b72b8b5ffd
* Add a new TokenAdjacencyGraph implementation * Replace old TokenAdjacencyGraph with new implementation * Simplify token adjacency graph in constants.ts * Fix lint error * Update CHANGELOG.json
534 lines
24 KiB
TypeScript
534 lines
24 KiB
TypeScript
import { ChainId, getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
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import {
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constants,
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expect,
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getRandomFloat,
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getRandomInteger,
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randomAddress,
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toBaseUnitAmount,
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} from '@0x/contracts-test-utils';
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import { FillQuoteTransformerOrderType, LimitOrderFields, SignatureType } from '@0x/protocol-utils';
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import { BigNumber, hexUtils, NULL_ADDRESS } from '@0x/utils';
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import * as _ from 'lodash';
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import { SignedOrder } from '../src/types';
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import { DexOrderSampler, getSampleAmounts } from '../src/utils/market_operation_utils/sampler';
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import { ERC20BridgeSource } from '../src/utils/market_operation_utils/types';
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import { TokenAdjacencyGraphBuilder } from '../src/utils/token_adjacency_graph';
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import { MockSamplerContract } from './utils/mock_sampler_contract';
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import { generatePseudoRandomSalt } from './utils/utils';
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const CHAIN_ID = 1;
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const EMPTY_BYTES32 = '0x0000000000000000000000000000000000000000000000000000000000000000';
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// tslint:disable: custom-no-magic-numbers
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describe('DexSampler tests', () => {
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const MAKER_TOKEN = randomAddress();
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const TAKER_TOKEN = randomAddress();
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const chainId = ChainId.Mainnet;
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const wethAddress = getContractAddressesForChainOrThrow(CHAIN_ID).etherToken;
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const exchangeProxyAddress = getContractAddressesForChainOrThrow(CHAIN_ID).exchangeProxy;
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const tokenAdjacencyGraph = new TokenAdjacencyGraphBuilder([wethAddress]).build();
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describe('getSampleAmounts()', () => {
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const FILL_AMOUNT = getRandomInteger(1, 1e18);
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const NUM_SAMPLES = 16;
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it('generates the correct number of amounts', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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expect(amounts).to.be.length(NUM_SAMPLES);
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});
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it('first amount is nonzero', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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expect(amounts[0]).to.not.bignumber.eq(0);
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});
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it('last amount is the fill amount', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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expect(amounts[NUM_SAMPLES - 1]).to.bignumber.eq(FILL_AMOUNT);
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});
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it('can generate a single amount', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, 1);
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expect(amounts).to.be.length(1);
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expect(amounts[0]).to.bignumber.eq(FILL_AMOUNT);
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});
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it('generates ascending amounts', () => {
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const amounts = getSampleAmounts(FILL_AMOUNT, NUM_SAMPLES);
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for (const i of _.times(NUM_SAMPLES).slice(1)) {
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const prev = amounts[i - 1];
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const amount = amounts[i];
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expect(prev).to.bignumber.lt(amount);
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}
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});
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});
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function createOrder(overrides?: Partial<LimitOrderFields>): SignedOrder<LimitOrderFields> {
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const o: SignedOrder<LimitOrderFields> = {
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order: {
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salt: generatePseudoRandomSalt(),
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expiry: getRandomInteger(0, 2 ** 64),
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makerToken: MAKER_TOKEN,
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takerToken: TAKER_TOKEN,
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makerAmount: getRandomInteger(1, 1e18),
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takerAmount: getRandomInteger(1, 1e18),
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takerTokenFeeAmount: constants.ZERO_AMOUNT,
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chainId: CHAIN_ID,
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pool: EMPTY_BYTES32,
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feeRecipient: NULL_ADDRESS,
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sender: NULL_ADDRESS,
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maker: NULL_ADDRESS,
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taker: NULL_ADDRESS,
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verifyingContract: exchangeProxyAddress,
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...overrides,
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},
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signature: { v: 1, r: hexUtils.random(), s: hexUtils.random(), signatureType: SignatureType.EthSign },
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type: FillQuoteTransformerOrderType.Limit,
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};
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return o;
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}
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const ORDERS = _.times(4, () => createOrder());
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const SIMPLE_ORDERS = ORDERS.map(o => _.omit(o.order, ['chainId', 'verifyingContract']));
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describe('operations', () => {
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it('getLimitOrderFillableMakerAssetAmounts()', async () => {
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const expectedFillableAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const sampler = new MockSamplerContract({
