RFQ-T Firm Quotes

.circleci/config.yml

@@ -20,6 +20,23 @@ jobs:
                 WS_RPC_ADDR: '0.0.0.0:60557'
                 HTTP_RPC_ADDR: '0.0.0.0:60556'
                 ETHEREUM_RPC_MAX_REQUESTS_PER_24_HR_UTC: '150000'
+            - image: 883408475785.dkr.ecr.us-east-1.amazonaws.com/neptune/quoter:402d78919b45fe257cc1f9f5c956c0ee2d95a254
+              aws_auth:
+                  aws_access_key_id: $AWS_ACCESS_KEY_ID
+                  aws_secret_access_key: $AWS_SECRET_ACCESS_KEY
+              environment:
+                  ALLOWED_API_KEYS: 'koolApiKey1,koolApikey2'
+                  SELL_TOKEN_ADDRESS: '0x0b1ba0af832d7c05fd64161e0db78e85978e8082'
+                  BUY_TOKEN_ADDRESS: '0x871dd7c2b4b25e1aa18728e9d5f2af4c4e431f5c'
+                  QUOTE_STRATEGY: 'demo_one_to_one'
+                  ORDER_EXPIRY: 10
+                  ETH_FROM: '0x5409ED021D9299bf6814279A6A1411A7e866A631'
+                  CHAIN_ID: 1337
+                  RPC_URL: 'http://0.0.0.0:8545'
+                  AUTH_METHOD: 'other'
+                  PRIVATE_KEY: 'f2f48ee19680706196e2e339e5da3491186e0c4c5030670656b0e0164837257d'
+                  POSTGRES_CONNECTION_STRING: 'whatever. quoter calls rebalancer now, which demands this.'
+                  REDIS_URL: 'whatever. not used'
         working_directory: ~/repo
         environment:
             ETHEREUM_RPC_URL: http://0.0.0.0:8545

docker-compose.yml

@@ -49,3 +49,25 @@ services:
             ETHEREUM_RPC_URL: '${ETHEREUM_RPC_URL}'
             CHAIN_ID: '${CHAIN_ID}'
             POSTGRES_URI: 'postgresql://api:api@postgres/api'
+    quoter:
+        image: 883408475785.dkr.ecr.us-east-1.amazonaws.com/neptune/quoter:402d78919b45fe257cc1f9f5c956c0ee2d95a254
+        depends_on:
+            - ganache
+        restart: on-failure
+        environment:
+            ALLOWED_API_KEYS: 'koolApiKey1,koolApikey2'
+            SELL_TOKEN_ADDRESS: '0x0b1ba0af832d7c05fd64161e0db78e85978e8082'
+            BUY_TOKEN_ADDRESS: '0x871dd7c2b4b25e1aa18728e9d5f2af4c4e431f5c'
+            QUOTE_STRATEGY: 'demo_one_to_one'
+            ORDER_EXPIRY: 10
+            ETH_FROM: '0x5409ED021D9299bf6814279A6A1411A7e866A631'
+            CHAIN_ID: 1337
+            RPC_URL: 'http://ganache:8545'
+            AUTH_METHOD: 'other'
+            PRIVATE_KEY: 'f2f48ee19680706196e2e339e5da3491186e0c4c5030670656b0e0164837257d'
+            POSTGRES_CONNECTION_STRING: 'whatever. quoter calls rebalancer now, which demands this.'
+            REDIS_URL: 'whatever. not used'
+        ports:
+            - '4000:4000'
+        command: |
+            sh -c "waitForGanache () { until curl -s -d '{\"method\":\"net_listening\"}' http://ganache:8545 | grep true; do continue; done }; waitForGanache && cd quoter; yarn start"

