feat: add IRfqClient (#467)

packages/asset-swapper/src/index.ts

@@ -118,6 +118,20 @@ export {
 } from './types';
 export { affiliateFeeUtils } from './utils/affiliate_fee_utils';
 export {
+<<<<<<< HEAD
+=======
+    IRfqClient,
+    RfqClientV1Price,
+    RfqClientV1PriceRequest,
+    RfqClientV1PriceResponse,
+    RfqClientV1Quote,
+    RfqClientV1QuoteRequest,
+    RfqClientV1QuoteResponse,
+} from './utils/irfq_client';
+export {
+    DEFAULT_TOKEN_ADJACENCY_GRAPH_BY_CHAIN_ID,
+    DEFAULT_GAS_SCHEDULE,
+>>>>>>> a7f23a982 (feat: add IRfqClient (#467))
     SOURCE_FLAGS,
     BUY_SOURCE_FILTER_BY_CHAIN_ID,
     SELL_SOURCE_FILTER_BY_CHAIN_ID,

packages/asset-swapper/src/swap_quoter.ts

@@ -28,6 +28,7 @@ import {
     SwapQuoterRfqOpts,
 } from './types';
 import { assert } from './utils/assert';
+import { IRfqClient } from './utils/irfq_client';
 import { MarketOperationUtils } from './utils/market_operation_utils';
 import { ZERO_AMOUNT } from './utils/market_operation_utils/constants';
 import { SamplerClient } from './utils/market_operation_utils/sampler';
@@ -287,6 +288,7 @@ export class SwapQuoter {
         assetFillAmount: BigNumber,
         marketOperation: MarketOperation,
         options: Partial<SwapQuoteRequestOpts>,
+        rfqClient: IRfqClient | undefined,
     ): Promise<SwapQuote> {
         assert.isETHAddressHex('makerToken', makerToken);
         assert.isETHAddressHex('takerToken', takerToken);
@@ -336,6 +338,7 @@ export class SwapQuoter {
                 this.expiryBufferMs,
                 rfqtOptions?.metricsProxy,
             );
+            calcOpts.rfqt.rfqClient = rfqClient;
         }
 
         const result: OptimizerResultWithReport = await this._marketOperationUtils.getOptimizerResultAsync(

packages/asset-swapper/src/utils/alt_mm_implementation_utils.ts

@@ -17,7 +17,10 @@ import {
 
 const SUCCESS_CODE = 201;
 
-function getAltMarketInfo(
+/**
+ * Returns the AltOffering if it exists for a given pair
+ */
+export function getAltMarketInfo(
     offerings: AltOffering[],
     buyTokenAddress: string,
     sellTokenAddress: string,

packages/asset-swapper/src/utils/irfq_client.ts

@@ -0,0 +1,59 @@
+import { RfqOrder, Signature } from '@0x/protocol-utils';
+import { BigNumber } from '@0x/utils';
+
+import { AltRfqMakerAssetOfferings } from '../types';
+
+export interface RfqClientV1PriceRequest {
+    altRfqAssetOfferings: AltRfqMakerAssetOfferings | undefined;
+    assetFillAmount: BigNumber;
+    chainId: number;
+    comparisonPrice: BigNumber | undefined;
+    integratorId: string;
+    intentOnFilling: boolean;
+    makerToken: string;
+    marketOperation: 'Sell' | 'Buy';
+    takerAddress: string;
+    takerToken: string;
+    txOrigin: string;
+}
+
+export interface RfqClientV1QuoteRequest extends RfqClientV1PriceRequest {}
+
+export interface RfqClientV1Price {
+    expiry: BigNumber;
+    kind: 'rfq' | 'otc';
+    makerAmount: BigNumber;
+    makerToken: string;
+    makerUri: string;
+    takerAmount: BigNumber;
+    takerToken: string;
+}
+
+export interface RfqClientV1PriceResponse {
+    prices: RfqClientV1Price[];
+}
+
+export interface RfqClientV1Quote {
+    makerUri: string;
+    order: RfqOrder;
+    signature: Signature;
+}
+
+export interface RfqClientV1QuoteResponse {
+    quotes: RfqClientV1Quote[];
+}
+
+/**
+ * IRfqClient is an interface that defines how to connect with an Rfq system.
+ */
+export interface IRfqClient {
+    /**
+     * Fetches a list of "indicative quotes" or prices from a remote Rfq server
+     */
+    getV1PricesAsync(request: RfqClientV1PriceRequest): Promise<RfqClientV1PriceResponse>;
+
+    /**
+     * Fetches a list of "firm quotes" or signed quotes from a remote Rfq server.
+     */
+    getV1QuotesAsync(request: RfqClientV1QuoteRequest): Promise<RfqClientV1QuoteResponse>;
+}

