asset-swapper: RFQ-T indicative quotes

These changes have been exercised via mocha tests in the 0x-api repo.

Not sure why I had to add GetMarketOrdersRfqtOpts to the package
exports.  `yarn test:generate_docs:circleci` said:

$ node ./packages/monorepo-scripts/lib/doc_generate.js --package @0x/asset-swapper
GENERATE_DOCS: Generating Typedoc JSON for @0x/asset-swapper...
GENERATE_DOCS: Generating Typedoc Markdown for @0x/asset-swapper...
GENERATE_DOCS: Modifying Markdown To Exclude Unexported Items...
Error: @0x/asset-swapper package needs to export:
GetMarketOrdersRfqtOpts
From it's index.ts. If any are from external dependencies, then add them to the EXTERNAL_TYPE_MAP.
    at DocGenerateUtils._lookForMissingReferenceExportsThrowIfExists (/root/repo/packages/monorepo-scripts/lib/utils/doc_generate_utils.js:288:19)
    at DocGenerateUtils.<anonymous> (/root/repo/packages/monorepo-scripts/lib/utils/doc_generate_utils.js:255:34)
    at step (/root/repo/packages/monorepo-scripts/lib/utils/doc_generate_utils.js:32:23)
    at Object.next (/root/repo/packages/monorepo-scripts/lib/utils/doc_generate_utils.js:13:53)
    at fulfilled (/root/repo/packages/monorepo-scripts/lib/utils/doc_generate_utils.js:4:58)
    at <anonymous>
    at process._tickCallback (internal/process/next_tick.js:189:7)

packages/asset-swapper/src/index.ts

@@ -64,8 +64,9 @@ export {
     CollapsedFill,
     NativeCollapsedFill,
     OptimizedMarketOrder,
+    GetMarketOrdersRfqtOpts,
 } from './utils/market_operation_utils/types';
 export { affiliateFeeUtils } from './utils/affiliate_fee_utils';
 export { ProtocolFeeUtils } from './utils/protocol_fee_utils';
-export { QuoteRequestor } from './utils/quote_requestor';
+export { QuoteRequestor, RfqtIndicativeQuoteResponse } from './utils/quote_requestor';
 export { rfqtMocker } from './utils/rfqt_mocker';

packages/asset-swapper/src/swap_quoter.ts

@@ -9,6 +9,7 @@ import * as _ from 'lodash';
 
 import { constants } from './constants';
 import {
+    CalculateSwapQuoteOpts,
     LiquidityForTakerMakerAssetDataPair,
     MarketBuySwapQuote,
     MarketOperation,
@@ -24,7 +25,6 @@ import { calculateLiquidity } from './utils/calculate_liquidity';
 import { MarketOperationUtils } from './utils/market_operation_utils';
 import { createDummyOrderForSampler } from './utils/market_operation_utils/orders';
 import { DexOrderSampler } from './utils/market_operation_utils/sampler';
-import { GetMarketOrdersOpts } from './utils/market_operation_utils/types';
 import { orderPrunerUtils } from './utils/order_prune_utils';
 import { OrderStateUtils } from './utils/order_state_utils';
 import { ProtocolFeeUtils } from './utils/protocol_fee_utils';
@@ -565,19 +565,30 @@ export class SwapQuoter {
 
         let swapQuote: SwapQuote;
 
+        const calcOpts: CalculateSwapQuoteOpts = opts;
+        if (
+            // we should request indicative quotes:
+            calcOpts.rfqt &&
+            !calcOpts.rfqt.intentOnFilling &&
+            calcOpts.rfqt.apiKey &&
+            this._rfqtTakerApiKeyWhitelist.includes(calcOpts.rfqt.apiKey)
+        ) {
+            calcOpts.rfqt.quoteRequestor = this._quoteRequestor;
+        }
+
         if (marketOperation === MarketOperation.Buy) {
             swapQuote = await this._swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
                 orders,
                 assetFillAmount,
                 gasPrice,
-                opts,
+                calcOpts,
             );
         } else {
             swapQuote = await this._swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
                 orders,
                 assetFillAmount,
                 gasPrice,
-                opts,
+                calcOpts,
             );
         }
 

