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Merge branch 'development' into feat/add-cream

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This commit is contained in:
Alex Kroeger 2020-10-16 10:23:38 -07:00
commit 56f2dec441
7 changed files with 64 additions and 15 deletions
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12
packages/asset-swapper/CHANGELOG.json
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@ -153,6 +153,18 @@
{
"note": "Added `DODO`",
"pr": 2701
},
{
"note": "Fix for some edge cases with `includedSources` and `MultiHop`",
"pr": 2730
},
{
"note": "Introduced `excludedFeeSources` to disable sources when determining the price of an asset in ETH",
"pr": 2731
},
{
"note": "Support DODO Trade Allowed parameter to automatically disable the pool",
"pr": 2732
}
]
},

11
packages/asset-swapper/contracts/src/DODOSampler.sol
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@ -34,6 +34,7 @@ interface IDODOHelper {
interface IDODO {
function querySellBaseToken(uint256 amount) external view returns (uint256);
function _TRADE_ALLOWED_() external view returns (bool);
}
contract DODOSampler is
@ -80,6 +81,11 @@ contract DODOSampler is
sellBase = false;
}
// DODO Pool has been disabled
if (!IDODO(pool)._TRADE_ALLOWED_()) {
return (sellBase, pool, makerTokenAmounts);
}
for (uint256 i = 0; i < numSamples; i++) {
uint256 buyAmount = _sampleSellForApproximateBuyFromDODO(
abi.encode(takerToken, pool, baseToken), // taker token data
@ -132,6 +138,11 @@ contract DODOSampler is
sellBase = false;
}
// DODO Pool has been disabled
if (!IDODO(pool)._TRADE_ALLOWED_()) {
return (sellBase, pool, takerTokenAmounts);
}
takerTokenAmounts = _sampleApproximateBuys(
ApproximateBuyQuoteOpts({
makerTokenData: abi.encode(makerToken, pool, baseToken),

1
packages/asset-swapper/src/utils/market_operation_utils/constants.ts
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@ -57,6 +57,7 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
// tslint:disable-next-line: custom-no-magic-numbers
runLimit: 2 ** 15,
excludedSources: [],
excludedFeeSources: [],
includedSources: [],
bridgeSlippage: 0.005,
maxFallbackSlippage: 0.05,

22
packages/asset-swapper/src/utils/market_operation_utils/index.ts
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@ -137,10 +137,12 @@ export class MarketOperationUtils {
const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
const [makerToken, takerToken] = getNativeOrderTokens(nativeOrders[0]);
const sampleAmounts = getSampleAmounts(takerAmount, _opts.numSamples, _opts.sampleDistributionBase);
const requestFilters = new SourceFilters().exclude(_opts.excludedSources).include(_opts.includedSources);
const feeSourceFilters = this._feeSources.merge(requestFilters);
const quoteSourceFilters = this._sellSources.merge(requestFilters);
const feeSourceFilters = this._feeSources.exclude(_opts.excludedFeeSources);
const {
onChain: sampleBalancerOnChain,
offChain: sampleBalancerOffChain,
@ -278,10 +280,12 @@ export class MarketOperationUtils {
const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
const [makerToken, takerToken] = getNativeOrderTokens(nativeOrders[0]);
const sampleAmounts = getSampleAmounts(makerAmount, _opts.numSamples, _opts.sampleDistributionBase);
const requestFilters = new SourceFilters().exclude(_opts.excludedSources).include(_opts.includedSources);
const feeSourceFilters = this._feeSources.merge(requestFilters);
const quoteSourceFilters = this._buySources.merge(requestFilters);
const feeSourceFilters = this._feeSources.exclude(_opts.excludedFeeSources);
const {
onChain: sampleBalancerOnChain,
offChain: sampleBalancerOffChain,
@ -486,9 +490,10 @@ export class MarketOperationUtils {
const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
const requestFilters = new SourceFilters().exclude(_opts.excludedSources).include(_opts.includedSources);
const feeSourceFilters = this._feeSources.merge(requestFilters);
const quoteSourceFilters = this._buySources.merge(requestFilters);
const feeSourceFilters = this._feeSources.exclude(_opts.excludedFeeSources);
const ops = [
...batchNativeOrders.map(orders =>
this._sampler.getOrderFillableMakerAmounts(orders, this.contractAddresses.exchange),
@ -620,11 +625,9 @@ export class MarketOperationUtils {
ethToInputRate,
exchangeProxyOverhead: opts.exchangeProxyOverhead || (() => ZERO_AMOUNT),
};
const optimalPath = await findOptimalPathAsync(side, fills, inputAmount, opts.runLimit, optimizerOpts);
if (optimalPath === undefined) {
throw new Error(AggregationError.NoOptimalPath);
}
const optimalPathRate = optimalPath.adjustedRate();
const optimalPathRate = optimalPath ? optimalPath.adjustedRate() : ZERO_AMOUNT;
const { adjustedRate: bestTwoHopRate, quote: bestTwoHopQuote } = getBestTwoHopQuote(
marketSideLiquidity,
@ -640,6 +643,11 @@ export class MarketOperationUtils {
};
}
// If there is no optimal path AND we didn't return a MultiHop quote, then throw
if (optimalPath === undefined) {
throw new Error(AggregationError.NoOptimalPath);
}
// Generate a fallback path if native orders are in the optimal path.
const nativeFills = optimalPath.fills.filter(f => f.source === ERC20BridgeSource.Native);
if (opts.allowFallback && nativeFills.length !== 0) {

