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Merge pull request #2541 from 0xProject/rfq-t
asset-swapper: RFQ-T firm quotes
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,116 @@ | ||
| import { schemas, SchemaValidator } from '@0x/json-schemas'; | ||
| import { assetDataUtils, SignedOrder } from '@0x/order-utils'; | ||
| import { ERC20AssetData } from '@0x/types'; | ||
| import { BigNumber, logUtils } from '@0x/utils'; | ||
| import Axios, { AxiosResponse } from 'axios'; | ||
| import * as _ from 'lodash'; | ||
|
|
||
| import { constants } from '../constants'; | ||
| import { MarketOperation, RfqtFirmQuoteRequestOpts } from '../types'; | ||
|
|
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| /** | ||
| * Request quotes from RFQ-T providers | ||
| */ | ||
|
|
||
| function getTokenAddressOrThrow(assetData: string): string { | ||
| const decodedAssetData = assetDataUtils.decodeAssetDataOrThrow(assetData); | ||
| if (decodedAssetData.hasOwnProperty('tokenAddress')) { | ||
| // type cast necessary here as decodeAssetDataOrThrow returns | ||
| // an AssetData object, which doesn't necessarily contain a | ||
| // token address. (it could possibly be a StaticCallAssetData, | ||
| // which lacks an address.) so we'll just assume it's a token | ||
| // here. should be safe, with the enclosing guard condition | ||
| // and subsequent error. | ||
| // tslint:disable-next-line:no-unnecessary-type-assertion | ||
| return (decodedAssetData as ERC20AssetData).tokenAddress; | ||
| } | ||
| throw new Error(`Decoded asset data (${JSON.stringify(decodedAssetData)}) does not contain a token address`); | ||
| } | ||
|
|
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| export class QuoteRequestor { | ||
| private readonly _rfqtMakerEndpoints: string[]; | ||
| private readonly _schemaValidator: SchemaValidator = new SchemaValidator(); | ||
|
|
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| constructor(rfqtMakerEndpoints: string[]) { | ||
| this._rfqtMakerEndpoints = rfqtMakerEndpoints; | ||
| } | ||
|
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| public async requestRfqtFirmQuotesAsync( | ||
| makerAssetData: string, | ||
| takerAssetData: string, | ||
| assetFillAmount: BigNumber, | ||
| marketOperation: MarketOperation, | ||
| takerApiKey: string, | ||
| takerAddress: string, | ||
| options?: Partial<RfqtFirmQuoteRequestOpts>, | ||
| ): Promise<SignedOrder[]> { | ||
| const { makerEndpointMaxResponseTimeMs } = _.merge({}, constants.DEFAULT_RFQT_FIRM_QUOTE_REQUEST_OPTS, options); | ||
|
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| const buyToken = getTokenAddressOrThrow(makerAssetData); | ||
| const sellToken = getTokenAddressOrThrow(takerAssetData); | ||
|
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| // create an array of promises for quote responses, using "undefined" | ||
| // as a placeholder for failed requests. | ||
| const responsesIfDefined: Array<undefined | AxiosResponse<SignedOrder>> = await Promise.all( | ||
| this._rfqtMakerEndpoints.map(async rfqtMakerEndpoint => { | ||
| try { | ||
| return await Axios.get<SignedOrder>(`${rfqtMakerEndpoint}/quote`, { | ||
| headers: { '0x-api-key': takerApiKey }, | ||
| params: { | ||
| sellToken, | ||
| buyToken, | ||
| buyAmount: marketOperation === MarketOperation.Buy ? assetFillAmount.toString() : undefined, | ||
| sellAmount: | ||
| marketOperation === MarketOperation.Sell ? assetFillAmount.toString() : undefined, | ||
| takerAddress, | ||
| }, | ||
| timeout: makerEndpointMaxResponseTimeMs, | ||
| }); | ||
| } catch (err) { | ||
| logUtils.warn( | ||
| `Failed to get RFQ-T quote from market maker endpoint ${rfqtMakerEndpoint} for API key ${takerApiKey} for taker address ${takerAddress}`, | ||
| ); | ||
| logUtils.warn(err); | ||
| return undefined; | ||
| } | ||
| }), | ||
| ); | ||
|
|
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| const responses = responsesIfDefined.filter( | ||
| (respIfDefd): respIfDefd is AxiosResponse<SignedOrder> => respIfDefd !== undefined, | ||
| ); | ||
|
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| const ordersWithStringInts = responses.map(response => response.data); // not yet BigNumber | ||
|
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| const validatedOrdersWithStringInts = ordersWithStringInts.filter(order => { | ||
| const hasValidSchema = this._schemaValidator.isValid(order, schemas.signedOrderSchema); | ||
| if (!hasValidSchema) { | ||
| logUtils.warn(`Invalid RFQ-t order received, filtering out: ${JSON.stringify(order)}`); | ||
| return false; | ||
| } | ||
|
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| const hasExpectedMakerAssetData = order.makerAssetData.toLowerCase() === makerAssetData.toLowerCase(); | ||
| const hasExpectedTakerAssetData = order.takerAssetData.toLowerCase() === takerAssetData.toLowerCase(); | ||
| if (!hasExpectedMakerAssetData || !hasExpectedTakerAssetData) { | ||
| logUtils.warn(`Unexpected asset data in RFQ-T order, filtering out: ${JSON.stringify(order)}`); | ||
| return false; | ||
| } | ||
|
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| return true; | ||
| }); | ||
|
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| const orders: SignedOrder[] = validatedOrdersWithStringInts.map(orderWithStringInts => { | ||
| return { | ||
| ...orderWithStringInts, | ||
| makerAssetAmount: new BigNumber(orderWithStringInts.makerAssetAmount), | ||
| takerAssetAmount: new BigNumber(orderWithStringInts.takerAssetAmount), | ||
| makerFee: new BigNumber(orderWithStringInts.makerFee), | ||
| takerFee: new BigNumber(orderWithStringInts.takerFee), | ||
| expirationTimeSeconds: new BigNumber(orderWithStringInts.expirationTimeSeconds), | ||
| salt: new BigNumber(orderWithStringInts.salt), | ||
| }; | ||
| }); | ||
|
|
||
| return orders; | ||
| } | ||
| } |
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