asset-swapper: RFQ-T indicative quotes

packages/asset-swapper/CHANGELOG.json

@@ -45,6 +45,10 @@
             {
                 "note": "Add support for RFQ-T, querying maker-hosted endpoints for quotes to be submitted by the taker",
                 "pr": 2541
+            },
+            {
+                "note": "Add support for indicative (non-committal) quotes via RFQ-T",
+                "pr": 2555
             }
         ]
     },

packages/asset-swapper/src/constants.ts

@@ -5,7 +5,7 @@ import {
     ForwarderExtensionContractOpts,
     OrderPrunerOpts,
     OrderPrunerPermittedFeeTypes,
-    RfqtFirmQuoteRequestOpts,
+    RfqtRequestOpts,
     SwapQuoteExecutionOpts,
     SwapQuoteGetOutputOpts,
     SwapQuoteRequestOpts,
@@ -66,7 +66,7 @@ const DEFAULT_SWAP_QUOTE_REQUEST_OPTS: SwapQuoteRequestOpts = {
     ...DEFAULT_GET_MARKET_ORDERS_OPTS,
 };
 
-const DEFAULT_RFQT_FIRM_QUOTE_REQUEST_OPTS: RfqtFirmQuoteRequestOpts = {
+const DEFAULT_RFQT_REQUEST_OPTS: Partial<RfqtRequestOpts> = {
     makerEndpointMaxResponseTimeMs: 1000,
 };
 
@@ -86,7 +86,7 @@ export const constants = {
     DEFAULT_FORWARDER_SWAP_QUOTE_EXECUTE_OPTS,
     DEFAULT_SWAP_QUOTE_REQUEST_OPTS,
     DEFAULT_PER_PAGE,
-    DEFAULT_RFQT_FIRM_QUOTE_REQUEST_OPTS,
+    DEFAULT_RFQT_REQUEST_OPTS,
     NULL_ERC20_ASSET_DATA,
     PROTOCOL_FEE_UTILS_POLLING_INTERVAL_IN_MS,
     MARKET_UTILS_AMOUNT_BUFFER_PERCENTAGE,

packages/asset-swapper/src/index.ts

@@ -45,7 +45,7 @@ export {
     MarketOperation,
     MarketSellSwapQuote,
     MockedRfqtFirmQuoteResponse,
-    RfqtFirmQuoteRequestOpts,
+    RfqtRequestOpts,
     SwapQuote,
     SwapQuoteConsumerBase,
     SwapQuoteConsumerOpts,
@@ -64,8 +64,9 @@ export {
     CollapsedFill,
     NativeCollapsedFill,
     OptimizedMarketOrder,
+    GetMarketOrdersRfqtOpts,
 } from './utils/market_operation_utils/types';
 export { affiliateFeeUtils } from './utils/affiliate_fee_utils';
 export { ProtocolFeeUtils } from './utils/protocol_fee_utils';
-export { QuoteRequestor } from './utils/quote_requestor';
+export { QuoteRequestor, RfqtIndicativeQuoteResponse } from './utils/quote_requestor';
 export { rfqtMocker } from './utils/rfqt_mocker';

packages/asset-swapper/src/swap_quoter.ts

@@ -9,6 +9,7 @@ import * as _ from 'lodash';
 
 import { constants } from './constants';
 import {
+    CalculateSwapQuoteOpts,
     LiquidityForTakerMakerAssetDataPair,
     MarketBuySwapQuote,
     MarketOperation,
@@ -169,8 +170,7 @@ export class SwapQuoter {
         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 =
-            options.quoteRequestor || new QuoteRequestor(options.rfqt ? options.rfqt.makerEndpoints || [] : []);
+        this._quoteRequestor = new QuoteRequestor(options.rfqt ? options.rfqt.makerEndpoints || [] : []);
         const sampler = new DexOrderSampler(
             new IERC20BridgeSamplerContract(this._contractAddresses.erc20BridgeSampler, this.provider, {
                 gas: samplerGasLimit,
@@ -533,8 +533,8 @@ export class SwapQuoter {
         if (
             opts.rfqt &&
             opts.rfqt.intentOnFilling &&
-            opts.apiKey &&
-            this._rfqtTakerApiKeyWhitelist.includes(opts.apiKey)
+            opts.rfqt.apiKey &&
+            this._rfqtTakerApiKeyWhitelist.includes(opts.rfqt.apiKey)
         ) {
             if (!opts.rfqt.takerAddress || opts.rfqt.takerAddress === constants.NULL_ADDRESS) {
                 throw new Error('RFQ-T requests must specify a taker address');
@@ -545,8 +545,7 @@ export class SwapQuoter {
                     takerAssetData,
                     assetFillAmount,
                     marketOperation,
-                    opts.apiKey,
-                    opts.rfqt.takerAddress,
+                    opts.rfqt,
                 ),
             );
         }
@@ -566,23 +565,37 @@ export class SwapQuoter {
 
