Merge pull request #425 from 0xProject/feature/build_watch

Arbitrage tutorial contract

1 files changed, 226 insertions, 0 deletions

diff --git a/packages/contracts/test/tutorials/arbitrage.ts b/packages/contracts/test/tutorials/arbitrage.ts
new file mode 100644
index 000000000..2bafbff0b
--- /dev/null
+++ b/packages/contracts/test/tutorials/arbitrage.ts
@@ -0,0 +1,226 @@
+import { ECSignature, SignedOrder, ZeroEx } from '0x.js';
+import { BlockchainLifecycle, devConstants, web3Factory } from '@0xproject/dev-utils';
+import { BigNumber } from '@0xproject/utils';
+import { Web3Wrapper } from '@0xproject/web3-wrapper';
+import * as chai from 'chai';
+import ethUtil = require('ethereumjs-util');
+import * as Web3 from 'web3';
+
+import { ArbitrageContract } from '../../src/contract_wrappers/generated/arbitrage';
+import { EtherDeltaContract } from '../../src/contract_wrappers/generated/ether_delta';
+import { ExchangeContract } from '../../src/contract_wrappers/generated/exchange';
+import { Balances } from '../../util/balances';
+import { constants } from '../../util/constants';
+import { crypto } from '../../util/crypto';
+import { ExchangeWrapper } from '../../util/exchange_wrapper';
+import { OrderFactory } from '../../util/order_factory';
+import { BalancesByOwner, ContractName, ExchangeContractErrs } from '../../util/types';
+import { chaiSetup } from '../utils/chai_setup';
+import { deployer } from '../utils/deployer';
+
+chaiSetup.configure();
+const expect = chai.expect;
+const web3 = web3Factory.create();
+const web3Wrapper = new Web3Wrapper(web3.currentProvider);
+const blockchainLifecycle = new BlockchainLifecycle();
+
+describe('Arbitrage', () => {
+    let coinbase: string;
+    let maker: string;
+    let edMaker: string;
+    let edFrontRunner: string;
+    let amountGet: BigNumber;
+    let amountGive: BigNumber;
+    let makerTokenAmount: BigNumber;
+    let takerTokenAmount: BigNumber;
+    const feeRecipient = ZeroEx.NULL_ADDRESS;
+    const INITIAL_BALANCE = ZeroEx.toBaseUnitAmount(new BigNumber(10000), 18);
+    const INITIAL_ALLOWANCE = ZeroEx.toBaseUnitAmount(new BigNumber(10000), 18);
+
+    let weth: Web3.ContractInstance;
+    let zrx: Web3.ContractInstance;
+    let arbitrage: ArbitrageContract;
+    let etherDelta: EtherDeltaContract;
+
+    let signedOrder: SignedOrder;
+    let exWrapper: ExchangeWrapper;
+    let orderFactory: OrderFactory;
+
+    let zeroEx: ZeroEx;
+
+    // From a bird's eye view - we create two orders.
+    // 0x order of 1 ZRX (maker) for 1 WETH (taker)
+    // ED order of 2 WETH (tokenGive) for 1 ZRX (tokenGet)
+    // And then we do an atomic arbitrage between them which gives us 1 WETH.
+    before(async () => {
+        const accounts = await web3Wrapper.getAvailableAddressesAsync();
+        [coinbase, maker, edMaker, edFrontRunner] = accounts;
+        weth = await deployer.deployAsync(ContractName.DummyToken);
+        zrx = await deployer.deployAsync(ContractName.DummyToken);
+        const accountLevels = await deployer.deployAsync(ContractName.AccountLevels);
+        const edAdminAddress = accounts[0];
+        const edMakerFee = 0;
+        const edTakerFee = 0;
+        const edFeeRebate = 0;
+        const etherDeltaInstance = await deployer.deployAsync(ContractName.EtherDelta, [
+            edAdminAddress,
+            feeRecipient,
+            accountLevels.address,
+            edMakerFee,
+            edTakerFee,
+            edFeeRebate,
+        ]);
+        etherDelta = new EtherDeltaContract(web3Wrapper, etherDeltaInstance.abi, etherDeltaInstance.address);
+        const tokenTransferProxy = await deployer.deployAsync(ContractName.TokenTransferProxy);
+        const exchangeInstance = await deployer.deployAsync(ContractName.Exchange, [
+            zrx.address,
+            tokenTransferProxy.address,
+        ]);
+        await tokenTransferProxy.addAuthorizedAddress(exchangeInstance.address, { from: accounts[0] });
+        zeroEx = new ZeroEx(web3.currentProvider, {
+            exchangeContractAddress: exchangeInstance.address,
+            networkId: constants.TESTRPC_NETWORK_ID,
+        });
+        const exchange = new ExchangeContract(web3Wrapper, exchangeInstance.abi, exchangeInstance.address);
+        exWrapper = new ExchangeWrapper(exchange, zeroEx);
+
+        makerTokenAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), 18);
+        takerTokenAmount = makerTokenAmount;
+        const defaultOrderParams = {
+            exchangeContractAddress: exchange.address,
+            maker,
+            feeRecipient,
+            makerTokenAddress: zrx.address,
+            takerTokenAddress: weth.address,
+            makerTokenAmount,
+            takerTokenAmount,
+            makerFee: new BigNumber(0),
+            takerFee: new BigNumber(0),
+        };
+        orderFactory = new OrderFactory(zeroEx, defaultOrderParams);
+        const arbitrageInstance = await deployer.deployAsync(ContractName.Arbitrage, [
+            exchange.address,
+            etherDelta.address,
+            tokenTransferProxy.address,
+        ]);
+        arbitrage = new ArbitrageContract(web3Wrapper, arbitrageInstance.abi, arbitrageInstance.address);
+        // Enable arbitrage and withdrawals of tokens
+        await arbitrage.setAllowances.sendTransactionAsync(weth.address, { from: coinbase });