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getLimitOrderFillableMakerAssetAmounts: (orders, signatures) => {
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expect(orders).to.deep.eq(SIMPLE_ORDERS);
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expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
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return expectedFillableAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getLimitOrderFillableMakerAmounts(ORDERS, exchangeProxyAddress),
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);
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expect(fillableAmounts).to.deep.eq(expectedFillableAmounts);
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});
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it('getLimitOrderFillableTakerAssetAmounts()', async () => {
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const expectedFillableAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
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const sampler = new MockSamplerContract({
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getLimitOrderFillableTakerAssetAmounts: (orders, signatures) => {
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expect(orders).to.deep.eq(SIMPLE_ORDERS);
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expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
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return expectedFillableAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getLimitOrderFillableTakerAmounts(ORDERS, exchangeProxyAddress),
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);
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expect(fillableAmounts).to.deep.eq(expectedFillableAmounts);
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});
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it('getLiquidityProviderSellQuotes()', async () => {
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const expectedMakerToken = randomAddress();
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const expectedTakerToken = randomAddress();
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const poolAddress = randomAddress();
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const gasCost = 123;
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const sampler = new MockSamplerContract({
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sampleSellsFromLiquidityProvider: (providerAddress, takerToken, makerToken, _fillAmounts) => {
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expect(providerAddress).to.eq(poolAddress);
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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return [toBaseUnitAmount(1001)];
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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undefined,
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{
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[poolAddress]: { tokens: [expectedMakerToken, expectedTakerToken], gasCost },
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},
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async () => undefined,
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);
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const [result] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getSellQuotes(
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[ERC20BridgeSource.LiquidityProvider],
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expectedMakerToken,
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expectedTakerToken,
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[toBaseUnitAmount(1000)],
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),
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);
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expect(result).to.deep.equal([
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[
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{
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source: 'LiquidityProvider',
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output: toBaseUnitAmount(1001),
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input: toBaseUnitAmount(1000),
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fillData: { poolAddress, gasCost },
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},
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],
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]);
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});
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it('getLiquidityProviderBuyQuotes()', async () => {
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const expectedMakerToken = randomAddress();
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const expectedTakerToken = randomAddress();
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const poolAddress = randomAddress();
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const gasCost = 321;
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const sampler = new MockSamplerContract({
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sampleBuysFromLiquidityProvider: (providerAddress, takerToken, makerToken, _fillAmounts) => {
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expect(providerAddress).to.eq(poolAddress);
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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return [toBaseUnitAmount(999)];
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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undefined,
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{
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[poolAddress]: { tokens: [expectedMakerToken, expectedTakerToken], gasCost },
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},
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async () => undefined,
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);
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const [result] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getBuyQuotes(
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[ERC20BridgeSource.LiquidityProvider],
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expectedMakerToken,
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expectedTakerToken,
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[toBaseUnitAmount(1000)],
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),
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);
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expect(result).to.deep.equal([
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[
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{
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source: 'LiquidityProvider',
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output: toBaseUnitAmount(999),
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input: toBaseUnitAmount(1000),
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fillData: { poolAddress, gasCost },
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},
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],
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]);
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});
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it('getUniswapSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleSellsFromUniswap: (_router, takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return expectedMakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getUniswapSellQuotes(
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randomAddress(),
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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),
