streamline SwapQuoter and remove instant-only functions

0xProject · Oct 8, 2020 · 4d2264c · 4d2264c
1 parent 0013c4e
commit 4d2264c
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Showing 12 changed files with 411 additions and 1,271 deletions.
diff --git a/contracts/integrations/test/aggregation/fill_test.ts b/contracts/integrations/test/aggregation/fill_test.ts
@@ -1,7 +1,7 @@
 import { MarketBuySwapQuote, MarketSellSwapQuote, Orderbook, SwapQuoter } from '@0x/asset-swapper';
 import { blockchainTests, expect, Numberish } from '@0x/contracts-test-utils';
 import { assetDataUtils } from '@0x/order-utils';
-import { FillResults, SignedOrder } from '@0x/types';
+import { FillResults, MarketOperation, SignedOrder } from '@0x/types';
 import { BigNumber, logUtils } from '@0x/utils';
 import * as _ from 'lodash';
 
@@ -155,10 +155,11 @@ blockchainTests.live('Aggregator Mainnet Tests', env => {
                 const fillAmount = fromTokenUnits(takerSymbol, new BigNumber(fillValue).div(tokens[takerSymbol].price));
                 it(`sell ${toTokenUnits(takerSymbol, fillAmount)} ${takerSymbol} for ${makerSymbol}`, async () => {
                     const [quote, takerOrders] = await Promise.all([
-                        swapQuoter.getMarketSellSwapQuoteAsync(
+                        swapQuoter.getSwapQuoteAsync(
                             tokens[makerSymbol].address,
                             tokens[takerSymbol].address,
                             fillAmount,
+                            MarketOperation.Sell,
                             { gasPrice: GAS_PRICE },
                         ),
                         getTakerOrdersAsync(takerSymbol),
@@ -199,10 +200,11 @@ blockchainTests.live('Aggregator Mainnet Tests', env => {
                 const fillAmount = fromTokenUnits(makerSymbol, new BigNumber(fillValue).div(tokens[makerSymbol].price));
                 it(`buy ${toTokenUnits(makerSymbol, fillAmount)} ${makerSymbol} with ${takerSymbol}`, async () => {
                     const [quote, takerOrders] = await Promise.all([
-                        swapQuoter.getMarketBuySwapQuoteAsync(
+                        swapQuoter.getSwapQuoteAsync(
                             tokens[makerSymbol].address,
                             tokens[takerSymbol].address,
                             fillAmount,
+                            MarketOperation.Buy,
                             { gasPrice: GAS_PRICE },
                         ),
                         getTakerOrdersAsync(takerSymbol),

diff --git a/packages/asset-swapper/src/constants.ts b/packages/asset-swapper/src/constants.ts
@@ -26,6 +26,11 @@ const ONE_MINUTE_MS = ONE_SECOND_MS * ONE_MINUTE_SECS;
 const DEFAULT_PER_PAGE = 1000;
 const ZERO_AMOUNT = new BigNumber(0);
 
+export const DEFAULT_INFO_LOGGER: LogFunction = (obj, msg) =>
+    logUtils.log(`${msg ? `${msg}: ` : ''}${JSON.stringify(obj)}`);
+export const DEFAULT_WARNING_LOGGER: LogFunction = (obj, msg) =>
+    logUtils.warn(`${msg ? `${msg}: ` : ''}${JSON.stringify(obj)}`);
+
 const DEFAULT_ORDER_PRUNER_OPTS: OrderPrunerOpts = {
     expiryBufferMs: 120000, // 2 minutes
     permittedOrderFeeTypes: new Set<OrderPrunerPermittedFeeTypes>([
@@ -50,6 +55,8 @@ const DEFAULT_SWAP_QUOTER_OPTS: SwapQuoterOpts = {
     rfqt: {
         takerApiKeyWhitelist: [],
         makerAssetOfferings: {},
+        infoLogger: DEFAULT_INFO_LOGGER,
+        warningLogger: DEFAULT_WARNING_LOGGER,
     },
 };
 
@@ -90,11 +97,6 @@ const DEFAULT_RFQT_REQUEST_OPTS: Partial<RfqtRequestOpts> = {
     makerEndpointMaxResponseTimeMs: 1000,
 };
 
-export const DEFAULT_INFO_LOGGER: LogFunction = (obj, msg) =>
-    logUtils.log(`${msg ? `${msg}: ` : ''}${JSON.stringify(obj)}`);
-export const DEFAULT_WARNING_LOGGER: LogFunction = (obj, msg) =>
-    logUtils.warn(`${msg ? `${msg}: ` : ''}${JSON.stringify(obj)}`);
-
 export const constants = {
     ETH_GAS_STATION_API_URL,
     PROTOCOL_FEE_MULTIPLIER,

diff --git a/packages/asset-swapper/src/swap_quoter.ts b/packages/asset-swapper/src/swap_quoter.ts
diff --git a/packages/asset-swapper/src/utils/calculate_liquidity.ts b/packages/asset-swapper/src/utils/calculate_liquidity.ts
diff --git a/packages/asset-swapper/src/utils/market_operation_utils/index.ts b/packages/asset-swapper/src/utils/market_operation_utils/index.ts
@@ -349,20 +349,25 @@ export class MarketOperationUtils {
     }
 
