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added initial RFQ tests

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This commit is contained in:
Daniel Pyrathon
2020-09-29 17:02:12 -07:00
parent 507690f9db
commit eea63292f0
2 changed files with 124 additions and 1 deletions
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123
packages/asset-swapper/test/market_operation_utils_test.ts
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@@ -33,7 +33,12 @@ import {
FillData,
NativeFillData,
OptimizedMarketOrder,
MarketSideLiquidity,
GenerateOptimizedOrdersOpts
} from '../src/utils/market_operation_utils/types';
import { SourceFilters } from '../src/utils/market_operation_utils/source_filters';
import { noop, random } from 'lodash';
import { quoteRequestorHttpClient } from '../src/utils/quote_requestor';
const MAKER_TOKEN = randomAddress();
const TAKER_TOKEN = randomAddress();
@@ -644,6 +649,124 @@ describe('MarketOperationUtils tests', () => {
}
});
it('getMarketSellOrdersAsync() optimizer will be called once only if RFQ if not defined', async () => {
const mockedMarketOpUtils = TypeMoq.Mock.ofType(MarketOperationUtils, TypeMoq.MockBehavior.Loose, false, MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
mockedMarketOpUtils.callBase = true;
// Ensure that `_generateOptimizedOrdersAsync` is only called once
mockedMarketOpUtils.setup(
m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny())
).returns(
async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b)
).verifiable(TypeMoq.Times.once());
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
ORDERS, totalAssetAmount,
DEFAULT_OPTS,
);
mockedMarketOpUtils.verifyAll();
});
it('getMarketSellOrdersAsync() will not rerun the optimizer if no orders are returned', async () => {
const requestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose, true);
requestor
.setup(r =>
r.requestRfqtFirmQuotesAsync(
TypeMoq.It.isAny(),
TypeMoq.It.isAny(),
TypeMoq.It.isAny(),
TypeMoq.It.isAny(),
TypeMoq.It.isAny(),
),
)
.returns(() => Promise.resolve([]))
.verifiable(TypeMoq.Times.once());
// Ensure that `_generateOptimizedOrdersAsync` is only called once
const mockedMarketOpUtils = TypeMoq.Mock.ofType(MarketOperationUtils, TypeMoq.MockBehavior.Loose, false, MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
mockedMarketOpUtils.callBase = true;
mockedMarketOpUtils.setup(
m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny())
).returns(
async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b)
).verifiable(TypeMoq.Times.once());
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
const results = await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
ORDERS, totalAssetAmount,
{
...DEFAULT_OPTS,
rfqt: {
isIndicative: false,
apiKey: 'foo',
takerAddress: randomAddress(),
intentOnFilling: true,
quoteRequestor: {
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
} as any
}
},
);
mockedMarketOpUtils.verifyAll();
requestor.verifyAll();
});
it.only('getMarketSellOrdersAsync() will rerun the optimizer if one or more RFQ orders are returned', async () => {
const requestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose, true);
requestor
.setup(r =>
r.requestRfqtFirmQuotesAsync(
TypeMoq.It.isAny(),
TypeMoq.It.isAny(),
TypeMoq.It.isAny(),
TypeMoq.It.isAny(),
TypeMoq.It.isAny(),
),
)
.returns(() => Promise.resolve([{signedOrder: ORDERS[0]}]))
.verifiable(TypeMoq.Times.once());
// Ensure that `_generateOptimizedOrdersAsync` is only called once
let numOrdersInCall: number[] = [];
const mockedMarketOpUtils = TypeMoq.Mock.ofType(MarketOperationUtils, TypeMoq.MockBehavior.Loose, false, MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
mockedMarketOpUtils.callBase = true;
mockedMarketOpUtils.setup(
m => m._generateOptimizedOrdersAsync(TypeMoq.It.isAny(), TypeMoq.It.isAny())
).callback(async (msl: MarketSideLiquidity, opts: GenerateOptimizedOrdersOpts) => {
numOrdersInCall.push(msl.nativeOrders.length);
})
.returns(
async (a, b) => mockedMarketOpUtils.target._generateOptimizedOrdersAsync(a, b)
)
.verifiable(TypeMoq.Times.exactly(2));
const totalAssetAmount = ORDERS.map(o => o.takerAssetAmount).reduce((a, b) => a.plus(b));
await mockedMarketOpUtils.object.getMarketSellOrdersAsync(
ORDERS.slice(1, ORDERS.length), totalAssetAmount,
{
...DEFAULT_OPTS,
rfqt: {
isIndicative: false,
apiKey: 'foo',
takerAddress: randomAddress(),
intentOnFilling: true,
quoteRequestor: {
requestRfqtFirmQuotesAsync: requestor.object.requestRfqtFirmQuotesAsync,
} as any
}
},
);
mockedMarketOpUtils.verifyAll();
requestor.verifyAll();
expect(numOrdersInCall.length).to.eql(2);
// The first call to optimizer was without an RFQ order.
// The first call to optimizer was with an extra RFQ order.
expect(numOrdersInCall[0]).to.eql(2);
expect(numOrdersInCall[1]).to.eql(3);
});
it('generates bridge orders with correct taker amount', async () => {
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
// Pass in empty orders to prevent native orders from being used.