cowprotocol · anxolin · Aug 22, 2024 · Aug 22, 2024 · Aug 22, 2024 · Aug 22, 2024
diff --git a/apps/api/scripts/test-slippage.js b/apps/api/scripts/test-slippage.js
@@ -13,72 +13,72 @@ const PAIRS_TEST = {
   Mainnet: [
     {
       pair: 'USDC-DAI',
-      quoteToken: '0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48',
-      baseToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
+      baseToken: '0xA0b86991c6218b36c1d19D4a2e9Eb0cE3606eB48',
+      quoteToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
     },
     {
       pair: 'DAI-ETH',
-      quoteToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
-      baseToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
+      baseToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
+      quoteToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
     },
     {
       pair: 'DAI-WETH',
-      quoteToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
-      baseToken: '0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2',
+      baseToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
+      quoteToken: '0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2',
     },
     {
       pair: 'PEPE-DAI',
-      quoteToken: '0x6982508145454Ce325dDbE47a25d4ec3d2311933',
-      baseToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
+      baseToken: '0x6982508145454Ce325dDbE47a25d4ec3d2311933',
+      quoteToken: '0x6B175474E89094C44Da98b954EedeAC495271d0F',
     },
     {
       pair: 'PEPE-WETH',
-      quoteToken: '0x6982508145454Ce325dDbE47a25d4ec3d2311933',
-      baseToken: '0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2',
+      baseToken: '0x6982508145454Ce325dDbE47a25d4ec3d2311933',
+      quoteToken: '0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2',
     },
     {
       pair: 'COW-WETH',
-      quoteToken: '0xDEf1CA1fb7FBcDC777520aa7f396b4E015F497aB',
-      baseToken: '0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2',
+      baseToken: '0xDEf1CA1fb7FBcDC777520aa7f396b4E015F497aB',
+      quoteToken: '0xC02aaA39b223FE8D0A0e5C4F27eAD9083C756Cc2',
     },
   ],
   'Gnosis Chain': [
     {
       pair: 'USDC-xDAI',
-      quoteToken: '0xDDAfbb505ad214D7b80b1f830fcCc89B60fb7A83',
-      baseToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
+      baseToken: '0xDDAfbb505ad214D7b80b1f830fcCc89B60fb7A83',
+      quoteToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
     },
     {
       pair: 'sDAI-xDAI',
-      quoteToken: '0xaf204776c7245bF4147c2612BF6e5972Ee483701',
-      baseToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
+      baseToken: '0xaf204776c7245bF4147c2612BF6e5972Ee483701',
+      quoteToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
     },
     {
       pair: 'sDAI-wxDAI',
-      quoteToken: '0xaf204776c7245bF4147c2612BF6e5972Ee483701',
-      baseToken: '0xe91D153E0b41518A2Ce8Dd3D7944Fa863463a97d',
+      baseToken: '0xaf204776c7245bF4147c2612BF6e5972Ee483701',
+      quoteToken: '0xe91D153E0b41518A2Ce8Dd3D7944Fa863463a97d',
     },
     {
       pair: 'WETH-xDAI',
-      quoteToken: '0x6A023CCd1ff6F2045C3309768eAd9E68F978f6e1',
-      baseToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
+      baseToken: '0x6A023CCd1ff6F2045C3309768eAd9E68F978f6e1',
+      quoteToken: '0xEeeeeEeeeEeEeeEeEeEeeEEEeeeeEeeeeeeeEEeE',
     },
   ],
   Arbitrum: [
     {
       pair: 'USDC-DAI',
-      quoteToken: '0xaf88d065e77c8cC2239327C5EDb3A432268e5831',
-      baseToken: '0xDA10009cBd5D07dd0CeCc66161FC93D7c9000da1',
+      baseToken: '0xaf88d065e77c8cC2239327C5EDb3A432268e5831',
+      quoteToken: '0xDA10009cBd5D07dd0CeCc66161FC93D7c9000da1',
     },
     {
       pair: 'DAI-WETH',
-      quoteToken: '0xDA10009cBd5D07dd0CeCc66161FC93D7c9000da1',
-      baseToken: '0x82aF49447D8a07e3bd95BD0d56f35241523fBab1',
+      baseToken: '0xDA10009cBd5D07dd0CeCc66161FC93D7c9000da1',
+      quoteToken: '0x82aF49447D8a07e3bd95BD0d56f35241523fBab1',
     },
     {
       pair: 'COW-WETH',
-      quoteToken: '0xcb8b5CD20BdCaea9a010aC1F8d835824F5C87A04',
-      baseToken: '0x82aF49447D8a07e3bd95BD0d56f35241523fBab1',
+      baseToken: '0xcb8b5CD20BdCaea9a010aC1F8d835824F5C87A04',
+      quoteToken: '0x82aF49447D8a07e3bd95BD0d56f35241523fBab1',
     },
   ],
 };
@@ -98,42 +98,53 @@ const fetchForMarket = async (chainId, quoteToken, baseToken, endpoint) => {
 };
 
