1471 lines
70 KiB
TypeScript
1471 lines
70 KiB
TypeScript
import { getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
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import {
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assertRoughlyEquals,
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constants,
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expect,
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getRandomFloat,
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getRandomInteger,
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Numberish,
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randomAddress,
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} from '@0x/contracts-test-utils';
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import { Web3Wrapper } from '@0x/dev-utils';
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import { assetDataUtils, generatePseudoRandomSalt } from '@0x/order-utils';
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import { AssetProxyId, ERC20BridgeAssetData, SignedOrder } from '@0x/types';
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import { BigNumber, fromTokenUnitAmount, hexUtils, NULL_ADDRESS } from '@0x/utils';
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import * as _ from 'lodash';
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import * as TypeMoq from 'typemoq';
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import { MarketOperation, QuoteRequestor, RfqtRequestOpts, SignedOrderWithFillableAmounts } from '../src';
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import { getRfqtIndicativeQuotesAsync, MarketOperationUtils } from '../src/utils/market_operation_utils/';
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import { BalancerPoolsCache } from '../src/utils/market_operation_utils/balancer_utils';
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import {
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BUY_SOURCE_FILTER,
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POSITIVE_INF,
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SELL_SOURCE_FILTER,
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SOURCE_FLAGS,
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ZERO_AMOUNT,
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} from '../src/utils/market_operation_utils/constants';
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import { createFills } from '../src/utils/market_operation_utils/fills';
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import { DexOrderSampler } from '../src/utils/market_operation_utils/sampler';
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import { BATCH_SOURCE_FILTERS } from '../src/utils/market_operation_utils/sampler_operations';
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import {
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DexSample,
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ERC20BridgeSource,
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FillData,
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NativeFillData,
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OptimizedMarketOrder,
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} from '../src/utils/market_operation_utils/types';
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const MAKER_TOKEN = randomAddress();
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const TAKER_TOKEN = randomAddress();
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const MAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(MAKER_TOKEN);
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const TAKER_ASSET_DATA = assetDataUtils.encodeERC20AssetData(TAKER_TOKEN);
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const DEFAULT_EXCLUDED = [
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ERC20BridgeSource.UniswapV2,
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ERC20BridgeSource.Curve,
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ERC20BridgeSource.Balancer,
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ERC20BridgeSource.MStable,
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ERC20BridgeSource.Mooniswap,
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ERC20BridgeSource.Bancor,
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ERC20BridgeSource.Swerve,
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ERC20BridgeSource.SushiSwap,
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ERC20BridgeSource.MultiHop,
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];
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const BUY_SOURCES = BUY_SOURCE_FILTER.sources;
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const SELL_SOURCES = SELL_SOURCE_FILTER.sources;
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// tslint:disable: custom-no-magic-numbers promise-function-async
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describe('MarketOperationUtils tests', () => {
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const CHAIN_ID = 1;
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const contractAddresses = { ...getContractAddressesForChainOrThrow(CHAIN_ID), multiBridge: NULL_ADDRESS };
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function createOrder(overrides?: Partial<SignedOrder>): SignedOrder {
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return {
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chainId: CHAIN_ID,
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exchangeAddress: contractAddresses.exchange,
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makerAddress: constants.NULL_ADDRESS,
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takerAddress: constants.NULL_ADDRESS,
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senderAddress: constants.NULL_ADDRESS,
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feeRecipientAddress: randomAddress(),
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salt: generatePseudoRandomSalt(),
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expirationTimeSeconds: getRandomInteger(0, 2 ** 64),
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makerAssetData: MAKER_ASSET_DATA,
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takerAssetData: TAKER_ASSET_DATA,
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makerFeeAssetData: constants.NULL_BYTES,
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takerFeeAssetData: constants.NULL_BYTES,
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makerAssetAmount: getRandomInteger(1, 1e18),
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takerAssetAmount: getRandomInteger(1, 1e18),
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makerFee: constants.ZERO_AMOUNT,
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takerFee: constants.ZERO_AMOUNT,
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signature: hexUtils.random(),
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...overrides,
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};
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}
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function getSourceFromAssetData(assetData: string): ERC20BridgeSource {
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if (assetData.length === 74) {
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return ERC20BridgeSource.Native;
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}
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const bridgeData = assetDataUtils.decodeAssetDataOrThrow(assetData);
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if (!assetDataUtils.isERC20BridgeAssetData(bridgeData)) {
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throw new Error('AssetData is not ERC20BridgeAssetData');
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}
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const { bridgeAddress } = bridgeData;
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switch (bridgeAddress) {
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case contractAddresses.kyberBridge.toLowerCase():
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return ERC20BridgeSource.Kyber;
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case contractAddresses.eth2DaiBridge.toLowerCase():
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return ERC20BridgeSource.Eth2Dai;
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case contractAddresses.uniswapBridge.toLowerCase():
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return ERC20BridgeSource.Uniswap;
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case contractAddresses.uniswapV2Bridge.toLowerCase():
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return ERC20BridgeSource.UniswapV2;
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case contractAddresses.curveBridge.toLowerCase():
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return ERC20BridgeSource.Curve;
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case contractAddresses.mStableBridge.toLowerCase():
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return ERC20BridgeSource.MStable;
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case contractAddresses.mooniswapBridge.toLowerCase():
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return ERC20BridgeSource.Mooniswap;
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case contractAddresses.sushiswapBridge.toLowerCase():
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return ERC20BridgeSource.SushiSwap;
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default:
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break;
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}
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throw new Error(`Unknown bridge address: ${bridgeAddress}`);
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}
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function assertSamePrefix(actual: string, expected: string): void {
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expect(actual.substr(0, expected.length)).to.eq(expected);
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}
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function createOrdersFromSellRates(takerAssetAmount: BigNumber, rates: Numberish[]): SignedOrder[] {
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const singleTakerAssetAmount = takerAssetAmount.div(rates.length).integerValue(BigNumber.ROUND_UP);
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return rates.map(r =>
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createOrder({
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makerAssetAmount: singleTakerAssetAmount.times(r).integerValue(),
