@0x/asset-swapper: Support more varied curves.

2020-07-14 16:32:36 -04:00 · 2020-07-14 16:32:36 -04:00 · 0450e430f1
commit 0450e430f1
parent b6700af6a8
8 changed files with 168 additions and 96 deletions
--- a/packages/asset-swapper/CHANGELOG.json
+++ b/packages/asset-swapper/CHANGELOG.json
@ -1,6 +1,6 @@
 [
    {
-        "version": "4.6.1",
+        "version": "4.7.0",
        "changes": [
            {
                "note": "Allow an empty override for sampler overrides",
@ -9,6 +9,10 @@
            {
                "note": "Potentially heavy CPU functions inside the optimizer now yield to the event loop. As such they are now async.",
                "pr": 2637
+            },
+            {
+                "note": "Support more varied curves",
+                "pr": 2633
            }
        ]
    },
--- a/packages/asset-swapper/src/index.ts
+++ b/packages/asset-swapper/src/index.ts
@ -72,6 +72,7 @@ export {
    BalancerFillData,
    CollapsedFill,
    CurveFillData,
+    CurveInfo,
    ERC20BridgeSource,
    FeeSchedule,
    FillData,
@ -80,6 +81,7 @@ export {
    NativeFillData,
    OptimizedMarketOrder,
    UniswapV2FillData,
+    CurveFunctionSelectors,
 } from './utils/market_operation_utils/types';
 export { ProtocolFeeUtils } from './utils/protocol_fee_utils';
 export { QuoteRequestor } from './utils/quote_requestor';
--- a/packages/asset-swapper/src/utils/market_operation_utils/constants.ts
+++ b/packages/asset-swapper/src/utils/market_operation_utils/constants.ts
@ -1,6 +1,6 @@
 import { BigNumber } from '@0x/utils';

-import { ERC20BridgeSource, FakeBuyOpts, GetMarketOrdersOpts } from './types';
+import { CurveFunctionSelectors, CurveInfo, ERC20BridgeSource, GetMarketOrdersOpts } from './types';

 // tslint:disable: custom-no-magic-numbers

@ -42,11 +42,6 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
    shouldBatchBridgeOrders: true,
 };

