feat: asset-swapper tweak the gas schedule + return decimals (#34)

* feat: asset-swapper Return decimals from sampler in quote

* feat: asset-swapper tweak the gas schedule

* fix lint

* CHANGELOG

packages/asset-swapper/CHANGELOG.json

@@ -1,4 +1,17 @@
 [
+    {
+        "version": "5.2.0",
+        "changes": [
+            {
+                "note": "Update Gas schedules",
+                "pr": 34
+            },
+            {
+                "note": "Return the maker/taker token decimals from the sampler as part of the `SwapQuote`",
+                "pr": 34
+            }
+        ]
+    },
     {
         "version": "5.1.1",
         "changes": [

packages/asset-swapper/package.json

@@ -64,7 +64,7 @@
         "@0x/dev-utils": "^4.0.1",
         "@0x/json-schemas": "^5.3.3",
         "@0x/order-utils": "^10.4.6",
-        "@0x/orderbook": "^2.2.7",
+        "@0x/orderbook": "0xProject/gitpkg-registry#0x-orderbook-v2.2.7-e10a81023",
         "@0x/quote-server": "^3.1.0",
         "@0x/types": "^3.3.0",
         "@0x/typescript-typings": "^5.1.5",

packages/asset-swapper/src/swap_quoter.ts

@@ -503,6 +503,8 @@ export class SwapQuoter {
         return {
             bids: getMarketDepthSide(bids),
             asks: getMarketDepthSide(asks),
+            makerTokenDecimals: asks.makerTokenDecimals,
+            takerTokenDecimals: asks.takerTokenDecimals,
         };
     }
 

packages/asset-swapper/src/types.ts

@@ -188,6 +188,8 @@ export interface SwapQuoteBase {
     sourceBreakdown: SwapQuoteOrdersBreakdown;
     quoteReport?: QuoteReport;
     isTwoHop: boolean;
+    makerTokenDecimals: number;
+    takerTokenDecimals: number;
 }
 
 /**

packages/asset-swapper/src/utils/market_operation_utils/constants.ts

@@ -429,13 +429,20 @@ export const BRIDGE_ADDRESSES_BY_CHAIN: { [chainId in ChainId]: BridgeContractAd
     [ChainId.Ganache]: EMPTY_BRIDGE_ADDRESSES,
 };
 
+/**
+ * Calculated gross gas cost of the underlying exchange.
+ * The cost of switching from one source to another, assuming
+ * we are in the middle of a transaction.
+ * I.e remove the overhead cost of ExchangeProxy (130k) and
+ * the ethereum transaction cost (21k)
+ */
 // tslint:disable:custom-no-magic-numbers
 export const DEFAULT_GAS_SCHEDULE: Required<FeeSchedule> = {
     [ERC20BridgeSource.Native]: () => 150e3,
     [ERC20BridgeSource.Uniswap]: () => 90e3,
     [ERC20BridgeSource.LiquidityProvider]: () => 140e3,
     [ERC20BridgeSource.Eth2Dai]: () => 400e3,
-    [ERC20BridgeSource.Kyber]: () => 500e3,
+    [ERC20BridgeSource.Kyber]: () => 450e3,
     [ERC20BridgeSource.Curve]: fillData => {
         const poolAddress = (fillData as CurveFillData).pool.poolAddress.toLowerCase();
         switch (poolAddress) {
@@ -452,12 +459,14 @@ export const DEFAULT_GAS_SCHEDULE: Required<FeeSchedule> = {
             case POOLS.curve_BUSD:
                 return 850e3;
             // Metapools
-            case POOLS.curve_GUSD:
-            case POOLS.curve_HUSD:
             case POOLS.curve_USDN:
             case POOLS.curve_mUSD:
+                return 300e3;
+            case POOLS.curve_GUSD:
+            case POOLS.curve_HUSD:
+                return 310e3;
             case POOLS.curve_tBTC:
-                return 650e3;
+                return 370e3;
             default:
                 throw new Error(`Unrecognized Curve address: ${poolAddress}`);
         }
@@ -482,11 +491,11 @@ export const DEFAULT_GAS_SCHEDULE: Required<FeeSchedule> = {
         return gas;
     },
     [ERC20BridgeSource.Balancer]: () => 120e3,
-    [ERC20BridgeSource.Cream]: () => 300e3,
+    [ERC20BridgeSource.Cream]: () => 120e3,
     [ERC20BridgeSource.MStable]: () => 700e3,
-    [ERC20BridgeSource.Mooniswap]: () => 220e3,
+    [ERC20BridgeSource.Mooniswap]: () => 130e3,
     [ERC20BridgeSource.Swerve]: () => 150e3,
-    [ERC20BridgeSource.Shell]: () => 300e3,
+    [ERC20BridgeSource.Shell]: () => 170e3,
     [ERC20BridgeSource.MultiHop]: (fillData?: FillData) => {
         const firstHop = (fillData as MultiHopFillData).firstHopSource;
         const secondHop = (fillData as MultiHopFillData).secondHopSource;
@@ -501,7 +510,7 @@ export const DEFAULT_GAS_SCHEDULE: Required<FeeSchedule> = {
         const isSellBase = (fillData as DODOFillData).isSellBase;
         // Sell base is cheaper as it is natively supported
         // sell quote requires additional calculation and overhead
-        return isSellBase ? 440e3 : 540e3;
+        return isSellBase ? 180e3 : 300e3;
     },
     [ERC20BridgeSource.SnowSwap]: fillData => {
         switch ((fillData as SnowSwapFillData).pool.poolAddress.toLowerCase()) {

