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

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

* CHANGELOG
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Jacob Evans 2022-02-04 10:37:38 +10:00 committed by GitHub
parent 0f701f42d3
commit 5d2cdb00c2
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6 changed files with 25 additions and 20 deletions
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9
packages/asset-swapper/CHANGELOG.json
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@ -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": [

17
packages/asset-swapper/src/quote_consumers/exchange_proxy_swap_quote_consumer.ts
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@ -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) {
// (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();
return quote.worstCaseQuoteInfo.slippage;
}

14
packages/asset-swapper/src/swap_quoter.ts
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@ -578,8 +578,8 @@ function calculateQuoteInfo(
});
return {
bestCaseQuoteInfo: fillResultsToQuoteInfo(bestCaseFillResult),
worstCaseQuoteInfo: fillResultsToQuoteInfo(worstCaseFillResult),
bestCaseQuoteInfo: fillResultsToQuoteInfo(bestCaseFillResult, 0),
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,
};
}

2
packages/asset-swapper/src/types.ts
View File

@ -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;
}
/**

2
packages/asset-swapper/test/exchange_proxy_swap_quote_consumer_test.ts
View File

@ -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),

1
packages/asset-swapper/test/utils/swap_quote.ts
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@ -24,6 +24,7 @@ export async function getFullyFillableSwapQuoteWithNoFeesAsync(
totalTakerAmount: takerAmount,
protocolFeeInWeiAmount: protocolFeePerOrder.times(orders.length),
gas: 200e3,
slippage: 0,
};
const breakdown = {