feat: Udate neon-router and use router estimated output amount (#354)
* feat: use Rust router estimated output amount when possible * fix: use strings for sample ids, and increase samples in the rust router * fix: remove unnecessary interpolation of out of range values * fix: don't recalculate sampled dist sum in a loop * fix: use 14 samples for rust router to work around interpolation issues * fix: unintentional logic change * fix: remove local dev plotting param from route fn call * feat: make neon-router number of samples configurable * chore: bump to newly published neon-router version * fix: handle insufficient liquidity at all requested sources * chore: update asset-swapper changelog
This commit is contained in:
Kim Persson
GitHub
parent
8ae9f59f20
commit
285f98e9e9
@ -1,4 +1,13 @@
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[
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{
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"version": "16.44.0",
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"changes": [
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{
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"note": "Update neon-router and use router estimated output amount",
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"pr": 354
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}
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]
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},
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{
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"version": "16.43.0",
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"changes": [
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@ -66,7 +66,7 @@
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"@0x/contracts-zero-ex": "^0.30.1",
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"@0x/dev-utils": "^4.2.9",
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"@0x/json-schemas": "^6.3.0",
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"@0x/neon-router": "^0.2.1",
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"@0x/neon-router": "^0.3.1",
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"@0x/protocol-utils": "^1.10.1",
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"@0x/quote-server": "^6.0.6",
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"@0x/types": "^3.3.4",
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@ -2103,4 +2103,5 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: Omit<GetMarketOrdersOpts, 'gasPrice
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shouldGenerateQuoteReport: true,
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shouldIncludePriceComparisonsReport: false,
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tokenAdjacencyGraph: { default: [] },
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neonRouterNumSamples: 14,
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};
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@ -443,6 +443,7 @@ export class MarketOperationUtils {
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feeSchedule: _opts.feeSchedule,
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allowFallback: _opts.allowFallback,
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gasPrice: _opts.gasPrice,
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neonRouterNumSamples: _opts.neonRouterNumSamples,
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},
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);
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return optimizerResult;
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@ -531,6 +532,7 @@ export class MarketOperationUtils {
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penaltyOpts,
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opts.feeSchedule,
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this._sampler.chainId,
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opts.neonRouterNumSamples,
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);
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} else {
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optimalPath = await findOptimalPathJSAsync(side, fills, inputAmount, opts.runLimit, penaltyOpts);
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@ -596,6 +598,7 @@ export class MarketOperationUtils {
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allowFallback: _opts.allowFallback,
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exchangeProxyOverhead: _opts.exchangeProxyOverhead,
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gasPrice: _opts.gasPrice,
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neonRouterNumSamples: _opts.neonRouterNumSamples,
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};
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if (nativeOrders.length === 0) {
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@ -806,6 +809,7 @@ export class MarketOperationUtils {
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sturdyPenaltyOpts,
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opts.feeSchedule,
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this._sampler.chainId,
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opts.neonRouterNumSamples,
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);
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} else {
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const sturdyFills = fills.filter(p => p.length > 0 && !fragileSources.includes(p[0].source));
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@ -17,7 +17,6 @@ import { DexSample, ERC20BridgeSource, FeeSchedule, Fill, FillData } from './typ
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// tslint:disable: prefer-for-of custom-no-magic-numbers completed-docs no-bitwise
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const RUN_LIMIT_DECAY_FACTOR = 0.5;
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const RUST_ROUTER_NUM_SAMPLES = 200;
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const FILL_QUOTE_TRANSFORMER_GAS_OVERHEAD = new BigNumber(150e3);
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// NOTE: The Rust router will panic with less than 3 samples
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const MIN_NUM_SAMPLE_INPUTS = 3;
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@ -69,21 +68,6 @@ function calculateOuputFee(
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}
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}
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// Use linear interpolation to approximate the output
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// at a certain input somewhere between the two samples
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// See https://en.wikipedia.org/wiki/Linear_interpolation
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const interpolateOutputFromSamples = (
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left: { input: BigNumber; output: BigNumber },
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right: { input: BigNumber; output: BigNumber },
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targetInput: BigNumber,
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): BigNumber =>
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left.output.plus(
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right.output
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.minus(left.output)
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.dividedBy(right.input.minus(left.input))
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.times(targetInput.minus(left.input)),
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);
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function findRoutesAndCreateOptimalPath(
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side: MarketOperation,
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samples: DexSample[][],
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@ -91,21 +75,10 @@ function findRoutesAndCreateOptimalPath(
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input: BigNumber,
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opts: PathPenaltyOpts,
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fees: FeeSchedule,
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neonRouterNumSamples: number,
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): Path | undefined {
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const createFill = (sample: DexSample) =>
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dexSamplesToFills(side, [sample], opts.outputAmountPerEth, opts.inputAmountPerEth, fees)[0];
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// Track sample id's to integers (required by rust router)
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const sampleIdLookup: { [key: string]: number } = {};
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let sampleIdCounter = 0;
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const sampleToId = (source: ERC20BridgeSource, index: number): number => {
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const key = `${source}-${index}`;
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if (sampleIdLookup[key]) {
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return sampleIdLookup[key];
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} else {
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sampleIdLookup[key] = ++sampleIdCounter;
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return sampleIdLookup[key];
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}
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};
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const samplesAndNativeOrdersWithResults: Array<DexSample[] | NativeOrderWithFillableAmounts[]> = [];
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const serializedPaths: SerializedPath[] = [];
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@ -131,7 +104,7 @@ function findRoutesAndCreateOptimalPath(
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// TODO(kimpers): Do we need to handle 0 entries, from eg Kyber?
