feat: RFQ-T follow-ups (#201)

* Adapt to asset-swapper: expiry in indicative quote * Relay asset-swapper info logs to app's logger This will enable the logging of aggregate time spent waiting on RFQ-T makers in each request. * Adapt to asset-swapper: offerings, not endpoints Rather than "RFQ-T maker endpoints," asset-swapper now has the notion of "RFQ-T maker asset offerings," incorporating "supported asset pairs," so that time isn't wasted requesting quotes for unsupported asset pairs. * Make RFQT API key env var handling conventional That is, following the convention in the file. * Skip buy requests for RFQ-T * test: lengthen timeout of dependency startup This was done to prevent test timeouts, which were experienced in CI, at the recommendation of Alex Towle. * Log the basis for indicative quotes * test: lengthen timeout of dependency startup This was done to prevent test timeouts, which were experienced in CI, at the recommendation of Alex Towle. * Assert that RFQT maker asset pairs don't dupe Assert that an RFQ-T maker's asset offerings specification doesn't include an asset pair with identical assets. Addresses review comment #201 (comment) * Pin asset-swapper to monorepo `development` 0xProject/0x-monorepo@ff1811e * test: lengthen timeout of dependency startup This was done to prevent test timeouts, which were experienced in CI, at the recommendation of Alex Towle.
0xProject · May 8, 2020 · a55f22e · a55f22e
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diff --git a/package.json b/package.json
@@ -11,7 +11,7 @@
         "clean:ts": "shx rm -rf lib",
         "clean:docker": "shx rm -rf 0x_mesh/db",
         "build": "tsc -p tsconfig.json",
-        "test": "ETHEREUM_RPC_URL=http://localhost:8545 CHAIN_ID=1337 RFQT_API_KEY_WHITELIST='koolApiKey1,koolApikey2' RFQT_MAKER_ENDPOINTS='https://mock-rfqt1.club' META_TXN_RELAY_ADDRESS=0x9eFCa436873b55a0d6AEa260f92DE50150360dca META_TXN_RELAY_PRIVATE_KEY=82b9c3b8d45f608badd8fda250a0d95088381540e850734519b659e1e1ac3e71 mocha --require source-map-support/register --require make-promises-safe lib/test/**/*_test.js --timeout 200000 --exit",
+        "test": "ETHEREUM_RPC_URL=http://localhost:8545 CHAIN_ID=1337 RFQT_API_KEY_WHITELIST='koolApiKey1,koolApikey2' RFQT_MAKER_ASSET_OFFERINGS='{\"https://mock-rfqt1.club\": [[\"0x871dd7c2b4b25e1aa18728e9d5f2af4c4e431f5c\",\"0x0b1ba0af832d7c05fd64161e0db78e85978e8082\"]]}' META_TXN_RELAY_ADDRESS=0x9eFCa436873b55a0d6AEa260f92DE50150360dca META_TXN_RELAY_PRIVATE_KEY=82b9c3b8d45f608badd8fda250a0d95088381540e850734519b659e1e1ac3e71 mocha --require source-map-support/register --require make-promises-safe lib/test/**/*_test.js --timeout 200000 --exit",
         "dev": "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",
@@ -116,7 +116,7 @@
     },
     "dependencies": {
         "@0x/assert": "^3.0.4",
-        "@0x/asset-swapper": "0xProject/gitpkg-registry#0x-asset-swapper-v4.4.0-fb0311e67",
+        "@0x/asset-swapper": "0xProject/gitpkg-registry#0x-asset-swapper-v4.4.0-ff1811ef9",
         "@0x/connect": "^6.0.4",
         "@0x/contract-addresses": "0xProject/gitpkg-registry#0x-contract-addresses-v4.9.0-fb0311e67",
         "@0x/contract-wrappers": "0xProject/gitpkg-registry#0x-contract-wrappers-v13.6.3-fb0311e67",

