Merge pull request #1885 from ExchangeUnion/collateral-on-order

feat(connext): request collateral for order amount

lib/connextclient/ConnextClient.ts

@@ -41,8 +41,6 @@ import { Observable, fromEvent, from, combineLatest, defer, timer } from 'rxjs';
 import { take, pluck, timeout, filter, mergeMap, catchError, mergeMapTo } from 'rxjs/operators';
 import { sha256 } from '@ethersproject/solidity';
 
-const MAX_AMOUNT = Number.MAX_SAFE_INTEGER;
-
 interface ConnextClient {
   on(event: 'preimage', listener: (preimageRequest: ProvidePreimageEvent) => void): void;
   on(event: 'transferReceived', listener: (transferReceivedRequest: TransferReceivedEvent) => void): void;
@@ -115,7 +113,17 @@ class ConnextClient extends SwapClient {
   private seed: string | undefined;
   /** A map of currencies to promises representing balance requests. */
   private getBalancePromises = new Map<string, Promise<ConnextBalanceResponse>>();
+  /** A map of currencies to promises representing collateral requests. */
+  private requestCollateralPromises = new Map<string, Promise<any>>();
   private _totalOutboundAmount = new Map<string, number>();
+  private _maxChannelInboundAmount = new Map<string, number>();
+
+  /** The minimum incremental quantity that we may use for collateral requests. */
+  private static MIN_COLLATERAL_REQUEST_SIZES: { [key: string]: number | undefined } = {
+    ETH: 0.1 * 10 ** 8,
+    USDT: 100 * 10 ** 8,
+    DAI: 100 * 10 ** 8,
+  };
 
   /**
    * Creates a connext client.
@@ -260,9 +268,34 @@ class ConnextClient extends SwapClient {
     return this._totalOutboundAmount.get(currency) || 0;
   }
 
-  public maxChannelInboundAmount = (_currency: string): number => {
-    // assume MAX_AMOUNT since Connext will re-collaterize accordingly
-    return MAX_AMOUNT;
+  public checkInboundCapacity = (inboundAmount: number, currency: string) => {
+    const inboundCapacity = this._maxChannelInboundAmount.get(currency) || 0;
+    if (inboundCapacity < inboundAmount) {
+      // we do not have enough inbound capacity to receive the specified inbound amount so we must request collateral
+      this.logger.debug(`collateral of ${inboundCapacity} for ${currency} is insufficient for order amount ${inboundAmount}`);
+
+      // we want to make a request for the current collateral plus the greater of any
+      // minimum request size for the currency or the capacity shortage + 5% buffer
+      const quantityToRequest = inboundCapacity + Math.max(
+        inboundAmount * 1.05 - inboundCapacity,
+        ConnextClient.MIN_COLLATERAL_REQUEST_SIZES[currency] ?? 0,
+      );
+      const unitsToRequest = this.unitConverter.amountToUnits({ currency, amount: quantityToRequest });
+
+      // first check whether we already have a pending collateral request for this currency
+      // if not start a new request, and when it completes call channelBalance to refresh our inbound capacity
+      const requestCollateralPromise = this.requestCollateralPromises.get(currency) ?? this.sendRequest('/request-collateral', 'POST', {
+        assetId: this.tokenAddresses.get(currency),
+        amount: unitsToRequest.toLocaleString('fullwide', { useGrouping: false }),
+      }).then(() => {
+        this.logger.debug(`completed collateral request of ${unitsToRequest} ${currency} units`);
+        this.requestCollateralPromises.delete(currency);
+        return this.channelBalance(currency);
+      }).catch(this.logger.error);
+      this.requestCollateralPromises.set(currency, requestCollateralPromise);
+
+      throw errors.INSUFFICIENT_COLLATERAL;
+    }
   }
 
   protected updateCapacity = async () => {
@@ -586,14 +619,20 @@ class ConnextClient extends SwapClient {
       return { balance: 0, pendingOpenBalance: 0, inactiveBalance: 0 };
     }
 
-    const { freeBalanceOffChain } = await this.getBalance(currency);
+    const { freeBalanceOffChain, nodeFreeBalanceOffChain } = await this.getBalance(currency);
 
     const freeBalanceAmount = this.unitConverter.unitsToAmount({
       currency,
       units: Number(freeBalanceOffChain),
     });
+    const nodeFreeBalanceAmount = this.unitConverter.unitsToAmount({
+      currency,
+      units: Number(nodeFreeBalanceOffChain),
+    });
 
     this._totalOutboundAmount.set(currency, freeBalanceAmount);
+    this._maxChannelInboundAmount.set(currency, nodeFreeBalanceAmount);
+    this.logger.trace(`new inbound capacity (collateral) for ${currency} of ${nodeFreeBalanceAmount}`);
     return {
       balance: freeBalanceAmount,
       inactiveBalance: 0,
@@ -605,7 +644,7 @@ class ConnextClient extends SwapClient {
     await this.channelBalance(currency); // refreshes the max outbound balance
     return {
       maxSell: this.maxChannelOutboundAmount(currency),
-      maxBuy: this.maxChannelInboundAmount(currency),
+      maxBuy: this._maxChannelInboundAmount.get(currency) ?? 0,
     };
   }
 
