880 lines
42 KiB
TypeScript
880 lines
42 KiB
TypeScript
import * as TypeMoq from 'typemoq';
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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 { assetDataUtils, generatePseudoRandomSalt } from '@0x/order-utils';
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import { SignedOrder, ERC20BridgeAssetData, AssetProxyId, Type } from '@0x/types';
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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 { constants as assetSwapperConstants } from '../src/constants';
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import { MarketOperationUtils } from '../src/utils/market_operation_utils/';
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import { constants as marketOperationUtilConstants } from '../src/utils/market_operation_utils/constants';
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import { DexOrderSampler } from '../src/utils/market_operation_utils/sampler';
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import { DexSample, ERC20BridgeSource } from '../src/utils/market_operation_utils/types';
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import { Web3Wrapper } from '@0x/dev-utils';
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import { OnlyCallableIfNotInCatastrophicFailureError } from '@0x/utils/lib/src/revert_errors/staking/staking_revert_errors';
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const { BUY_SOURCES, SELL_SOURCES } = marketOperationUtilConstants;
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// tslint:disable: custom-no-magic-numbers
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describe('MarketOperationUtils tests', () => {
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const CHAIN_ID = 1;
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const contractAddresses = getContractAddressesForChainOrThrow(CHAIN_ID);
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const ETH2DAI_BRIDGE_ADDRESS = contractAddresses.eth2DaiBridge;
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const KYBER_BRIDGE_ADDRESS = contractAddresses.kyberBridge;
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const UNISWAP_BRIDGE_ADDRESS = contractAddresses.uniswapBridge;
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const CURVE_BRIDGE_ADDRESS = contractAddresses.curveBridge;
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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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let originalSamplerOperations: any;
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before(() => {
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originalSamplerOperations = DexOrderSampler.ops;
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});
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after(() => {
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DexOrderSampler.ops = originalSamplerOperations;
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});
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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 bridgeAddress = hexUtils.slice(assetData, 48, 68).toLowerCase();
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switch (bridgeAddress) {
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case KYBER_BRIDGE_ADDRESS.toLowerCase():
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return ERC20BridgeSource.Kyber;
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case ETH2DAI_BRIDGE_ADDRESS.toLowerCase():
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return ERC20BridgeSource.Eth2Dai;
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case UNISWAP_BRIDGE_ADDRESS.toLowerCase():
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return ERC20BridgeSource.Uniswap;
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case CURVE_BRIDGE_ADDRESS.toLowerCase():
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const curveSource = Object.keys(assetSwapperConstants.DEFAULT_CURVE_OPTS).filter(
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k => assetData.indexOf(assetSwapperConstants.DEFAULT_CURVE_OPTS[k].curveAddress.slice(2)) !== -1,
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);
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return curveSource[0] as ERC20BridgeSource;
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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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type GetQuotesOperation = (makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => BigNumber[];
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function createGetSellQuotesOperationFromRates(rates: Numberish[]): GetQuotesOperation {
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return (...args) => {
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const fillAmounts = args.pop() as BigNumber[];
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return fillAmounts.map((a, i) => a.times(rates[i]).integerValue());
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};
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}
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function createGetBuyQuotesOperationFromRates(rates: Numberish[]): GetQuotesOperation {
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return (...args) => {
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const fillAmounts = args.pop() as BigNumber[];
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return fillAmounts.map((a, i) => a.div(rates[i]).integerValue());
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};
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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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plpRegistryAddress?: string | undefined,
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) => DexSample[][];
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function createGetMultipleSellQuotesOperationFromRates(rates: RatesBySource): GetMultipleQuotesOperation {
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return (sources: ERC20BridgeSource[], makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => {
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return sources.map(s =>
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fillAmounts.map((a, i) => ({
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source: s,
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input: a,
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output: a.times(rates[s][i]).integerValue(),
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})),
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);
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};