diff --git a/src/config.ts b/src/config.ts
@@ -1,6 +1,6 @@
 // tslint:disable:custom-no-magic-numbers
 import { assert } from '@0x/assert';
-import { ERC20BridgeSource, SwapQuoteRequestOpts } from '@0x/asset-swapper';
+import { ERC20BridgeSource, RfqtMakerAssetOfferings, SwapQuoteRequestOpts } from '@0x/asset-swapper';
 import { BigNumber } from '@0x/utils';
 import * as _ from 'lodash';
 import * as validateUUID from 'uuid-validate';
@@ -10,6 +10,7 @@ import {
     DEFAULT_LOCAL_POSTGRES_URI,
     DEFAULT_LOGGER_INCLUDE_TIMESTAMP,
     DEFAULT_QUOTE_SLIPPAGE_PERCENTAGE,
+    DEFAULT_RFQT_SKIP_BUY_REQUESTS,
     NULL_ADDRESS,
     NULL_BYTES,
 } from './constants';
@@ -30,6 +31,7 @@ enum EnvVarType {
     FeeAssetData,
     NonEmptyString,
     APIKeys,
+    RfqtMakerAssetOfferings,
 }
 
 // Network port to listen on
@@ -149,11 +151,22 @@ export const LIQUIDITY_POOL_REGISTRY_ADDRESS: string | undefined = _.isEmpty(
           EnvVarType.ETHAddressHex,
       );
 
-export const RFQT_API_KEY_WHITELIST: string[] =
-    process.env.RFQT_API_KEY_WHITELIST === undefined ? [] : process.env.RFQT_API_KEY_WHITELIST.split(',');
+export const RFQT_API_KEY_WHITELIST: string[] = _.isEmpty(process.env.RFQT_API_KEY_WHITELIST)
+    ? []
+    : assertEnvVarType('RFQT_API_KEY_WHITELIST', process.env.RFQT_API_KEY_WHITELIST, EnvVarType.StringList);
+
+export const RFQT_MAKER_ASSET_OFFERINGS: RfqtMakerAssetOfferings = _.isEmpty(process.env.RFQT_MAKER_ASSET_OFFERINGS)
+    ? {}
+    : assertEnvVarType(
+          'RFQT_MAKER_ASSET_OFFERINGS',
+          process.env.RFQT_MAKER_ASSET_OFFERINGS,
+          EnvVarType.RfqtMakerAssetOfferings,
+      );
 
-export const RFQT_MAKER_ENDPOINTS: string[] =
-    process.env.RFQT_MAKER_ENDPOINTS === undefined ? [] : process.env.RFQT_MAKER_ENDPOINTS.split(',');
+// tslint:disable-next-line:boolean-naming
+export const RFQT_SKIP_BUY_REQUESTS: boolean = _.isEmpty(process.env.RFQT_SKIP_BUY_REQUESTS)
+    ? DEFAULT_RFQT_SKIP_BUY_REQUESTS
+    : assertEnvVarType('RFQT_SKIP_BUY_REQUESTS', process.env.RFQT_SKIP_BUY_REQUESTS, EnvVarType.Boolean);
 