packages/asset-swapper/src/utils/market_operation_utils/index.ts

@@ -4,7 +4,7 @@ import { BigNumber, NULL_ADDRESS } from '@0x/utils';
 import { Web3Wrapper } from '@0x/web3-wrapper';
 import * as _ from 'lodash';
 
-import { AssetSwapperContractAddresses, MarketOperation, Omit } from '../../types';
+import { AssetSwapperContractAddresses, MarketOperation } from '../../types';
 import { QuoteRequestor } from '../quote_requestor';
 import { getPriceAwareRFQRolloutFlags } from '../utils';
 
@@ -38,7 +38,6 @@ import {
     GenerateOptimizedOrdersOpts,
     GetMarketOrdersOpts,
     MarketSideLiquidity,
-    OptimizedMarketOrder,
     OptimizerResult,
     OptimizerResultWithReport,
     OrderDomain,
@@ -406,7 +405,7 @@ export class MarketOperationUtils {
         batchNativeOrders: SignedOrder[][],
         makerAmounts: BigNumber[],
         opts?: Partial<GetMarketOrdersOpts>,
-    ): Promise<Array<OptimizedMarketOrder[] | undefined>> {
+    ): Promise<Array<OptimizerResult | undefined>> {
         if (batchNativeOrders.length === 0) {
             throw new Error(AggregationError.EmptyOrders);
         }
@@ -437,12 +436,16 @@ export class MarketOperationUtils {
                     [makerAmounts[i]],
                 ),
             ),
+            ...batchNativeOrders.map(orders =>
+                this._sampler.getTokenDecimals(getNativeOrderTokens(orders[0])[0], getNativeOrderTokens(orders[0])[1]),
+            ),
         ];
 
         const executeResults = await this._sampler.executeBatchAsync(ops);
         const batchOrderFillableAmounts = executeResults.splice(0, batchNativeOrders.length) as BigNumber[][];
         const batchEthToTakerAssetRate = executeResults.splice(0, batchNativeOrders.length) as BigNumber[];
         const batchDexQuotes = executeResults.splice(0, batchNativeOrders.length) as DexSample[][][];
+        const batchTokenDecimals = executeResults.splice(0, batchNativeOrders.length) as number[][];
         const ethToInputRate = ZERO_AMOUNT;
 