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const serializedPath = singleSourceSamplesWithOutput.reduce<SerializedPath>(
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(memo, sample, sampleIdx) => {
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memo.ids.push(sampleToId(sample.source, sampleIdx));
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memo.ids.push(`${sample.source}-${serializedPaths.length}-${sampleIdx}`);
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memo.inputs.push(sample.input.integerValue().toNumber());
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memo.outputs.push(sample.output.integerValue().toNumber());
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memo.outputFees.push(
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@ -188,7 +161,7 @@ function findRoutesAndCreateOptimalPath(
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.toNumber();
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const outputFees = [fee, fee, fee];
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// NOTE: ids can be the same for all fake samples
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const id = sampleToId(ERC20BridgeSource.Native, idx);
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const id = `${ERC20BridgeSource.Native}-${serializedPaths.length}-${idx}`;
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const ids = [id, id, id];
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const serializedPath: SerializedPath = {
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@ -214,7 +187,9 @@ function findRoutesAndCreateOptimalPath(
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const before = performance.now();
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const allSourcesRustRoute = new Float64Array(rustArgs.pathsIn.length);
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route(rustArgs, allSourcesRustRoute, RUST_ROUTER_NUM_SAMPLES);
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const strategySourcesOutputAmounts = new Float64Array(rustArgs.pathsIn.length);
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route(rustArgs, allSourcesRustRoute, strategySourcesOutputAmounts, neonRouterNumSamples);
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DEFAULT_INFO_LOGGER(
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{ router: 'neon-router', performanceMs: performance.now() - before, type: 'real' },
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'Rust router real routing performance',
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@ -224,18 +199,25 @@ function findRoutesAndCreateOptimalPath(
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rustArgs.pathsIn.length === allSourcesRustRoute.length,
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'different number of sources in the Router output than the input',
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);
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assert.assert(
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rustArgs.pathsIn.length === strategySourcesOutputAmounts.length,
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'different number of sources in the Router output amounts results than the input',
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);
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const routesAndSamples = _.zip(allSourcesRustRoute, samplesAndNativeOrdersWithResults);
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const routesAndSamplesAndOutputs = _.zip(
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allSourcesRustRoute,
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samplesAndNativeOrdersWithResults,
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strategySourcesOutputAmounts,
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);
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const adjustedFills: Fill[] = [];
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const totalRoutedAmount = BigNumber.sum(...allSourcesRustRoute);
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const scale = input.dividedBy(totalRoutedAmount);
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for (const [routeInput, routeSamplesAndNativeOrders] of routesAndSamples) {
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if (!routeInput || !routeSamplesAndNativeOrders) {
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for (const [routeInput, routeSamplesAndNativeOrders, outputAmount] of routesAndSamplesAndOutputs) {
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if (!routeInput || !routeSamplesAndNativeOrders || !outputAmount || !Number.isFinite(outputAmount)) {
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continue;
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}
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// TODO(kimpers): [TKR-241] amounts are sometimes clipped in the router due to precisions loss for number/f64
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// TODO(kimpers): [TKR-241] amounts are sometimes clipped in the router due to precision loss for number/f64
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// we can work around it by scaling it and rounding up. However now we end up with a total amount of a couple base units too much
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const rustInputAdjusted = BigNumber.min(
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new BigNumber(routeInput).multipliedBy(scale).integerValue(BigNumber.ROUND_CEIL),
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@ -270,22 +252,13 @@ function findRoutesAndCreateOptimalPath(
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fill = createFill(routeSamples[0]);
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}
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if (rustInputAdjusted.isGreaterThan(routeSamples[k].input)) {
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// Between here and the previous fill
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// HACK: Use the midpoint between the two
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const left = routeSamples[k];
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const right = routeSamples[k + 1];
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if (left && right) {
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// Approximate how much output we get for the input with the surrounding samples
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const interpolatedOutput = interpolateOutputFromSamples(
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left,
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right,
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rustInputAdjusted,
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).decimalPlaces(0, side === MarketOperation.Sell ? BigNumber.ROUND_FLOOR : BigNumber.ROUND_CEIL);
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fill = createFill({
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...right, // default to the greater (for gas used)
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input: rustInputAdjusted,
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output: interpolatedOutput,
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output: new BigNumber(outputAmount),
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});
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} else {
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assert.assert(Boolean(left || right), 'No valid sample to use');
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@ -295,6 +268,7 @@ function findRoutesAndCreateOptimalPath(
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}
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}
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// TODO(kimpers): remove once we have solved the rounding/precision loss issues in the Rust router
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const scaleOutput = (output: BigNumber) =>
