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fix: fallbacks duplicate check on source-index (#307)

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Jacob Evans 2021-08-16 11:25:22 +10:00 committed by GitHub
parent b84107d142
commit 4f32f3174f
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5 changed files with 82 additions and 73 deletions
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8
packages/asset-swapper/CHANGELOG.json
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@ -1,4 +1,12 @@
[
{
"version": "16.25.0",
"changes": [
{
"note": "Fix: fallback fills which have not been used, unique id by source-index"
}
]
},
{
"timestamp": 1628665757,
"version": "16.24.1",

70
packages/asset-swapper/src/utils/market_operation_utils/index.ts
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@ -38,7 +38,7 @@ import {
import { createFills } from './fills';
import { getBestTwoHopQuote } from './multihop_utils';
import { createOrdersFromTwoHopSample } from './orders';
import { PathPenaltyOpts } from './path';
import { Path, PathPenaltyOpts } from './path';
import { fillsToSortedPaths, findOptimalPathAsync } from './path_optimizer';
import { DexOrderSampler, getSampleAmounts } from './sampler';
import { SourceFilters } from './source_filters';
@ -47,6 +47,8 @@ import {
CollapsedFill,
DexSample,
ERC20BridgeSource,
Fill,
FillData,
GenerateOptimizedOrdersOpts,
GetMarketOrdersOpts,
MarketSideLiquidity,
@ -433,7 +435,6 @@ export class MarketOperationUtils {
inputAmountPerEth,
} = marketSideLiquidity;
const { nativeOrders, rfqtIndicativeQuotes, dexQuotes } = quotes;
const maxFallbackSlippage = opts.maxFallbackSlippage || 0;
const orderOpts = {
side,
@ -512,31 +513,8 @@ export class MarketOperationUtils {
throw new Error(AggregationError.NoOptimalPath);
}
// Generate a fallback path if sources requiring a fallback (fragile) are in the optimal path.
// Native is relatively fragile (limit order collision, expiry, or lack of available maker balance)
// LiquidityProvider is relatively fragile (collision)
const fragileSources = [ERC20BridgeSource.Native, ERC20BridgeSource.LiquidityProvider];
const fragileFills = optimalPath.fills.filter(f => fragileSources.includes(f.source));
if (opts.allowFallback && fragileFills.length !== 0) {
// We create a fallback path that is exclusive of Native liquidity
// This is the optimal on-chain path for the entire input amount
const sturdyFills = fills.filter(p => p.length > 0 && !fragileSources.includes(p[0].source));
const sturdyOptimalPath = await findOptimalPathAsync(side, sturdyFills, inputAmount, opts.runLimit, {
...penaltyOpts,
exchangeProxyOverhead: (sourceFlags: bigint) =>
// tslint:disable-next-line: no-bitwise
penaltyOpts.exchangeProxyOverhead(sourceFlags | optimalPath.sourceFlags),
});
// Calculate the slippage of on-chain sources compared to the most optimal path
// if within an acceptable threshold we enable a fallback to prevent reverts
if (
sturdyOptimalPath !== undefined &&
(fragileFills.length === optimalPath.fills.length ||
sturdyOptimalPath.adjustedSlippage(optimalPathRate) <= maxFallbackSlippage)
) {
optimalPath.addFallback(sturdyOptimalPath);
}
}
// Generate a fallback path if required
await this._addOptionalFallbackAsync(side, inputAmount, optimalPath, fills, opts, penaltyOpts);
const collapsedPath = optimalPath.collapse(orderOpts);
return {
@ -727,6 +705,44 @@ export class MarketOperationUtils {
}),
);
}
// tslint:disable-next-line: prefer-function-over-method
private async _addOptionalFallbackAsync(
side: MarketOperation,
inputAmount: BigNumber,
optimalPath: Path,
fills: Array<Array<Fill<FillData>>>,
opts: GenerateOptimizedOrdersOpts,
penaltyOpts: PathPenaltyOpts,
): Promise<void> {
const maxFallbackSlippage = opts.maxFallbackSlippage || 0;
const optimalPathRate = optimalPath ? optimalPath.adjustedRate() : ZERO_AMOUNT;
// Generate a fallback path if sources requiring a fallback (fragile) are in the optimal path.
// Native is relatively fragile (limit order collision, expiry, or lack of available maker balance)
// LiquidityProvider is relatively fragile (collision)
const fragileSources = [ERC20BridgeSource.Native, ERC20BridgeSource.LiquidityProvider];
const fragileFills = optimalPath.fills.filter(f => fragileSources.includes(f.source));
if (opts.allowFallback && fragileFills.length !== 0) {
// We create a fallback path that is exclusive of Native liquidity
// This is the optimal on-chain path for the entire input amount
const sturdyFills = fills.filter(p => p.length > 0 && !fragileSources.includes(p[0].source));
const sturdyOptimalPath = await findOptimalPathAsync(side, sturdyFills, inputAmount, opts.runLimit, {
...penaltyOpts,
exchangeProxyOverhead: (sourceFlags: bigint) =>
// tslint:disable-next-line: no-bitwise
penaltyOpts.exchangeProxyOverhead(sourceFlags | optimalPath.sourceFlags),
});
// Calculate the slippage of on-chain sources compared to the most optimal path
// if within an acceptable threshold we enable a fallback to prevent reverts
if (
sturdyOptimalPath !== undefined &&
(fragileFills.length === optimalPath.fills.length ||
sturdyOptimalPath.adjustedSlippage(optimalPathRate) <= maxFallbackSlippage)
) {
optimalPath.addFallback(sturdyOptimalPath);
}
}
}
}
// tslint:disable: max-file-line-count

