1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
181
182
183
184
185
186
187
188
189
190
191
192
193
194
195
196
197
198
199
200
201
202
203
204
205
206
207
208
209
210
211
212
213
214
215
216
217
218
219
220
221
222
223
224
225
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);
});
});
});
|