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);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getUniswapV2SellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleSellsFromUniswapV2: (_router, path, fillAmounts) => {
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expect(path).to.deep.eq([expectedMakerToken, expectedTakerToken]);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return expectedMakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getUniswapV2SellQuotes(
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NULL_ADDRESS,
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[expectedMakerToken, expectedTakerToken],
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expectedTakerFillAmounts,
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),
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);
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expect(fillableAmounts).to.deep.eq(expectedMakerFillAmounts);
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});
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it('getUniswapBuyQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 10);
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const sampler = new MockSamplerContract({
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sampleBuysFromUniswap: (_router, takerToken, makerToken, fillAmounts) => {
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
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return expectedTakerFillAmounts;
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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undefined,
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undefined,
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async () => undefined,
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);
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const [fillableAmounts] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getUniswapBuyQuotes(
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randomAddress(),
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expectedMakerToken,
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expectedTakerToken,
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expectedMakerFillAmounts,
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),
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);
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expect(fillableAmounts).to.deep.eq(expectedTakerFillAmounts);
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});
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interface RatesBySource {
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[src: string]: BigNumber;
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}
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it('getSellQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const sources = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.UniswapV2];
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const ratesBySource: RatesBySource = {
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[ERC20BridgeSource.Uniswap]: getRandomFloat(0, 100),
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[ERC20BridgeSource.UniswapV2]: getRandomFloat(0, 100),
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};
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const expectedTakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
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let uniswapRouter: string;
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let uniswapV2Router: string;
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const sampler = new MockSamplerContract({
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sampleSellsFromUniswap: (router, takerToken, makerToken, fillAmounts) => {
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uniswapRouter = router;
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Uniswap]).integerValue());
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},
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sampleSellsFromUniswapV2: (router, path, fillAmounts) => {
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uniswapV2Router = router;
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if (path.length === 2) {
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expect(path).to.deep.eq([expectedTakerToken, expectedMakerToken]);
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} else if (path.length === 3) {
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expect(path).to.deep.eq([expectedTakerToken, wethAddress, expectedMakerToken]);
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} else {
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expect(path).to.have.lengthOf.within(2, 3);
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}
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expect(fillAmounts).to.deep.eq(expectedTakerFillAmounts);
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return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue());
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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tokenAdjacencyGraph,
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undefined,
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async () => undefined,
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);
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const [quotes] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getSellQuotes(
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sources,
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expectedMakerToken,
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expectedTakerToken,
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expectedTakerFillAmounts,
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),
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);
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const expectedQuotes = sources.map(s =>
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expectedTakerFillAmounts.map(a => ({
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source: s,
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input: a,
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output: a.times(ratesBySource[s]).integerValue(),
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fillData: (() => {
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if (s === ERC20BridgeSource.UniswapV2) {
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return {
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router: uniswapV2Router,
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tokenAddressPath: [expectedTakerToken, expectedMakerToken],
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};
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}
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// TODO jacob pass through
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if (s === ERC20BridgeSource.Uniswap) {
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return { router: uniswapRouter };
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}
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return {};
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})(),
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})),
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);
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const uniswapV2ETHQuotes = [
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expectedTakerFillAmounts.map(a => ({
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source: ERC20BridgeSource.UniswapV2,
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input: a,
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output: a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue(),
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fillData: {
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router: uniswapV2Router,