10
packages/asset-swapper/src/utils/market_operation_utils/path.ts
View File

@ -99,14 +99,18 @@ export class Path {
// In the previous step we dropped any hanging Native partial fills, as to not fully fill
const nativeFills = this.fills.filter(f => f.source === ERC20BridgeSource.Native);
const otherFills = this.fills.filter(f => f.source !== ERC20BridgeSource.Native);
const otherSourcePathIds = otherFills.map(f => f.sourcePathId);
// Map to the unique source id and the index to represent a unique fill
const fillToFillId = (fill: Fill) => `${fill.sourcePathId}${fill.index}`;
const otherFillIds = otherFills.map(f => fillToFillId(f));
this.fills = [
// Append all of the native fills first
...nativeFills.filter(f => f !== lastNativeFillIfExists),
// Add the other fills that are not native in the optimal path
...otherFills,
// Add the fallbacks to the end that aren't already included
...fallback.fills.filter(f => !otherSourcePathIds.includes(f.sourcePathId)),
// Add the fills to the end that aren't already included
...fallback.fills.filter(f => !otherFillIds.includes(fillToFillId(f))),
];
// Recompute the source flags
this.sourceFlags = this.fills.reduce((flags, fill) => flags | fill.flags, BigInt(0));

43
packages/asset-swapper/test/market_operation_utils_test.ts
View File

@ -1166,28 +1166,6 @@ describe('MarketOperationUtils tests', () => {
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
});
it('fallback orders use different sources', async () => {
const rates: RatesBySource = {};
rates[ERC20BridgeSource.Native] = [0.9, 0.8, 0.5, 0.5];
rates[ERC20BridgeSource.Uniswap] = [0.6, 0.05, 0.01, 0.01];
rates[ERC20BridgeSource.Eth2Dai] = [0.4, 0.3, 0.01, 0.01];
rates[ERC20BridgeSource.Kyber] = [0.35, 0.2, 0.01, 0.01];
replaceSamplerOps({
getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
});
const improvedOrdersResponse = await getMarketSellOrdersAsync(
marketOperationUtils,
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true },
);
const improvedOrders = improvedOrdersResponse.optimizedOrders;
const orderSources = improvedOrders.map(o => o.fills[0].source);
const firstSources = orderSources.slice(0, 4);
const secondSources = orderSources.slice(4);
expect(_.intersection(firstSources, secondSources)).to.be.length(0);
});
it('does not create a fallback if below maxFallbackSlippage', async () => {
const rates: RatesBySource = {};
rates[ERC20BridgeSource.Native] = [1, 1, 0.01, 0.01];
@ -1602,27 +1580,6 @@ describe('MarketOperationUtils tests', () => {
expect(orderSources.sort()).to.deep.eq(expectedSources.sort());
});
it('fallback orders use different sources', async () => {
const rates: RatesBySource = { ...ZERO_RATES };
rates[ERC20BridgeSource.Native] = [0.9, 0.8, 0.5, 0.5];
rates[ERC20BridgeSource.Uniswap] = [0.6, 0.05, 0.01, 0.01];
rates[ERC20BridgeSource.Eth2Dai] = [0.4, 0.3, 0.01, 0.01];
replaceSamplerOps({
getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
});
const improvedOrdersResponse = await getMarketBuyOrdersAsync(
marketOperationUtils,
createOrdersFromBuyRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
FILL_AMOUNT,
{ ...DEFAULT_OPTS, numSamples: 4, allowFallback: true },
);
const improvedOrders = improvedOrdersResponse.optimizedOrders;
const orderSources = improvedOrders.map(o => o.fills[0].source);
const firstSources = orderSources.slice(0, 4);
const secondSources = orderSources.slice(4);
expect(_.intersection(firstSources, secondSources)).to.be.length(0);
});
it('does not create a fallback if below maxFallbackSlippage', async () => {
const rates: RatesBySource = { ...ZERO_RATES };
rates[ERC20BridgeSource.Native] = [1, 1, 0.01, 0.01];

24
packages/asset-swapper/test/path_test.ts
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@ -7,6 +7,7 @@ import { ERC20BridgeSource, Fill } from '../src/utils/market_operation_utils/typ
const createFill = (
source: ERC20BridgeSource,
index: number = 0,
input: BigNumber = new BigNumber(100),
output: BigNumber = new BigNumber(100),
): Fill =>
@ -18,6 +19,7 @@ const createFill = (
adjustedOutput: output,
flags: BigInt(0),
sourcePathId: source,
index,
} as Fill);
describe('Path', () => {
@ -83,4 +85,26 @@ describe('Path', () => {
const sources = path.fills.map(f => f.source);
expect(sources).to.deep.eq([ERC20BridgeSource.Uniswap, ERC20BridgeSource.LiquidityProvider]);
});
it('Removes partial Native orders and replaces with unused fills', () => {
const targetInput = new BigNumber(100);
const path = Path.create(
MarketOperation.Sell,
[
createFill(ERC20BridgeSource.Uniswap, 0, new BigNumber(50)),
createFill(ERC20BridgeSource.Native, 0, new BigNumber(50)),
],
targetInput,
);
const fallback = Path.create(
MarketOperation.Sell,
[
createFill(ERC20BridgeSource.Uniswap, 0, new BigNumber(50)),
createFill(ERC20BridgeSource.Uniswap, 1, new BigNumber(50)),
],
targetInput,
);
path.addFallback(fallback);
const sources = path.fills.map(f => f.source);
expect(sources).to.deep.eq([ERC20BridgeSource.Uniswap, ERC20BridgeSource.Uniswap]);
});
});