputBySource).map(([k, v]) => ({ [k]: roundInputAmount(v, side) })),
),
};
}
function fromIntermediateQuoteFillResult(
ir: IntermediateQuoteFillResult,
quoteInfo: QuoteFillInfo,
): QuoteFillResult {
function fromIntermediateQuoteFillResult(ir: IntermediateQuoteFillResult, quoteInfo: QuoteFillInfo): QuoteFillResult {
const { side } = quoteInfo;
const _ir = roundIntermediateFillResult(ir, side);
return {
...(side === MarketOperation.Sell
// Sell
? {
makerAssetAmount: _ir.output,
takerAssetAmount: _ir.input,
takerFeeMakerAssetAmount: _ir.outputFee,
takerFeeTakerAssetAmount: _ir.inputFee,
totalMakerAssetAmount: _ir.output.plus(_ir.outputFee),
totalTakerAssetAmount: _ir.input.plus(_ir.inputFee),
}
// Buy
: {
makerAssetAmount: _ir.input,
takerAssetAmount: _ir.output,
takerFeeMakerAssetAmount: _ir.inputFee,
takerFeeTakerAssetAmount: _ir.outputFee,
totalMakerAssetAmount: _ir.input.plus(_ir.inputFee),
totalTakerAssetAmount: _ir.output.plus(_ir.outputFee),
}
),
? // Sell
{
makerAssetAmount: _ir.output,
takerAssetAmount: _ir.input,
takerFeeMakerAssetAmount: _ir.outputFee,
takerFeeTakerAssetAmount: _ir.inputFee,
totalMakerAssetAmount: _ir.output.plus(_ir.outputFee),
totalTakerAssetAmount: _ir.input.plus(_ir.inputFee),
}
: // Buy
{
makerAssetAmount: _ir.input,
takerAssetAmount: _ir.output,
takerFeeMakerAssetAmount: _ir.inputFee,
takerFeeTakerAssetAmount: _ir.outputFee,
totalMakerAssetAmount: _ir.input.plus(_ir.inputFee),
totalTakerAssetAmount: _ir.output.plus(_ir.outputFee),
}),
protocolFeeAmount: _ir.protocolFee,
gas: _ir.gas,
fillAmountBySource: _ir.inputBySource,
@@ -354,10 +340,7 @@ export function getFlattenedFillsFromOrders(orders: OptimizedMarketOrder[]): Col
return fills;
}
function getTotalGasUsedBySources(
sources: ERC20BridgeSource[],
gasSchedule: { [source: string]: number },
): number {
function getTotalGasUsedBySources(sources: ERC20BridgeSource[], gasSchedule: { [source: string]: number }): number {
let gasUsed = 0;
for (const s of sources) {
gasUsed += gasSchedule[s] || 0;

14
packages/asset-swapper/src/utils/swap_quote_calculator.ts
View File

@@ -19,15 +19,9 @@ import {
import { MarketOperationUtils } from './market_operation_utils';
import { convertNativeOrderToFullyFillableOptimizedOrders } from './market_operation_utils/orders';
import { GetMarketOrdersOpts, OptimizedMarketOrder } from './market_operation_utils/types';
import {
isSupportedAssetDataInOrders,
} from './utils';
import { isSupportedAssetDataInOrders } from './utils';
import {
QuoteFillResult,
simulateBestCaseFill,
simulateWorstCaseFill,
} from './quote_simulation';
import { QuoteFillResult, simulateBestCaseFill, simulateWorstCaseFill } from './quote_simulation';
// TODO(dave4506) How do we want to reintroduce InsufficientAssetLiquidityError?
export class SwapQuoteCalculator {
@@ -225,9 +219,7 @@ function createSwapQuote(
}
}
function getSwapQuoteOrdersBreakdown(
fillAmountBySource: { [source: string]: BigNumber },
): SwapQuoteOrdersBreakdown {
function getSwapQuoteOrdersBreakdown(fillAmountBySource: { [source: string]: BigNumber }): SwapQuoteOrdersBreakdown {
const totalFillAmount = BigNumber.sum(...Object.values(fillAmountBySource));
const breakdown: SwapQuoteOrdersBreakdown = {};
Object.entries(fillAmountBySource).forEach(([source, fillAmount]) => {