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}
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function createGetMultipleSellQuotesOperationFromRatesAndRetainPLPParams(rates: RatesBySource): [{sources: ERC20BridgeSource[], plpRegistryAddress?: string}, GetMultipleQuotesOperation] {
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const plpParams: {sources: ERC20BridgeSource[], plpRegistryAddress?: string} = {
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sources: [],
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plpRegistryAddress: undefined,
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}
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const fn = (sources: ERC20BridgeSource[], makerToken: string, takerToken: string, fillAmounts: BigNumber[], plpRegistryAddress: string | undefined) => {
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plpParams.plpRegistryAddress = plpRegistryAddress;
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plpParams.sources = sources;
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return createGetMultipleSellQuotesOperationFromRates(rates)(
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sources, makerToken, takerToken, fillAmounts, plpRegistryAddress,
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);
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};
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return [plpParams, fn];
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}
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function createGetMultipleBuyQuotesOperationFromRates(rates: RatesBySource): GetMultipleQuotesOperation {
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return (sources: ERC20BridgeSource[], makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => {
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return sources.map(s =>
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fillAmounts.map((a, i) => ({
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source: s,
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input: a,
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output: a.div(rates[s][i]).integerValue(),
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})),
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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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plpRegistryAddress?: string | undefined,
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) => BigNumber;
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type GetLiquidityProviderFromRegistryOperation = (
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registryAddress: string,
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takerToken: string,
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makerToken: string,
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) => string;
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function createGetMedianSellRate(rate: Numberish): GetMedianRateOperation {
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return (sources: ERC20BridgeSource[], makerToken: string, takerToken: string, fillAmounts: BigNumber[]) => {
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return new BigNumber(rate);
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};
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}
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function getLiquidityProviderFromRegistry(): GetLiquidityProviderFromRegistryOperation {
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return (registryAddress: string, takerToken: string, makerToken: string): string => {
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return NULL_ADDRESS;
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}
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}
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function getLiquidityProviderFromRegistryAndReturnCallParameters(liquidityPoolAddress: string = NULL_ADDRESS): [{registryAddress?: string, takerToken?: string, makerToken?: string}, GetLiquidityProviderFromRegistryOperation] {
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const callArgs: {registryAddress?: string, takerToken?: string, makerToken?: string} = {
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registryAddress: undefined,
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takerToken: undefined,
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makerToken: undefined,
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}
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const fn = (registryAddress: string, takerToken: string, makerToken: string): string => {
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callArgs.makerToken = makerToken;
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callArgs.takerToken = takerToken;
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callArgs.registryAddress = registryAddress;
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return liquidityPoolAddress;
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}
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return [callArgs, fn];
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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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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 DEFAULT_RATES: RatesBySource = {
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[ERC20BridgeSource.Native]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Eth2Dai]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Kyber]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.Uniswap]: createDecreasingRates(NUM_SAMPLES),
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[ERC20BridgeSource.CurveUsdcDai]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.CurveUsdcDaiUsdt]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.CurveUsdcDaiUsdtTusd]: _.times(NUM_SAMPLES, () => 0),
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[ERC20BridgeSource.Plp]: _.times(NUM_SAMPLES, () => 0),
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};
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function findSourceWithMaxOutput(rates: RatesBySource): ERC20BridgeSource {
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const minSourceRates = Object.keys(rates).map(s => _.last(rates[s]) as BigNumber);
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const bestSourceRate = BigNumber.max(...minSourceRates);
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let source = Object.keys(rates)[_.findIndex(minSourceRates, t => bestSourceRate.eq(t))] as ERC20BridgeSource;
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// Native order rates play by different rules.