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takerAssetAmount: singleTakerAssetAmount,
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}),
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);
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}
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function createOrdersFromBuyRates(makerAssetAmount: BigNumber, rates: Numberish[]): SignedOrder[] {
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const singleMakerAssetAmount = makerAssetAmount.div(rates.length).integerValue(BigNumber.ROUND_UP);
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return rates.map(r =>
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createOrder({
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makerAssetAmount: singleMakerAssetAmount,
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takerAssetAmount: singleMakerAssetAmount.div(r).integerValue(),
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}),
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);
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}
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const ORDER_DOMAIN = {
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exchangeAddress: contractAddresses.exchange,
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chainId: CHAIN_ID,
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};
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function createSamplesFromRates(
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source: ERC20BridgeSource,
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inputs: Numberish[],
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rates: Numberish[],
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fillData?: FillData,
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): DexSample[] {
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const samples: DexSample[] = [];
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inputs.forEach((input, i) => {
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const rate = rates[i];
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samples.push({
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source,
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fillData: fillData || DEFAULT_FILL_DATA[source],
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input: new BigNumber(input),
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output: new BigNumber(input)
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.minus(i === 0 ? 0 : samples[i - 1].input)
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.times(rate)
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.plus(i === 0 ? 0 : samples[i - 1].output)
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.integerValue(),
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});
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});
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return samples;
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}
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type GetMultipleQuotesOperation = (
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sources: ERC20BridgeSource[],
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makerToken: string,
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takerToken: string,
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fillAmounts: BigNumber[],
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wethAddress: string,
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liquidityProviderAddress?: string,
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) => DexSample[][];
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function createGetMultipleSellQuotesOperationFromRates(rates: RatesBySource): GetMultipleQuotesOperation {
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return (
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sources: ERC20BridgeSource[],
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_makerToken: string,
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_takerToken: string,
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fillAmounts: BigNumber[],
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_wethAddress: string,
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) => {
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return BATCH_SOURCE_FILTERS.getAllowed(sources).map(s => createSamplesFromRates(s, fillAmounts, rates[s]));
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};
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}
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function callTradeOperationAndRetainLiquidityProviderParams(
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tradeOperation: (rates: RatesBySource) => GetMultipleQuotesOperation,
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rates: RatesBySource,
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): [{ sources: ERC20BridgeSource[]; liquidityProviderAddress?: string }, GetMultipleQuotesOperation] {
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const liquidityPoolParams: { sources: ERC20BridgeSource[]; liquidityProviderAddress?: string } = {
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sources: [],
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liquidityProviderAddress: undefined,
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};
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const fn = (
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sources: ERC20BridgeSource[],
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makerToken: string,
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takerToken: string,
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fillAmounts: BigNumber[],
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wethAddress: string,
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liquidityProviderAddress?: string,
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) => {
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liquidityPoolParams.liquidityProviderAddress = liquidityProviderAddress;
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liquidityPoolParams.sources = liquidityPoolParams.sources.concat(sources);
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return tradeOperation(rates)(
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sources,
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makerToken,
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takerToken,
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fillAmounts,
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wethAddress,
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liquidityProviderAddress,
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);
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};
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return [liquidityPoolParams, fn];
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}
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function createGetMultipleBuyQuotesOperationFromRates(rates: RatesBySource): GetMultipleQuotesOperation {
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return (
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sources: ERC20BridgeSource[],
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_makerToken: string,
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_takerToken: string,
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fillAmounts: BigNumber[],
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_wethAddress: string,
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) => {
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return BATCH_SOURCE_FILTERS.getAllowed(sources).map(s =>
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createSamplesFromRates(s, fillAmounts, rates[s].map(r => new BigNumber(1).div(r))),
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);
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};
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}
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type GetMedianRateOperation = (
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sources: ERC20BridgeSource[],
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makerToken: string,
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takerToken: string,
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fillAmounts: BigNumber[],
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wethAddress: string,
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liquidityProviderAddress?: string,
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) => BigNumber;
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function createGetMedianSellRate(rate: Numberish): GetMedianRateOperation {
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return (
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_sources: ERC20BridgeSource[],
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_makerToken: string,
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_takerToken: string,
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_fillAmounts: BigNumber[],
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_wethAddress: string,
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) => {
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return new BigNumber(rate);
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};
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}
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function createDecreasingRates(count: number): BigNumber[] {
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const rates: BigNumber[] = [];
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const initialRate = getRandomFloat(1e-3, 1e2);
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_.times(count, () => getRandomFloat(0.95, 1)).forEach((r, i) => {
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const prevRate = i === 0 ? initialRate : rates[i - 1];
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rates.push(prevRate.times(r));
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});
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return rates;
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}
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function getSortedOrderSources(side: MarketOperation, orders: OptimizedMarketOrder[]): ERC20BridgeSource[][] {
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return (
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orders
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// Sort fills by descending rate.
