QuoteReportGenerator test
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Steve Klebanoff
199
packages/asset-swapper/test/quote_report_generator_test.ts
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199
packages/asset-swapper/test/quote_report_generator_test.ts
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// tslint:disable:custom-no-magic-numbers
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import { tokenUtils } from '@0x/dev-utils';
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import { assetDataUtils, orderHashUtils } from '@0x/order-utils';
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import { SignedOrder, StatusCodes } from '@0x/types';
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import { BigNumber } from '@0x/utils';
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import * as chai from 'chai';
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import * as _ from 'lodash';
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import 'mocha';
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import * as TypeMoq from 'typemoq';
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import { constants } from '../src/constants';
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import { MarketOperation, MockedRfqtFirmQuoteResponse, MockedRfqtIndicativeQuoteResponse } from '../src/types';
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import { CollapsedFill, DexSample, ERC20BridgeSource, NativeCollapsedFill } from '../src/utils/market_operation_utils/types';
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import { QuoteRequestor } from '../src/utils/quote_requestor';
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import { rfqtMocker } from '../src/utils/rfqt_mocker';
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import { BridgeReportSource, NativeOrderbookReportSource, NativeRFQTReportSource, QuoteReportGenerator, QuoteReportSource } from './../src/utils/quote_report_generator';
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import { chaiSetup } from './utils/chai_setup';
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import { testOrderFactory } from './utils/test_order_factory';
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chaiSetup.configure();
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const expect = chai.expect;
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const collapsedFillFromNativeOrder = (order: SignedOrder): NativeCollapsedFill => {
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return {
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source: ERC20BridgeSource.Native,
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input: order.takerAssetAmount,
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output: order.makerAssetAmount,
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nativeOrder: {
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...order,
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fillableMakerAssetAmount: new BigNumber(1),
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fillableTakerAssetAmount: new BigNumber(1),
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fillableTakerFeeAmount: new BigNumber(1),
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},
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subFills: [],
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};
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};
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describe('QuoteReportGenerator', async () => {
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describe('generateReport', async () => {
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it('should generate report properly for sell', () => {
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const marketOperation: MarketOperation = MarketOperation.Sell;
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const kyberSample1: DexSample = {
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source: ERC20BridgeSource.Kyber,
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input: new BigNumber(10000),
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output: new BigNumber(10001),
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};
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const kyberSample2: DexSample = {
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source: ERC20BridgeSource.Kyber,
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input: new BigNumber(10003),
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output: new BigNumber(10004),
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};
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const uniswapSample1: DexSample = {
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source: ERC20BridgeSource.UniswapV2,
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input: new BigNumber(10003),
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output: new BigNumber(10004),
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};
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const uniswapSample2: DexSample = {
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source: ERC20BridgeSource.UniswapV2,
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input: new BigNumber(10005),
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output: new BigNumber(10006),
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};
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const dexQuotes: DexSample[] = [kyberSample1, kyberSample2, uniswapSample1, uniswapSample2];
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const orderbookOrder1FillableAmount = new BigNumber(1000);
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const orderbookOrder1 = testOrderFactory.generateTestSignedOrder({
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signature: 'orderbookOrder1',
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takerAssetAmount: orderbookOrder1FillableAmount,
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});
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const orderbookOrder2FillableAmount = new BigNumber(99);
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const orderbookOrder2 = testOrderFactory.generateTestSignedOrder({
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signature: 'orderbookOrder2',
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takerAssetAmount: orderbookOrder2FillableAmount.plus(99),
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});
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const rfqtOrder1FillableAmount = new BigNumber(100);
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const rfqtOrder1 = testOrderFactory.generateTestSignedOrder({
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signature: 'rfqtOrder1',
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takerAssetAmount: rfqtOrder1FillableAmount,
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});
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const rfqtOrder2FillableAmount = new BigNumber(1001);
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const rfqtOrder2 = testOrderFactory.generateTestSignedOrder({
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signature: 'rfqtOrder2',
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takerAssetAmount: rfqtOrder2FillableAmount.plus(100),
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});
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const nativeOrders: SignedOrder[] = [orderbookOrder1, rfqtOrder1, rfqtOrder2, orderbookOrder2];
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const orderFillableAmounts: BigNumber[] = [orderbookOrder1FillableAmount, rfqtOrder1FillableAmount, rfqtOrder2FillableAmount, orderbookOrder2FillableAmount];
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// generate path
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const uniswap2Fill: CollapsedFill = { ...uniswapSample2, subFills: [] };
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const kyber2Fill: CollapsedFill = { ...kyberSample2, subFills: [] };
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const orderbookOrder2Fill: CollapsedFill = collapsedFillFromNativeOrder(orderbookOrder2);
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const rfqtOrder2Fill: CollapsedFill = collapsedFillFromNativeOrder(rfqtOrder2);
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const pathGenerated: CollapsedFill[] = [rfqtOrder2Fill, orderbookOrder2Fill, uniswap2Fill, kyber2Fill];
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// quote generator mock
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const quoteRequestor = TypeMoq.Mock.ofType<QuoteRequestor>();
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quoteRequestor.setup(qr => qr.getMakerUriForOrderHash(orderHashUtils.getOrderHash(orderbookOrder2))).returns(() => {