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if (source !== ERC20BridgeSource.Native) {
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const nativeTotalRate = BigNumber.sum(...rates[ERC20BridgeSource.Native]).div(
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rates[ERC20BridgeSource.Native].length,
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);
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if (nativeTotalRate.gt(bestSourceRate)) {
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source = ERC20BridgeSource.Native;
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}
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}
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return source;
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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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getKyberSellQuotes: createGetSellQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Kyber]),
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getUniswapSellQuotes: createGetSellQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Uniswap]),
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getEth2DaiSellQuotes: createGetSellQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Eth2Dai]),
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getUniswapBuyQuotes: createGetBuyQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Uniswap]),
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getEth2DaiBuyQuotes: createGetBuyQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.Eth2Dai]),
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getCurveSellQuotes: createGetSellQuotesOperationFromRates(DEFAULT_RATES[ERC20BridgeSource.CurveUsdcDai]),
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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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getLiquidityProviderFromRegistry: getLiquidityProviderFromRegistry(),
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};
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function replaceSamplerOps(ops: Partial<typeof DEFAULT_OPS> = {}): void {
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DexOrderSampler.ops = {
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...DEFAULT_OPS,
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...ops,
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} as 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 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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} as any) as DexOrderSampler;
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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 = getRandomInteger(1, 1e18);
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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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runLimit: 0,
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sampleDistributionBase: 1,
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bridgeSlippage: 0,
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excludedSources: [
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ERC20BridgeSource.CurveUsdcDai,
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ERC20BridgeSource.CurveUsdcDaiUsdt,
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ERC20BridgeSource.CurveUsdcDaiUsdtTusd,
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],
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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, 16);
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let actualNumSamples = 0;
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replaceSamplerOps({
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getSellQuotes: (sources, makerToken, takerToken, amounts) => {
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actualNumSamples = amounts.length;
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return DEFAULT_OPS.getSellQuotes(sources, makerToken, takerToken, amounts);
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},
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});
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await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
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...DEFAULT_OPTS,
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numSamples,
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});
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expect(actualNumSamples).eq(numSamples);
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});
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it('polls all DEXes if `excludedSources` is empty', async () => {
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let sourcesPolled: ERC20BridgeSource[] = [];
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replaceSamplerOps({
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getSellQuotes: (sources, makerToken, takerToken, amounts) => {
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sourcesPolled = sources.slice();
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return DEFAULT_OPS.getSellQuotes(sources, makerToken, takerToken, amounts);
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},
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});
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await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
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...DEFAULT_OPTS,
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excludedSources: [],
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});
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expect(sourcesPolled.sort()).to.deep.eq(SELL_SOURCES.slice().sort());
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});
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it('polls the liquidity provider when the registry is provided in the arguments', async () => {
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const [args, fn] = createGetMultipleSellQuotesOperationFromRatesAndRetainPLPParams(DEFAULT_RATES);
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replaceSamplerOps({
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getSellQuotes: fn,
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});
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const registryAddress = randomAddress();
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const newMarketOperationUtils = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN, registryAddress);
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await newMarketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
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...DEFAULT_OPTS,
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excludedSources: [],
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});
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expect(args.sources.sort()).to.deep.eq(SELL_SOURCES.concat([ERC20BridgeSource.Plp]).sort());
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expect(args.plpRegistryAddress).to.eql(registryAddress);
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})
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it('does not poll DEXes in `excludedSources`', async () => {
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const excludedSources = _.sampleSize(SELL_SOURCES, _.random(1, SELL_SOURCES.length));
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let sourcesPolled: ERC20BridgeSource[] = [];
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replaceSamplerOps({
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getSellQuotes: (sources, makerToken, takerToken, amounts) => {
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sourcesPolled = sources.slice();
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return DEFAULT_OPS.getSellQuotes(sources, makerToken, takerToken, amounts);
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},
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});
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await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
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...DEFAULT_OPTS,
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excludedSources,
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});
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expect(sourcesPolled.sort()).to.deep.eq(_.without(SELL_SOURCES, ...excludedSources).sort());
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});
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it('returns the most cost-effective single source if `runLimit == 0`', async () => {
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const bestSource = findSourceWithMaxOutput(DEFAULT_RATES);
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expect(bestSource).to.exist('');
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const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(ORDERS, FILL_AMOUNT, {
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...DEFAULT_OPTS,
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runLimit: 0,
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});
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const uniqueAssetDatas = _.uniq(improvedOrders.map(o => o.makerAssetData));
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expect(uniqueAssetDatas).to.be.length(1);
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expect(getSourceFromAssetData(uniqueAssetDatas[0])).to.be.eq(bestSource);
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});
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it('generates bridge orders with correct asset data', async () => {
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const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
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// Pass in empty orders to prevent native orders from being used.