23
packages/asset-swapper/src/utils/market_operation_utils/multihop_utils.ts
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@ -46,26 +46,37 @@ export function getBestTwoHopQuote(
exchangeProxyOverhead?: ExchangeProxyOverhead,
): { quote: DexSample<MultiHopFillData> | undefined; adjustedRate: BigNumber } {
const { side, inputAmount, ethToOutputRate, twoHopQuotes } = marketSideLiquidity;
if (twoHopQuotes.length === 0) {
return { adjustedRate: ZERO_AMOUNT, quote: undefined };
// Ensure the expected data we require exists. In the case where all hops reverted
// or there were no sources included that allowed for multi hop,
// we can end up with empty, but not undefined, fill data
const filteredQuotes = twoHopQuotes.filter(
quote =>
quote &&
quote.fillData &&
quote.fillData.firstHopSource &&
quote.fillData.secondHopSource &&
quote.output.isGreaterThan(ZERO_AMOUNT),
);
if (filteredQuotes.length === 0) {
return { quote: undefined, adjustedRate: ZERO_AMOUNT };
}
const best = twoHopQuotes
const best = filteredQuotes
.map(quote =>
getTwoHopAdjustedRate(side, quote, inputAmount, ethToOutputRate, feeSchedule, exchangeProxyOverhead),
)
.reduce(
(prev, curr, i) =>
curr.isGreaterThan(prev.adjustedRate) ? { adjustedRate: curr, quote: twoHopQuotes[i] } : prev,
curr.isGreaterThan(prev.adjustedRate) ? { adjustedRate: curr, quote: filteredQuotes[i] } : prev,
{
adjustedRate: getTwoHopAdjustedRate(
side,
twoHopQuotes[0],
filteredQuotes[0],
inputAmount,
ethToOutputRate,
feeSchedule,
exchangeProxyOverhead,
),
quote: twoHopQuotes[0],
quote: filteredQuotes[0],
},
);
return best;

5
packages/asset-swapper/src/utils/market_operation_utils/sampler_operations.ts
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@ -636,11 +636,12 @@ export class SamplerOperations {
const [firstHop, secondHop, buyAmount] = this._samplerContract.getABIDecodedReturnData<
[HopInfo, HopInfo, BigNumber]
>('sampleTwoHopSell', callResults);
// Ensure the hop sources are set even when the buy amount is zero
fillData.firstHopSource = firstHopOps[firstHop.sourceIndex.toNumber()];
fillData.secondHopSource = secondHopOps[secondHop.sourceIndex.toNumber()];
if (buyAmount.isZero()) {
return [ZERO_AMOUNT];
}
fillData.firstHopSource = firstHopOps[firstHop.sourceIndex.toNumber()];
fillData.secondHopSource = secondHopOps[secondHop.sourceIndex.toNumber()];
fillData.firstHopSource.handleCallResults(firstHop.returnData);
fillData.secondHopSource.handleCallResults(secondHop.returnData);
return [buyAmount];

5
packages/asset-swapper/src/utils/market_operation_utils/types.ts
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@ -242,6 +242,11 @@ export interface GetMarketOrdersOpts {
* Liquidity sources to exclude. Default is none.
*/
excludedSources: ERC20BridgeSource[];
/**
* Liquidity sources to exclude when used to calculate the cost of the route.
* Default is none.
*/
excludedFeeSources: ERC20BridgeSource[];
/**
* Liquidity sources to include. Default is none, which allows all supported
* sources that aren't excluded by `excludedSources`.