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

@@ -5,15 +5,30 @@ import * as _ from 'lodash';
 
 import { DEFAULT_INFO_LOGGER, INVALID_SIGNATURE } from '../../constants';
 import {
+<<<<<<< HEAD
     Address,
+=======
+    AltRfqMakerAssetOfferings,
+>>>>>>> a7f23a982 (feat: add IRfqClient (#467))
     AssetSwapperContractAddresses,
     MarketOperation,
     SamplerMetrics,
     SignedNativeOrder,
     SignedRfqOrder,
 } from '../../types';
+<<<<<<< HEAD
 import { NativeOrderWithFillableAmounts } from '../native_orders';
 import { QuoteRequestor } from '../quote_requestor';
+=======
+import { getAltMarketInfo } from '../alt_mm_implementation_utils';
+import { QuoteRequestor, V4RFQIndicativeQuoteMM } from '../quote_requestor';
+import { toSignedNativeOrder } from '../rfq_client_mappers';
+import {
+    getNativeAdjustedFillableAmountsFromMakerAmount,
+    getNativeAdjustedFillableAmountsFromTakerAmount,
+    getNativeAdjustedMakerFillAmount,
+} from '../utils';
+>>>>>>> a7f23a982 (feat: add IRfqClient (#467))
 
 import {
     dexSampleToReportSource,
@@ -751,17 +766,49 @@ export class MarketOperationUtils {
             // Timing of RFQT lifecycle
             const timeStart = new Date().getTime();
             const { makerToken, takerToken } = nativeOrders[0].order;
+
+            // Filter Alt Rfq Maker Asset Offerings to the current pair
+            const filteredOfferings: AltRfqMakerAssetOfferings = {};
+            if (rfqt.altRfqAssetOfferings) {
+                const endpoints = Object.keys(rfqt.altRfqAssetOfferings);
+                for (const endpoint of endpoints) {
+                    // Get the current pair if being offered
+                    const offering = getAltMarketInfo(rfqt.altRfqAssetOfferings[endpoint], makerToken, takerToken);
+                    if (offering) {
+                        filteredOfferings[endpoint] = [offering];
+                    }
+                }
+            }
+
             if (rfqt.isIndicative) {
                 // An indicative quote is being requested, and indicative quotes price-aware enabled
                 // Make the RFQT request and then re-run the sampler if new orders come back.
-                const indicativeQuotes = await rfqt.quoteRequestor.requestRfqtIndicativeQuotesAsync(
-                    makerToken,
-                    takerToken,
-                    amount,
-                    side,
-                    wholeOrderPrice,
-                    rfqt,
-                );
+
+                const indicativeQuotes =
+                    rfqt.rfqClient !== undefined
+                        ? ((
+                              await rfqt.rfqClient.getV1PricesAsync({
+                                  altRfqAssetOfferings: filteredOfferings,
+                                  assetFillAmount: amount,
+                                  chainId: this._sampler.chainId,
+                                  comparisonPrice: wholeOrderPrice,
+                                  integratorId: rfqt.integrator.integratorId,
+                                  intentOnFilling: rfqt.intentOnFilling,
+                                  makerToken,
+                                  marketOperation: side,
+                                  takerAddress: rfqt.takerAddress,
+                                  takerToken,
+                                  txOrigin: rfqt.txOrigin,
+                              })
+                          ).prices as V4RFQIndicativeQuoteMM[])
+                        : await rfqt.quoteRequestor.requestRfqtIndicativeQuotesAsync(
+                              makerToken,
+                              takerToken,
+                              amount,
+                              side,
+                              wholeOrderPrice,
+                              rfqt,
+                          );
                 const deltaTime = new Date().getTime() - timeStart;
                 DEFAULT_INFO_LOGGER({
                     rfqQuoteType: 'indicative',
@@ -781,14 +828,31 @@ export class MarketOperationUtils {
             } else {
                 // A firm quote is being requested, and firm quotes price-aware enabled.
                 // Ensure that `intentOnFilling` is enabled and make the request.
-                const firmQuotes = await rfqt.quoteRequestor.requestRfqtFirmQuotesAsync(
-                    makerToken,
-                    takerToken,
-                    amount,
-                    side,
-                    wholeOrderPrice,
-                    rfqt,
-                );
+                const firmQuotes =
+                    rfqt.rfqClient !== undefined
+                        ? (
+                              await rfqt.rfqClient.getV1QuotesAsync({
+                                  altRfqAssetOfferings: filteredOfferings,
+                                  assetFillAmount: amount,
+                                  chainId: this._sampler.chainId,
+                                  comparisonPrice: wholeOrderPrice,
+                                  integratorId: rfqt.integrator.integratorId,
+                                  intentOnFilling: rfqt.intentOnFilling,
+                                  makerToken,
+                                  marketOperation: side,
+                                  takerAddress: rfqt.takerAddress,
+                                  takerToken,
+                                  txOrigin: rfqt.txOrigin,
+                              })
+                          ).quotes.map(toSignedNativeOrder)
+                        : await rfqt.quoteRequestor.requestRfqtFirmQuotesAsync(
+                              makerToken,
+                              takerToken,
+                              amount,
+                              side,
+                              wholeOrderPrice,
+                              rfqt,
+                          );
                 const deltaTime = new Date().getTime() - timeStart;
                 DEFAULT_INFO_LOGGER({
                     rfqQuoteType: 'firm',