packages/asset-swapper/src/types.ts

@@ -287,3 +287,16 @@ export interface MockedRfqtFirmQuoteResponse {
     responseData: any;
     responseCode: number;
 }
+
+/**
+ * Represents a mocked RFQT maker responses.
+ */
+export interface MockedRfqtIndicativeQuoteResponse {
+    endpoint: string;
+    requestApiKey: string;
+    requestParams: {
+        [key: string]: string | undefined;
+    };
+    responseData: any;
+    responseCode: number;
+}

packages/asset-swapper/src/utils/market_operation_utils/index.ts

@@ -3,6 +3,7 @@ import { SignedOrder } from '@0x/types';
 import { BigNumber, NULL_ADDRESS } from '@0x/utils';
 
 import { MarketOperation } from '../../types';
+import { RfqtIndicativeQuoteResponse } from '../quote_requestor';
 import { difference } from '../utils';
 
 import { BUY_SOURCES, DEFAULT_GET_MARKET_ORDERS_OPTS, FEE_QUOTE_SOURCES, ONE_ETHER, SELL_SOURCES } from './constants';
@@ -13,7 +14,12 @@ import {
     getPathAdjustedSlippage,
     getPathSize,
 } from './fills';
-import { createOrdersFromPath, createSignedOrdersWithFillableAmounts, getNativeOrderTokens } from './orders';
+import {
+    createOrdersFromPath,
+    createSignedOrdersFromRfqtIndicativeQuotes,
+    createSignedOrdersWithFillableAmounts,
+    getNativeOrderTokens,
+} from './orders';
 import { findOptimalPath } from './path_optimizer';
 import { DexOrderSampler, getSampleAmounts } from './sampler';
 import {
@@ -57,12 +63,7 @@ export class MarketOperationUtils {
         const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
         const [makerToken, takerToken] = getNativeOrderTokens(nativeOrders[0]);
         // Call the sampler contract.
-        const [
+        const samplerPromise = this._sampler.executeAsync(
-            orderFillableAmounts,
-            liquidityProviderAddress,
-            ethToMakerAssetRate,
-            dexQuotes,
-        ] = await this._sampler.executeAsync(
             // Get native order fillable amounts.
             DexOrderSampler.ops.getOrderFillableTakerAmounts(nativeOrders),
             // Get the custom liquidity provider from registry.
@@ -92,10 +93,25 @@ export class MarketOperationUtils {
                 this._liquidityProviderRegistry,
             ),
         );
+        const rfqtPromise =
+            _opts !== undefined && _opts.rfqt !== undefined && _opts.rfqt.quoteRequestor !== undefined
+                ? _opts.rfqt.quoteRequestor.requestRfqtIndicativeQuotesAsync(
+                      nativeOrders[0].makerAssetData,
+                      nativeOrders[0].takerAssetData,
+                      takerAmount,
+                      MarketOperation.Sell,
+                      _opts.rfqt,
+                  )
+                : Promise.resolve<RfqtIndicativeQuoteResponse[]>([]);
+        const [
+            [orderFillableAmounts, liquidityProviderAddress, ethToMakerAssetRate, dexQuotes],
+            rfqtIndicativeQuotes,
+        ] = await Promise.all([samplerPromise, rfqtPromise]);
         return this._generateOptimizedOrders({
             orderFillableAmounts,
             nativeOrders,
             dexQuotes,
+            rfqtIndicativeQuotes,
             liquidityProviderAddress,
             inputToken: takerToken,
             outputToken: makerToken,
@@ -130,12 +146,7 @@ export class MarketOperationUtils {
         const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
         const [makerToken, takerToken] = getNativeOrderTokens(nativeOrders[0]);
         // Call the sampler contract.
-        const [
+        const samplerPromise = this._sampler.executeAsync(
-            orderFillableAmounts,
-            liquidityProviderAddress,
-            ethToTakerAssetRate,
-            dexQuotes,
-        ] = await this._sampler.executeAsync(
             // Get native order fillable amounts.
             DexOrderSampler.ops.getOrderFillableMakerAmounts(nativeOrders),
             // Get the custom liquidity provider from registry.
@@ -165,11 +176,26 @@ export class MarketOperationUtils {
                 this._liquidityProviderRegistry,
             ),
         );
+        const rfqtPromise =
+            opts !== undefined && _opts.rfqt !== undefined && _opts.rfqt.quoteRequestor !== undefined
+                ? _opts.rfqt.quoteRequestor.requestRfqtIndicativeQuotesAsync(
+                      nativeOrders[0].makerAssetData,
+                      nativeOrders[0].takerAssetData,
+                      makerAmount,
+                      MarketOperation.Buy,
+                      _opts.rfqt,
+                  )
+                : [];
+        const [
+            [orderFillableAmounts, liquidityProviderAddress, ethToTakerAssetRate, dexQuotes],
+            rfqtIndicativeQuotes,
+        ] = await Promise.all([samplerPromise, rfqtPromise]);
 