package.json

@@ -8,8 +8,8 @@
     "scripts": {
         "clean": "shx rm -rf lib 0x_mesh/db",
         "build": "tsc -p tsconfig.json",
-        "test": "ETHEREUM_RPC_URL=http://localhost:8545 mocha --require source-map-support/register --require make-promises-safe lib/test/**/*_test.js --timeout 100000 --exit",
-        "dev": "nodemon -r dotenv/config src/index.ts | pino-pretty",
+        "test": "ETHEREUM_RPC_URL=http://localhost:8545 CHAIN_ID=1337 RFQT_API_KEY_WHITELIST='[\"koolApiKey1\"]' RFQT_MAKER_ENDPOINTS='[\"http://localhost:4000\"]' mocha --require source-map-support/register --require make-promises-safe lib/test/**/*_test.js --timeout 100000 --exit",
+        "dev": "ETHEREUM_RPC_URL=http://localhost:8545 CHAIN_ID=1337 RFQT_API_KEY_WHITELIST='[\"koolApiKey1\"]' RFQT_MAKER_ENDPOINTS='[\"http://localhost:4000\"]' nodemon -r dotenv/config src/index.ts | pino-pretty",
         "dev:service:http": "nodemon -r dotenv/config src/runners/http_service_runner.ts | pino-pretty",
         "dev:service:sra_http": "nodemon -r dotenv/config src/runners/http_sra_service_runner.ts | pino-pretty",
         "dev:service:staking_http": "nodemon -r dotenv/config src/runners/http_staking_service_runner.ts | pino-pretty",
@@ -24,15 +24,15 @@
         "start:service:staking_http": "node -r dotenv/config lib/src/runners/http_staking_service_runner.js",
         "start:service:swap_http": "node -r dotenv/config lib/src/runners/http_swap_service_runner.js",
         "start:service:order_watcher": "node -r dotenv/config lib/src/runners/order_watcher_service_runner.js",
-        "lint": "tslint --project . --format stylish"
+        "lint": "tslint --project . --format stylish",
+        "docker:login": "eval $(aws ecr get-login --no-include-email --region \"us-east-1\") # to pull private quoter repo. see https://docs.aws.amazon.com/cli/latest/reference/ecr/get-login.html"
     },
     "resolutions": {
         "@0x/contract-addresses": "0xProject/gitpkg-registry#0x-contract-addresses-v4.9.0-58b6c25d5",
         "@0x/contract-wrappers": "0xProject/gitpkg-registry#0x-contract-wrappers-v13.6.3-e3f3bb670"
     },
     "devDependencies": {
         "@0x/dev-utils": "^3.1.1",
-        "@0x/migrations": "^5.0.2",
         "@0x/tslint-config": "^4.0.0",
         "@0x/types": "^3.1.1",
         "@0x/typescript-typings": "^5.0.1",

src/config.ts

@@ -100,6 +100,10 @@ export const LIQUIDITY_POOL_REGISTRY_ADDRESS: string | undefined = _.isEmpty(
           EnvVarType.ETHAddressHex,
       );
 
+export const RFQT_API_KEY_WHITELIST: string[] = JSON.parse(process.env.RFQT_API_KEY_WHITELIST || '[]');
+
+export const RFQT_MAKER_ENDPOINTS: string[] = JSON.parse(process.env.RFQT_MAKER_ENDPOINTS || '[]');
+
 // Max number of entities per page
 export const MAX_PER_PAGE = 1000;
 // Default ERC20 token precision

src/handlers/swap_handlers.ts

@@ -36,6 +36,7 @@ export class SwapHandlers {
             gasPrice,
             excludedSources,
             affiliateAddress,
+            intentOnFilling,
         } = parseGetSwapQuoteRequestParams(req);
         const isETHSell = isETHSymbol(sellToken);
         const sellTokenAddress = findTokenAddressOrThrowApiError(sellToken, 'sellToken', CHAIN_ID);
@@ -63,6 +64,8 @@ export class SwapHandlers {
                 gasPrice,
                 excludedSources,
                 affiliateAddress,
+                apiKey: takerAddress && takerAddress !== NULL_ADDRESS ? req.header('0x-api-key') : undefined,
+                intentOnFilling,
             });
             res.status(HttpStatus.OK).send(swapQuote);
         } catch (e) {
@@ -166,6 +169,8 @@ const parseGetSwapQuoteRequestParams = (req: express.Request): GetSwapQuoteReque
             ? undefined
             : parseStringArrForERC20BridgeSources(req.query.excludedSources.split(','));
     const affiliateAddress = req.query.affiliateAddress;
+    // tslint:disable-next-line:boolean-naming
+    const intentOnFilling = req.query.intentOnFilling === undefined ? false : true;
     return {
         takerAddress,
         sellToken,
@@ -176,5 +181,6 @@ const parseGetSwapQuoteRequestParams = (req: express.Request): GetSwapQuoteReque
         gasPrice,
         excludedSources,
         affiliateAddress,
+        intentOnFilling,
     };
 };