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.map(o => {
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return o.fills
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.slice()
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.sort((a, b) =>
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side === MarketOperation.Sell
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? b.output.div(b.input).comparedTo(a.output.div(a.input))
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: b.input.div(b.output).comparedTo(a.input.div(a.output)),
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)
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.map(f => f.source);
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})
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);
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}
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const NUM_SAMPLES = 3;
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interface RatesBySource {
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[source: string]: Numberish[];
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}
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const ZERO_RATES: RatesBySource = {
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[ERC20BridgeSource.Native]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.Eth2Dai]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.Uniswap]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.Kyber]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.UniswapV2]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.Balancer]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.Bancor]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.Curve]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.LiquidityProvider]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.MultiBridge]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.MStable]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.Mooniswap]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.Swerve]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.SushiSwap]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.MultiHop]: _.times(NUM_SAMPLES, () => 0),
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};
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const DEFAULT_RATES: RatesBySource = {
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...ZERO_RATES,
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[ERC20BridgeSource.Native]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Eth2Dai]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Uniswap]: createDecreasingRates(NUM_SAMPLES),
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};
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interface FillDataBySource {
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[source: string]: FillData;
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}
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const DEFAULT_FILL_DATA: FillDataBySource = {
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[ERC20BridgeSource.UniswapV2]: { tokenAddressPath: [] },
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[ERC20BridgeSource.Balancer]: { poolAddress: randomAddress() },
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[ERC20BridgeSource.Bancor]: { path: [], networkAddress: randomAddress() },
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[ERC20BridgeSource.Kyber]: { hint: '0x', reserveId: '0x' },
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[ERC20BridgeSource.Curve]: {
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curve: {
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poolAddress: randomAddress(),
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tokens: [TAKER_TOKEN, MAKER_TOKEN],
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exchangeFunctionSelector: hexUtils.random(4),
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sellQuoteFunctionSelector: hexUtils.random(4),
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buyQuoteFunctionSelector: hexUtils.random(4),
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},
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fromTokenIdx: 0,
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toTokenIdx: 1,
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},
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[ERC20BridgeSource.Swerve]: {
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pool: {
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poolAddress: randomAddress(),
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tokens: [TAKER_TOKEN, MAKER_TOKEN],
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exchangeFunctionSelector: hexUtils.random(4),
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sellQuoteFunctionSelector: hexUtils.random(4),
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buyQuoteFunctionSelector: hexUtils.random(4),
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},
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fromTokenIdx: 0,
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toTokenIdx: 1,
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},
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[ERC20BridgeSource.LiquidityProvider]: { poolAddress: randomAddress() },
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[ERC20BridgeSource.SushiSwap]: { tokenAddressPath: [] },
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[ERC20BridgeSource.Mooniswap]: { poolAddress: randomAddress() },
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[ERC20BridgeSource.Native]: { order: createOrder() },
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[ERC20BridgeSource.MultiHop]: {},
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};
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const DEFAULT_OPS = {
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getOrderFillableTakerAmounts(orders: SignedOrder[]): BigNumber[] {
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return orders.map(o => o.takerAssetAmount);
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},
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getOrderFillableMakerAmounts(orders: SignedOrder[]): BigNumber[] {
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return orders.map(o => o.makerAssetAmount);
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},
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getSellQuotes: createGetMultipleSellQuotesOperationFromRates(DEFAULT_RATES),
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getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(DEFAULT_RATES),
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getMedianSellRate: createGetMedianSellRate(1),
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getBalancerSellQuotesOffChainAsync: (
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_makerToken: string,
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_takerToken: string,
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takerFillAmounts: BigNumber[],
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) => [
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createSamplesFromRates(
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ERC20BridgeSource.Balancer,
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takerFillAmounts,
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createDecreasingRates(takerFillAmounts.length),
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DEFAULT_FILL_DATA[ERC20BridgeSource.Balancer],
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),
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],
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getBalancerBuyQuotesOffChainAsync: (
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_makerToken: string,
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_takerToken: string,
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makerFillAmounts: BigNumber[],
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) => [
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createSamplesFromRates(
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ERC20BridgeSource.Balancer,
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makerFillAmounts,
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createDecreasingRates(makerFillAmounts.length).map(r => new BigNumber(1).div(r)),
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DEFAULT_FILL_DATA[ERC20BridgeSource.Balancer],
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),
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],
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getBancorSellQuotesOffChainAsync: (_makerToken: string, _takerToken: string, takerFillAmounts: BigNumber[]) =>
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createSamplesFromRates(
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ERC20BridgeSource.Bancor,
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takerFillAmounts,
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createDecreasingRates(takerFillAmounts.length),
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DEFAULT_FILL_DATA[ERC20BridgeSource.Bancor],
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),
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getTwoHopSellQuotes: (..._params: any[]) => [],
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getTwoHopBuyQuotes: (..._params: any[]) => [],
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};
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const MOCK_SAMPLER = ({
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async executeAsync(...ops: any[]): Promise<any[]> {
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return MOCK_SAMPLER.executeBatchAsync(ops);
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},
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async executeBatchAsync(ops: any[]): Promise<any[]> {
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return ops;
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},
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balancerPoolsCache: new BalancerPoolsCache(),
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} as any) as DexOrderSampler;
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function replaceSamplerOps(ops: Partial<typeof DEFAULT_OPS> = {}): void {
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Object.assign(MOCK_SAMPLER, DEFAULT_OPS);
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Object.assign(MOCK_SAMPLER, ops);
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}
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describe('getRfqtIndicativeQuotesAsync', () => {
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const partialRfqt: RfqtRequestOpts = {
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apiKey: 'foo',
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takerAddress: NULL_ADDRESS,