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

@@ -7,9 +7,15 @@ import {
 import { MarketOperation } from '@0x/types';
 import { BigNumber } from '@0x/utils';
 
+<<<<<<< HEAD
 import { Address, Bytes, RfqFirmQuoteValidator, RfqRequestOpts } from '../../types';
 import { NativeOrderWithFillableAmounts } from '../native_orders';
 import { QuoteRequestor } from '../../utils/quote_requestor';
+=======
+import { NativeOrderWithFillableAmounts, RfqFirmQuoteValidator, RfqRequestOpts } from '../../types';
+import { QuoteRequestor, V4RFQIndicativeQuoteMM } from '../../utils/quote_requestor';
+import { IRfqClient } from '../irfq_client';
+>>>>>>> a7f23a982 (feat: add IRfqClient (#467))
 import { ExtendedQuoteReportSources, PriceComparisonsReport, QuoteReport } from '../quote_report_generator';
 
 import { SourceFilters } from './source_filters';
@@ -401,6 +407,7 @@ export interface OptimizedRfqOrder extends OptimizedNativeOrder {
 }
 
 export interface GetMarketOrdersRfqOpts extends RfqRequestOpts {
+    rfqClient?: IRfqClient;
     quoteRequestor?: QuoteRequestor;
     firmQuoteValidator?: RfqFirmQuoteValidator;
 }

packages/asset-swapper/src/utils/rfq_client_mappers.ts

@@ -0,0 +1,16 @@
+import { FillQuoteTransformerOrderType } from '@0x/protocol-utils';
+
+import { SignedNativeOrder } from '../types';
+
+import { RfqClientV1Quote } from './irfq_client';
+
+/**
+ * Converts a RfqClientRfqOrderFirmQuote to a SignedNativeOrder
+ */
+export const toSignedNativeOrder = (quote: RfqClientV1Quote): SignedNativeOrder => {
+    return {
+        type: FillQuoteTransformerOrderType.Rfq,
+        order: quote.order,
+        signature: quote.signature,
+    };
+};