         return Promise.all(
@@ -456,7 +459,7 @@ export class MarketOperationUtils {
                 const dexQuotes = batchDexQuotes[i];
                 const makerAmount = makerAmounts[i];
                 try {
-                    const { optimizedOrders } = await this._generateOptimizedOrdersAsync(
+                    const optimizerResult = await this._generateOptimizedOrdersAsync(
                         {
                             side: MarketOperation.Buy,
                             nativeOrders,
@@ -470,6 +473,8 @@ export class MarketOperationUtils {
                             outputToken: takerToken,
                             twoHopQuotes: [],
                             quoteSourceFilters,
+                            makerTokenDecimals: batchTokenDecimals[i][0],
+                            takerTokenDecimals: batchTokenDecimals[i][1],
                         },
                         {
                             bridgeSlippage: _opts.bridgeSlippage,
@@ -479,7 +484,7 @@ export class MarketOperationUtils {
                             allowFallback: _opts.allowFallback,
                         },
                     );
-                    return optimizedOrders;
+                    return optimizerResult;
                 } catch (e) {
                     // It's possible for one of the pairs to have no path
                     // rather than throw NO_OPTIMAL_PATH we return undefined
@@ -490,7 +495,7 @@ export class MarketOperationUtils {
     }
 
     public async _generateOptimizedOrdersAsync(
-        marketSideLiquidity: Omit<MarketSideLiquidity, 'makerTokenDecimals' | 'takerTokenDecimals'>,
+        marketSideLiquidity: MarketSideLiquidity,
         opts: GenerateOptimizedOrdersOpts,
     ): Promise<OptimizerResult> {
         const {
@@ -553,6 +558,7 @@ export class MarketOperationUtils {
                 optimizedOrders: twoHopOrders,
                 liquidityDelivered: bestTwoHopQuote,
                 sourceFlags: SOURCE_FLAGS[ERC20BridgeSource.MultiHop],
+                marketSideLiquidity,
             };
         }
 
@@ -582,6 +588,7 @@ export class MarketOperationUtils {
             optimizedOrders: collapsedPath.orders,
             liquidityDelivered: collapsedPath.collapsedFills as CollapsedFill[],
             sourceFlags: collapsedPath.sourceFlags,
+            marketSideLiquidity,
         };
     }
 
@@ -606,7 +613,7 @@ export class MarketOperationUtils {
             side === MarketOperation.Sell
                 ? this.getMarketSellLiquidityAsync.bind(this)
                 : this.getMarketBuyLiquidityAsync.bind(this);
-        const marketSideLiquidity = await marketLiquidityFnAsync(nativeOrders, amount, _opts);
+        const marketSideLiquidity: MarketSideLiquidity = await marketLiquidityFnAsync(nativeOrders, amount, _opts);
         let optimizerResult: OptimizerResult | undefined;
         try {
             optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, optimizerOpts);

packages/asset-swapper/src/utils/market_operation_utils/types.ts

@@ -339,6 +339,7 @@ export interface OptimizerResult {
     optimizedOrders: OptimizedMarketOrder[];
     sourceFlags: number;
     liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>;
+    marketSideLiquidity: MarketSideLiquidity;
 }
 
 export interface OptimizerResultWithReport extends OptimizerResult {
@@ -350,6 +351,8 @@ export type MarketDepthSide = Array<Array<DexSample<FillData>>>;
 export interface MarketDepth {
     bids: MarketDepthSide;
     asks: MarketDepthSide;
+    makerTokenDecimals: number;
+    takerTokenDecimals: number;
 }
 
 export interface MarketSideLiquidity {

packages/asset-swapper/src/utils/swap_quote_calculator.ts

@@ -1,5 +1,4 @@
-import { assetDataUtils } from '@0x/order-utils';
+import { SignedOrder } from '@0x/types';
-import { AssetProxyId, SignedOrder } from '@0x/types';
 import { BigNumber } from '@0x/utils';
 import * as _ from 'lodash';
 