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output
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.dividedBy(fill.input)
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@ -310,6 +284,10 @@ function findRoutesAndCreateOptimalPath(
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});
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}
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if (adjustedFills.length === 0) {
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return undefined;
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}
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const pathFromRustInputs = Path.create(side, adjustedFills, input);
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return pathFromRustInputs;
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@ -323,6 +301,7 @@ export function findOptimalRustPathFromSamples(
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opts: PathPenaltyOpts,
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fees: FeeSchedule,
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chainId: ChainId,
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neonRouterNumSamples: number,
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): Path | undefined {
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const before = performance.now();
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const logPerformance = () =>
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@ -331,7 +310,15 @@ export function findOptimalRustPathFromSamples(
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'Rust router total routing performance',
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);
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const allSourcesPath = findRoutesAndCreateOptimalPath(side, samples, nativeOrders, input, opts, fees);
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const allSourcesPath = findRoutesAndCreateOptimalPath(
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side,
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samples,
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nativeOrders,
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input,
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opts,
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fees,
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neonRouterNumSamples,
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);
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if (!allSourcesPath) {
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return undefined;
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}
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@ -345,7 +332,15 @@ export function findOptimalRustPathFromSamples(
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const vipSourcesSamples = samples.filter(s => s[0] && vipSourcesSet.has(s[0].source));
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if (vipSourcesSamples.length > 0) {
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const vipSourcesPath = findRoutesAndCreateOptimalPath(side, vipSourcesSamples, [], input, opts, fees);
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const vipSourcesPath = findRoutesAndCreateOptimalPath(
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side,
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vipSourcesSamples,
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[],
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input,
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opts,
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fees,
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neonRouterNumSamples,
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);
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const { input: allSourcesInput, output: allSourcesOutput } = allSourcesPath.adjustedSize();
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// NOTE: For sell quotes input is the taker asset and for buy quotes input is the maker asset
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@ -14,7 +14,8 @@ import { BatchedOperation, ERC20BridgeSource, LiquidityProviderRegistry, TokenAd
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*/
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export function getSampleAmounts(maxFillAmount: BigNumber, numSamples: number, expBase: number = 1): BigNumber[] {
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const distribution = [...Array<BigNumber>(numSamples)].map((_v, i) => new BigNumber(expBase).pow(i));
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const stepSizes = distribution.map(d => d.div(BigNumber.sum(...distribution)));
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const distributionSum = BigNumber.sum(...distribution);
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const stepSizes = distribution.map(d => d.div(distributionSum));
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const amounts = stepSizes.map((_s, i) => {
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if (i === numSamples - 1) {
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return maxFillAmount;
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@ -455,6 +455,10 @@ export interface GetMarketOrdersOpts {
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* Default: 1.25.
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*/
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sampleDistributionBase: number;
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/**
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* Number of samples to use when creating fill curves with neon-router
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*/
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neonRouterNumSamples: number;
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/**
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* Fees for each liquidity source, expressed in gas.
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*/
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@ -599,6 +603,7 @@ export interface GenerateOptimizedOrdersOpts {
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allowFallback?: boolean;
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shouldBatchBridgeOrders?: boolean;
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gasPrice: BigNumber;
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neonRouterNumSamples: number;
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}
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export interface ComparisonPrice {
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@ -959,10 +959,10 @@
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typedoc "~0.16.11"
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yargs "^10.0.3"
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"@0x/neon-router@^0.2.1":
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version "0.2.1"
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resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.2.1.tgz#23bb3cedc0eafd55a8ba6b6ea8a59ee4c538064b"
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integrity sha512-feCCKuox4staZl8lxLY4nf5U256NcDHrgvSFra5cU/TUhoblLHb8F7eWAC9ygpukZUCVFLy13mExkFQHXlEOYw==
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"@0x/neon-router@^0.3.1":
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version "0.3.1"
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resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.3.1.tgz#4ec13e750d1435357c4928d7f2521a2b4376f27e"
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integrity sha512-M4ypTov9KyxsGJpYwobrld3Y2JOlR7U0XjR6BEQE2gQ1k3nie/1wNEI2J4ZjKw++RLDxdv/RCqhgA5VnINzjxA==
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dependencies:
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"@mapbox/node-pre-gyp" "^1.0.5"
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