         return this._generateOptimizedOrders({
             orderFillableAmounts,
             nativeOrders,
             dexQuotes,
+            rfqtIndicativeQuotes,
             liquidityProviderAddress,
             inputToken: makerToken,
             outputToken: takerToken,
@@ -246,6 +272,7 @@ export class MarketOperationUtils {
                     orderFillableAmounts,
                     nativeOrders,
                     dexQuotes,
+                    rfqtIndicativeQuotes: [],
                     inputToken: makerToken,
                     outputToken: takerToken,
                     side: MarketOperation.Buy,
@@ -274,6 +301,7 @@ export class MarketOperationUtils {
         nativeOrders: SignedOrder[];
         orderFillableAmounts: BigNumber[];
         dexQuotes: DexSample[][];
+        rfqtIndicativeQuotes: RfqtIndicativeQuoteResponse[];
         runLimit?: number;
         ethToOutputRate?: BigNumber;
         bridgeSlippage?: number;
@@ -290,7 +318,10 @@ export class MarketOperationUtils {
         const paths = createFillPaths({
             side,
             // Augment native orders with their fillable amounts.
-            orders: createSignedOrdersWithFillableAmounts(side, opts.nativeOrders, opts.orderFillableAmounts),
+            orders: [
+                ...createSignedOrdersWithFillableAmounts(side, opts.nativeOrders, opts.orderFillableAmounts),
+                ...createSignedOrdersFromRfqtIndicativeQuotes(opts.rfqtIndicativeQuotes),
+            ],
             dexQuotes: opts.dexQuotes,
             targetInput: inputAmount,
             ethToOutputRate: opts.ethToOutputRate,

packages/asset-swapper/src/utils/market_operation_utils/orders.ts

@@ -4,6 +4,7 @@ import { ERC20BridgeAssetData, SignedOrder } from '@0x/types';
 import { AbiEncoder, BigNumber } from '@0x/utils';
 
 import { MarketOperation, SignedOrderWithFillableAmounts } from '../../types';
+import { RfqtIndicativeQuoteResponse } from '../quote_requestor';
 
 import {
     DEFAULT_CURVE_OPTS,
@@ -358,3 +359,32 @@ function createNativeOrder(fill: CollapsedFill): OptimizedMarketOrder {
         ...(fill as NativeCollapsedFill).nativeOrder,
     };
 }
+
+export function createSignedOrdersFromRfqtIndicativeQuotes(
+    quotes: RfqtIndicativeQuoteResponse[],
+): SignedOrderWithFillableAmounts[] {
+    return quotes.map(quote => {
+        return {
+            fillableMakerAssetAmount: quote.makerAssetAmount,
+            fillableTakerAssetAmount: quote.takerAssetAmount,
+            makerAssetAmount: quote.makerAssetAmount,
+            takerAssetAmount: quote.takerAssetAmount,
+            makerAssetData: quote.makerAssetData,
+            takerAssetData: quote.takerAssetData,
+            takerAddress: NULL_ADDRESS,
+            makerAddress: NULL_ADDRESS,
+            senderAddress: NULL_ADDRESS,
+            feeRecipientAddress: NULL_ADDRESS,
+            salt: ZERO_AMOUNT, // generatePseudoRandomSalt(),
+            expirationTimeSeconds: new BigNumber(Math.floor(Date.now() / ONE_SECOND_MS) + ONE_HOUR_IN_SECONDS),
+            makerFeeAssetData: NULL_BYTES,
+            takerFeeAssetData: NULL_BYTES,
+            makerFee: ZERO_AMOUNT,
+            takerFee: ZERO_AMOUNT,
+            fillableTakerFeeAmount: ZERO_AMOUNT,
+            signature: WALLET_SIGNATURE,
+            chainId: 0, // HACK !!!!!!!!! how can we get at this from this context?
+            exchangeAddress: NULL_ADDRESS, // HACK !!!!!!!!! how can we get at this from this context?
+        };
+    });
+}

packages/asset-swapper/src/utils/market_operation_utils/types.ts

@@ -1,7 +1,8 @@
 import { IERC20BridgeSamplerContract } from '@0x/contract-wrappers';
 import { BigNumber } from '@0x/utils';
 