 // Whitelisted 0x API keys that can use the meta-txn /submit endpoint
 export const WHITELISTED_API_KEYS_META_TXN_SUBMIT: string[] =
@@ -297,6 +310,37 @@ function assertEnvVarType(name: string, value: any, expectedType: EnvVarType): a
                 }
             });
             return apiKeys;
+
+        case EnvVarType.RfqtMakerAssetOfferings:
+            const offerings: RfqtMakerAssetOfferings = JSON.parse(value);
+            // tslint:disable-next-line:forin
+            for (const makerEndpoint in offerings) {
+                assert.isWebUri('market maker endpoint', makerEndpoint);
+
+                const assetOffering = offerings[makerEndpoint];
+                assert.isArray(`value in maker endpoint mapping, for index ${makerEndpoint},`, assetOffering);
+                assetOffering.forEach((assetPair, i) => {
+                    assert.isArray(`asset pair array ${i} for maker endpoint ${makerEndpoint}`, assetPair);
+                    assert.assert(
+                        assetPair.length === 2,
+                        `asset pair array ${i} for maker endpoint ${makerEndpoint} does not consist of exactly two elements.`,
+                    );
+                    assert.isETHAddressHex(
+                        `first token address for asset pair ${i} for maker endpoint ${makerEndpoint}`,
+                        assetPair[0],
+                    );
+                    assert.isETHAddressHex(
+                        `second token address for asset pair ${i} for maker endpoint ${makerEndpoint}`,
+                        assetPair[1],
+                    );
+                    assert.assert(
+                        assetPair[0] !== assetPair[1],
+                        `asset pair array ${i} for maker endpoint ${makerEndpoint} has identical assets`,
+                    );
+                });
+            }
+            return offerings;
+
         default:
             throw new Error(`Unrecognised EnvVarType: ${expectedType} encountered for variable ${name}.`);
     }

diff --git a/src/constants.ts b/src/constants.ts
@@ -36,6 +36,7 @@ export const PROTOCOL_FEE_UTILS_POLLING_INTERVAL_IN_MS = 6000;
 export const UNWRAP_QUOTE_GAS = new BigNumber(60000);
 export const WRAP_QUOTE_GAS = new BigNumber(40000);
 export const ONE_GWEI = new BigNumber(1000000000);
+export const DEFAULT_RFQT_SKIP_BUY_REQUESTS = true;
 
 // API namespaces
 export const SRA_PATH = '/sra/v3';

diff --git a/src/handlers/swap_handlers.ts b/src/handlers/swap_handlers.ts
@@ -57,7 +57,18 @@ export class SwapHandlers {
         const params = parseGetSwapQuoteRequestParams(req, 'price');
         params.skipValidation = true;
         const quote = await this._calculateSwapQuoteAsync(params);
-        const { price, value, gasPrice, gas, protocolFee, buyAmount, sellAmount, sources } = quote;
+        const { price, value, gasPrice, gas, protocolFee, buyAmount, sellAmount, sources, orders } = quote;
+        logger.info({
+            indicativeQuoteServed: {
+                taker: params.takerAddress,
+                apiKey: params.apiKey,
+                buyToken: params.buyToken,
+                sellToken: params.sellToken,
+                buyAmount: params.buyAmount,
+                sellAmount: params.sellAmount,
+                makers: orders.map(o => o.makerAddress),
+            },
+        });
         res.status(HttpStatus.OK).send({ price, value, gasPrice, gas, protocolFee, buyAmount, sellAmount, sources });
     }
     // tslint:disable-next-line:prefer-function-over-method

diff --git a/src/services/swap_service.ts b/src/services/swap_service.ts
@@ -19,7 +19,8 @@ import {
     CHAIN_ID,
     LIQUIDITY_POOL_REGISTRY_ADDRESS,
     RFQT_API_KEY_WHITELIST,
-    RFQT_MAKER_ENDPOINTS,
+    RFQT_MAKER_ASSET_OFFERINGS,
+    RFQT_SKIP_BUY_REQUESTS,
 } from '../config';
 import {
     GAS_LIMIT_BUFFER_PERCENTAGE,
@@ -52,8 +53,10 @@ export class SwapService {
             liquidityProviderRegistryAddress: LIQUIDITY_POOL_REGISTRY_ADDRESS,
             rfqt: {
                 takerApiKeyWhitelist: RFQT_API_KEY_WHITELIST,
-                makerEndpoints: RFQT_MAKER_ENDPOINTS,
+                makerAssetOfferings: RFQT_MAKER_ASSET_OFFERINGS,
+                skipBuyRequests: RFQT_SKIP_BUY_REQUESTS,
                 warningLogger: logger.warn.bind(logger),
+                infoLogger: logger.info.bind(logger),
             },
             permittedOrderFeeTypes: new Set([OrderPrunerPermittedFeeTypes.NoFees]),
         };