 const fetchVolatilityDetails = async (pair, chainId, quoteToken, baseToken) => {
-  const result = await fetchForMarket(
-    chainId,
-    quoteToken,
-    baseToken,
-    'volatilityDetails'
-  );
-
-  fs.writeFileSync(
-    `${chainId}-${pair}__volatilityDetails.json`,
-    JSON.stringify(result, null, 2)
-  );
+  return fetchForMarket(chainId, quoteToken, baseToken, 'volatilityDetails');
 };
 
 const fetchSlippageTolerance = async (pair, chainId, quoteToken, baseToken) => {
-  const result = await fetchForMarket(
-    chainId,
-    quoteToken,
-    baseToken,
-    'slippageTolerance'
-  );
-  console.log(
-    `${pair}: ${result ? result.slippageBps : 'Error fetching data'}`
-  );
-  fs.writeFileSync(
-    `${chainId}-${pair}__slippageTolerance.json`,
-    JSON.stringify(result, null, 2)
-  );
+  return fetchForMarket(chainId, quoteToken, baseToken, 'slippageTolerance');
 };
 
 (async function () {
   for (const chain in PAIRS_TEST) {
     console.log(`\nFetching slippage tolerances for ${chain}:`);
     const chainId = NetworkToChainId[chain];
     for (const { pair, quoteToken, baseToken } of PAIRS_TEST[chain]) {
-      await fetchSlippageTolerance(pair, chainId, quoteToken, baseToken);
-      await fetchVolatilityDetails(pair, chainId, quoteToken, baseToken);
+      const slippage = await fetchSlippageTolerance(
+        pair,
+        chainId,
+        quoteToken,
+        baseToken
+      );
+      const volatilityDetails = await fetchVolatilityDetails(
+        pair,
+        chainId,
+        quoteToken,
+        baseToken
+      );
+
+      if (!slippage) {
+        console.error(`Error fetching slippage tolerance for ${pair}`);
+        process.exit(1);
+      }
+
+      console.log(`${pair}: ${slippage.slippageBps}`);
+
+      fs.writeFileSync(
+        `${chainId}-${pair}.json`,
+        JSON.stringify(
+          {
+            pair,
+            chainId,
+            baseToken,
+            quoteToken,
+            slippageBps: slippage ? slippage.slippageBps : null,
+            volatilityDetails,
+          },
+          null,
+          2
+        )
+      );
     }
   }
 })();
diff --git a/apps/api/src/app/plugins/cors.ts b/apps/api/src/app/plugins/cors.ts
@@ -1,10 +1,25 @@
-import cors from "@fastify/cors";
-import fp from "fastify-plugin";
+import cors, { FastifyCorsOptions } from '@fastify/cors';
+import fp from 'fastify-plugin';
 
 export default fp(async (fastify, opts) => {
-  const options = {
+  const options: FastifyCorsOptions = {
     ...opts,
     origin: false,
+    delegator: (req, callback) => {
+      const corsOptions = {
+        origin: false,
+      };
+
+      // do not include CORS headers for requests from localhost
+      const origin = req.headers.origin;
+      console.log('delegator', origin);
+      if (origin && /^http:\/\/localhost/.test(origin)) {
+        corsOptions.origin = true;
+      }
+
+      // callback expects two parameters: error and options
+      callback(null, corsOptions);
+    },
   };
   fastify.register(cors, options);
 });
diff --git a/libs/services/src/SlippageService/SlippageServiceMain.spec.ts b/libs/services/src/SlippageService/SlippageServiceMain.spec.ts
@@ -23,7 +23,10 @@ const POINTS_WITH_LOW_VOLATILITY = getPoints([
   100.0001, 100.0002, 100.0003, 100.0004,
 ]); // 0.0001% each 5min
 