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isIndicative: true,
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intentOnFilling: false,
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};
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it('calls RFQT', async () => {
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const requestor = TypeMoq.Mock.ofType(QuoteRequestor, TypeMoq.MockBehavior.Loose);
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requestor
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.setup(r =>
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r.requestRfqtIndicativeQuotesAsync(
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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TypeMoq.It.isAny(),
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),
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)
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.returns(() => Promise.resolve([]))
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.verifiable(TypeMoq.Times.once());
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await getRfqtIndicativeQuotesAsync(
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MAKER_ASSET_DATA,
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TAKER_ASSET_DATA,
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MarketOperation.Sell,
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new BigNumber('100e18'),
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{
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rfqt: { quoteRequestor: requestor.object, ...partialRfqt },
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},
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);
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requestor.verifyAll();
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});
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});
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describe('MarketOperationUtils', () => {
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let marketOperationUtils: MarketOperationUtils;
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before(async () => {
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marketOperationUtils = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
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});
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describe('getMarketSellOrdersAsync()', () => {
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const FILL_AMOUNT = new BigNumber('100e18');
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const ORDERS = createOrdersFromSellRates(
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FILL_AMOUNT,
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_.times(NUM_SAMPLES, i => DEFAULT_RATES[ERC20BridgeSource.Native][i]),
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);
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const DEFAULT_OPTS = {
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numSamples: NUM_SAMPLES,
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sampleDistributionBase: 1,
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bridgeSlippage: 0,
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maxFallbackSlippage: 100,
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excludedSources: DEFAULT_EXCLUDED,
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allowFallback: false,
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shouldBatchBridgeOrders: false,
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};
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beforeEach(() => {
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replaceSamplerOps();
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});
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it('queries `numSamples` samples', async () => {
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const numSamples = _.random(1, NUM_SAMPLES);
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let actualNumSamples = 0;
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replaceSamplerOps({
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getSellQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
actualNumSamples = amounts.length;
|
|
return DEFAULT_OPS.getSellQuotes(sources, makerToken, takerToken, amounts, wethAddress);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
numSamples,
|
|
});
|
|
expect(actualNumSamples).eq(numSamples);
|
|
});
|
|
|
|
it('polls all DEXes if `excludedSources` is empty', async () => {
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getSellQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getSellQuotes(sources, makerToken, takerToken, amounts, wethAddress);
|
|
},
|
|
getTwoHopSellQuotes: (...args: any[]) => {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
return DEFAULT_OPS.getTwoHopSellQuotes(...args);
|
|
},
|
|
getBalancerSellQuotesOffChainAsync: (
|
|
makerToken: string,
|
|
takerToken: string,
|
|
takerFillAmounts: BigNumber[],
|
|
) => {
|
|
sourcesPolled = sourcesPolled.concat(ERC20BridgeSource.Balancer);
|
|
return DEFAULT_OPS.getBalancerSellQuotesOffChainAsync(makerToken, takerToken, takerFillAmounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.equals(SELL_SOURCES.slice().sort());
|
|
});
|
|
|
|
it('polls the liquidity provider when the registry is provided in the arguments', async () => {
|
|
const [args, fn] = callTradeOperationAndRetainLiquidityProviderParams(
|
|
createGetMultipleSellQuotesOperationFromRates,
|
|
DEFAULT_RATES,
|
|
);
|
|
replaceSamplerOps({
|
|
getSellQuotes: fn,
|
|
getTwoHopSellQuotes: (sources: ERC20BridgeSource[], ..._args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
args.sources.push(ERC20BridgeSource.MultiHop);
|
|
args.sources.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopSellQuotes(..._args);
|
|
},
|
|
getBalancerSellQuotesOffChainAsync: (
|
|
makerToken: string,
|
|
takerToken: string,
|
|
takerFillAmounts: BigNumber[],
|
|
) => {
|
|
args.sources = args.sources.concat(ERC20BridgeSource.Balancer);
|
|
return DEFAULT_OPS.getBalancerSellQuotesOffChainAsync(makerToken, takerToken, takerFillAmounts);
|
|
},
|
|
});
|
|
const registryAddress = randomAddress();
|
|
const newMarketOperationUtils = new MarketOperationUtils(
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
registryAddress,
|
|
);
|
|
await newMarketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
});
|
|
expect(_.uniq(args.sources).sort()).to.deep.equals(
|
|
SELL_SOURCES.concat([ERC20BridgeSource.LiquidityProvider]).sort(),
|
|
);
|
|
expect(args.liquidityProviderAddress).to.eql(registryAddress);
|
|
});
|
|
|
|
it('does not poll DEXes in `excludedSources`', async () => {
|
|
const excludedSources = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.Eth2Dai];
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getSellQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getSellQuotes(sources, makerToken, takerToken, amounts, wethAddress);
|
|
},
|
|
getTwoHopSellQuotes: (sources: ERC20BridgeSource[], ...args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
sourcesPolled.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopSellQuotes(...args);
|
|
},
|
|
getBalancerSellQuotesOffChainAsync: (
|
|
makerToken: string,
|
|
takerToken: string,
|
|
takerFillAmounts: BigNumber[],
|
|
) => {
|
|
sourcesPolled = sourcesPolled.concat(ERC20BridgeSource.Balancer);
|
|
return DEFAULT_OPS.getBalancerSellQuotesOffChainAsync(makerToken, takerToken, takerFillAmounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources,
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.equals(_.without(SELL_SOURCES, ...excludedSources).sort());
|
|
});
|
|
|
|
it('only polls DEXes in `includedSources`', async () => {
|
|
const includedSources = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.Eth2Dai];
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getSellQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getSellQuotes(sources, makerToken, takerToken, amounts, wethAddress);
|
|
},
|
|
getTwoHopSellQuotes: (sources: ERC20BridgeSource[], ...args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
sourcesPolled.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopSellQuotes(sources, ...args);
|
|
},
|
|
getBalancerSellQuotesOffChainAsync: (
|
|
makerToken: string,
|
|
takerToken: string,
|
|
takerFillAmounts: BigNumber[],
|
|
) => {
|
|
sourcesPolled = sourcesPolled.concat(ERC20BridgeSource.Balancer);
|
|
return DEFAULT_OPS.getBalancerSellQuotesOffChainAsync(makerToken, takerToken, takerFillAmounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
includedSources,
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.equals(includedSources.sort());
|
|
});
|
|
|
|
it('generates bridge orders with correct asset data', async () => {
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
DEFAULT_OPTS,
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
expect(improvedOrders).to.not.be.length(0);
|
|
for (const order of improvedOrders) {
|
|
expect(getSourceFromAssetData(order.makerAssetData)).to.exist('');
|
|
const makerAssetDataPrefix = hexUtils.slice(
|
|
assetDataUtils.encodeERC20BridgeAssetData(
|
|
MAKER_TOKEN,
|
|
constants.NULL_ADDRESS,
|
|
constants.NULL_BYTES,
|
|
),
|
|
0,
|
|
36,
|
|
);
|
|
assertSamePrefix(order.makerAssetData, makerAssetDataPrefix);
|
|
expect(order.takerAssetData).to.eq(TAKER_ASSET_DATA);
|
|
}
|
|
});
|
|
|
|
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.
|
|
ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
DEFAULT_OPTS,
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const totalTakerAssetAmount = BigNumber.sum(...improvedOrders.map(o => o.takerAssetAmount));
|
|
expect(totalTakerAssetAmount).to.bignumber.gte(FILL_AMOUNT);
|
|
});
|
|
|
|
it('generates bridge orders with max slippage of `bridgeSlippage`', async () => {
|
|
const bridgeSlippage = _.random(0.1, true);
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, bridgeSlippage },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
expect(improvedOrders).to.not.be.length(0);
|
|
for (const order of improvedOrders) {
|
|
const expectedMakerAmount = order.fills[0].output;
|
|
const slippage = new BigNumber(1).minus(order.makerAssetAmount.div(expectedMakerAmount.plus(1)));
|
|
assertRoughlyEquals(slippage, bridgeSlippage, 1);
|
|
}
|
|
});
|
|
|
|
it('can mix convex sources', async () => {
|
|
const rates: RatesBySource = { ...DEFAULT_RATES };
|
|
rates[ERC20BridgeSource.Native] = [0.4, 0.3, 0.2, 0.1];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.5, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.6, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Kyber] = [0, 0, 0, 0]; // unused
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4 },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
const ETH_TO_MAKER_RATE = 1.5;
|
|
|
|
it('factors in fees for native orders', async () => {
|
|
// Native orders will have the best rates but have fees,
|
|
// dropping their effective rates.
