feat: Depth Chart API endpoint (#290)

* feat: Depth Chart API endpoint

* added tests

* fix excessive accumulation when multiple prices land in the same bucket

* Update to latest asset-swapper

* refactor and accumulate sources over buckets

Author: dekz

package.json

@@ -128,7 +128,7 @@
     },
     "dependencies": {
         "@0x/assert": "^3.0.4",
-        "@0x/asset-swapper": "0xProject/gitpkg-registry#0x-asset-swapper-v4.6.0-9a16f5736",
+        "@0x/asset-swapper": "0xProject/gitpkg-registry#0x-asset-swapper-v4.6.0-ae2a6fb68",
         "@0x/connect": "^6.0.4",
         "@0x/contract-addresses": "^4.11.0",
         "@0x/contract-wrappers": "^13.7.0",

src/config.ts

@@ -330,7 +330,7 @@ export const ASSET_SWAPPER_MARKET_ORDERS_V0_OPTS: Partial<SwapQuoteRequestOpts>
     feeSchedule: FEE_SCHEDULE_V0,
     gasSchedule: GAS_SCHEDULE_V0,
     shouldBatchBridgeOrders: true,
-    runLimit: 2 ** 13,
+    runLimit: 2 ** 8,
 };
 
 export const GAS_SCHEDULE_V1: FeeSchedule = {
@@ -356,7 +356,7 @@ export const ASSET_SWAPPER_MARKET_ORDERS_V1_OPTS: Partial<SwapQuoteRequestOpts>
     feeSchedule: FEE_SCHEDULE_V1,
     gasSchedule: GAS_SCHEDULE_V1,
     shouldBatchBridgeOrders: false,
-    runLimit: 2 ** 13,
+    runLimit: 2 ** 8,
 };
 
 export const SAMPLER_OVERRIDES: SamplerOverrides | undefined = (() => {

src/constants.ts

@@ -89,3 +89,8 @@ export const GST2_WALLET_ADDRESSES = {
     [ChainId.Kovan]: NULL_ADDRESS,
     [ChainId.Ganache]: NULL_ADDRESS,
 };
+
+// Market Depth
+export const MARKET_DEPTH_MAX_SAMPLES = 50;
+export const MARKET_DEPTH_DEFAULT_DISTRIBUTION = 1.05;
+export const MARKET_DEPTH_END_PRICE_SLIPPAGE_PERC = 20;

src/handlers/swap_handlers.ts

@@ -4,7 +4,12 @@ import * as express from 'express';
 import * as HttpStatus from 'http-status-codes';
 
 import { CHAIN_ID } from '../config';
-import { DEFAULT_QUOTE_SLIPPAGE_PERCENTAGE, SWAP_DOCS_URL } from '../constants';
+import {
+    DEFAULT_QUOTE_SLIPPAGE_PERCENTAGE,
+    MARKET_DEPTH_DEFAULT_DISTRIBUTION,
+    MARKET_DEPTH_MAX_SAMPLES,
+    SWAP_DOCS_URL,
+} from '../constants';
 import {
     InternalServerError,
     RevertAPIError,
@@ -125,6 +130,27 @@ export class SwapHandlers {
         const records = await this._swapService.getTokenPricesAsync(baseAsset, unitAmount);
         res.status(HttpStatus.OK).send({ records });
     }
+
+    public async getMarketDepthAsync(req: express.Request, res: express.Response): Promise<void> {
+        const makerToken = getTokenMetadataIfExists(req.query.buyToken as string, CHAIN_ID);
+        const takerToken = getTokenMetadataIfExists(req.query.sellToken as string, CHAIN_ID);
+        const response = await this._swapService.calculateMarketDepthAsync({
+            buyToken: makerToken,
+            sellToken: takerToken,
+            sellAmount: new BigNumber(req.query.sellAmount as string),
+            // tslint:disable-next-line:radix custom-no-magic-numbers
+            numSamples: req.query.numSamples ? parseInt(req.query.numSamples as string) : MARKET_DEPTH_MAX_SAMPLES,
+            sampleDistributionBase: req.query.sampleDistributionBase
+                ? parseFloat(req.query.sampleDistributionBase as string)
+                : MARKET_DEPTH_DEFAULT_DISTRIBUTION,
+            excludedSources:
+                req.query.excludedSources === undefined
+                    ? []
+                    : parseUtils.parseStringArrForERC20BridgeSources((req.query.excludedSources as string).split(',')),
+        });
+        res.status(HttpStatus.OK).send({ ...response, buyToken: makerToken, sellToken: takerToken });
+    }
+
     private async _calculateSwapQuoteAsync(
         params: GetSwapQuoteRequestParams,
         swapVersion: SwapVersion,