+        await arbitrage.setAllowances.sendTransactionAsync(zrx.address, { from: coinbase });
+
+        // Give some tokens to arbitrage contract
+        await weth.setBalance(arbitrage.address, takerTokenAmount, { from: coinbase });
+
+        // Fund the maker on exchange side
+        await zrx.setBalance(maker, makerTokenAmount, { from: coinbase });
+        // Set the allowance for the maker on Exchange side
+        await zrx.approve(tokenTransferProxy.address, INITIAL_ALLOWANCE, { from: maker });
+
+        amountGive = ZeroEx.toBaseUnitAmount(new BigNumber(2), 18);
+        // Fund the maker on EtherDelta side
+        await weth.setBalance(edMaker, amountGive, { from: coinbase });
+        // Set the allowance for the maker on EtherDelta side
+        await weth.approve(etherDelta.address, INITIAL_ALLOWANCE, { from: edMaker });
+        // Deposit maker funds into EtherDelta
+        await etherDelta.depositToken.sendTransactionAsync(weth.address, amountGive, { from: edMaker });
+
+        amountGet = makerTokenAmount;
+        // Fund the front runner on EtherDelta side
+        await zrx.setBalance(edFrontRunner, amountGet, { from: coinbase });
+        // Set the allowance for the front-runner on EtherDelta side
+        await zrx.approve(etherDelta.address, INITIAL_ALLOWANCE, { from: edFrontRunner });
+        // Deposit front runner funds into EtherDelta
+        await etherDelta.depositToken.sendTransactionAsync(zrx.address, amountGet, { from: edFrontRunner });
+    });
+    beforeEach(async () => {
+        await blockchainLifecycle.startAsync();
+    });
+    afterEach(async () => {
+        await blockchainLifecycle.revertAsync();
+    });
+    describe('makeAtomicTrade', () => {
+        let addresses: string[];
+        let values: BigNumber[];
+        let v: number[];
+        let r: string[];
+        let s: string[];
+        let tokenGet: string;
+        let tokenGive: string;
+        let expires: BigNumber;
+        let nonce: BigNumber;
+        let edSignature: ECSignature;
+        before(async () => {
+            signedOrder = await orderFactory.newSignedOrderAsync();
+            tokenGet = zrx.address;
+            tokenGive = weth.address;
+            const blockNumber = await web3Wrapper.getBlockNumberAsync();
+            const ED_ORDER_EXPIRATION_IN_BLOCKS = 10;
+            expires = new BigNumber(blockNumber + ED_ORDER_EXPIRATION_IN_BLOCKS);
+            nonce = new BigNumber(42);
+            const edOrderHash = `0x${crypto
+                .solSHA256([etherDelta.address, tokenGet, amountGet, tokenGive, amountGive, expires, nonce])
+                .toString('hex')}`;
+            const shouldAddPersonalMessagePrefix = false;
+            edSignature = await zeroEx.signOrderHashAsync(edOrderHash, edMaker, shouldAddPersonalMessagePrefix);
+            addresses = [
+                signedOrder.maker,
+                signedOrder.taker,
+                signedOrder.makerTokenAddress,
+                signedOrder.takerTokenAddress,
+                signedOrder.feeRecipient,
+                edMaker,
+            ];
+            const fillTakerTokenAmount = takerTokenAmount;
+            const edFillAmount = makerTokenAmount;
+            values = [
+                signedOrder.makerTokenAmount,
+                signedOrder.takerTokenAmount,
+                signedOrder.makerFee,
+                signedOrder.takerFee,
+                signedOrder.expirationUnixTimestampSec,
+                signedOrder.salt,
+                fillTakerTokenAmount,
+                amountGet,
+                amountGive,
+                expires,
+                nonce,
+                edFillAmount,
+            ];
+            v = [signedOrder.ecSignature.v, edSignature.v];
+            r = [signedOrder.ecSignature.r, edSignature.r];
+            s = [signedOrder.ecSignature.s, edSignature.s];
+        });
+        it('should successfully execute the arbitrage if not front-runned', async () => {
+            const txHash = await arbitrage.makeAtomicTrade.sendTransactionAsync(addresses, values, v, r, s, {
+                from: coinbase,
+            });
+            const res = await zeroEx.awaitTransactionMinedAsync(txHash);
+            const postBalance = await weth.balanceOf(arbitrage.address);
+            expect(postBalance).to.be.bignumber.equal(amountGive);
+        });
+        it('should fail and revert if front-runned', async () => {
+            const preBalance = await weth.balanceOf(arbitrage.address);
+            // Front-running transaction
+            await etherDelta.trade.sendTransactionAsync(
+                tokenGet,
+                amountGet,
+                tokenGive,
+                amountGive,
+                expires,
+                nonce,
+                edMaker,
+                edSignature.v,
+                edSignature.r,
+                edSignature.s,
+                amountGet,
+                { from: edFrontRunner },
+            );
+            // tslint:disable-next-line:await-promise
+            await expect(
+                arbitrage.makeAtomicTrade.sendTransactionAsync(addresses, values, v, r, s, { from: coinbase }),
+            ).to.be.rejectedWith(constants.REVERT);
+            const postBalance = await weth.balanceOf(arbitrage.address);
+            expect(preBalance).to.be.bignumber.equal(postBalance);
+        });
+    });
+});