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ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
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FILL_AMOUNT,
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DEFAULT_OPTS,
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);
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expect(improvedOrders).to.not.be.length(0);
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for (const order of improvedOrders) {
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expect(getSourceFromAssetData(order.makerAssetData)).to.exist('');
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const makerAssetDataPrefix = hexUtils.slice(
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assetDataUtils.encodeERC20BridgeAssetData(
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MAKER_TOKEN,
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constants.NULL_ADDRESS,
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constants.NULL_BYTES,
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),
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0,
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36,
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);
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assertSamePrefix(order.makerAssetData, makerAssetDataPrefix);
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expect(order.takerAssetData).to.eq(TAKER_ASSET_DATA);
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}
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});
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it('generates bridge orders with correct taker amount', async () => {
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const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
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// Pass in empty orders to prevent native orders from being used.
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ORDERS.map(o => ({ ...o, makerAssetAmount: constants.ZERO_AMOUNT })),
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FILL_AMOUNT,
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DEFAULT_OPTS,
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);
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const totalTakerAssetAmount = BigNumber.sum(...improvedOrders.map(o => o.takerAssetAmount));
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expect(totalTakerAssetAmount).to.bignumber.gte(FILL_AMOUNT);
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});
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it('generates bridge orders with max slippage of `bridgeSlippage`', async () => {
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const bridgeSlippage = _.random(0.1, true);
|
|
const improvedOrders = 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 },
|
|
);
|
|
expect(improvedOrders).to.not.be.length(0);
|
|
for (const order of improvedOrders) {
|
|
const source = getSourceFromAssetData(order.makerAssetData);
|
|
const expectedMakerAmount = FILL_AMOUNT.times(_.last(DEFAULT_RATES[source]) as BigNumber);
|
|
const slippage = 1 - order.makerAssetAmount.div(expectedMakerAmount.plus(1)).toNumber();
|
|
assertRoughlyEquals(slippage, bridgeSlippage, 8);
|
|
}
|
|
});
|
|
|
|
it('can mix convex sources', async () => {
|
|
const rates: RatesBySource = {};
|
|
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] = [0.7, 0.05, 0.05, 0.05];
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, noConflicts: false },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Kyber,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
|
|
it('excludes Kyber when `noConflicts` enabled and Uniswap or Eth2Dai are used first', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Native] = [0.3, 0.2, 0.1, 0.05];
|
|
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] = [0.4, 0.05, 0.05, 0.05];
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, noConflicts: true },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
|
|
it('excludes Uniswap and Eth2Dai when `noConflicts` enabled and Kyber is used first', async () => {
|
|
const rates: RatesBySource = {};
|
|
rates[ERC20BridgeSource.Native] = [0.1, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Uniswap] = [0.15, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Eth2Dai] = [0.15, 0.05, 0.05, 0.05];
|
|
rates[ERC20BridgeSource.Kyber] = [0.7, 0.05, 0.05, 0.05];
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, noConflicts: true },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Kyber,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
|
|
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 fees = {
|
|
[ERC20BridgeSource.Native]: FILL_AMOUNT.div(4)
|
|
.times(nativeFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_MAKER_RATE),
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, noConflicts: false, fees },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
|
|
it('factors in fees for dexes', async () => {
|
|
// Kyber will have the best rates but will have fees,
|
|
// dropping its effective rates.