-import { SignedOrderWithFillableAmounts } from '../../types';
+import { RfqtRequestOpts, SignedOrderWithFillableAmounts } from '../../types';
+import { QuoteRequestor, RfqtIndicativeQuoteResponse } from '../../utils/quote_requestor';
 
 /**
  * Order domain keys: chainId and exchange
@@ -34,6 +35,7 @@ export enum ERC20BridgeSource {
     CurveUsdcDaiUsdtTusd = 'Curve_USDC_DAI_USDT_TUSD',
     LiquidityProvider = 'LiquidityProvider',
     CurveUsdcDaiUsdtBusd = 'Curve_USDC_DAI_USDT_BUSD',
+    Rfqt = 'Rfqt',
 }
 
 // Internal `fillData` field for `Fill` objects.
@@ -44,6 +46,10 @@ export interface NativeFillData extends FillData {
     order: SignedOrderWithFillableAmounts;
 }
 
+export interface RfqtFillData extends FillData {
+    quote: RfqtIndicativeQuoteResponse;
+}
+
 /**
  * Represents an individual DEX sample from the sampler contract.
  */
@@ -130,6 +136,10 @@ export interface OptimizedMarketOrder extends SignedOrderWithFillableAmounts {
     fills: CollapsedFill[];
 }
 
+export interface GetMarketOrdersRfqtOpts extends RfqtRequestOpts {
+    quoteRequestor?: QuoteRequestor;
+}
+
 /**
  * Options for `getMarketSellOrdersAsync()` and `getMarketBuyOrdersAsync()`.
  */
@@ -183,6 +193,7 @@ export interface GetMarketOrdersOpts {
      * sources. Defaults to `true`.
      */
     allowFallback: boolean;
+    rfqt?: GetMarketOrdersRfqtOpts;
     /**
      * Whether to combine contiguous bridge orders into a single DexForwarderBridge
      * order. Defaults to `true`.

packages/asset-swapper/src/utils/quote_requestor.ts

@@ -12,6 +12,13 @@ import { MarketOperation, RfqtRequestOpts } from '../types';
  * Request quotes from RFQ-T providers
  */
 
+export interface RfqtIndicativeQuoteResponse {
+    makerAssetData: string;
+    makerAssetAmount: BigNumber;
+    takerAssetData: string;
+    takerAssetAmount: BigNumber;
+}
+
 function getTokenAddressOrThrow(assetData: string): string {
     const decodedAssetData = assetDataUtils.decodeAssetDataOrThrow(assetData);
     if (decodedAssetData.hasOwnProperty('tokenAddress')) {
@@ -141,4 +148,81 @@ export class QuoteRequestor {
 