src/routers/swap_router.ts

@@ -12,6 +12,7 @@ export function createSwapRouter(swapService: SwapService): express.Router {
     router.get('/v0', asyncHandler(SwapHandlers.rootAsync.bind(SwapHandlers)));
     router.get('/v0/prices', asyncHandler(handlers.getTokenPricesAsync.bind(handlers)));
     router.get('/v0/tokens', asyncHandler(handlers.getSwapTokensAsync.bind(handlers)));
+    router.get('/v0/depth', asyncHandler(handlers.getMarketDepthAsync.bind(handlers)));
 
     router.get('/v0/quote', asyncHandler(handlers.getSwapQuoteAsync.bind(handlers, SwapVersion.V0)));
     router.get('/v0/price', asyncHandler(handlers.getSwapPriceAsync.bind(handlers, SwapVersion.V0)));

src/services/swap_service.ts

@@ -12,6 +12,7 @@ import { SwapQuoteRequestOpts, SwapQuoterOpts } from '@0x/asset-swapper/lib/src/
 import { ContractAddresses, getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
 import { ERC20TokenContract, WETH9Contract } from '@0x/contract-wrappers';
 import { assetDataUtils, SupportedProvider } from '@0x/order-utils';
+import { MarketOperation } from '@0x/types';
 import { BigNumber, decodeThrownErrorAsRevertError, RevertError } from '@0x/utils';
 import { TxData, Web3Wrapper } from '@0x/web3-wrapper';
 import * as _ from 'lodash';
@@ -38,6 +39,8 @@ import { InsufficientFundsError } from '../errors';
 import { logger } from '../logger';
 import { TokenMetadatasForChains } from '../token_metadatas_for_networks';
 import {
+    BucketedPriceDepth,
+    CalaculateMarketDepthParams,
     CalculateSwapQuoteParams,
     GetSwapQuoteResponse,
     GetTokenPricesResponse,
@@ -46,6 +49,7 @@ import {
     SwapVersion,
     TokenMetadata,
 } from '../types';
+import { marketDepthUtils } from '../utils/market_depth_utils';
 import { createResultCache, ResultCache } from '../utils/result_cache';
 import { serviceUtils } from '../utils/service_utils';
 import { getTokenMetadataIfExists } from '../utils/token_metadata_utils';
@@ -269,6 +273,58 @@ export class SwapService {
         return prices;
     }
 
+    public async calculateMarketDepthAsync(
+        params: CalaculateMarketDepthParams,
+    ): Promise<{
+        asks: { depth: BucketedPriceDepth[] };
+        bids: { depth: BucketedPriceDepth[] };
+    }> {
+        const { buyToken, sellToken, sellAmount, numSamples, sampleDistributionBase, excludedSources } = params;
+        const marketDepth = await this._swapQuoter.getBidAskLiquidityForMakerTakerAssetPairAsync(
+            buyToken.tokenAddress,
+            sellToken.tokenAddress,
+            sellAmount,
+            {
+                numSamples,
+                excludedSources: [...(excludedSources || []), ERC20BridgeSource.MultiBridge],
+                sampleDistributionBase,
+            },
+        );
+
+        const maxEndSlippagePercentage = 20;
+        const scalePriceByDecimals = (priceDepth: BucketedPriceDepth[]) =>
+            priceDepth.map(b => ({
+                ...b,
+                price: b.price.times(new BigNumber(10).pow(sellToken.decimals - buyToken.decimals)),
+            }));
+        const askDepth = scalePriceByDecimals(
+            marketDepthUtils.calculateDepthForSide(
+                marketDepth.asks,
+                MarketOperation.Sell,
+                numSamples * 2,
+                sampleDistributionBase,
+                maxEndSlippagePercentage,
+            ),
+        );
+        const bidDepth = scalePriceByDecimals(
+            marketDepthUtils.calculateDepthForSide(
+                marketDepth.bids,
+                MarketOperation.Buy,
+                numSamples * 2,
+                sampleDistributionBase,
+                maxEndSlippagePercentage,
+            ),
+        );
+        return {
+            // We're buying buyToken and SELLING sellToken (DAI) (50k)
+            // Price goes from HIGH to LOW
+            asks: { depth: askDepth },
+            // We're BUYING sellToken (DAI) (50k) and selling buyToken
+            // Price goes from LOW to HIGH
+            bids: { depth: bidDepth },
+        };
+    }
+
     private async _getSwapQuoteForWethAsync(
         params: CalculateSwapQuoteParams,
         isUnwrap: boolean,

src/types.ts

@@ -613,4 +613,20 @@ export interface HttpServiceConfig {
     meshHttpUri?: string;
     metaTxnRateLimiters?: MetaTransactionRateLimitConfig;
 }
+
+export interface CalaculateMarketDepthParams {
+    buyToken: TokenMetadata;
+    sellToken: TokenMetadata;
+    sellAmount: BigNumber;
+    numSamples: number;
+    sampleDistributionBase: number;
+    excludedSources?: ERC20BridgeSource[];
+}
+
+export interface BucketedPriceDepth {
+    cumulative: BigNumber;
+    price: BigNumber;
+    bucket: number;
+    bucketTotal: BigNumber;
+}
 // tslint:disable-line:max-file-line-count