src/services/swap_service.ts

@@ -20,6 +20,8 @@ import {
     CHAIN_ID,
     FEE_RECIPIENT_ADDRESS,
     LIQUIDITY_POOL_REGISTRY_ADDRESS,
+    RFQT_API_KEY_WHITELIST,
+    RFQT_MAKER_ENDPOINTS,
 } from '../config';
 import {
     DEFAULT_TOKEN_DECIMALS,
@@ -51,6 +53,8 @@ export class SwapService {
             chainId: CHAIN_ID,
             expiryBufferMs: QUOTE_ORDER_EXPIRATION_BUFFER_MS,
             liquidityProviderRegistryAddress: LIQUIDITY_POOL_REGISTRY_ADDRESS,
+            rfqtTakerApiKeyWhitelist: RFQT_API_KEY_WHITELIST,
+            rfqtMakerEndpoints: RFQT_MAKER_ENDPOINTS,
         };
         this._swapQuoter = new SwapQuoter(this._provider, orderbook, swapQuoterOpts);
         this._swapQuoteConsumer = new SwapQuoteConsumer(this._provider, swapQuoterOpts);
@@ -69,13 +73,18 @@ export class SwapService {
             from,
             excludedSources,
             affiliateAddress,
+            apiKey,
+            intentOnFilling,
         } = params;
         const assetSwapperOpts = {
             ...ASSET_SWAPPER_MARKET_ORDERS_OPTS,
             slippagePercentage,
             bridgeSlippage: slippagePercentage,
             gasPrice: providedGasPrice,
             excludedSources, // TODO(dave4506): overrides the excluded sources selected by chainId
+            apiKey,
+            intentOnFilling,
+            takerAddress: from,
         };
         if (sellAmount !== undefined) {
             swapQuote = await this._swapQuoter.getMarketSellSwapQuoteAsync(

src/types.ts

@@ -342,6 +342,8 @@ export interface GetSwapQuoteRequestParams {
     gasPrice?: BigNumber;
     excludedSources?: ERC20BridgeSource[];
     affiliateAddress?: string;
+    apiKey?: string;
+    intentOnFilling?: boolean;
 }
 
 export interface CalculateSwapQuoteParams {
@@ -355,6 +357,8 @@ export interface CalculateSwapQuoteParams {
     gasPrice?: BigNumber;
     excludedSources?: ERC20BridgeSource[];
     affiliateAddress?: string;
+    apiKey?: string;
+    intentOnFilling?: boolean;
 }
 
 export interface GetSwapQuoteResponseLiquiditySource {

test/app_test.ts

@@ -1,14 +1,16 @@
+import { ContractAddresses, getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
+import { ERC20TokenContract, WETH9Contract } from '@0x/contract-wrappers';
 import { BlockchainLifecycle, web3Factory } from '@0x/dev-utils';
-import { runMigrationsOnceAsync } from '@0x/migrations';
 import { Web3ProviderEngine } from '@0x/subproviders';
+import { BigNumber } from '@0x/utils';
 import { Web3Wrapper } from '@0x/web3-wrapper';
 import * as HttpStatus from 'http-status-codes';
 import 'mocha';
 import * as request from 'supertest';
 
 import { getAppAsync, getDefaultAppDependenciesAsync } from '../src/app';
 import * as config from '../src/config';
-import { DEFAULT_PAGE, DEFAULT_PER_PAGE, SRA_PATH } from '../src/constants';
+import { DEFAULT_PAGE, DEFAULT_PER_PAGE, SRA_PATH, SWAP_PATH } from '../src/constants';
 
 import { expect } from './utils/expect';
 