|
|
const nativeFeeRate = 0.06;
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [1, 0.99, 0.98, 0.97], // Effectively [0.94, 0.93, 0.92, 0.91]
|
|
[ERC20BridgeSource.Uniswap]: [0.96, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.95, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Kyber]: [0.1, 0.1, 0.1, 0.1],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Native]: _.constant(
|
|
FILL_AMOUNT.div(4)
|
|
.times(nativeFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_MAKER_RATE),
|
|
),
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('factors in fees for dexes', async () => {
|
|
// Kyber will have the best rates but will have fees,
|
|
// dropping its effective rates.
|
|
const uniswapFeeRate = 0.2;
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [0.95, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Kyber]: [0.1, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.92, 0.1, 0.1, 0.1],
|
|
// Effectively [0.8, ~0.5, ~0, ~0]
|
|
[ERC20BridgeSource.Uniswap]: [1, 0.7, 0.2, 0.2],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Uniswap]: _.constant(
|
|
FILL_AMOUNT.div(4)
|
|
.times(uniswapFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_MAKER_RATE),
|
|
),
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('can mix one concave source', async () => {
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Kyber]: [0, 0, 0, 0], // Won't use
|
|
[ERC20BridgeSource.Eth2Dai]: [0.5, 0.85, 0.75, 0.75], // Concave
|
|
[ERC20BridgeSource.Uniswap]: [0.96, 0.2, 0.1, 0.1],
|
|
[ERC20BridgeSource.Native]: [0.95, 0.2, 0.2, 0.1],
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4 },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('fallback orders use different sources', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Native] = [0.9, 0.8, 0.5, 0.5];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.6, 0.05, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.4, 0.3, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Kyber] = [0.35, 0.2, 0.01, 0.01];
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const firstSources = orderSources.slice(0, 4);
|
|
const secondSources = orderSources.slice(4);
|
|
expect(_.intersection(firstSources, secondSources)).to.be.length(0);
|
|
});
|
|
|
|
it('does not create a fallback if below maxFallbackSlippage', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Native] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Uniswap] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.49, 0.49, 0.49, 0.49];
|
|
rates[ERC20BridgeSource.Kyber] = [0.35, 0.2, 0.01, 0.01];
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true, maxFallbackSlippage: 0.25 },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const firstSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Native, ERC20BridgeSource.Uniswap];
|
|
const secondSources: ERC20BridgeSource[] = [];
|
|
expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
|
|
expect(orderSources.slice(firstSources.length).sort()).to.deep.eq(secondSources.sort());
|
|
});
|
|
|
|
it('is able to create a order from LiquidityProvider', async () => {
|
|
const registryAddress = randomAddress();
|
|
const liquidityProviderAddress = (DEFAULT_FILL_DATA[ERC20BridgeSource.LiquidityProvider] as any)
|
|
.poolAddress;
|
|
const xAsset = randomAddress();
|
|
const yAsset = randomAddress();
|
|
const toSell = fromTokenUnitAmount(10);
|
|
|
|
const [getSellQuotesParams, getSellQuotesFn] = callTradeOperationAndRetainLiquidityProviderParams(
|
|
createGetMultipleSellQuotesOperationFromRates,
|
|
{
|
|
[ERC20BridgeSource.LiquidityProvider]: createDecreasingRates(5),
|
|
},
|
|
);
|
|
|
|
replaceSamplerOps({
|
|
getOrderFillableTakerAmounts: () => [constants.ZERO_AMOUNT],
|
|
getSellQuotes: getSellQuotesFn,
|
|
});
|
|
|
|
const sampler = new MarketOperationUtils(
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
registryAddress,
|
|
);
|
|
const ordersAndReport = await sampler.getMarketSellOrdersAsync(
|
|
[
|
|
createOrder({
|
|
makerAssetData: assetDataUtils.encodeERC20AssetData(xAsset),
|
|
takerAssetData: assetDataUtils.encodeERC20AssetData(yAsset),
|
|
}),
|
|
],
|
|
Web3Wrapper.toBaseUnitAmount(10, 18),
|
|
{
|
|
excludedSources: SELL_SOURCES.concat(ERC20BridgeSource.Bancor),
|
|
numSamples: 4,
|
|
bridgeSlippage: 0,
|
|
shouldBatchBridgeOrders: false,
|
|
},
|
|
);
|
|
const result = ordersAndReport.optimizedOrders;
|
|
expect(result.length).to.eql(1);
|
|
expect(result[0].makerAddress).to.eql(liquidityProviderAddress);
|
|
|
|
// tslint:disable-next-line:no-unnecessary-type-assertion
|
|
const decodedAssetData = assetDataUtils.decodeAssetDataOrThrow(
|
|
result[0].makerAssetData,
|
|
) as ERC20BridgeAssetData;
|
|
expect(decodedAssetData.assetProxyId).to.eql(AssetProxyId.ERC20Bridge);
|
|
expect(decodedAssetData.bridgeAddress).to.eql(liquidityProviderAddress);
|
|
expect(result[0].takerAssetAmount).to.bignumber.eql(toSell);
|
|
expect(getSellQuotesParams.sources).contains(ERC20BridgeSource.LiquidityProvider);
|
|
expect(getSellQuotesParams.liquidityProviderAddress).is.eql(registryAddress);
|
|
});
|
|
|
|
it('batches contiguous bridge sources', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Uniswap] = [1, 0.01, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Native] = [0.5, 0.01, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.49, 0.01, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Curve] = [0.48, 0.01, 0.01, 0.01];
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
numSamples: 4,
|
|
excludedSources: [
|
|
ERC20BridgeSource.Kyber,
|
|
..._.without(DEFAULT_OPTS.excludedSources, ERC20BridgeSource.Curve),
|
|
],
|
|
shouldBatchBridgeOrders: true,
|
|
},
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
expect(improvedOrders).to.be.length(3);
|
|
const orderFillSources = getSortedOrderSources(MarketOperation.Sell, improvedOrders);
|
|
expect(orderFillSources).to.deep.eq([
|
|
[ERC20BridgeSource.Uniswap],
|
|
[ERC20BridgeSource.Native],
|
|
[ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Curve],
|
|
]);
|
|
});
|
|
it('factors in exchange proxy gas overhead', async () => {
|
|
// Uniswap has a slightly better rate than LiquidityProvider,
|
|
// but LiquidityProvider is better accounting for the EP gas overhead.