|
|
const kyberFeeRate = 0.2;
|
|
const rates: RatesBySource = {
|
|
[ERC20BridgeSource.Native]: [0.95, 0.1, 0.1, 0.1],
|
|
[ERC20BridgeSource.Uniswap]: [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.Kyber]: [1, 0.7, 0.2, 0.2],
|
|
};
|
|
const fees = {
|
|
[ERC20BridgeSource.Kyber]: FILL_AMOUNT.div(4)
|
|
.times(kyberFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_MAKER_RATE),
|
|
};
|
|
replaceSamplerOps({
|
|
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketSellOrdersAsync(
|
|
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, noConflicts: false, fees },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Kyber];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
});
|
|
|
|
describe('getMarketBuyOrdersAsync()', () => {
|
|
const FILL_AMOUNT = getRandomInteger(1, 1e18);
|
|
const ORDERS = createOrdersFromBuyRates(
|
|
FILL_AMOUNT,
|
|
_.times(NUM_SAMPLES, () => DEFAULT_RATES[ERC20BridgeSource.Native][0]),
|
|
);
|
|
const DEFAULT_OPTS = {
|
|
numSamples: NUM_SAMPLES,
|
|
runLimit: 0,
|
|
sampleDistributionBase: 1,
|
|
excludedSources: [
|
|
ERC20BridgeSource.CurveUsdcDai,
|
|
ERC20BridgeSource.CurveUsdcDaiUsdt,
|
|
ERC20BridgeSource.CurveUsdcDaiUsdtTusd,
|
|
],
|
|
};
|
|
|
|
beforeEach(() => {
|
|
replaceSamplerOps();
|
|
});
|
|
|
|
it('queries `numSamples` samples', async () => {
|
|
const numSamples = _.random(1, 16);
|
|
let actualNumSamples = 0;
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts) => {
|
|
actualNumSamples = amounts.length;
|
|
return DEFAULT_OPS.getBuyQuotes(sources, makerToken, takerToken, amounts);
|
|
},
|
|
});
|
|
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) => {
|
|
sourcesPolled = sources.slice();
|
|
return DEFAULT_OPS.getBuyQuotes(sources, makerToken, takerToken, amounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources: [],
|
|
});
|
|
expect(sourcesPolled).to.deep.eq(BUY_SOURCES);
|
|
});
|
|
|
|
it('does not poll DEXes in `excludedSources`', async () => {
|
|
const excludedSources = _.sampleSize(SELL_SOURCES, _.random(1, SELL_SOURCES.length));
|
|
let sourcesPolled: ERC20BridgeSource[] = [];
|
|
replaceSamplerOps({
|
|
getBuyQuotes: (sources, makerToken, takerToken, amounts) => {
|
|
sourcesPolled = sources.slice();
|
|
return DEFAULT_OPS.getBuyQuotes(sources, makerToken, takerToken, amounts);
|
|
},
|
|
});
|
|
await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
excludedSources,
|
|
});
|
|
expect(sourcesPolled).to.deep.eq(_.without(BUY_SOURCES, ...excludedSources));
|
|
});
|
|
|
|
it('returns the most cost-effective single source if `runLimit == 0`', async () => {
|
|
const bestSource = findSourceWithMaxOutput(
|
|
_.omit(
|
|
DEFAULT_RATES,
|
|
ERC20BridgeSource.Kyber,
|
|
ERC20BridgeSource.CurveUsdcDai,
|
|
ERC20BridgeSource.CurveUsdcDaiUsdt,
|
|
ERC20BridgeSource.CurveUsdcDaiUsdtTusd,
|
|
),
|
|
);
|
|
expect(bestSource).to.exist('');
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(ORDERS, FILL_AMOUNT, {
|
|
...DEFAULT_OPTS,
|
|
runLimit: 0,
|
|
});
|
|
const uniqueAssetDatas = _.uniq(improvedOrders.map(o => o.makerAssetData));
|
|
expect(uniqueAssetDatas).to.be.length(1);
|
|
expect(getSourceFromAssetData(uniqueAssetDatas[0])).to.be.eq(bestSource);
|
|
});
|
|
|
|
it('generates bridge orders with correct asset data', async () => {
|
|
const improvedOrders = 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,
|
|
);
|
|
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 improvedOrders = 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 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 improvedOrders = 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 },
|
|
);
|
|
expect(improvedOrders).to.not.be.length(0);
|
|
for (const order of improvedOrders) {
|
|
const source = getSourceFromAssetData(order.makerAssetData);
|
|
const expectedTakerAmount = FILL_AMOUNT.div(_.last(DEFAULT_RATES[source]) as BigNumber);
|
|