-describe('SlippageServiceMain', () => {
+/**
+ * Test specification for the SlippageService main implementation
+ */
+describe('SlippageServiceMain Specification', () => {
   let slippageService: SlippageServiceMain;
   let usdRepositoryMock: UsdRepository;
 

diff --git a/libs/services/src/SlippageService/SlippageServiceMain.test.ts b/libs/services/src/SlippageService/SlippageServiceMain.test.ts
@@ -0,0 +1,105 @@
+import { SlippageServiceMain } from './SlippageServiceMain';
+import fs from 'fs';
+import path from 'path';
+import {
+  ChainNames,
+  SupportedChainId,
+  toSupportedChainId,
+} from '../../../shared/src';
+
+const getUsdPrice = jest.fn();
+const getUsdPrices = jest.fn();
+
+/**
+ * Test the SlippageService main implementation using realistic test data.
+ * One difference between these tests and the ones in SlippageServiceMain.spec.ts is that in these tests we will use
+ * real data for prices and USD we received from Coingecko and we save into test data files.
+ *
+ * These will allow to refine the slippage calculation algorithm to make it work well with real data.
+ */
+describe('SlippageServiceMain: Real test data', () => {
+  let slippageService: SlippageServiceMain;
+
+  // Read all files in test-data folder
+  const testDataDir = path.join(__dirname, 'test-data');
+  const testDataFiles = fs.readdirSync(testDataDir);
+
+  for (const fileName of testDataFiles) {
+    const {
+      pair,
+      baseToken: baseTokenAddress,
+      quoteToken: quoteTokenAddress,
+      chainId: chainIdValue,
+      volatilityDetails,
+      slippageBps,
+    } = readTestFile(path.join(testDataDir, fileName));
+
+    const chainId = toSupportedChainId(chainIdValue);
+    const chainName = ChainNames[chainId];
+
+    // Uncomment to tests a single pair
+    // if (pair !== 'WETH-xDAI' || chainId !== SupportedChainId.GNOSIS_CHAIN)
+    //   continue;
+
+    test(`Expect ${chainName} ${pair} slippage to be ${slippageBps} BPS`, async () => {
+      const {
+        quoteToken: quoteTokenVolatilityDetails,
+        baseToken: baseTokenVolatilityDetails,
+      } = volatilityDetails;
+
+      // GIVEN: USD price for the base and quote tokens
+      getUsdPrice.mockImplementation(async (_chainId, tokenAddress) => {
+        if (tokenAddress === baseTokenAddress) {
+          return baseTokenVolatilityDetails.usdPrice;
+        } else {
+          return quoteTokenVolatilityDetails.usdPrice;
+        }
+      });
+
+      // GIVEN: USD prices for the base and quote tokens
+      getUsdPrices.mockImplementation(async (_chainId, tokenAddress) => {
+        if (tokenAddress === baseTokenAddress) {
+          return baseTokenVolatilityDetails.prices;
+        } else {
+          return quoteTokenVolatilityDetails.prices;
+        }
+      });
+
+      // WHEN: Get the slippage
+      const slippage = await slippageService.getSlippageBps({
+        chainId,
+        baseTokenAddress,
+        quoteTokenAddress,
+      });
+
+      // THEN: The slippage should be as expected
+      expect(slippage).toBe(slippageBps);
+    });
+  }
+
+  beforeEach(() => {
+    slippageService = new SlippageServiceMain({
+      getUsdPrice,
+      getUsdPrices,
+    });
+  });
+});
+
+function readTestFile(filePath: string) {
+  const testContent = JSON.parse(fs.readFileSync(filePath, 'utf-8'));
+  const volatilityDetails = testContent.volatilityDetails;
+
+  volatilityDetails.quoteToken.prices =
+    volatilityDetails.quoteToken.prices.map(fixDateForPrices);
+  volatilityDetails.baseToken.prices =
+    volatilityDetails.baseToken.prices.map(fixDateForPrices);
+
+  return testContent;
+}
+
+function fixDateForPrices(price: any) {
+  return {
+    ...price,
+    date: new Date(price.date),
+  };
+}