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [0.01, 0.01, 0.01, 0.01],
|
|
[ERC20BridgeSource.Uniswap]: [1, 1, 1, 1],
|
|
[ERC20BridgeSource.LiquidityProvider]: [0.9999, 0.9999, 0.9999, 0.9999],
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const optimizer = new MarketOperationUtils(
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
randomAddress(), // liquidity provider registry
|
|
);
|
|
const gasPrice = 100e9; // 100 gwei
|
|
const exchangeProxyOverhead = (sourceFlags: number) =>
|
|
sourceFlags === SOURCE_FLAGS.LiquidityProvider
|
|
? new BigNumber(3e4).times(gasPrice)
|
|
: new BigNumber(1.3e5).times(gasPrice);
|
|
const improvedOrdersResponse = await optimizer.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
numSamples: 4,
|
|
excludedSources: [
|
|
...DEFAULT_OPTS.excludedSources,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Kyber,
|
|
ERC20BridgeSource.Bancor,
|
|
],
|
|
exchangeProxyOverhead,
|
|
},
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [ERC20BridgeSource.LiquidityProvider];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
});
|
|
|
|
describe('getMarketBuyOrdersAsync()', () => {
|
|
const FILL_AMOUNT = new BigNumber('100e18');
|
|
const ORDERS = createOrdersFromBuyRates(
|
|
FILL_AMOUNT,
|
|
_.times(NUM_SAMPLES, () => DEFAULT_RATES[ERC20BridgeSource.Native][0]),
|
|
);
|
|
const DEFAULT_OPTS = {
|
|
numSamples: NUM_SAMPLES,
|
|
sampleDistributionBase: 1,
|
|
bridgeSlippage: 0,
|
|
maxFallbackSlippage: 100,
|
|
excludedSources: DEFAULT_EXCLUDED,
|
|
allowFallback: false,
|
|
shouldBatchBridgeOrders: false,
|
|
};
|
|
|
|
beforeEach(() => {
|
|
replaceSamplerOps();
|
|
});
|
|
|
|
it('queries `numSamples` samples', async () => {
|
|
const numSamples = _.random(1, 16);
|
|
let actualNumSamples = 0;
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
actualNumSamples = amounts.length;
|
|
return DEFAULT_OPS.getBuyQuotes(sources, makerToken, takerToken, amounts, wethAddress);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
numSamples,
|
|
});
|
|
expect(actualNumSamples).eq(numSamples);
|
|
});
|
|
|
|
it('polls all DEXes if `excludedSources` is empty', async () => {
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getBuyQuotes(sources, makerToken, takerToken, amounts, wethAddress);
|
|
},
|
|
getTwoHopBuyQuotes: (sources: ERC20BridgeSource[], ..._args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
sourcesPolled.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopBuyQuotes(..._args);
|
|
},
|
|
getBalancerBuyQuotesOffChainAsync: (
|
|
makerToken: string,
|
|
takerToken: string,
|
|
makerFillAmounts: BigNumber[],
|
|
) => {
|
|
sourcesPolled = sourcesPolled.concat(ERC20BridgeSource.Balancer);
|
|
return DEFAULT_OPS.getBalancerBuyQuotesOffChainAsync(makerToken, takerToken, makerFillAmounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.equals(BUY_SOURCES.sort());
|
|
});
|
|
|
|
it('polls the liquidity provider when the registry is provided in the arguments', async () => {
|
|
const [args, fn] = callTradeOperationAndRetainLiquidityProviderParams(
|
|
createGetMultipleBuyQuotesOperationFromRates,
|
|
DEFAULT_RATES,
|
|
);
|
|
replaceSamplerOps({
|
|
getBuyQuotes: fn,
|
|
getTwoHopBuyQuotes: (sources: ERC20BridgeSource[], ..._args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
args.sources.push(ERC20BridgeSource.MultiHop);
|
|
args.sources.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopBuyQuotes(..._args);
|
|
},
|
|
getBalancerBuyQuotesOffChainAsync: (
|
|
makerToken: string,
|
|
takerToken: string,
|
|
makerFillAmounts: BigNumber[],
|
|
) => {
|
|
args.sources = args.sources.concat(ERC20BridgeSource.Balancer);
|
|
return DEFAULT_OPS.getBalancerBuyQuotesOffChainAsync(makerToken, takerToken, makerFillAmounts);
|
|
},
|
|
});
|
|
const registryAddress = randomAddress();
|
|
const newMarketOperationUtils = new MarketOperationUtils(
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
registryAddress,
|
|
);
|
|
await newMarketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
});
|
|
expect(_.uniq(args.sources).sort()).to.deep.eq(
|
|
BUY_SOURCES.concat([ERC20BridgeSource.LiquidityProvider]).sort(),
|
|
);
|
|
expect(args.liquidityProviderAddress).to.eql(registryAddress);
|
|
});
|
|
|
|
it('does not poll DEXes in `excludedSources`', async () => {
|
|
const excludedSources = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.Eth2Dai];
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getBuyQuotes(sources, makerToken, takerToken, amounts, wethAddress);
|
|
},
|
|
getTwoHopBuyQuotes: (sources: ERC20BridgeSource[], ..._args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
sourcesPolled.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopBuyQuotes(..._args);