@@ -17,7 +16,6 @@ import {
 
 import { MarketOperationUtils } from './market_operation_utils';
 import { SOURCE_FLAGS } from './market_operation_utils/constants';
-import { convertNativeOrderToFullyFillableOptimizedOrders } from './market_operation_utils/orders';
 import {
     ERC20BridgeSource,
     FeeSchedule,
@@ -89,24 +87,26 @@ export class SwapQuoteCalculator {
         operation: MarketOperation,
         opts: CalculateSwapQuoteOpts,
     ): Promise<Array<SwapQuote | undefined>> {
-        const batchSignedOrders = await this._marketOperationUtils.getBatchMarketBuyOrdersAsync(
+        const optimizerResults = await this._marketOperationUtils.getBatchMarketBuyOrdersAsync(
             batchPrunedOrders,
             assetFillAmounts,
             opts,
         );
 
         const batchSwapQuotes = await Promise.all(
-            batchSignedOrders.map(async (orders, i) => {
+            optimizerResults.map(async (result, i) => {
-                if (orders) {
+                if (result) {
                     const { makerAssetData, takerAssetData } = batchPrunedOrders[i][0];
                     return createSwapQuote(
                         makerAssetData,
                         takerAssetData,
-                        orders,
+                        result.optimizedOrders,
                         operation,
                         assetFillAmounts[i],
                         gasPrice,
                         opts.gasSchedule,
+                        result.marketSideLiquidity.makerTokenDecimals,
+                        result.marketSideLiquidity.takerTokenDecimals,
                     );
                 } else {
                     return undefined;
@@ -122,7 +122,7 @@ export class SwapQuoteCalculator {
         operation: MarketOperation,
         opts: CalculateSwapQuoteOpts,
     ): Promise<SwapQuote> {
-        // checks if maker asset is ERC721 or ERC20 and taker asset is ERC20
+        // checks if maker asset is ERC20 and taker asset is ERC20
         if (!isSupportedAssetDataInOrders(prunedOrders)) {
             throw Error(SwapQuoterError.AssetDataUnsupported);
         }
@@ -131,6 +131,8 @@ export class SwapQuoteCalculator {
         let optimizedOrders: OptimizedMarketOrder[];
         let quoteReport: QuoteReport | undefined;
         let sourceFlags: number = 0;
+        let makerTokenDecimals: number;
+        let takerTokenDecimals: number;
 
         // Scale fees by gas price.
         const _opts: GetMarketOrdersOpts = {
@@ -141,34 +143,16 @@ export class SwapQuoteCalculator {
             exchangeProxyOverhead: flags => gasPrice.times(opts.exchangeProxyOverhead(flags)),
         };
 
-        const firstOrderMakerAssetData = !!prunedOrders[0]
+        const result =
-            ? assetDataUtils.decodeAssetDataOrThrow(prunedOrders[0].makerAssetData)
+            operation === MarketOperation.Buy
-            : { assetProxyId: '' };
+                ? await this._marketOperationUtils.getMarketBuyOrdersAsync(prunedOrders, assetFillAmount, _opts)
+                : await this._marketOperationUtils.getMarketSellOrdersAsync(prunedOrders, assetFillAmount, _opts);
 
-        if (firstOrderMakerAssetData.assetProxyId === AssetProxyId.ERC721) {
+        optimizedOrders = result.optimizedOrders;
-            // HACK: to conform ERC721 orders to the output of market operation utils, assumes complete fillable
+        quoteReport = result.quoteReport;
-            optimizedOrders = prunedOrders.map(o => convertNativeOrderToFullyFillableOptimizedOrders(o));
+        sourceFlags = result.sourceFlags;
-        } else {
+        makerTokenDecimals = result.marketSideLiquidity.makerTokenDecimals;
-            if (operation === MarketOperation.Buy) {
+        takerTokenDecimals = result.marketSideLiquidity.takerTokenDecimals;
-                const buyResult = await this._marketOperationUtils.getMarketBuyOrdersAsync(
-                    prunedOrders,
-                    assetFillAmount,
-                    _opts,
-                );
-                optimizedOrders = buyResult.optimizedOrders;
-                quoteReport = buyResult.quoteReport;
-                sourceFlags = buyResult.sourceFlags;
-            } else {
-                const sellResult = await this._marketOperationUtils.getMarketSellOrdersAsync(
-                    prunedOrders,
-                    assetFillAmount,
-                    _opts,
-                );
-                optimizedOrders = sellResult.optimizedOrders;
-                quoteReport = sellResult.quoteReport;
-                sourceFlags = sellResult.sourceFlags;
-            }
-        }
 