10
packages/asset-swapper/test/market_operation_utils_test.ts
View File

@@ -701,10 +701,7 @@ describe('MarketOperationUtils tests', () => {
expect(orderFillSources).to.deep.eq([
[ERC20BridgeSource.Uniswap],
[ERC20BridgeSource.Native],
[
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.CurveUsdcDai,
],
[ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.CurveUsdcDai],
]);
});
});
@@ -1010,10 +1007,7 @@ describe('MarketOperationUtils tests', () => {
const orderFillSources = improvedOrders.map(o => o.fills.map(f => f.source));
expect(orderFillSources).to.deep.eq([
[ERC20BridgeSource.Native],
[
ERC20BridgeSource.Eth2Dai,
ERC20BridgeSource.Uniswap,
],
[ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap],
]);
});
});

108
packages/asset-swapper/test/quote_simulation_test.ts
View File

@@ -11,7 +11,12 @@ import * as _ from 'lodash';
import { MarketOperation } from '../src/types';
import { CollapsedFill, ERC20BridgeSource, OptimizedMarketOrder } from '../src/utils/market_operation_utils/types';
import { fillQuoteOrders, QuoteFillOrderCall, simulateBestCaseFill, simulateWorstCaseFill } from '../src/utils/quote_simulation';
import {
fillQuoteOrders,
QuoteFillOrderCall,
simulateBestCaseFill,
simulateWorstCaseFill,
} from '../src/utils/quote_simulation';
// tslint:disable: custom-no-magic-numbers
const { NULL_ADDRESS } = constants;
@@ -19,7 +24,6 @@ const ZERO = new BigNumber(0);
const ONE = new BigNumber(1);
describe('quote_simulation tests', async () => {
const MAKER_TOKEN = randomAddress();
const TAKER_TOKEN = randomAddress();
const DEFAULT_MAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(MAKER_TOKEN);
@@ -27,15 +31,17 @@ describe('quote_simulation tests', async () => {
const EPS = 1e6;
const GAS_SCHEDULE = { [ERC20BridgeSource.Native]: 1 };
function createQuoteFillOrders(opts: Partial<{
fillableInput: BigNumber;
fillableOutput: BigNumber;
inputFeeRate: number;
outputFeeRate: number;
count: number;
fillsCount: number;
side: MarketOperation;
}> = {}): QuoteFillOrderCall[] {
function createQuoteFillOrders(
opts: Partial<{
fillableInput: BigNumber;
fillableOutput: BigNumber;
inputFeeRate: number;
outputFeeRate: number;
count: number;
fillsCount: number;
side: MarketOperation;
}> = {},
): QuoteFillOrderCall[] {
const { fillableInput, fillableOutput, inputFeeRate, outputFeeRate, count, fillsCount, side } = {
fillableInput: getRandomOrderSize(),
fillableOutput: getRandomOrderSize(),
@@ -46,12 +52,10 @@ describe('quote_simulation tests', async () => {
side: MarketOperation.Sell,
...opts,
};
const _inputFeeRate = side === MarketOperation.Sell
? inputFeeRate : -inputFeeRate;
const _outputFeeRate = side === MarketOperation.Sell
? -outputFeeRate : outputFeeRate;
const _inputFeeRate = side === MarketOperation.Sell ? inputFeeRate : -inputFeeRate;
const _outputFeeRate = side === MarketOperation.Sell ? -outputFeeRate : outputFeeRate;
const fillableInputs = subdivideAmount(fillableInput, count);
const fillableInputs = subdivideAmount(fillableInput, count);
const fillableOutputs = subdivideAmount(fillableOutput, count);
const filledInputs = subdivideAmount(fillableInput.times(0.5), count);
const filledOutputs: BigNumber[] = [];
@@ -61,10 +65,7 @@ describe('quote_simulation tests', async () => {
const outputFees: BigNumber[] = [];
_.times(count).forEach(i => {
const f = filledInputs[i].div(fillableInputs[i]);
filledOutputs.push(fillableOutputs[i]
.times(f)
.integerValue(BigNumber.ROUND_DOWN),
);
filledOutputs.push(fillableOutputs[i].times(f).integerValue(BigNumber.ROUND_DOWN));
totalInputs.push(fillableInputs[i].plus(filledInputs[i]));
totalOutputs.push(fillableOutputs[i].plus(filledOutputs[i]));
inputFees.push(totalInputs[i].times(_inputFeeRate).integerValue());
@@ -72,17 +73,13 @@ describe('quote_simulation tests', async () => {
});
return _.times(count, i => {
return {
order: createQuoteFillOrderOrder(
totalInputs[i],
totalOutputs[i],
{
side,
fillsCount,
filledInput: filledInputs[i],
takerInputFee: inputFees[i].abs(),
