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asset-swapper: RFQ-T firm quotes #2541
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| Original file line number | Diff line number | Diff line change |
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@@ -27,6 +27,7 @@ import { DexOrderSampler } from './utils/market_operation_utils/sampler'; | |
| import { orderPrunerUtils } from './utils/order_prune_utils'; | ||
| import { OrderStateUtils } from './utils/order_state_utils'; | ||
| import { ProtocolFeeUtils } from './utils/protocol_fee_utils'; | ||
| import { QuoteRequestor } from './utils/quote_requestor'; | ||
| import { sortingUtils } from './utils/sorting_utils'; | ||
| import { SwapQuoteCalculator } from './utils/swap_quote_calculator'; | ||
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@@ -36,12 +37,15 @@ export class SwapQuoter { | |
| public readonly expiryBufferMs: number; | ||
| public readonly chainId: number; | ||
| public readonly permittedOrderFeeTypes: Set<OrderPrunerPermittedFeeTypes>; | ||
| public readonly rfqtTakerApiKeyWhitelist: string[]; | ||
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| public readonly rfqtMakerEndpoints: string[]; | ||
| private readonly _contractAddresses: ContractAddresses; | ||
| private readonly _protocolFeeUtils: ProtocolFeeUtils; | ||
| private readonly _swapQuoteCalculator: SwapQuoteCalculator; | ||
| private readonly _devUtilsContract: DevUtilsContract; | ||
| private readonly _marketOperationUtils: MarketOperationUtils; | ||
| private readonly _orderStateUtils: OrderStateUtils; | ||
| private readonly _quoteRequestor: QuoteRequestor; | ||
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| /** | ||
| * Instantiates a new SwapQuoter instance given existing liquidity in the form of orders and feeOrders. | ||
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@@ -144,7 +148,12 @@ export class SwapQuoter { | |
| * | ||
| * @return An instance of SwapQuoter | ||
| */ | ||
| constructor( | ||
| supportedProvider: SupportedProvider, | ||
| orderbook: Orderbook, | ||
| options: Partial<SwapQuoterOpts> = {}, | ||
| quoteRequestor?: QuoteRequestor, | ||
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| ) { | ||
| const { | ||
| chainId, | ||
| expiryBufferMs, | ||
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@@ -161,10 +170,13 @@ export class SwapQuoter { | |
| this.orderbook = orderbook; | ||
| this.expiryBufferMs = expiryBufferMs; | ||
| this.permittedOrderFeeTypes = permittedOrderFeeTypes; | ||
| this.rfqtTakerApiKeyWhitelist = options.rfqtTakerApiKeyWhitelist || []; | ||
| this.rfqtMakerEndpoints = options.rfqtMakerEndpoints || []; | ||
|
There was a problem hiding this comment.
There was a problem hiding this comment. Addressed the We are not directly asserting that they are URI's. We're just passing them through to the quote requestor, and letting it fail silently if they're not valid. |
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| this._contractAddresses = options.contractAddresses || getContractAddressesForChainOrThrow(chainId); | ||
| this._devUtilsContract = new DevUtilsContract(this._contractAddresses.devUtils, provider); | ||
| this._protocolFeeUtils = new ProtocolFeeUtils(constants.PROTOCOL_FEE_UTILS_POLLING_INTERVAL_IN_MS); | ||
| this._orderStateUtils = new OrderStateUtils(this._devUtilsContract); | ||
| this._quoteRequestor = quoteRequestor || new QuoteRequestor(this.rfqtMakerEndpoints); | ||
| const sampler = new DexOrderSampler( | ||
| new IERC20BridgeSamplerContract(this._contractAddresses.erc20BridgeSampler, this.provider, { | ||
| gas: samplerGasLimit, | ||
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@@ -523,10 +535,29 @@ export class SwapQuoter { | |
| gasPrice = await this._protocolFeeUtils.getGasPriceEstimationOrThrowAsync(); | ||
| } | ||
| // get the relevant orders for the makerAsset | ||
| let orders = await this._getSignedOrdersAsync(makerAssetData, takerAssetData); | ||
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| if (options.intentOnFilling && options.apiKey) { | ||
| if (!this.rfqtTakerApiKeyWhitelist.includes(options.apiKey)) { | ||
| throw new Error('API key not permissioned for RFQ-T'); | ||
|
There was a problem hiding this comment. Is this a throwable validation at this layer? Or should it fail silently and give a normal quote? If someone gets delisted they're going to start getting Errors rather than quotes, seems quite disruptive. There was a problem hiding this comment. Yeah, agree that we should fallback to providing a regular quote in this case. There was a problem hiding this comment. Addressed in 5f4778c |
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| } | ||