     /**
-     * gets the orders required for a market sell operation by (potentially) merging native orders with
+     * gets the orders required for a market sell or buy operation by (potentially) merging native orders with
      * generated bridge orders.
      * @param nativeOrders Native orders.
-     * @param takerAmount Amount of taker asset to sell.
+     * @param fillAmount Amount of taker asset to sell (when getting sell orders) or amount of maker asset to buy (when getting buy orders)
+     * @param marketOperation Buy or Sell
      * @param opts Options object.
      * @return object with optimized orders and a QuoteReport
      */
-    public async getMarketSellOrdersAsync(
+    public async getMarketOrdersAsync(
         nativeOrders: SignedOrder[],
-        takerAmount: BigNumber,
+        fillAmount: BigNumber,
+        marketOperation: MarketOperation,
         opts?: Partial<GetMarketOrdersOpts>,
     ): Promise<OptimizerResult> {
         const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
-        const marketSideLiquidity = await this.getMarketSellLiquidityAsync(nativeOrders, takerAmount, _opts);
+        const marketSideLiquidity =
+            marketOperation === MarketOperation.Sell
+                ? await this.getMarketSellLiquidityAsync(nativeOrders, fillAmount, _opts)
+                : await this.getMarketBuyLiquidityAsync(nativeOrders, fillAmount, _opts);
         const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
             bridgeSlippage: _opts.bridgeSlippage,
             maxFallbackSlippage: _opts.maxFallbackSlippage,
@@ -385,41 +390,6 @@ export class MarketOperationUtils {
         return { ...optimizerResult, quoteReport };
     }
 
-    /**
-     * gets the orders required for a market buy operation by (potentially) merging native orders with
-     * generated bridge orders.
-     * @param nativeOrders Native orders.
-     * @param makerAmount Amount of maker asset to buy.
-     * @param opts Options object.
-     * @return object with optimized orders and a QuoteReport
-     */
-    public async getMarketBuyOrdersAsync(
-        nativeOrders: SignedOrder[],
-        makerAmount: BigNumber,
-        opts?: Partial<GetMarketOrdersOpts>,
-    ): Promise<OptimizerResult> {
-        const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
-        const marketSideLiquidity = await this.getMarketBuyLiquidityAsync(nativeOrders, makerAmount, _opts);
-        const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
-            bridgeSlippage: _opts.bridgeSlippage,
-            maxFallbackSlippage: _opts.maxFallbackSlippage,
-            excludedSources: _opts.excludedSources,
-            feeSchedule: _opts.feeSchedule,
-            exchangeProxyOverhead: _opts.exchangeProxyOverhead,
-            allowFallback: _opts.allowFallback,
-        });
-        let quoteReport: QuoteReport | undefined;
-        if (_opts.shouldGenerateQuoteReport) {
-            quoteReport = MarketOperationUtils._computeQuoteReport(
-                nativeOrders,
-                _opts.rfqt ? _opts.rfqt.quoteRequestor : undefined,
-                marketSideLiquidity,
-                optimizerResult,
-            );
-        }
-        return { ...optimizerResult, quoteReport };
-    }
-
     /**
      * gets the orders required for a batch of market buy operations by (potentially) merging native orders with
      * generated bridge orders.

diff --git a/packages/asset-swapper/src/utils/market_operation_utils/path.ts b/packages/asset-swapper/src/utils/market_operation_utils/path.ts
@@ -3,12 +3,7 @@ import { BigNumber } from '@0x/utils';
 import { MarketOperation } from '../../types';
 
 import { POSITIVE_INF, SOURCE_FLAGS, ZERO_AMOUNT } from './constants';
-import {
-    createBridgeOrder,
-    createNativeOrder,
-    CreateOrderFromPathOpts,
-    getMakerTakerTokens,
-} from './orders';
+import { createBridgeOrder, createNativeOrder, CreateOrderFromPathOpts, getMakerTakerTokens } from './orders';
 import { getCompleteRate, getRate } from './rate_utils';
 import {
     CollapsedFill,

diff --git a/packages/asset-swapper/src/utils/market_operation_utils/types.ts b/packages/asset-swapper/src/utils/market_operation_utils/types.ts
@@ -228,7 +228,7 @@ export type FeeSchedule = Partial<{ [key in ERC20BridgeSource]: FeeEstimate }>;
 export type ExchangeProxyOverhead = (sourceFlags: number) => BigNumber;
 
 /**
- * Options for `getMarketSellOrdersAsync()` and `getMarketBuyOrdersAsync()`.
+ * Options for `getMarketOrdersAsync()`.
  */
 export interface GetMarketOrdersOpts {
     /**