fix: slippage inconsistency when recalculated in exchange proxy quote consumer (#412)

* fix: Pass slippage down rather than recalculate due to accuracy

* CHANGELOG

packages/asset-swapper/CHANGELOG.json

@@ -1,4 +1,13 @@
 [
+    {
+        "version": "16.49.3",
+        "changes": [
+            {
+                "note": "Fix `slippage` inconsistency when recalculated in exchange proxy quote consumer",
+                "pr": 412
+            }
+        ]
+    },
     {
         "version": "16.49.2",
         "changes": [

packages/asset-swapper/src/quote_consumers/exchange_proxy_swap_quote_consumer.ts

@@ -691,7 +691,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
 
 function slipNonNativeOrders(quote: MarketSellSwapQuote | MarketBuySwapQuote): OptimizedMarketOrder[] {
     const slippage = getMaxQuoteSlippageRate(quote);
-    if (!slippage) {
+    if (slippage === 0) {
         return quote.orders;
     }
     return quote.orders.map(o => {
@@ -716,18 +716,5 @@ function slipNonNativeOrders(quote: MarketSellSwapQuote | MarketBuySwapQuote): O
 }
 
 function getMaxQuoteSlippageRate(quote: MarketBuySwapQuote | MarketSellSwapQuote): number {
-    if (quote.type === MarketOperation.Buy) {
+    return quote.worstCaseQuoteInfo.slippage;
-        // (worstCaseTaker - bestCaseTaker) / bestCaseTaker
-        // where worstCaseTaker >= bestCaseTaker
-        return quote.worstCaseQuoteInfo.takerAmount
-            .minus(quote.bestCaseQuoteInfo.takerAmount)
-            .div(quote.bestCaseQuoteInfo.takerAmount)
-            .toNumber();
-    }
-    // (bestCaseMaker - worstCaseMaker) / bestCaseMaker
-    // where bestCaseMaker >= worstCaseMaker
-    return quote.bestCaseQuoteInfo.makerAmount
-        .minus(quote.worstCaseQuoteInfo.makerAmount)
-        .div(quote.bestCaseQuoteInfo.makerAmount)
-        .toNumber();
 }

packages/asset-swapper/src/swap_quoter.ts

@@ -578,8 +578,8 @@ function calculateQuoteInfo(
     });
 
     return {
-        bestCaseQuoteInfo: fillResultsToQuoteInfo(bestCaseFillResult),
+        bestCaseQuoteInfo: fillResultsToQuoteInfo(bestCaseFillResult, 0),
-        worstCaseQuoteInfo: fillResultsToQuoteInfo(worstCaseFillResult),
+        worstCaseQuoteInfo: fillResultsToQuoteInfo(worstCaseFillResult, slippage),
         sourceBreakdown: getSwapQuoteOrdersBreakdown(bestCaseFillResult.fillAmountBySource),
     };
 }
@@ -600,6 +600,7 @@ function calculateTwoHopQuoteInfo(
         }),
     ).toNumber();
     const isSell = operation === MarketOperation.Sell;
+
     return {
         bestCaseQuoteInfo: {
             makerAmount: isSell ? secondHopFill.output : secondHopFill.input,
@@ -608,6 +609,7 @@ function calculateTwoHopQuoteInfo(
             feeTakerTokenAmount: constants.ZERO_AMOUNT,
             protocolFeeInWeiAmount: constants.ZERO_AMOUNT,
             gas,
+            slippage: 0,
         },
         // TODO jacob consolidate this with quote simulation worstCase
         worstCaseQuoteInfo: {
@@ -616,13 +618,14 @@ function calculateTwoHopQuoteInfo(
                 : secondHopOrder.makerAmount,
             takerAmount: isSell
                 ? firstHopOrder.takerAmount
-                : firstHopOrder.takerAmount.times(1 + slippage).integerValue(),
+                : firstHopOrder.takerAmount.times(1 + slippage).integerValue(BigNumber.ROUND_UP),
             totalTakerAmount: isSell
                 ? firstHopOrder.takerAmount
-                : firstHopOrder.takerAmount.times(1 + slippage).integerValue(),
+                : firstHopOrder.takerAmount.times(1 + slippage).integerValue(BigNumber.ROUND_UP),
             feeTakerTokenAmount: constants.ZERO_AMOUNT,
             protocolFeeInWeiAmount: constants.ZERO_AMOUNT,
             gas,
+            slippage,
         },
         sourceBreakdown: {
             [ERC20BridgeSource.MultiHop]: {
@@ -648,7 +651,7 @@ function getSwapQuoteOrdersBreakdown(fillAmountBySource: { [source: string]: Big
     return breakdown;
 }
 
-function fillResultsToQuoteInfo(fr: QuoteFillResult): SwapQuoteInfo {
+function fillResultsToQuoteInfo(fr: QuoteFillResult, slippage: number): SwapQuoteInfo {
     return {
         makerAmount: fr.totalMakerAssetAmount,
         takerAmount: fr.takerAssetAmount,
@@ -656,6 +659,7 @@ function fillResultsToQuoteInfo(fr: QuoteFillResult): SwapQuoteInfo {
         feeTakerTokenAmount: fr.takerFeeTakerAssetAmount,
         protocolFeeInWeiAmount: fr.protocolFeeAmount,
         gas: fr.gas,
+        slippage,
     };
 }
 

packages/asset-swapper/src/types.ts

@@ -208,6 +208,7 @@ export type SwapQuote = MarketBuySwapQuote | MarketSellSwapQuote;
  * makerTokenAmount: The amount of makerAsset that will be acquired through the swap.
  * protocolFeeInWeiAmount: The amount of ETH to pay (in WEI) as protocol fee to perform the swap for desired asset.
  * gas: Amount of estimated gas needed to fill the quote.
+ * slippage: Amount of slippage to allow for.
  */
 export interface SwapQuoteInfo {
     feeTakerTokenAmount: BigNumber;
@@ -216,6 +217,7 @@ export interface SwapQuoteInfo {
     makerAmount: BigNumber;
     protocolFeeInWeiAmount: BigNumber;
     gas: number;
+    slippage: number;
 }
 
 /**

packages/asset-swapper/test/exchange_proxy_swap_quote_consumer_test.ts

@@ -125,6 +125,7 @@ describe('ExchangeProxySwapQuoteConsumer', () => {
                 gas: Math.floor(Math.random() * 8e6),
                 protocolFeeInWeiAmount: getRandomAmount(),
                 feeTakerTokenAmount: getRandomAmount(),
+                slippage: 0,
             },
             worstCaseQuoteInfo: {
                 makerAmount: makerTokenFillAmount,
@@ -133,6 +134,7 @@ describe('ExchangeProxySwapQuoteConsumer', () => {
                 gas: Math.floor(Math.random() * 8e6),
                 protocolFeeInWeiAmount: getRandomAmount(),
                 feeTakerTokenAmount: getRandomAmount(),
+                slippage: 0,
             },
             makerAmountPerEth: getRandomInteger(1, 1e9),
             takerAmountPerEth: getRandomInteger(1, 1e9),

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

@@ -24,6 +24,7 @@ export async function getFullyFillableSwapQuoteWithNoFeesAsync(
         totalTakerAmount: takerAmount,
         protocolFeeInWeiAmount: protocolFeePerOrder.times(orders.length),
         gas: 200e3,
+        slippage: 0,
     };
 
     const breakdown = {