takerOutputFee: outputFees[i].abs(),
},
),
order: createQuoteFillOrderOrder(totalInputs[i], totalOutputs[i], {
side,
fillsCount,
filledInput: filledInputs[i],
takerInputFee: inputFees[i].abs(),
takerOutputFee: outputFees[i].abs(),
}),
totalOrderInput: totalInputs[i],
totalOrderOutput: totalOutputs[i],
totalOrderInputFee: inputFees[i],
@@ -100,14 +97,9 @@ describe('quote_simulation tests', async () => {
side: MarketOperation;
takerInputFee: BigNumber;
takerOutputFee: BigNumber;
}> = {}): OptimizedMarketOrder {
const {
filledInput,
fillsCount,
side,
takerInputFee,
takerOutputFee,
} = {
}> = {},
): OptimizedMarketOrder {
const { filledInput, fillsCount, side, takerInputFee, takerOutputFee } = {
side: MarketOperation.Sell,
filledInput: ZERO,
fillsCount: 3,
@@ -115,25 +107,22 @@ describe('quote_simulation tests', async () => {
takerOutputFee: ZERO,
...opts,
};
const filledOutput = filledInput.div(input).times(output).integerValue(BigNumber.ROUND_DOWN);
const filledOutput = filledInput
.div(input)
.times(output)
.integerValue(BigNumber.ROUND_DOWN);
const fillableInput = input.minus(filledInput);
const fillableOutput = output.minus(filledOutput);
const makerAssetAmount = side === MarketOperation.Sell
? output : input;
const takerAssetAmount = side === MarketOperation.Sell
? input : output;
const fillableMakerAssetAmount = side === MarketOperation.Sell
? fillableOutput : fillableInput;
const fillableTakerAssetAmount = side === MarketOperation.Sell
? fillableInput : fillableOutput;
const makerAssetAmount = side === MarketOperation.Sell ? output : input;
const takerAssetAmount = side === MarketOperation.Sell ? input : output;
const fillableMakerAssetAmount = side === MarketOperation.Sell ? fillableOutput : fillableInput;
const fillableTakerAssetAmount = side === MarketOperation.Sell ? fillableInput : fillableOutput;
const takerFee = BigNumber.max(takerInputFee, takerOutputFee);
let takerFeeAssetData = '0x';
if (!takerInputFee.eq(0)) {
takerFeeAssetData = side === MarketOperation.Sell
? DEFAULT_TAKER_ASSET_DATA : DEFAULT_MAKER_ASSET_DATA;
takerFeeAssetData = side === MarketOperation.Sell ? DEFAULT_TAKER_ASSET_DATA : DEFAULT_MAKER_ASSET_DATA;
} else if (!takerOutputFee.eq(0)) {
takerFeeAssetData = side === MarketOperation.Sell
? DEFAULT_MAKER_ASSET_DATA : DEFAULT_TAKER_ASSET_DATA;
takerFeeAssetData = side === MarketOperation.Sell ? DEFAULT_MAKER_ASSET_DATA : DEFAULT_TAKER_ASSET_DATA;
}
const fillableTakerFeeAmount = fillableTakerAssetAmount
.div(takerAssetAmount)
@@ -164,11 +153,7 @@ describe('quote_simulation tests', async () => {
};
}
function createOrderCollapsedFills(
input: BigNumber,
output: BigNumber,
count: number,
): CollapsedFill[] {
function createOrderCollapsedFills(input: BigNumber, output: BigNumber, count: number): CollapsedFill[] {
const inputs = subdivideAmount(input, count);
const outputs = subdivideAmount(output, count);
return _.times(count, i => {
@@ -189,12 +174,12 @@ describe('quote_simulation tests', async () => {
function countCollapsedFills(fillOrders: QuoteFillOrderCall[] | OptimizedMarketOrder[]): number {
let count = 0;
if ((fillOrders as any)[0].fills) {
const orders = fillOrders as any as OptimizedMarketOrder[];
const orders = (fillOrders as any) as OptimizedMarketOrder[];
for (const o of orders) {
count += o.fills.length;
}
} else {
const orders = fillOrders as any as QuoteFillOrderCall[];
const orders = (fillOrders as any) as QuoteFillOrderCall[];
for (const fo of orders) {
count += fo.order.fills.length;
}
@@ -215,8 +200,9 @@ describe('quote_simulation tests', async () => {
}
function assertEqualRates(actual: number | BigNumber, expected: number | BigNumber): void {
expect(new BigNumber(actual).times(1e4).integerValue())
.to.bignumber.eq(new BigNumber(expected).times(1e4).integerValue());
expect(new BigNumber(actual).times(1e4).integerValue()).to.bignumber.eq(
new BigNumber(expected).times(1e4).integerValue(),
);
}
function subdivideAmount(amount: BigNumber, count: number): BigNumber[] {