         let swapQuote: SwapQuote;
 
+        const calcOpts: CalculateSwapQuoteOpts = opts;
+
+        if (calcOpts.rfqt !== undefined && this._shouldEnableIndicativeRfqt(calcOpts.rfqt)) {
+            calcOpts.rfqt.quoteRequestor = this._quoteRequestor;
+        }
+
         if (marketOperation === MarketOperation.Buy) {
             swapQuote = await this._swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
                 orders,
                 assetFillAmount,
                 gasPrice,
-                opts,
+                calcOpts,
             );
         } else {
             swapQuote = await this._swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
                 orders,
                 assetFillAmount,
                 gasPrice,
-                opts,
+                calcOpts,
             );
         }
 
         return swapQuote;
     }
+    private _shouldEnableIndicativeRfqt(opts: CalculateSwapQuoteOpts['rfqt']): boolean {
+        return (
+            opts !== undefined &&
+            opts.isIndicative !== undefined &&
+            opts.isIndicative &&
+            this._rfqtTakerApiKeyWhitelist.includes(opts.apiKey)
+        );
+    }
 }
 // tslint:disable-next-line: max-file-line-count

packages/asset-swapper/src/types.ts

@@ -3,7 +3,6 @@ import { SignedOrder } from '@0x/types';
 import { BigNumber } from '@0x/utils';
 
 import { GetMarketOrdersOpts } from './utils/market_operation_utils/types';
-import { QuoteRequestor } from './utils/quote_requestor';
 
 /**
  * expiryBufferMs: The number of seconds to add when calculating whether an order is expired or not. Defaults to 300s (5m).
@@ -188,16 +187,20 @@ export interface SwapQuoteOrdersBreakdown {
     [source: string]: BigNumber;
 }
 
+export interface RfqtRequestOpts {
+    takerAddress: string;
+    apiKey: string;
+    intentOnFilling: boolean;
+    isIndicative?: boolean;
+    makerEndpointMaxResponseTimeMs?: number;
+}
+
 /**
  * gasPrice: gas price to determine protocolFee amount, default to ethGasStation fast amount
  */
 export interface SwapQuoteRequestOpts extends CalculateSwapQuoteOpts {
     gasPrice?: BigNumber;
-    apiKey?: string;
-    rfqt?: {
-        takerAddress: string;
-        intentOnFilling: boolean;
-    };
+    rfqt?: RfqtRequestOpts;
 }
 
 /**
@@ -223,7 +226,6 @@ export interface SwapQuoterOpts extends OrderPrunerOpts {
         takerApiKeyWhitelist: string[];
         makerEndpoints: string[];
     };
-    quoteRequestor?: QuoteRequestor;
 }
 
 /**
@@ -274,14 +276,23 @@ export enum OrderPrunerPermittedFeeTypes {
     TakerDenominatedTakerFee = 'TAKER_DENOMINATED_TAKER_FEE',
 }
 
-export interface RfqtFirmQuoteRequestOpts {
-    makerEndpointMaxResponseTimeMs?: number;
+/**
+ * Represents a mocked RFQT maker responses.
+ */
+export interface MockedRfqtFirmQuoteResponse {
+    endpoint: string;
+    requestApiKey: string;
+    requestParams: {
+        [key: string]: string | undefined;
+    };
+    responseData: any;
+    responseCode: number;
 }
 