@@ -671,29 +710,35 @@ class ConnextClient extends SwapClient {
       amount: units.toLocaleString('fullwide', { useGrouping: false }), // toLocaleString avoids scientific notation
     });
     const { txhash } = await parseResponseBody<ConnextDepositResponse>(depositResponse);
-    const channelCollateralized$ = fromEvent(this, 'depositConfirmed').pipe(
-      filter(hash => hash === txhash), // only proceed if the incoming hash matches our expected txhash
-      take(1), // complete the stream after 1 matching event
-      timeout(86400000), // clear up the listener after 1 day
-      mergeMap(() => {
-        // use defer to only create the inner observable when the outer one subscribes
-        return defer(() => {
-          return from(
-            this.sendRequest('/request-collateral', 'POST', {
-              assetId,
-            }),
-          );
-        });
-      }),
-    );
-    channelCollateralized$.subscribe({
-      complete: () => {
-        this.logger.verbose(`collateralized channel for ${currency}`);
-      },
-      error: (err) => {
-        this.logger.error(`failed requesting collateral for ${currency}`, err);
-      },
-    });
+
+    const minCollateralRequestQuantity = ConnextClient.MIN_COLLATERAL_REQUEST_SIZES[currency];
+    if (minCollateralRequestQuantity !== undefined) {
+      const minCollateralRequestUnits = this.unitConverter.amountToUnits({ currency, amount: minCollateralRequestQuantity });
+      const channelCollateralized$ = fromEvent(this, 'depositConfirmed').pipe(
+        filter(hash => hash === txhash), // only proceed if the incoming hash matches our expected txhash
+        take(1), // complete the stream after 1 matching event
+        timeout(86400000), // clear up the listener after 1 day
+        mergeMap(() => {
+          // use defer to only create the inner observable when the outer one subscribes
+          return defer(() => {
+            return from(
+              this.sendRequest('/request-collateral', 'POST', {
+                assetId,
+                amount: (minCollateralRequestUnits.toLocaleString('fullwide', { useGrouping: false })),
+              }),
+            );
+          });
+        }),
+      );
+      channelCollateralized$.subscribe({
+        complete: () => {
+          this.logger.verbose(`collateralized channel for ${currency}`);
+        },
+        error: (err) => {
+          this.logger.error(`failed requesting collateral for ${currency}`, err);
+        },
+      });
+    }
 
     return txhash;
   }

lib/connextclient/errors.ts

@@ -17,6 +17,7 @@ const errorCodes = {
   CURRENCY_MISSING: codesPrefix.concat('.14'),
   EXPIRY_MISSING: codesPrefix.concat('.15'),
   MISSING_SEED: codesPrefix.concat('.16'),
+  INSUFFICIENT_COLLATERAL: codesPrefix.concat('.17'),
 };
 
 const errors = {
@@ -76,6 +77,10 @@ const errors = {
     message: 'seed is missing',
     code: errorCodes.MISSING_SEED,
   },
+  INSUFFICIENT_COLLATERAL: {
+    message: 'channel collateralization in progress, please try again in ~1 minute',
+    code: errorCodes.INSUFFICIENT_COLLATERAL,
+  },
 };
 
 export { errorCodes };

lib/connextclient/types.ts

@@ -64,6 +64,7 @@ export type ConnextConfigResponse = {
  */
 export type ConnextBalanceResponse = {
   freeBalanceOffChain: string;
+  nodeFreeBalanceOffChain: string;
   freeBalanceOnChain: string;
 };
 

lib/grpc/getGrpcError.ts

@@ -40,6 +40,7 @@ const getGrpcError = (err: any) => {
       code = status.ALREADY_EXISTS;
       break;
     case connextErrorCodes.INSUFFICIENT_BALANCE:
+    case connextErrorCodes.INSUFFICIENT_COLLATERAL:
     case p2pErrorCodes.NOT_CONNECTED:
     case p2pErrorCodes.NODE_NOT_BANNED:
     case p2pErrorCodes.NODE_IS_BANNED:

lib/lndclient/LndClient.ts

@@ -197,8 +197,8 @@ class LndClient extends SwapClient {
     return this._maxChannelOutboundAmount;
   }
 