         // assetData information for the result
         const { makerAssetData, takerAssetData } = prunedOrders[0];
@@ -182,6 +166,8 @@ export class SwapQuoteCalculator {
                       assetFillAmount,
                       gasPrice,
                       opts.gasSchedule,
+                      makerTokenDecimals,
+                      takerTokenDecimals,
                       quoteReport,
                   )
                 : createSwapQuote(
@@ -192,6 +178,8 @@ export class SwapQuoteCalculator {
                       assetFillAmount,
                       gasPrice,
                       opts.gasSchedule,
+                      makerTokenDecimals,
+                      takerTokenDecimals,
                       quoteReport,
                   );
         // Use the raw gas, not scaled by gas price
@@ -210,6 +198,8 @@ function createSwapQuote(
     assetFillAmount: BigNumber,
     gasPrice: BigNumber,
     gasSchedule: FeeSchedule,
+    makerTokenDecimals: number,
+    takerTokenDecimals: number,
     quoteReport?: QuoteReport,
 ): SwapQuote {
     const bestCaseFillResult = simulateBestCaseFill({
@@ -245,12 +235,16 @@ function createSwapQuote(
             ...quoteBase,
             type: MarketOperation.Buy,
             makerAssetFillAmount: assetFillAmount,
+            makerTokenDecimals,
+            takerTokenDecimals,
         };
     } else {
         return {
             ...quoteBase,
             type: MarketOperation.Sell,
             takerAssetFillAmount: assetFillAmount,
+            makerTokenDecimals,
+            takerTokenDecimals,
         };
     }
 }
@@ -263,6 +257,8 @@ function createTwoHopSwapQuote(
     assetFillAmount: BigNumber,
     gasPrice: BigNumber,
     gasSchedule: FeeSchedule,
+    makerTokenDecimals: number,
+    takerTokenDecimals: number,
     quoteReport?: QuoteReport,
 ): SwapQuote {
     const [firstHopOrder, secondHopOrder] = optimizedOrders;
@@ -312,12 +308,16 @@ function createTwoHopSwapQuote(
             ...quoteBase,
             type: MarketOperation.Buy,
             makerAssetFillAmount: assetFillAmount,
+            makerTokenDecimals,
+            takerTokenDecimals,
         };
     } else {
         return {
             ...quoteBase,
             type: MarketOperation.Sell,
             takerAssetFillAmount: assetFillAmount,
+            makerTokenDecimals,
+            takerTokenDecimals,
         };
     }
 }

packages/asset-swapper/src/utils/utils.ts

@@ -33,8 +33,7 @@ export function isSupportedAssetDataInOrders(orders: SignedOrder[]): boolean {
         const takerAssetData = assetDataUtils.decodeAssetDataOrThrow(o.takerAssetData);
         const makerAssetData = assetDataUtils.decodeAssetDataOrThrow(o.makerAssetData);
         return (
-            (makerAssetData.assetProxyId === AssetProxyId.ERC20 ||
+            makerAssetData.assetProxyId === AssetProxyId.ERC20 &&
-                makerAssetData.assetProxyId === AssetProxyId.ERC721) &&
             takerAssetData.assetProxyId === AssetProxyId.ERC20 &&
             firstOrderMakerAssetData.assetProxyId === makerAssetData.assetProxyId
         ); // checks that all native order maker assets are of the same type

packages/asset-swapper/test/utils/swap_quote.ts

@@ -1,5 +1,4 @@
 import { BigNumber } from '@0x/utils';
-import * as _ from 'lodash';
 
 import { ERC20BridgeSource } from '../../src';
 import { constants } from '../../src/constants';
@@ -47,12 +46,16 @@ export async function getFullyFillableSwapQuoteWithNoFeesAsync(
             ...quoteBase,
             type: MarketOperation.Buy,
             makerAssetFillAmount,
+            makerTokenDecimals: 18,
+            takerTokenDecimals: 18,
         };
     } else {
         return {
             ...quoteBase,
             type: MarketOperation.Sell,
             takerAssetFillAmount: totalTakerAssetAmount,
+            makerTokenDecimals: 18,
+            takerTokenDecimals: 18,
         };
     }
 }