-export const DEFAULT_FAKE_BUY_OPTS: FakeBuyOpts = {
-    targetSlippageBps: new BigNumber(5),
-    maxIterations: new BigNumber(5),
-};
-
 /**
 * Sources to poll for ETH fee price estimates.
 */
@ -60,34 +55,82 @@ export const FEE_QUOTE_SOURCES = [
 /**
 * Mainnet Curve configuration
 */
-export const MAINNET_CURVE_CONTRACTS: { [curveAddress: string]: string[] } = {
-    '0xa2b47e3d5c44877cca798226b7b8118f9bfb7a56': [
-        '0x6b175474e89094c44da98b954eedeac495271d0f', // DAI
-        '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48', // USDC
-    ],
-    '0x52ea46506b9cc5ef470c5bf89f17dc28bb35d85c': [
-        '0x6b175474e89094c44da98b954eedeac495271d0f', // DAI
-        '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48', // USDC
-        '0xdac17f958d2ee523a2206206994597c13d831ec7', // USDT
-    ],
-    '0x45f783cce6b7ff23b2ab2d70e416cdb7d6055f51': [
-        '0x6b175474e89094c44da98b954eedeac495271d0f', // DAI
-        '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48', // USDC
-        '0xdac17f958d2ee523a2206206994597c13d831ec7', // USDT
-        '0x0000000000085d4780b73119b644ae5ecd22b376', // TUSD
-    ],
-    '0x79a8c46dea5ada233abaffd40f3a0a2b1e5a4f27': [
-        '0x6b175474e89094c44da98b954eedeac495271d0f', // DAI
-        '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48', // USDC
-        '0xdac17f958d2ee523a2206206994597c13d831ec7', // USDT
-        '0x4fabb145d64652a948d72533023f6e7a623c7c53', // BUSD
-    ],
-    '0xa5407eae9ba41422680e2e00537571bcc53efbfd': [
-        '0x6b175474e89094c44da98b954eedeac495271d0f', // DAI
-        '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48', // USDC
-        '0xdac17f958d2ee523a2206206994597c13d831ec7', // USDT
-        '0x57ab1ec28d129707052df4df418d58a2d46d5f51', // SUSD
-    ],
+export const MAINNET_CURVE_INFOS: { [name: string]: CurveInfo } = {
+    // Busted?
+    // DaiUsdc: {
+    //     exchangeFunctionSelector: CurveFunctionSelectors.exchange_underlying,
+    //     sellQuoteFunctionSelector: CurveFunctionSelectors.get_dy_underlying,
+    //     buyQuoteFunctionSelector: CurveFunctionSelectors.get_dx_underlying,
+    //     poolAddress: '0xa2b47e3d5c44877cca798226b7b8118f9bfb7a56',
+    //     tokens: ['0x6b175474e89094c44da98b954eedeac495271d0f', '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48'],
+    // },
+    // Busted?
+    // DaiUsdcUsdt: {
+    //     exchangeFunctionSelector: CurveFunctionSelectors.exchange_underlying,
+    //     sellQuoteFunctionSelector: CurveFunctionSelectors.get_dy_underlying,
+    //     buyQuoteFunctionSelector: CurveFunctionSelectors.get_dx_underlying,
+    //     poolAddress: '0x52ea46506b9cc5ef470c5bf89f17dc28bb35d85c',
+    //     tokens: [
+    //         '0x6b175474e89094c44da98b954eedeac495271d0f',
+    //         '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
+    //         '0xdac17f958d2ee523a2206206994597c13d831ec7',
+    //     ],
+    // },
+    DaiUsdcUsdtTusd: {
+        exchangeFunctionSelector: CurveFunctionSelectors.exchange_underlying,
+        sellQuoteFunctionSelector: CurveFunctionSelectors.get_dy_underlying,
+        buyQuoteFunctionSelector: CurveFunctionSelectors.get_dx_underlying,
+        poolAddress: '0x45f783cce6b7ff23b2ab2d70e416cdb7d6055f51',
+        tokens: [
+            '0x6b175474e89094c44da98b954eedeac495271d0f',
+            '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
+            '0xdac17f958d2ee523a2206206994597c13d831ec7',
+            '0x0000000000085d4780b73119b644ae5ecd22b376',
+        ],
+    },
+    // Looks like it's dying.
+    DaiUsdcUsdtBusd: {
+        exchangeFunctionSelector: CurveFunctionSelectors.exchange_underlying,
+        sellQuoteFunctionSelector: CurveFunctionSelectors.get_dy_underlying,
+        buyQuoteFunctionSelector: CurveFunctionSelectors.get_dx_underlying,
+        poolAddress: '0x79a8c46dea5ada233abaffd40f3a0a2b1e5a4f27',
+        tokens: [
+            '0x6b175474e89094c44da98b954eedeac495271d0f',
+            '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
+            '0xdac17f958d2ee523a2206206994597c13d831ec7',
+            '0x4fabb145d64652a948d72533023f6e7a623c7c53',
+        ],
+    },
+    DaiUsdcUsdtSusd: {
+        exchangeFunctionSelector: CurveFunctionSelectors.exchange_underlying,
+        sellQuoteFunctionSelector: CurveFunctionSelectors.get_dy_underlying,
+        buyQuoteFunctionSelector: CurveFunctionSelectors.get_dx_underlying,
+        poolAddress: '0xa5407eae9ba41422680e2e00537571bcc53efbfd',
+        tokens: [
+            '0x6b175474e89094c44da98b954eedeac495271d0f',
+            '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
+            '0xdac17f958d2ee523a2206206994597c13d831ec7',
+            '0x57ab1ec28d129707052df4df418d58a2d46d5f51',
+        ],
+    },
+    RenbtcWbtc: {
+        exchangeFunctionSelector: CurveFunctionSelectors.exchange,
+        sellQuoteFunctionSelector: CurveFunctionSelectors.get_dy,
+        buyQuoteFunctionSelector: CurveFunctionSelectors.None,
+        poolAddress: '0x93054188d876f558f4a66b2ef1d97d16edf0895b',
+        tokens: ['0xeb4c2781e4eba804ce9a9803c67d0893436bb27d', '0x2260fac5e5542a773aa44fbcfedf7c193bc2c599'],
+    },
+    RenbtcWbtcSbtc: {
+        exchangeFunctionSelector: CurveFunctionSelectors.exchange,
+        sellQuoteFunctionSelector: CurveFunctionSelectors.get_dy,
+        buyQuoteFunctionSelector: CurveFunctionSelectors.None,
+        poolAddress: '0x7fc77b5c7614e1533320ea6ddc2eb61fa00a9714',
+        tokens: [
+            '0xeb4c2781e4eba804ce9a9803c67d0893436bb27d',
+            '0x2260fac5e5542a773aa44fbcfedf7c193bc2c599',
+            '0xfe18be6b3bd88a2d2a7f928d00292e7a9963cfc6',
+        ],
+    },
 };

 export const ERC20_PROXY_ID = '0xf47261b0';
--- a/packages/asset-swapper/src/utils/market_operation_utils/curve_utils.ts
+++ b/packages/asset-swapper/src/utils/market_operation_utils/curve_utils.ts
@ -1,8 +1,7 @@
-import { MAINNET_CURVE_CONTRACTS } from './constants';
+import { MAINNET_CURVE_INFOS } from './constants';
+import { CurveInfo } from './types';