-  public maxChannelInboundAmount = () => {
-    return this._maxChannelInboundAmount;
+  public checkInboundCapacity = (_inboundAmount: number) => {
+    return; // we do not currently check inbound capacities for lnd
   }
 
   /** Lnd specific procedure to mark the client as locked. */

lib/orderbook/OrderBook.ts

@@ -459,13 +459,21 @@ class OrderBook extends EventEmitter {
       };
     }
 
-    const { outboundCurrency, inboundCurrency, outboundAmount } =
-        Swaps.calculateInboundOutboundAmounts(order.quantity, order.price, order.isBuy, order.pairId);
-    const outboundSwapClient = this.swaps.swapClientManager.get(outboundCurrency);
-    const inboundSwapClient = this.swaps.swapClientManager.get(inboundCurrency);
+    const tp = this.getTradingPair(order.pairId);
 
     if (!this.nobalancechecks) {
+      // for limit orders, we use the price of our order to calculate inbound/outbound amounts
+      // for market orders, we use the price of the best matching order in the order book
+      const price = (order.price === 0 || order.price === Number.POSITIVE_INFINITY) ?
+        (order.isBuy ? tp.quoteAsk() : tp.quoteBid()) :
+        order.price;
+
+      const { outboundCurrency, inboundCurrency, outboundAmount, inboundAmount } =
+        Swaps.calculateInboundOutboundAmounts(order.quantity, price, order.isBuy, order.pairId);
+
       // check if clients exists
+      const outboundSwapClient = this.swaps.swapClientManager.get(outboundCurrency);
+      const inboundSwapClient = this.swaps.swapClientManager.get(inboundCurrency);
       if (!outboundSwapClient) {
         throw swapsErrors.SWAP_CLIENT_NOT_FOUND(outboundCurrency);
       }
@@ -478,6 +486,9 @@ class OrderBook extends EventEmitter {
       if (outboundAmount > totalOutboundAmount) {
         throw errors.INSUFFICIENT_OUTBOUND_BALANCE(outboundCurrency, outboundAmount, totalOutboundAmount);
       }
+
+      // check if sufficient inbound channel capacity exists
+      inboundSwapClient.checkInboundCapacity(inboundAmount, inboundCurrency);
     }
 
     let replacedOrderIdentifier: OrderIdentifier | undefined;
@@ -494,7 +505,6 @@ class OrderBook extends EventEmitter {
     }
 
     // perform matching routine. maker orders that are matched will be removed from the order book.
-    const tp = this.getTradingPair(order.pairId);
     const matchingResult = tp.match(order);
 
     /** Any portion of the placed order that could not be swapped or matched internally. */

lib/orderbook/TradingPair.ts

@@ -364,6 +364,14 @@ class TradingPair extends EventEmitter {
     }
   }
 
+  public quoteBid = () => {
+    return this.queues?.buyQueue.peek()?.price ?? 0;
+  }
+
+  public quoteAsk = () => {
+    return this.queues?.sellQueue.peek()?.price ?? Number.POSITIVE_INFINITY;
+  }
+
   /**
    * Matches an order against its opposite queue. Matched maker orders are removed immediately.
    * @returns a [[MatchingResult]] with the matches as well as the remaining, unmatched portion of the order

lib/swaps/SwapClient.ts

@@ -133,7 +133,11 @@ abstract class SwapClient extends EventEmitter {
 
   public abstract totalOutboundAmount(currency?: string): number;
   public abstract maxChannelOutboundAmount(currency?: string): number;
-  public abstract maxChannelInboundAmount(currency?: string): number;
+  /**
+   * Checks whether there is sufficient inbound capacity to receive the specified amount
+   * and throws an error if there isn't, otherwise does nothing.
+   */
+  public abstract checkInboundCapacity(inboundAmount: number, currency?: string): void;
   protected abstract updateCapacity(): Promise<void>;
 
   public verifyConnectionWithTimeout = () => {

test/jest/Connext.spec.ts

@@ -1,3 +1,5 @@
+
+// tslint:disable: max-line-length
 import ConnextClient from '../../lib/connextclient/ConnextClient';
 import { UnitConverter } from '../../lib/utils/UnitConverter';
 import Logger from '../../lib/Logger';
@@ -36,6 +38,7 @@ jest.mock('http', () => {
 
 const ETH_ASSET_ID = '0x0000000000000000000000000000000000000000';
 const USDT_ASSET_ID = '0xdAC17F958D2ee523a2206206994597C13D831ec7';
+const XUC_ASSET_ID = '0x9999999999999999999999999999999999999999';
 