@@ -32,10 +34,9 @@ describe('app test', () => {
         blockchainLifecycle = new BlockchainLifecycle(web3Wrapper);
         await blockchainLifecycle.startAsync();
         accounts = await web3Wrapper.getAvailableAddressesAsync();
-        const owner = accounts[0];
-        await runMigrationsOnceAsync(provider, { from: owner });
 
         const dependencies = await getDefaultAppDependenciesAsync(provider, config);
+
         // start the 0x-api app
         app = await getAppAsync({ ...dependencies }, config);
     });
@@ -54,4 +55,61 @@ describe('app test', () => {
                 expect(response.body.records).to.deep.equal([]);
             });
     });
+    describe('should respond to GET /swap/quote', () => {
+        it("with INSUFFICIENT_ASSET_LIQUIDITY when there's no liquidity (empty orderbook, sampling excluded, no RFQ)", async () => {
+            await request(app)
+                .get(
+                    `${SWAP_PATH}/quote?buyToken=DAI&sellToken=WETH&buyAmount=100000000000000000&excludedSources=Uniswap,Eth2Dai,Kyber,LiquidityProvider`,
+                )
+                .expect(HttpStatus.BAD_REQUEST)
+                .expect('Content-Type', /json/)
+                .then(response => {
+                    const responseJson = JSON.parse(response.text);
+                    expect(responseJson.reason).to.equal('Validation Failed');
+                    expect(responseJson.validationErrors.length).to.equal(1);
+                    expect(responseJson.validationErrors[0].field).to.equal('buyAmount');
+                    expect(responseJson.validationErrors[0].reason).to.equal('INSUFFICIENT_ASSET_LIQUIDITY');
+                });
+        });
+    });
+    describe('should hit RFQ-T when apropriate', () => {
+        it('should get a quote from an RFQ-T provider', async () => {
+            // the 0xorg/test-quoter is running and serving RFQT quotes, using accounts[0] as its maker address.
+            // the API will exclude unfillable RFQ-T orders, so we need to set the maker's balances and allowances.
+            const [makerAddress, takerAddress] = accounts;
+            const sellAmount = new BigNumber(100000000000000000);
+
+            const contractAddresses: ContractAddresses = getContractAddressesForChainOrThrow(
+                parseInt(process.env.CHAIN_ID || '1337', 10),
+            );
+
+            const wethContract = new WETH9Contract(contractAddresses.etherToken, provider);
+            await wethContract.deposit().sendTransactionAsync({ value: sellAmount, from: takerAddress });
+            await wethContract
+                .approve(contractAddresses.erc20Proxy, sellAmount)
+                .sendTransactionAsync({ from: takerAddress });
+
+            const zrxToken = new ERC20TokenContract(contractAddresses.zrxToken, provider);
+            await zrxToken.approve(contractAddresses.erc20Proxy, sellAmount).sendTransactionAsync(
+                // using buyAmount based on assumption that the RFQ-T provider will be using a "one-to-one" strategy.
+                { from: makerAddress },
+            );
+            // done setting balances and allowances
+
+            await request(app)
+                .get(
+                    `${SWAP_PATH}/quote?buyToken=ZRX&sellToken=WETH&sellAmount=${sellAmount.toString()}&takerAddress=${takerAddress}&intentOnFilling=true&excludedSources=Uniswap,Eth2Dai,Kyber,LiquidityProvider`,
+                )
+                .set('0x-api-key', 'koolApiKey1')
+                .expect(HttpStatus.OK)
+                .expect('Content-Type', /json/)
+                .then(response => {
+                    const responseJson = JSON.parse(response.text);
+                    expect(responseJson.orders.length).to.equal(1); // the one from 0xorg/test-quoter
+                    expect(responseJson.orders[0].takerAddress.toLowerCase()).to.equal(takerAddress);
+                    expect(responseJson.orders[0].makerAddress.toLowerCase()).to.equal(makerAddress);
+                    expect(responseJson.orders[0].takerAssetAmount).to.equal(sellAmount.toString());
+                });
+        });
+    });
 });