 // tslint:disable completed-docs
-export function getCurveAddressesForPair(takerToken: string, makerToken: string): string[] {
-    return Object.keys(MAINNET_CURVE_CONTRACTS).filter(a =>
-        [makerToken, takerToken].every(t => MAINNET_CURVE_CONTRACTS[a].includes(t)),
-    );
+export function getCurveInfosForPair(takerToken: string, makerToken: string): CurveInfo[] {
+    return Object.values(MAINNET_CURVE_INFOS).filter(c => [makerToken, takerToken].every(t => c.tokens.includes(t)));
 }
--- a/packages/asset-swapper/src/utils/market_operation_utils/orders.ts
+++ b/packages/asset-swapper/src/utils/market_operation_utils/orders.ts
@ -219,10 +219,11 @@ function createBridgeOrder(fill: CollapsedFill, opts: CreateOrderFromPathOpts):
                makerToken,
                bridgeAddress,
                createCurveBridgeData(
-                    curveFillData.poolAddress,
+                    curveFillData.curve.poolAddress,
+                    curveFillData.curve.exchangeFunctionSelector,
+                    takerToken,
                    curveFillData.fromTokenIdx,
                    curveFillData.toTokenIdx,
-                    1, // "version"
                ),
            );
            break;
@ -341,17 +342,25 @@ function createBalancerBridgeData(takerToken: string, poolAddress: string): stri

 function createCurveBridgeData(
    curveAddress: string,
+    exchangeFunctionSelector: string,
+    takerToken: string,
    fromTokenIdx: number,
    toTokenIdx: number,
-    version: number,
 ): string {
    const curveBridgeDataEncoder = AbiEncoder.create([
        { name: 'curveAddress', type: 'address' },
+        { name: 'exchangeFunctionSelector', type: 'bytes4' },
+        { name: 'fromTokenAddress', type: 'address' },
        { name: 'fromTokenIdx', type: 'int128' },
        { name: 'toTokenIdx', type: 'int128' },
-        { name: 'version', type: 'int128' },
    ]);
-    return curveBridgeDataEncoder.encode([curveAddress, fromTokenIdx, toTokenIdx, version]);
+    return curveBridgeDataEncoder.encode([
+        curveAddress,
+        exchangeFunctionSelector,
+        takerToken,
+        fromTokenIdx,
+        toTokenIdx,
+    ]);
 }

 function createUniswapV2BridgeData(tokenAddressPath: string[]): string {
--- a/packages/asset-swapper/src/utils/market_operation_utils/sampler_operations.ts
+++ b/packages/asset-swapper/src/utils/market_operation_utils/sampler_operations.ts
@ -3,15 +3,14 @@ import * as _ from 'lodash';
 import { BigNumber, ERC20BridgeSource, SignedOrder } from '../..';