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return undefined;
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}).verifiable(TypeMoq.Times.atLeastOnce());
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quoteRequestor.setup(qr => qr.getMakerUriForOrderHash(orderHashUtils.getOrderHash(rfqtOrder1))).returns(() => {
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return 'https://rfqt1.provider.club';
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}).verifiable(TypeMoq.Times.atLeastOnce());
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quoteRequestor.setup(qr => qr.getMakerUriForOrderHash(orderHashUtils.getOrderHash(rfqtOrder2))).returns(() => {
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return 'https://rfqt2.provider.club';
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}).verifiable(TypeMoq.Times.atLeastOnce());
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const orderReport = new QuoteReportGenerator(marketOperation, dexQuotes, nativeOrders, orderFillableAmounts, pathGenerated, quoteRequestor.object).generateReport();
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const rfqtOrder1Source: NativeRFQTReportSource = {
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liquiditySource: ERC20BridgeSource.Native,
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makerAmount: rfqtOrder1.makerAssetAmount,
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takerAmount: rfqtOrder1.takerAssetAmount,
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orderHash: orderHashUtils.getOrderHash(rfqtOrder1),
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nativeOrder: rfqtOrder1,
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fillableTakerAmount: rfqtOrder1FillableAmount,
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isRfqt: true,
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makerUri: 'https://rfqt1.provider.club',
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};
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const rfqtOrder2Source: NativeRFQTReportSource = {
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liquiditySource: ERC20BridgeSource.Native,
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makerAmount: rfqtOrder2.makerAssetAmount,
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takerAmount: rfqtOrder2.takerAssetAmount,
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orderHash: orderHashUtils.getOrderHash(rfqtOrder2),
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nativeOrder: rfqtOrder2,
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fillableTakerAmount: rfqtOrder2FillableAmount,
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isRfqt: true,
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makerUri: 'https://rfqt2.provider.club',
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};
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const orderbookOrder1Source: NativeOrderbookReportSource = {
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liquiditySource: ERC20BridgeSource.Native,
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makerAmount: orderbookOrder1.makerAssetAmount,
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takerAmount: orderbookOrder1.takerAssetAmount,
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orderHash: orderHashUtils.getOrderHash(orderbookOrder1),
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nativeOrder: orderbookOrder1,
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fillableTakerAmount: orderbookOrder1FillableAmount,
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isRfqt: false,
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};
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const orderbookOrder2Source: NativeOrderbookReportSource = {
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liquiditySource: ERC20BridgeSource.Native,
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makerAmount: orderbookOrder2.makerAssetAmount,
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takerAmount: orderbookOrder2.takerAssetAmount,
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orderHash: orderHashUtils.getOrderHash(orderbookOrder2),
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nativeOrder: orderbookOrder2,
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fillableTakerAmount: orderbookOrder2FillableAmount,
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isRfqt: false,
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};
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const uniswap1Source: BridgeReportSource = {
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liquiditySource: ERC20BridgeSource.UniswapV2,
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makerAmount: uniswapSample1.output,
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takerAmount: uniswapSample1.input,
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};
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const uniswap2Source: BridgeReportSource = {
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liquiditySource: ERC20BridgeSource.UniswapV2,
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makerAmount: uniswapSample2.output,
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takerAmount: uniswapSample2.input,
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};
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const kyber1Source: BridgeReportSource = {
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liquiditySource: ERC20BridgeSource.Kyber,
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makerAmount: kyberSample1.output,
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takerAmount: kyberSample1.input,
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};
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const kyber2Source: BridgeReportSource = {
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liquiditySource: ERC20BridgeSource.Kyber,
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makerAmount: kyberSample2.output,
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takerAmount: kyberSample2.input,
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};
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const expectedSourcesConsidered: QuoteReportSource[] = [
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kyber1Source, kyber2Source, uniswap1Source, uniswap2Source, orderbookOrder1Source, rfqtOrder1Source, rfqtOrder2Source, orderbookOrder2Source,
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];
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expect(orderReport.sourcesConsidered.length).to.eql(expectedSourcesConsidered.length);
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orderReport.sourcesConsidered.forEach((actualSourcesConsidered, idx) => {
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const expectedSourceConsidered = expectedSourcesConsidered[idx];
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expect(actualSourcesConsidered).to.eql(expectedSourceConsidered, `sourceConsidered incorrect at index ${idx}`);
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});
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const expectedSourcesDelivered: QuoteReportSource[] = [
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rfqtOrder2Source, orderbookOrder2Source, uniswap2Source, kyber2Source,
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];
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expect(orderReport.sourcesDelivered.length).to.eql(expectedSourcesDelivered.length);
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orderReport.sourcesDelivered.forEach((actualSourceDelivered, idx) => {
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const expectedSourceDelivered = expectedSourcesDelivered[idx];
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// append bogus fillable values
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if (actualSourceDelivered.liquiditySource === ERC20BridgeSource.Native) {
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actualSourceDelivered.nativeOrder = _.omit(actualSourceDelivered.nativeOrder, ['fillableMakerAssetAmount', 'fillableTakerAssetAmount', 'fillableTakerFeeAmount']) as SignedOrder;
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}
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expect(actualSourceDelivered).to.eql(expectedSourceDelivered, `sourceDelivered incorrect at index ${idx}`);
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});
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quoteRequestor.verifyAll();
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});
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});
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});
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