         return orders;
     }
+
+    public async requestRfqtIndicativeQuotesAsync(
+        makerAssetData: string,
+        takerAssetData: string,
+        assetFillAmount: BigNumber,
+        marketOperation: MarketOperation,
+        options: RfqtRequestOpts,
+    ): Promise<RfqtIndicativeQuoteResponse[]> {
+        const _opts = _.merge({}, constants.DEFAULT_RFQT_REQUEST_OPTS, options);
+        assertTakerAddressOrThrow(_opts.takerAddress);
+
+        const axiosResponsesIfDefined: Array<
+            undefined | AxiosResponse<RfqtIndicativeQuoteResponse>
+        > = await Promise.all(
+            this._rfqtMakerEndpoints.map(async rfqtMakerEndpoint => {
+                try {
+                    return await Axios.get<RfqtIndicativeQuoteResponse>(`${rfqtMakerEndpoint}/price`, {
+                        headers: { '0x-api-key': options.apiKey },
+                        params: {
+                            takerAddress: options.takerAddress,
+                            ...inferQueryParams(marketOperation, makerAssetData, takerAssetData, assetFillAmount),
+                        },
+                        timeout: options.makerEndpointMaxResponseTimeMs,
+                    });
+                } catch (err) {
+                    logUtils.warn(
+                        `Failed to get RFQ-T quote from market maker endpoint ${rfqtMakerEndpoint} for API key ${
+                            options.apiKey
+                        } for taker address ${options.takerAddress}`,
+                    );
+                    logUtils.warn(err);
+                    return undefined;
+                }
+            }),
+        );
+
+        const axiosResponses = axiosResponsesIfDefined.filter(
+            (respIfDefd): respIfDefd is AxiosResponse<RfqtIndicativeQuoteResponse> => respIfDefd !== undefined,
+        );
+
+        const responsesWithStringInts = axiosResponses.map(response => response.data); // not yet BigNumber
+
+        const validResponsesWithStringInts = responsesWithStringInts.filter(response => {
+            if (this._isValidRfqtIndicativeQuoteResponse(response)) {
+                return true;
+            }
+            logUtils.warn(`Invalid RFQ-T indicative quote received, filtering out: ${JSON.stringify(response)}`);
+            return false;
+        });
+
+        const responses = validResponsesWithStringInts.map(response => {
+            return {
+                ...response,
+                makerAssetAmount: new BigNumber(response.makerAssetAmount),
+                takerAssetAmount: new BigNumber(response.takerAssetAmount),
+            };
+        });
+
+        return responses;
+    }
+
+    private _isValidRfqtIndicativeQuoteResponse(response: RfqtIndicativeQuoteResponse): boolean {
+        const hasValidMakerAssetAmount = this._schemaValidator.isValid(
+            response.makerAssetAmount,
+            schemas.wholeNumberSchema,
+        );
+        const hasValidTakerAssetAmount = this._schemaValidator.isValid(
+            response.takerAssetAmount,
+            schemas.wholeNumberSchema,
+        );
+        const hasValidMakerAssetData = this._schemaValidator.isValid(response.makerAssetData, schemas.hexSchema);
+        const hasValidTakerAssetData = this._schemaValidator.isValid(response.takerAssetData, schemas.hexSchema);
+        if (hasValidMakerAssetAmount && hasValidTakerAssetAmount && hasValidMakerAssetData && hasValidTakerAssetData) {
+            return true;
+        }
+        return false;
+    }
 }

packages/asset-swapper/src/utils/rfqt_mocker.ts

@@ -28,6 +28,27 @@ export const rfqtMocker = {
                     .replyOnce(responseCode, responseData);
             }
 
+            await performFn();
+        } finally {
+            // Ensure we always restore axios afterwards
+            mockedAxios.restore();
+        }
+    },
+    withMockedRfqtIndicativeQuotes: async (
+        mockedResponses: MockedRfqtFirmQuoteResponse[],
+        performFn: () => Promise<void>,
+    ) => {
+        const mockedAxios = new AxiosMockAdapter(axios);
+        try {
+            // Mock out RFQT responses
+            for (const mockedResponse of mockedResponses) {
+                const { endpoint, requestApiKey, requestParams, responseData, responseCode } = mockedResponse;
+                const requestHeaders = { Accept: 'application/json, text/plain, */*', '0x-api-key': requestApiKey };
+                mockedAxios
+                    .onGet(`${endpoint}/price`, { params: requestParams }, requestHeaders)
+                    .replyOnce(responseCode, responseData);
+            }
+
             await performFn();
         } finally {
             // Ensure we always restore axios afterwards

packages/asset-swapper/test/quote_requestor_test.ts

@@ -20,7 +20,7 @@ describe('QuoteRequestor', async () => {
     const makerAssetData = assetDataUtils.encodeERC20AssetData(makerToken);
     const takerAssetData = assetDataUtils.encodeERC20AssetData(takerToken);
 
-    describe('requestRfqtFirmQuotesAsync', async () => {
+    describe('requestRfqtFirmQuotesAsync for firm quotes', async () => {
         it('should return successful RFQT requests', async () => {
             const takerAddress = '0xd209925defc99488e3afff1174e48b4fa628302a';
             const apiKey = 'my-ko0l-api-key';