| if (!options.takerAddress || options.takerAddress === '0x0000000000000000000000000000000000000000') { | ||
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| throw new Error('RFQ-T requests must specify a taker address'); | ||
| } | ||
| orders = orders.concat( | ||
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| await this._quoteRequestor.requestRfqtFirmQuotesAsync( | ||
| makerAssetData, | ||
| takerAssetData, | ||
| assetFillAmount, | ||
| marketOperation, | ||
| options.intentOnFilling, | ||
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| options.apiKey, | ||
| options.takerAddress, | ||
| ), | ||
| ); | ||
| } | ||
| // if no native orders, pass in a dummy order for the sampler to have required metadata for sampling | ||
| if (orders.length === 0) { | ||
| orders = [ | ||
| createDummyOrderForSampler(makerAssetData, takerAssetData, this._contractAddresses.uniswapBridge), | ||
| ]; | ||
| } | ||
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@@ -535,14 +566,14 @@ export class SwapQuoter { | |
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| if (marketOperation === MarketOperation.Buy) { | ||
| swapQuote = await this._swapQuoteCalculator.calculateMarketBuySwapQuoteAsync( | ||
| orders, | ||
| assetFillAmount, | ||
| gasPrice, | ||
| calculateSwapQuoteOpts, | ||
| ); | ||
| } else { | ||
| swapQuote = await this._swapQuoteCalculator.calculateMarketSellSwapQuoteAsync( | ||
| orders, | ||
| assetFillAmount, | ||
| gasPrice, | ||
| calculateSwapQuoteOpts, | ||
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,99 @@ | ||
| import { assetDataUtils, SignedOrder } from '@0x/order-utils'; | ||
| import { ERC20AssetData } from '@0x/types'; | ||
| import { BigNumber, logUtils } from '@0x/utils'; | ||
| import Axios, { AxiosResponse } from 'axios'; | ||
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| import { MarketOperation } from '../types'; | ||
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| /** | ||
| * Request quotes from RFQ-T providers | ||
| */ | ||
| export class QuoteRequestor { | ||
| private readonly _rfqtMakerEndpoints: string[]; | ||
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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, | ||
| intentOnFilling: boolean, | ||
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| takerApiKey: string, | ||
| takerAddress: string, | ||
| ): Promise<SignedOrder[]> { | ||
| const makerEndpointMaxResponseTimeMs = 1000; | ||
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| const getTokenAddressOrThrow = (assetData: string): string => { | ||
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| const decodedAssetData = assetDataUtils.decodeAssetDataOrThrow(assetData); | ||
| if (decodedAssetData.hasOwnProperty('tokenAddress')) { | ||
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| // 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; | ||
| } else { | ||
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| throw new Error( | ||
| `Decoded asset data (${JSON.stringify(decodedAssetData)}) does not contain a token address`, | ||
| ); | ||
| } | ||
| }; | ||
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| const buyToken = getTokenAddressOrThrow(makerAssetData); | ||
| const sellToken = getTokenAddressOrThrow(takerAssetData); | ||
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| // create an array of promises for quote responses, using "undefined" | ||
| // as a placeholder for failed requests. | ||
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| const responsePromises: Array<Promise<AxiosResponse<SignedOrder> | undefined>> = []; | ||
| for (const rfqtMakerEndpoint of this._rfqtMakerEndpoints) { | ||
| responsePromises.push( | ||
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| Axios.get(`${rfqtMakerEndpoint}/quote`, { | ||
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| headers: { '0x-api-key': takerApiKey }, | ||
| params: { | ||
| sellToken, | ||
| buyToken, | ||
| buyAmount: marketOperation === MarketOperation.Buy ? assetFillAmount.toString() : undefined, | ||
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| sellAmount: marketOperation === MarketOperation.Sell ? assetFillAmount.toString() : undefined, | ||
| takerAddress, | ||
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| }, | ||
| 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}: ${JSON.stringify( | ||
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| err, | ||
| )}`, | ||
| ); | ||
| return undefined; | ||
| }), | ||
| ); | ||
| } | ||
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| const responsesIfDefined: Array<AxiosResponse<SignedOrder> | undefined> = await Promise.all(responsePromises); | ||