 /**
  * Represents a mocked RFQT maker responses.
  */
-export interface MockedRfqtFirmQuoteResponse {
+export interface MockedRfqtIndicativeQuoteResponse {
     endpoint: string;
     requestApiKey: string;
     requestParams: {

packages/asset-swapper/src/utils/market_operation_utils/index.ts

@@ -3,6 +3,7 @@ import { SignedOrder } from '@0x/types';
 import { BigNumber, NULL_ADDRESS } from '@0x/utils';
 
 import { MarketOperation } from '../../types';
+import { RfqtIndicativeQuoteResponse } from '../quote_requestor';
 import { difference } from '../utils';
 
 import { BUY_SOURCES, DEFAULT_GET_MARKET_ORDERS_OPTS, FEE_QUOTE_SOURCES, ONE_ETHER, SELL_SOURCES } from './constants';
@@ -13,7 +14,12 @@ import {
     getPathAdjustedSlippage,
     getPathSize,
 } from './fills';
-import { createOrdersFromPath, createSignedOrdersWithFillableAmounts, getNativeOrderTokens } from './orders';
+import {
+    createOrdersFromPath,
+    createSignedOrdersFromRfqtIndicativeQuotes,
+    createSignedOrdersWithFillableAmounts,
+    getNativeOrderTokens,
+} from './orders';
 import { findOptimalPath } from './path_optimizer';
 import { DexOrderSampler, getSampleAmounts } from './sampler';
 import {
@@ -26,6 +32,26 @@ import {
     OrderDomain,
 } from './types';
 
+async function getRfqtIndicativeQuotesAsync(
+    makerAssetData: string,
+    takerAssetData: string,
+    marketOperation: MarketOperation,
+    assetFillAmount: BigNumber,
+    opts: Partial<GetMarketOrdersOpts>,
+): Promise<RfqtIndicativeQuoteResponse[]> {
+    if (opts.rfqt && opts.rfqt.isIndicative === true && opts.rfqt.quoteRequestor) {
+        return opts.rfqt.quoteRequestor.requestRfqtIndicativeQuotesAsync(
+            makerAssetData,
+            takerAssetData,
+            assetFillAmount,
+            marketOperation,
+            opts.rfqt,
+        );
+    } else {
+        return Promise.resolve<RfqtIndicativeQuoteResponse[]>([]);
+    }
+}
+
 export class MarketOperationUtils {
     private readonly _wethAddress: string;
 
@@ -57,12 +83,7 @@ export class MarketOperationUtils {
         const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
         const [makerToken, takerToken] = getNativeOrderTokens(nativeOrders[0]);
         // Call the sampler contract.
-        const [
-            orderFillableAmounts,
-            liquidityProviderAddress,
-            ethToMakerAssetRate,
-            dexQuotes,
-        ] = await this._sampler.executeAsync(
+        const samplerPromise = this._sampler.executeAsync(
             // Get native order fillable amounts.
             DexOrderSampler.ops.getOrderFillableTakerAmounts(nativeOrders),
             // Get the custom liquidity provider from registry.
@@ -92,10 +113,22 @@ export class MarketOperationUtils {
                 this._liquidityProviderRegistry,
             ),
         );
+        const rfqtPromise = getRfqtIndicativeQuotesAsync(
+            nativeOrders[0].makerAssetData,
+            nativeOrders[0].takerAssetData,
+            MarketOperation.Sell,
+            takerAmount,
+            _opts,
+        );
+        const [
+            [orderFillableAmounts, liquidityProviderAddress, ethToMakerAssetRate, dexQuotes],
+            rfqtIndicativeQuotes,
+        ] = await Promise.all([samplerPromise, rfqtPromise]);
         return this._generateOptimizedOrders({
             orderFillableAmounts,
             nativeOrders,
             dexQuotes,
+            rfqtIndicativeQuotes,
             liquidityProviderAddress,
             inputToken: takerToken,
             outputToken: makerToken,
@@ -130,12 +163,7 @@ export class MarketOperationUtils {
         const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
         const [makerToken, takerToken] = getNativeOrderTokens(nativeOrders[0]);
         // Call the sampler contract.
-        const [
-            orderFillableAmounts,
-            liquidityProviderAddress,
-            ethToTakerAssetRate,
-            dexQuotes,
-        ] = await this._sampler.executeAsync(
+        const samplerPromise = this._sampler.executeAsync(
             // Get native order fillable amounts.
             DexOrderSampler.ops.getOrderFillableMakerAmounts(nativeOrders),
             // Get the custom liquidity provider from registry.
@@ -165,11 +193,23 @@ export class MarketOperationUtils {
                 this._liquidityProviderRegistry,
             ),
         );
+        const rfqtPromise = getRfqtIndicativeQuotesAsync(
+            nativeOrders[0].makerAssetData,
+            nativeOrders[0].takerAssetData,
+            MarketOperation.Buy,
+            makerAmount,
+            _opts,
+        );
+        const [
+            [orderFillableAmounts, liquidityProviderAddress, ethToTakerAssetRate, dexQuotes],
+            rfqtIndicativeQuotes,
+        ] = await Promise.all([samplerPromise, rfqtPromise]);
 