 import { BalancerPool, BalancerPoolsCache, computeBalancerBuyQuote, computeBalancerSellQuote } from './balancer_utils';
-import { DEFAULT_FAKE_BUY_OPTS, MAINNET_CURVE_CONTRACTS } from './constants';
-import { getCurveAddressesForPair } from './curve_utils';
+import { getCurveInfosForPair } from './curve_utils';
 import { getMultiBridgeIntermediateToken } from './multibridge_utils';
 import {
    BalancerFillData,
    BatchedOperation,
    CurveFillData,
+    CurveInfo,
    DexSample,
-    FakeBuyOpts,
    SourceQuoteOperation,
    UniswapV2FillData,
 } from './types';
@ -58,17 +57,12 @@ export const samplerOperations = {
            },
        };
    },
-    getKyberBuyQuotes(
-        makerToken: string,
-        takerToken: string,
-        makerFillAmounts: BigNumber[],
-        fakeBuyOpts: FakeBuyOpts = DEFAULT_FAKE_BUY_OPTS,
-    ): SourceQuoteOperation {
+    getKyberBuyQuotes(makerToken: string, takerToken: string, makerFillAmounts: BigNumber[]): SourceQuoteOperation {
        return {
            source: ERC20BridgeSource.Kyber,
            encodeCall: contract => {
                return contract
-                    .sampleBuysFromKyberNetwork(takerToken, makerToken, makerFillAmounts, fakeBuyOpts)
+                    .sampleBuysFromKyberNetwork(takerToken, makerToken, makerFillAmounts)
                    .getABIEncodedTransactionData();
            },
            handleCallResultsAsync: async (contract, callResults) => {
@ -162,19 +156,12 @@ export const samplerOperations = {
        makerToken: string,
        takerToken: string,
        makerFillAmounts: BigNumber[],
-        fakeBuyOpts: FakeBuyOpts = DEFAULT_FAKE_BUY_OPTS,
    ): SourceQuoteOperation {
        return {
            source: ERC20BridgeSource.LiquidityProvider,
            encodeCall: contract => {
                return contract
-                    .sampleBuysFromLiquidityProviderRegistry(
-                        registryAddress,
-                        takerToken,
-                        makerToken,
-                        makerFillAmounts,
-                        fakeBuyOpts,
-                    )
+                    .sampleBuysFromLiquidityProviderRegistry(registryAddress, takerToken, makerToken, makerFillAmounts)
                    .getABIEncodedTransactionData();
            },
            handleCallResultsAsync: async (contract, callResults) => {
@ -237,7 +224,7 @@ export const samplerOperations = {
        };
    },
    getCurveSellQuotes(
-        curveAddress: string,
+        curve: CurveInfo,
        fromTokenIdx: number,
        toTokenIdx: number,
        takerFillAmounts: BigNumber[],
@ -245,14 +232,18 @@ export const samplerOperations = {
        return {
            source: ERC20BridgeSource.Curve,
            fillData: {
-                poolAddress: curveAddress,
+                curve,
                fromTokenIdx,
                toTokenIdx,
            },
            encodeCall: contract => {
                return contract
                    .sampleSellsFromCurve(
-                        curveAddress,
+                        {
+                            poolAddress: curve.poolAddress,
+                            sellQuoteFunctionSelector: curve.sellQuoteFunctionSelector,
+                            buyQuoteFunctionSelector: curve.buyQuoteFunctionSelector,
+                        },
                        new BigNumber(fromTokenIdx),
                        new BigNumber(toTokenIdx),
                        takerFillAmounts,
@ -265,7 +256,7 @@ export const samplerOperations = {
        };
    },
    getCurveBuyQuotes(
-        curveAddress: string,
+        curve: CurveInfo,
        fromTokenIdx: number,
        toTokenIdx: number,
        makerFillAmounts: BigNumber[],
@ -273,14 +264,18 @@ export const samplerOperations = {
        return {
            source: ERC20BridgeSource.Curve,
            fillData: {
-                poolAddress: curveAddress,
+                curve,
                fromTokenIdx,
                toTokenIdx,
            },
            encodeCall: contract => {
                return contract
                    .sampleBuysFromCurve(
-                        curveAddress,
+                        {
+                            poolAddress: curve.poolAddress,
+                            sellQuoteFunctionSelector: curve.sellQuoteFunctionSelector,
+                            buyQuoteFunctionSelector: curve.buyQuoteFunctionSelector,
+                        },
                        new BigNumber(fromTokenIdx),
                        new BigNumber(toTokenIdx),
                        makerFillAmounts,
@ -416,11 +411,11 @@ export const samplerOperations = {
                            case ERC20BridgeSource.Kyber:
                                return samplerOperations.getKyberSellQuotes(makerToken, takerToken, takerFillAmounts);
                            case ERC20BridgeSource.Curve:
-                                return getCurveAddressesForPair(takerToken, makerToken).map(curveAddress =>
+                                return getCurveInfosForPair(takerToken, makerToken).map(curve =>
                                    samplerOperations.getCurveSellQuotes(
-                                        curveAddress,
-                                        MAINNET_CURVE_CONTRACTS[curveAddress].indexOf(takerToken),
-                                        MAINNET_CURVE_CONTRACTS[curveAddress].indexOf(makerToken),
+                                        curve,
+                                        curve.tokens.indexOf(takerToken),
+                                        curve.tokens.indexOf(makerToken),
                                        takerFillAmounts,
                                    ),
                                );
@ -502,7 +497,6 @@ export const samplerOperations = {
        wethAddress: string,
        balancerPoolsCache?: BalancerPoolsCache,
        liquidityProviderRegistryAddress?: string,
-        fakeBuyOpts: FakeBuyOpts = DEFAULT_FAKE_BUY_OPTS,
    ): Promise<BatchedOperation<DexSample[][]>> => {
        const subOps = _.flatten(
            await Promise.all(
@ -527,18 +521,13 @@ export const samplerOperations = {
                                }
                                return ops;
                            case ERC20BridgeSource.Kyber:
-                                return samplerOperations.getKyberBuyQuotes(
-                                    makerToken,
-                                    takerToken,
-                                    makerFillAmounts,
-                                    fakeBuyOpts,
-                                );
+                                return samplerOperations.getKyberBuyQuotes(makerToken, takerToken, makerFillAmounts);
                            case ERC20BridgeSource.Curve:
-                                return getCurveAddressesForPair(takerToken, makerToken).map(curveAddress =>
+                                return getCurveInfosForPair(takerToken, makerToken).map(curve =>
                                    samplerOperations.getCurveBuyQuotes(
-                                        curveAddress,
-                                        MAINNET_CURVE_CONTRACTS[curveAddress].indexOf(takerToken),
-                                        MAINNET_CURVE_CONTRACTS[curveAddress].indexOf(makerToken),
+                                        curve,
+                                        curve.tokens.indexOf(takerToken),
+                                        curve.tokens.indexOf(makerToken),
                                        makerFillAmounts,
                                    ),
                                );
@ -553,7 +542,6 @@ export const samplerOperations = {
                                    makerToken,
                                    takerToken,
                                    makerFillAmounts,
-                                    fakeBuyOpts,
                                );
                            case ERC20BridgeSource.Balancer:
                                if (balancerPoolsCache === undefined) {
--- a/packages/asset-swapper/src/utils/market_operation_utils/types.ts
+++ b/packages/asset-swapper/src/utils/market_operation_utils/types.ts
@ -37,6 +37,32 @@ export enum ERC20BridgeSource {
    Balancer = 'Balancer',
 }