|
|
},
|
|
getBalancerBuyQuotesOffChainAsync: (
|
|
makerToken: string,
|
|
takerToken: string,
|
|
makerFillAmounts: BigNumber[],
|
|
) => {
|
|
sourcesPolled = sourcesPolled.concat(ERC20BridgeSource.Balancer);
|
|
return DEFAULT_OPS.getBalancerBuyQuotesOffChainAsync(makerToken, takerToken, makerFillAmounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources,
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.eq(_.without(BUY_SOURCES, ...excludedSources).sort());
|
|
});
|
|
|
|
it('only polls DEXes in `includedSources`', async () => {
|
|
const includedSources = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.Eth2Dai];
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts, wethAddress) => {
|
|
sourcesPolled = sourcesPolled.concat(sources.slice());
|
|
return DEFAULT_OPS.getBuyQuotes(sources, makerToken, takerToken, amounts, wethAddress);
|
|
},
|
|
getTwoHopBuyQuotes: (sources: ERC20BridgeSource[], ..._args: any[]) => {
|
|
if (sources.length !== 0) {
|
|
sourcesPolled.push(ERC20BridgeSource.MultiHop);
|
|
sourcesPolled.push(...sources);
|
|
}
|
|
return DEFAULT_OPS.getTwoHopBuyQuotes(..._args);
|
|
},
|
|
getBalancerBuyQuotesOffChainAsync: (
|
|
makerToken: string,
|
|
takerToken: string,
|
|
makerFillAmounts: BigNumber[],
|
|
) => {
|
|
sourcesPolled = sourcesPolled.concat(ERC20BridgeSource.Balancer);
|
|
return DEFAULT_OPS.getBalancerBuyQuotesOffChainAsync(makerToken, takerToken, makerFillAmounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
includedSources,
|
|
});
|
|
expect(_.uniq(sourcesPolled).sort()).to.deep.eq(includedSources.sort());
|
|
});
|
|
|
|
it('generates bridge orders with correct asset data', async () => {
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
DEFAULT_OPTS,
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
expect(improvedOrders).to.not.be.length(0);
|
|
for (const order of improvedOrders) {
|
|
expect(getSourceFromAssetData(order.makerAssetData)).to.exist('');
|
|
const makerAssetDataPrefix = hexUtils.slice(
|
|
assetDataUtils.encodeERC20BridgeAssetData(
|
|
MAKER_TOKEN,
|
|
constants.NULL_ADDRESS,
|
|
constants.NULL_BYTES,
|
|
),
|
|
0,
|
|
36,
|
|
);
|
|
assertSamePrefix(order.makerAssetData, makerAssetDataPrefix);
|
|
expect(order.takerAssetData).to.eq(TAKER_ASSET_DATA);
|
|
}
|
|
});
|
|
|
|
it('generates bridge orders with correct maker amount', async () => {
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
DEFAULT_OPTS,
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const totalMakerAssetAmount = BigNumber.sum(...improvedOrders.map(o => o.makerAssetAmount));
|
|
expect(totalMakerAssetAmount).to.bignumber.gte(FILL_AMOUNT);
|
|
});
|
|
|
|
it('generates bridge orders with max slippage of `bridgeSlippage`', async () => {
|
|
const bridgeSlippage = _.random(0.1, true);
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
// Pass in empty orders to prevent native orders from being used.
|
|
ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, bridgeSlippage },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
expect(improvedOrders).to.not.be.length(0);
|
|
for (const order of improvedOrders) {
|
|
const expectedTakerAmount = order.fills[0].output;
|
|
const slippage = order.takerAssetAmount.div(expectedTakerAmount.plus(1)).minus(1);
|
|
assertRoughlyEquals(slippage, bridgeSlippage, 1);
|
|
}
|
|
});
|
|
|
|
it('can mix convex sources', async () => {
|
|
const rates: RatesBySource = { ...ZERO_RATES };
|
|
rates[ERC20BridgeSource.Native] = [0.4, 0.3, 0.2, 0.1];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.5, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.6, 0.05, 0.05, 0.05];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4 },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
const ETH_TO_TAKER_RATE = 1.5;
|
|
|
|
it('factors in fees for native orders', async () => {
|
|
// Native orders will have the best rates but have fees,
|
|
// dropping their effective rates.
|
|
const nativeFeeRate = 0.06;
|
|
const rates: RatesBySource = {
|
|
...ZERO_RATES,
|
|
[ERC20BridgeSource.Native]: [1, 0.99, 0.98, 0.97], // Effectively [0.94, ~0.93, ~0.92, ~0.91]
|
|
[ERC20BridgeSource.Uniswap]: [0.96, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.95, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Kyber]: [0.1, 0.1, 0.1, 0.1],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Native]: _.constant(
|
|
FILL_AMOUNT.div(4)
|
|
.times(nativeFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_TAKER_RATE),
|
|
),
|
|
};
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('factors in fees for dexes', async () => {
|
|
// Uniswap will have the best rates but will have fees,
|
|
// dropping its effective rates.