const slippage = order.takerAssetAmount.div(expectedTakerAmount.plus(1)).toNumber() - 1;
|
|
assertRoughlyEquals(slippage, bridgeSlippage, 8);
|
|
}
|
|
});
|
|
|
|
it('can mix convex sources', async () => {
|
|
const rates: RatesBySource = {};
|
|
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 improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512 },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
|
|
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 = {
|
|
[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 fees = {
|
|
[ERC20BridgeSource.Native]: FILL_AMOUNT.div(4)
|
|
.times(nativeFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_TAKER_RATE),
|
|
};
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, fees },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Uniswap,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Native,
|
|
];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
|
|
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 = {
|
|
[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 fees = {
|
|
[ERC20BridgeSource.Uniswap]: FILL_AMOUNT.div(4)
|
|
.times(uniswapFeeRate)
|
|
.dividedToIntegerBy(ETH_TO_TAKER_RATE),
|
|
};
|
|
replaceSamplerOps({
|
|
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
|
|
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
|
});
|
|
const improvedOrders = await marketOperationUtils.getMarketBuyOrdersAsync(
|
|
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
|
FILL_AMOUNT,
|
|
{ ...DEFAULT_OPTS, numSamples: 4, runLimit: 512, fees },
|
|
);
|
|
const orderSources = improvedOrders.map(o => o.fill.source);
|
|
const expectedSources = [
|
|
ERC20BridgeSource.Native,
|
|
ERC20BridgeSource.Eth2Dai,
|
|
ERC20BridgeSource.Uniswap,
|
|
];
|
|
expect(orderSources).to.deep.eq(expectedSources);
|
|
});
|
|
|
|
it('is able to create a order from PLP', async () => {
|
|
const registryAddress = randomAddress();
|
|
const liquidityPoolAddress = randomAddress();
|
|
const xAsset = randomAddress();
|
|
const yAsset = randomAddress();
|
|
const toSell = Web3Wrapper.toBaseUnitAmount(10, 18);
|
|
|
|
const [getSellQuiotesParams, getSellQuotesFn] = createGetMultipleSellQuotesOperationFromRatesAndRetainPLPParams({
|
|
[ERC20BridgeSource.Plp]: createDecreasingRates(5),
|
|
});
|
|
const [getLiquidityProviderParams, getLiquidityProviderFn] = getLiquidityProviderFromRegistryAndReturnCallParameters(liquidityPoolAddress);
|
|
replaceSamplerOps({
|
|
getOrderFillableTakerAmounts: () => [new BigNumber(0)],
|
|
getSellQuotes: getSellQuotesFn,
|
|
getLiquidityProviderFromRegistry: getLiquidityProviderFn,
|
|
});
|
|
|
|
const sampler = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN, registryAddress);
|
|
const result = await sampler.getMarketSellOrdersAsync(
|
|
[
|
|
createOrder({
|
|
makerAssetData: assetDataUtils.encodeERC20AssetData(xAsset),
|
|
takerAssetData: assetDataUtils.encodeERC20AssetData(yAsset),
|
|
}),
|
|
],
|
|
Web3Wrapper.toBaseUnitAmount(10, 18),
|
|
{excludedSources: SELL_SOURCES, numSamples: 4}
|
|
);
|
|
expect(result.length).to.eql(1);
|
|
expect(result[0].makerAddress).to.eql(liquidityPoolAddress);
|
|
const decodedAssetData = assetDataUtils.decodeAssetDataOrThrow(
|
|
result[0].makerAssetData,
|
|
) as ERC20BridgeAssetData;
|
|
expect(decodedAssetData.assetProxyId).to.eql(AssetProxyId.ERC20Bridge);
|
|
expect(decodedAssetData.bridgeAddress).to.eql(liquidityPoolAddress);
|
|
expect(result[0].takerAssetAmount).to.bignumber.eql(toSell);
|
|
expect(getSellQuiotesParams.sources).contains(ERC20BridgeSource.Plp);
|
|
expect(getSellQuiotesParams.plpRegistryAddress).is.eql(registryAddress);
|
|
expect(getLiquidityProviderParams.registryAddress).is.eql(registryAddress);
|
|
expect(getLiquidityProviderParams.makerToken).is.eql(xAsset);
|
|
expect(getLiquidityProviderParams.takerToken).is.eql(yAsset);
|
|
});
|
|
});
|
|
});
|
|
});
|
|
// tslint:disable-next-line: max-file-line-count
|