diff --git a/src/types.ts b/src/types.ts
@@ -453,6 +453,7 @@ export interface CalculateSwapQuoteParams {
     rfqt?: {
         intentOnFilling?: boolean;
         isIndicative?: boolean;
+        skipBuyRequests?: boolean;
     };
     skipValidation: boolean;
 }

diff --git a/test/app_test.ts b/test/app_test.ts
@@ -286,6 +286,25 @@ describe(SUITE_NAME, () => {
                     expect(validationErrors.length).to.eql(1);
                     expect(validationErrors[0].reason).to.eql('INSUFFICIENT_ASSET_LIQUIDITY');
                 });
+                it("should fail when it's a buy order and those are disabled (which is the default)", async () => {
+                    const buyAmount = new BigNumber(100000000000000000);
+
+                    const wethContract = new WETH9Contract(contractAddresses.etherToken, provider);
+                    await wethContract
+                        .approve(contractAddresses.erc20Proxy, new BigNumber(0))
+                        .sendTransactionAsync({ from: takerAddress });
+
+                    const appResponse = await request(app)
+                        .get(
+                            `${SWAP_PATH}/quote?buyToken=ZRX&sellToken=WETH&buyAmount=${buyAmount.toString()}&takerAddress=${takerAddress}&intentOnFilling=true&excludedSources=Uniswap,Eth2Dai,Kyber,LiquidityProvider&skipValidation=true`,
+                        )
+                        .set('0x-api-key', 'koolApiKey1')
+                        .expect(HttpStatus.BAD_REQUEST)
+                        .expect('Content-Type', /json/);
+                    const validationErrors = appResponse.body.validationErrors;
+                    expect(validationErrors.length).to.eql(1);
+                    expect(validationErrors[0].reason).to.eql('INSUFFICIENT_ASSET_LIQUIDITY');
+                });
                 it('should succeed when taker can not actually fill but we skip validation', async () => {
                     const sellAmount = new BigNumber(100000000000000000);
 

diff --git a/test/utils/deployment.ts b/test/utils/deployment.ts
@@ -206,6 +206,6 @@ async function waitForDependencyStartupAsync(logStream: ChildProcessWithoutNullS
         });
         setTimeout(() => {
             reject(new Error('Timed out waiting for dependency logs'));
-        }, 180000); // tslint:disable-line:custom-no-magic-numbers
+        }, 300000); // tslint:disable-line:custom-no-magic-numbers
     });
 }
diff --git a/test/utils/mocks.ts b/test/utils/mocks.ts
@@ -24,4 +24,5 @@ export const rfqtIndicativeQuoteResponse = {
     takerAssetAmount: '100000000000000000',
     makerAssetData: '0xf47261b0000000000000000000000000871dd7c2b4b25e1aa18728e9d5f2af4c4e431f5c',
     takerAssetData: '0xf47261b00000000000000000000000000b1ba0af832d7c05fd64161e0db78e85978e8082',
+    expirationTimeSeconds: '1903620548', // in the year 2030
 };
diff --git a/yarn.lock b/yarn.lock
@@ -32,9 +32,9 @@
     lodash "^4.17.11"
     valid-url "^1.0.9"
 
-"@0x/asset-swapper@0xProject/gitpkg-registry#0x-asset-swapper-v4.4.0-fb0311e67":
+"@0x/asset-swapper@0xProject/gitpkg-registry#0x-asset-swapper-v4.4.0-ff1811ef9":
   version "4.4.0"
-  resolved "https://codeload.github.com/0xProject/gitpkg-registry/tar.gz/d2a51170beec721e992ecdefcaab79a8ae4e6ab0"
+  resolved "https://codeload.github.com/0xProject/gitpkg-registry/tar.gz/64535d1f229d124c2d57102f6a9d28a9e94cc820"
   dependencies:
     "@0x/assert" "^3.0.7"
     "@0x/contract-addresses" "^4.9.0"