         return this._generateOptimizedOrders({
             orderFillableAmounts,
             nativeOrders,
             dexQuotes,
+            rfqtIndicativeQuotes,
             liquidityProviderAddress,
             inputToken: makerToken,
             outputToken: takerToken,
@@ -246,6 +286,7 @@ export class MarketOperationUtils {
                     orderFillableAmounts,
                     nativeOrders,
                     dexQuotes,
+                    rfqtIndicativeQuotes: [],
                     inputToken: makerToken,
                     outputToken: takerToken,
                     side: MarketOperation.Buy,
@@ -274,6 +315,7 @@ export class MarketOperationUtils {
         nativeOrders: SignedOrder[];
         orderFillableAmounts: BigNumber[];
         dexQuotes: DexSample[][];
+        rfqtIndicativeQuotes: RfqtIndicativeQuoteResponse[];
         runLimit?: number;
         ethToOutputRate?: BigNumber;
         bridgeSlippage?: number;
@@ -290,7 +332,10 @@ export class MarketOperationUtils {
         const paths = createFillPaths({
             side,
             // Augment native orders with their fillable amounts.
-            orders: createSignedOrdersWithFillableAmounts(side, opts.nativeOrders, opts.orderFillableAmounts),
+            orders: [
+                ...createSignedOrdersWithFillableAmounts(side, opts.nativeOrders, opts.orderFillableAmounts),
+                ...createSignedOrdersFromRfqtIndicativeQuotes(opts.rfqtIndicativeQuotes),
+            ],
             dexQuotes: opts.dexQuotes,
             targetInput: inputAmount,
             ethToOutputRate: opts.ethToOutputRate,

packages/asset-swapper/src/utils/market_operation_utils/orders.ts

@@ -4,6 +4,7 @@ import { ERC20BridgeAssetData, SignedOrder } from '@0x/types';
 import { AbiEncoder, BigNumber } from '@0x/utils';
 
 import { MarketOperation, SignedOrderWithFillableAmounts } from '../../types';
+import { RfqtIndicativeQuoteResponse } from '../quote_requestor';
 import { getCurveInfo, isCurveSource } from '../source_utils';
 
 import {
@@ -356,3 +357,32 @@ function createNativeOrder(fill: CollapsedFill): OptimizedMarketOrder {
         ...(fill as NativeCollapsedFill).nativeOrder,
     };
 }
+
+export function createSignedOrdersFromRfqtIndicativeQuotes(
+    quotes: RfqtIndicativeQuoteResponse[],
+): SignedOrderWithFillableAmounts[] {
+    return quotes.map(quote => {
+        return {
+            fillableMakerAssetAmount: quote.makerAssetAmount,
+            fillableTakerAssetAmount: quote.takerAssetAmount,
+            makerAssetAmount: quote.makerAssetAmount,
+            takerAssetAmount: quote.takerAssetAmount,
+            makerAssetData: quote.makerAssetData,
+            takerAssetData: quote.takerAssetData,
+            takerAddress: NULL_ADDRESS,
+            makerAddress: NULL_ADDRESS,
+            senderAddress: NULL_ADDRESS,
+            feeRecipientAddress: NULL_ADDRESS,
+            salt: ZERO_AMOUNT,
+            expirationTimeSeconds: ZERO_AMOUNT,
+            makerFeeAssetData: NULL_BYTES,
+            takerFeeAssetData: NULL_BYTES,
+            makerFee: ZERO_AMOUNT,
+            takerFee: ZERO_AMOUNT,
+            fillableTakerFeeAmount: ZERO_AMOUNT,
+            signature: WALLET_SIGNATURE,
+            chainId: 0,
+            exchangeAddress: NULL_ADDRESS,
+        };
+    });
+}