|
|
const uniswapFeeRate = 0.2;
|
|
const rates: RatesBySource = {
|
|
...ZERO_RATES,
|
|
[ERC20BridgeSource.Native]: [0.95, 0.1, 0.1, 0.1],
|
|
// Effectively [0.8, ~0.5, ~0, ~0]
|
|
[ERC20BridgeSource.Uniswap]: [1, 0.7, 0.2, 0.2],
|
|
[ERC20BridgeSource.Eth2Dai]: [0.92, 0.1, 0.1, 0.1],
|
|
};
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Uniswap]: _.constant(
|
|
FILL_AMOUNT.div(4)
|
|
.times(uniswapFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_TAKER_RATE),
|
|
),
|
|
};
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
];
|
|
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
|
|
});
|
|
|
|
it('fallback orders use different sources', async () => {
|
|
const rates: RatesBySource = { ...ZERO_RATES };
|
|
rates[ERC20BridgeSource.Native] = [0.9, 0.8, 0.5, 0.5];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.6, 0.05, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.4, 0.3, 0.01, 0.01];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const firstSources = orderSources.slice(0, 4);
|
|
const secondSources = orderSources.slice(4);
|
|
expect(_.intersection(firstSources, secondSources)).to.be.length(0);
|
|
});
|
|
|
|
it('does not create a fallback if below maxFallbackSlippage', async () => {
|
|
const rates: RatesBySource = { ...ZERO_RATES };
|
|
rates[ERC20BridgeSource.Native] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Uniswap] = [1, 1, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.49, 0.49, 0.49, 0.49];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true, maxFallbackSlippage: 0.25 },
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const firstSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Native, ERC20BridgeSource.Uniswap];
|
|
const secondSources: ERC20BridgeSource[] = [];
|
|
expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
|
|
expect(orderSources.slice(firstSources.length).sort()).to.deep.eq(secondSources.sort());
|
|
});
|
|
|
|
it('batches contiguous bridge sources', async () => {
|
|
const rates: RatesBySource = { ...ZERO_RATES };
|
|
rates[ERC20BridgeSource.Native] = [0.3, 0.01, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.49, 0.02, 0.01, 0.01];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.48, 0.01, 0.01, 0.01];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrdersResponse = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
numSamples: 4,
|
|
shouldBatchBridgeOrders: true,
|
|
},
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
expect(improvedOrders).to.be.length(2);
|
|
const orderFillSources = getSortedOrderSources(MarketOperation.Sell, improvedOrders);
|
|
expect(orderFillSources).to.deep.eq([
|
|
[ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap],
|
|
[ERC20BridgeSource.Native],
|
|
]);
|
|
});
|
|
it('factors in exchange proxy gas overhead', async () => {
|
|
// Uniswap has a slightly better rate than LiquidityProvider,
|
|
// but LiquidityProvider is better accounting for the EP gas overhead.
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [0.01, 0.01, 0.01, 0.01],
|
|
[ERC20BridgeSource.Uniswap]: [1, 1, 1, 1],
|
|
[ERC20BridgeSource.LiquidityProvider]: [0.9999, 0.9999, 0.9999, 0.9999],
|
|
};
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
|
});
|
|
const optimizer = new MarketOperationUtils(
|
|
MOCK_SAMPLER,
|
|
contractAddresses,
|
|
ORDER_DOMAIN,
|
|
randomAddress(), // liquidity provider registry
|
|
);
|
|
const gasPrice = 100e9; // 100 gwei
|
|
const exchangeProxyOverhead = (sourceFlags: number) =>
|
|
sourceFlags === SOURCE_FLAGS.LiquidityProvider
|
|
? new BigNumber(3e4).times(gasPrice)
|
|
: new BigNumber(1.3e5).times(gasPrice);
|
|
const improvedOrdersResponse = await optimizer.getMarketBuyOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{
|
|
...DEFAULT_OPTS,
|
|
numSamples: 4,
|
|
excludedSources: [
|
|
...DEFAULT_OPTS.excludedSources,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Kyber,
|
|
],
|
|
exchangeProxyOverhead,
|
|
},
|
|
);
|
|
const improvedOrders = improvedOrdersResponse.optimizedOrders;
|
|
const orderSources = improvedOrders.map(o => o.fills[0].source);
|
|
const expectedSources = [ERC20BridgeSource.LiquidityProvider];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
});
|
|
});
|
|
|
|
describe('createFills', () => {
|
|
const takerAssetAmount = new BigNumber(5000000);
|
|
const ethToOutputRate = new BigNumber(0.5);
|
|
// tslint:disable-next-line:no-object-literal-type-assertion
|
|
const smallOrder = {
|
|
chainId: 1,
|
|
makerAddress: 'SMALL_ORDER',
|
|
takerAddress: NULL_ADDRESS,
|
|
takerAssetAmount,
|
|
makerAssetAmount: takerAssetAmount.times(2),
|
|
makerFee: ZERO_AMOUNT,
|
|
takerFee: ZERO_AMOUNT,
|
|
makerAssetData: '0xf47261b0000000000000000000000000c02aaa39b223fe8d0a0e5c4f27ead9083c756cc2',
|
|
takerAssetData: '0xf47261b0000000000000000000000000a0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
|
|
makerFeeAssetData: '0x',
|
|
takerFeeAssetData: '0x',
|
|
fillableTakerAssetAmount: takerAssetAmount,
|
|
fillableMakerAssetAmount: takerAssetAmount.times(2),
|
|
fillableTakerFeeAmount: ZERO_AMOUNT,
|
|
} as SignedOrderWithFillableAmounts;
|
|
const largeOrder = {
|
|
...smallOrder,
|
|
makerAddress: 'LARGE_ORDER',
|
|
fillableMakerAssetAmount: smallOrder.fillableMakerAssetAmount.times(2),
|
|
fillableTakerAssetAmount: smallOrder.fillableTakerAssetAmount.times(2),
|
|
makerAssetAmount: smallOrder.makerAssetAmount.times(2),
|
|
takerAssetAmount: smallOrder.takerAssetAmount.times(2),
|
|
};
|
|
const orders = [smallOrder, largeOrder];
|
|
const feeSchedule = {
|
|
[ERC20BridgeSource.Native]: _.constant(2e5),
|
|
};
|
|
|
|
it('penalizes native fill based on target amount when target is smaller', () => {
|
|
const path = createFills({
|
|
side: MarketOperation.Sell,
|
|
orders,
|
|
dexQuotes: [],
|
|
targetInput: takerAssetAmount.minus(1),
|
|
ethToOutputRate,
|
|
feeSchedule,
|
|
});
|
|
expect((path[0][0].fillData as NativeFillData).order.makerAddress).to.eq(smallOrder.makerAddress);
|
|
expect(path[0][0].input).to.be.bignumber.eq(takerAssetAmount.minus(1));
|
|
});
|
|
|
|
it('penalizes native fill based on available amount when target is larger', () => {
|
|
const path = createFills({
|
|
side: MarketOperation.Sell,
|
|
orders,
|
|
dexQuotes: [],
|
|
targetInput: POSITIVE_INF,
|
|
ethToOutputRate,
|
|
feeSchedule,
|
|
});
|
|
expect((path[0][0].fillData as NativeFillData).order.makerAddress).to.eq(largeOrder.makerAddress);
|
|
expect((path[0][1].fillData as NativeFillData).order.makerAddress).to.eq(smallOrder.makerAddress);
|
|
});
|
|
});
|
|
});
|
|
// tslint:disable-next-line: max-file-line-count
|