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| const responses: Array<AxiosResponse<SignedOrder>> = responsesIfDefined.filter( | ||
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| (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 orders: SignedOrder[] = ordersWithStringInts.map(orderWithStringInts => { | ||
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There was a problem hiding this comment. Find a helper function do this for us. @steveklebanoff ? There was a problem hiding this comment. I have a feeliing they exist in There was a problem hiding this comment. @dekz Are you open to exporting Or is there somewhere else where this is already defined & exported? |
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| 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), | ||
| }; | ||
| }); | ||
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| return orders; | ||
| } | ||
| } | ||
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
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@@ -11,7 +11,7 @@ | |
| "build": "tsc -b", | ||
| "build:ci": "yarn build", | ||
| "clean": "shx rm -rf lib ${npm_package_config_snapshot_name} ${npm_package_config_snapshot_name}-*.zip", | ||
| "lint": "tslint --format stylish --project . && prettier --check 'src/**/*.{ts,tsx,json,md}' --config ../../.prettierrc", | ||
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There was a problem hiding this comment. It seems like you agreed to keep There was a problem hiding this comment. Addressed in 1da8f68 |
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| "fix": "tslint --fix --format stylish --project .", | ||
| "test": "yarn run_mocha", | ||
| "test:circleci": "yarn test", | ||
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@@ -28,7 +28,8 @@ | |
| "build:snapshot:docker": "docker build --tag ${npm_package_config_docker_snapshot_name}:${npm_package_version} --tag ${npm_package_config_docker_snapshot_name}:latest .", | ||
| "publish:snapshot": "aws s3 cp ${npm_package_config_snapshot_name}-${npm_package_version}.zip ${npm_package_config_s3_snapshot_bucket} && aws s3 cp ${npm_package_config_s3_snapshot_bucket}/${npm_package_config_snapshot_name}-${npm_package_version}.zip ${npm_package_config_s3_snapshot_bucket}/${npm_package_config_snapshot_name}-latest.zip", | ||
| "publish:snapshot:docker": "docker push ${npm_package_config_docker_snapshot_name}:latest && docker push ${npm_package_config_docker_snapshot_name}:${npm_package_version}", | ||
| "test_contract_configs": "node ./lib/test_contract_configs.js", | ||
| "publish:private": "yarn build && gitpkg publish" | ||
| }, | ||
| "config": { | ||
| "s3_snapshot_bucket": "s3://ganache-snapshots.0x.org", | ||
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@@ -42,6 +43,9 @@ | |
| "0x-migrate": "bin/0x-migrate.js" | ||
| }, | ||
| "license": "Apache-2.0", | ||
| "gitpkg": { | ||
| "registry": "git@github.com:0xProject/gitpkg-registry.git" | ||
| }, | ||
| "devDependencies": { | ||
| "@0x/dev-utils": "^3.2.1", | ||
| "@0x/ts-doc-gen": "^0.0.22", | ||
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@@ -50,6 +54,7 @@ | |
| "@types/yargs": "^11.0.0", | ||
| "chai": "^4.0.1", | ||
| "dirty-chai": "^2.0.1", | ||
| "gitpkg": "https://github.com/0xProject/gitpkg.git", | ||
| "make-promises-safe": "^1.1.0", | ||
| "mocha": "^6.2.0", | ||
| "npm-run-all": "^4.1.2", | ||
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@@ -69,6 +74,7 @@ | |
| "@0x/contracts-dev-utils": "^1.3.3", | ||
| "@0x/contracts-erc1155": "^2.1.5", | ||
| "@0x/contracts-erc20": "^3.1.5", | ||
| "@0x/contracts-erc20-bridge-sampler": "^1.5.1", | ||
| "@0x/contracts-erc721": "^3.1.5", | ||
| "@0x/contracts-exchange": "^3.2.5", | ||
| "@0x/contracts-exchange-forwarder": "^4.2.5", | ||
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We have the established pattern of having
prettieras it's own script: https://github.com/0xProject/0x-monorepo/blob/development/packages/orderbook/package.json#L25There was a problem hiding this comment.
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I introduced a
prettierscript in eb5ec58, but I also kept its invocation in thelintscript.I feel pretty strongly that
yarn lintshould run everything that CI'sstatic-testsruns. I'm open to having my mind changed if anyone else feels strongly about it, but that's why I did it this way.There was a problem hiding this comment.
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I think it's pretty weird to have different
lintbehavior forasset-swappercompared to all other packages. IMHO it's important to be consistent here.Unless we want to make this change wholesale across all repos (a can of worms I don't think we should open right now), I think we should make this consistent.