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tokenAddressPath: [expectedTakerToken, wethAddress, expectedMakerToken],
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},
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})),
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];
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// extra quote for Uniswap V2, which provides a direct quote (tokenA -> tokenB) AND an ETH quote (tokenA -> ETH -> tokenB)
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const additionalSourceCount = 1;
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expect(quotes).to.have.lengthOf(sources.length + additionalSourceCount);
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expect(quotes).to.deep.eq(expectedQuotes.concat(uniswapV2ETHQuotes));
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});
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it('getBuyQuotes()', async () => {
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const expectedTakerToken = randomAddress();
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const expectedMakerToken = randomAddress();
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const sources = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.UniswapV2];
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const ratesBySource: RatesBySource = {
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[ERC20BridgeSource.Uniswap]: getRandomFloat(0, 100),
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[ERC20BridgeSource.UniswapV2]: getRandomFloat(0, 100),
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};
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const expectedMakerFillAmounts = getSampleAmounts(new BigNumber(100e18), 3);
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let uniswapRouter: string;
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let uniswapV2Router: string;
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const sampler = new MockSamplerContract({
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sampleBuysFromUniswap: (router, takerToken, makerToken, fillAmounts) => {
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uniswapRouter = router;
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expect(takerToken).to.eq(expectedTakerToken);
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expect(makerToken).to.eq(expectedMakerToken);
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expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
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return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.Uniswap]).integerValue());
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},
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sampleBuysFromUniswapV2: (router, path, fillAmounts) => {
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uniswapV2Router = router;
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if (path.length === 2) {
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expect(path).to.deep.eq([expectedTakerToken, expectedMakerToken]);
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} else if (path.length === 3) {
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expect(path).to.deep.eq([expectedTakerToken, wethAddress, expectedMakerToken]);
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} else {
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expect(path).to.have.lengthOf.within(2, 3);
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}
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expect(fillAmounts).to.deep.eq(expectedMakerFillAmounts);
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return fillAmounts.map(a => a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue());
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},
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});
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const dexOrderSampler = new DexOrderSampler(
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chainId,
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sampler,
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undefined,
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undefined,
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tokenAdjacencyGraph,
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undefined,
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async () => undefined,
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);
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const [quotes] = await dexOrderSampler.executeAsync(
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dexOrderSampler.getBuyQuotes(sources, expectedMakerToken, expectedTakerToken, expectedMakerFillAmounts),
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);
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const expectedQuotes = sources.map(s =>
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expectedMakerFillAmounts.map(a => ({
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source: s,
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input: a,
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output: a.times(ratesBySource[s]).integerValue(),
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fillData: (() => {
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if (s === ERC20BridgeSource.UniswapV2) {
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return {
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router: uniswapV2Router,
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tokenAddressPath: [expectedTakerToken, expectedMakerToken],
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};
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}
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if (s === ERC20BridgeSource.Uniswap) {
|
|
return { router: uniswapRouter };
|
|
}
|
|
return {};
|
|
})(),
|
|
})),
|
|
);
|
|
const uniswapV2ETHQuotes = [
|
|
expectedMakerFillAmounts.map(a => ({
|
|
source: ERC20BridgeSource.UniswapV2,
|
|
input: a,
|
|
output: a.times(ratesBySource[ERC20BridgeSource.UniswapV2]).integerValue(),
|
|
fillData: {
|
|
router: uniswapV2Router,
|
|
tokenAddressPath: [expectedTakerToken, wethAddress, expectedMakerToken],
|
|
},
|
|
})),
|
|
];
|
|
// extra quote for Uniswap V2, which provides a direct quote (tokenA -> tokenB) AND an ETH quote (tokenA -> ETH -> tokenB)
|
|
expect(quotes).to.have.lengthOf(sources.length + 1);
|
|
expect(quotes).to.deep.eq(expectedQuotes.concat(uniswapV2ETHQuotes));
|
|
});
|
|
describe('batched operations', () => {
|
|
it('getLimitOrderFillableMakerAssetAmounts(), getLimitOrderFillableTakerAssetAmounts()', async () => {
|
|
const expectedFillableTakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const expectedFillableMakerAmounts = ORDERS.map(() => getRandomInteger(0, 100e18));
|
|
const sampler = new MockSamplerContract({
|
|
getLimitOrderFillableMakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableMakerAmounts;
|
|
},
|
|
getLimitOrderFillableTakerAssetAmounts: (orders, signatures) => {
|
|
expect(orders).to.deep.eq(SIMPLE_ORDERS);
|
|
expect(signatures).to.deep.eq(ORDERS.map(o => o.signature));
|
|
return expectedFillableTakerAmounts;
|
|
},
|
|
});
|
|
const dexOrderSampler = new DexOrderSampler(
|
|
chainId,
|
|
sampler,
|
|
undefined,
|
|
undefined,
|
|
undefined,
|
|
undefined,
|
|
async () => undefined,
|
|
);
|
|
const [fillableMakerAmounts, fillableTakerAmounts] = await dexOrderSampler.executeAsync(
|
|
dexOrderSampler.getLimitOrderFillableMakerAmounts(ORDERS, exchangeProxyAddress),
|
|
dexOrderSampler.getLimitOrderFillableTakerAmounts(ORDERS, exchangeProxyAddress),
|
|
);
|
|
expect(fillableMakerAmounts).to.deep.eq(expectedFillableMakerAmounts);
|
|
expect(fillableTakerAmounts).to.deep.eq(expectedFillableTakerAmounts);
|
|
});
|
|
});
|
|
});
|
|
});
|
|
// tslint:disable-next-line: max-file-line-count
|