+// tslint:disable: enum-naming
+/**
+ * Curve contract function selectors.
+ */
+export enum CurveFunctionSelectors {
+    None = '0x00000000',
+    exchange = '0x3df02124',
+    exchange_underlying = '0xa6417ed6',
+    get_dy_underlying = '0x07211ef7',
+    get_dx_underlying = '0x0e71d1b9',
+    get_dy = '0x5e0d443f',
+    get_dx = '0x67df02ca',
+}
+// tslint:enable: enum-naming
+
+/**
+ * Configuration info on a Curve pool.
+ */
+export interface CurveInfo {
+    exchangeFunctionSelector: CurveFunctionSelectors;
+    sellQuoteFunctionSelector: CurveFunctionSelectors;
+    buyQuoteFunctionSelector: CurveFunctionSelectors;
+    poolAddress: string;
+    tokens: string[];
+}
+
 // Internal `fillData` field for `Fill` objects.
 export interface FillData {}

@ -46,9 +72,9 @@ export interface NativeFillData extends FillData {
 }

 export interface CurveFillData extends FillData {
-    poolAddress: string;
    fromTokenIdx: number;
    toTokenIdx: number;
+    curve: CurveInfo;
 }

 export interface BalancerFillData extends FillData {
@ -228,12 +254,3 @@ export interface SourceQuoteOperation<TFillData extends FillData = FillData> ext
    source: ERC20BridgeSource;
    fillData?: TFillData;
 }
-
-/**
- * Used in the ERC20BridgeSampler when a source does not natively
- * support sampling via a specific buy amount.
- */
-export interface FakeBuyOpts {
-    targetSlippageBps: BigNumber;
-    maxIterations: BigNumber;
-}
--- a/packages/asset-swapper/test/market_operation_utils_test.ts
+++ b/packages/asset-swapper/test/market_operation_utils_test.ts
@ -302,7 +302,17 @@ describe('MarketOperationUtils tests', () => {
    const DEFAULT_FILL_DATA: FillDataBySource = {
        [ERC20BridgeSource.UniswapV2]: { tokenAddressPath: [] },
        [ERC20BridgeSource.Balancer]: { poolAddress: randomAddress() },
-        [ERC20BridgeSource.Curve]: { poolAddress: randomAddress(), fromTokenIdx: 0, toTokenIdx: 1 },
+        [ERC20BridgeSource.Curve]: {
+            curve: {
+                poolAddress: randomAddress(),
+                tokens: [TAKER_TOKEN, MAKER_TOKEN],
+                exchangeFunctionSelector: hexUtils.random(4),
+                sellQuoteFunctionSelector: hexUtils.random(4),
+                buyQuoteFunctionSelector: hexUtils.random(4),
+            },
+            fromTokenIdx: 0,
+            toTokenIdx: 1,
+        },
    };

    const DEFAULT_OPS = {