 describe('ConnextClient', () => {
   let connext: ConnextClient;
@@ -63,6 +66,11 @@ describe('ConnextClient', () => {
         tokenAddress: USDT_ASSET_ID,
         swapClient: SwapClientType.Connext,
       },
+      {
+        id: 'XUC',
+        tokenAddress: XUC_ASSET_ID,
+        swapClient: SwapClientType.Connext,
+      },
     ] as CurrencyInstance[];
     connext = new ConnextClient({
       config,
@@ -312,4 +320,76 @@ describe('ConnextClient', () => {
       expect(result).toEqual({ state: PaymentState.Failed });
     });
   });
+
+  describe('checkInboundCapacity', () => {
+    const quantity = 20000000;
+    const smallQuantity = 100;
+    beforeEach(() => {
+      connext['sendRequest'] = jest.fn().mockResolvedValue(undefined);
+      connext['_maxChannelInboundAmount'].set('ETH', 0);
+    });
+
+    it('requests collateral plus 5% buffer when there is none', async () => {
+      expect(() => connext.checkInboundCapacity(quantity, 'ETH')).toThrowError('channel collateralization in progress, please try again in ~1 minute');
+
+      expect(connext['sendRequest']).toHaveBeenCalledTimes(1);
+      expect(connext['sendRequest']).toHaveBeenCalledWith(
+        '/request-collateral',
+        'POST',
+        expect.objectContaining({ assetId: ETH_ASSET_ID, amount: (quantity * 1.05 * 10 ** 10).toLocaleString('fullwide', { useGrouping: false }) }),
+      );
+    });
+
+    it('does not request collateral when there is a pending request', async () => {
+      connext['requestCollateralPromises'].set('ETH', Promise.resolve());
+      expect(() => connext.checkInboundCapacity(quantity, 'ETH')).toThrowError('channel collateralization in progress, please try again in ~1 minute');
+
+      expect(connext['sendRequest']).toHaveBeenCalledTimes(0);
+    });
+
+    it('requests the full collateral amount even when there is some existing collateral', async () => {
+      const partialCollateral = 5000;
+      connext['_maxChannelInboundAmount'].set('ETH', partialCollateral);
+
+      expect(() => connext.checkInboundCapacity(quantity, 'ETH')).toThrowError('channel collateralization in progress, please try again in ~1 minute');
+
+      expect(connext['sendRequest']).toHaveBeenCalledTimes(1);
+      expect(connext['sendRequest']).toHaveBeenCalledWith(
+        '/request-collateral',
+        'POST',
+        expect.objectContaining({ assetId: ETH_ASSET_ID, amount: (quantity * 1.05 * 10 ** 10).toLocaleString('fullwide', { useGrouping: false }) }),
+      );
+    });
+
+    it('requests the hardcoded minimum if the collateral shortage is below it', async () => {
+      const minCollateralRequestUnits = ConnextClient['MIN_COLLATERAL_REQUEST_SIZES']['ETH']! * 10 ** 10;
+
+      expect(() => connext.checkInboundCapacity(smallQuantity, 'ETH')).toThrowError('channel collateralization in progress, please try again in ~1 minute');
+
+      expect(connext['sendRequest']).toHaveBeenCalledTimes(1);
+      expect(connext['sendRequest']).toHaveBeenCalledWith(
+        '/request-collateral',
+        'POST',
+        expect.objectContaining({ assetId: ETH_ASSET_ID, amount: minCollateralRequestUnits.toLocaleString('fullwide', { useGrouping: false }) }),
+      );
+    });
+
+    it('requests collateral plus 5% buffer for a small shortage when there is no hardcoded minimum for the currency', async () => {
+      expect(() => connext.checkInboundCapacity(smallQuantity, 'XUC')).toThrowError('channel collateralization in progress, please try again in ~1 minute');
+
+      expect(connext['sendRequest']).toHaveBeenCalledTimes(1);
+      expect(connext['sendRequest']).toHaveBeenCalledWith(
+        '/request-collateral',
+        'POST',
+        expect.objectContaining({ assetId: XUC_ASSET_ID, amount: (smallQuantity * 1.05 * 10 ** 10).toLocaleString('fullwide', { useGrouping: false }) }),
+      );
+    });
+
+    it('does not request collateral or throw when there is sufficient collateral', async () => {
+      connext['_maxChannelInboundAmount'].set('ETH', quantity);
+      connext.checkInboundCapacity(quantity, 'ETH');
+
+      expect(connext['sendRequest']).toHaveBeenCalledTimes(0);
+    });
+  });
 });

test/jest/LndClient.spec.ts

@@ -291,7 +291,7 @@ describe('LndClient', () => {
 
       expect(lnd['listChannels']).toHaveBeenCalledTimes(1);
       expect(lnd.maxChannelOutboundAmount()).toEqual(98);
-      expect(lnd.maxChannelInboundAmount()).toEqual(295);
+      expect(lnd['_maxChannelInboundAmount']).toEqual(295);
     });
   });
 });