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fix: don't create fills for 0 output samples and negative adjusted rate orders (#387)

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* fix: don't try to create fills for 0 output samples

* fix: negative adjusted output native orders causing undefined fills

* fix: make sure to use the same sourcePathId for fills from same source

* fix: should be same sourcePathId within the same DexSample[]

* fix: split native orders into 13 samples to align with interpolation

* chore: add changelog entry for asset-swapper
This commit is contained in:
Kim Persson 2022-01-10 14:55:03 +01:00 committed by GitHub
parent 11dfea47a6
commit 60345d4465
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GPG Key ID: 4AEE18F83AFDEB23
2 changed files with 65 additions and 41 deletions
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9
packages/asset-swapper/CHANGELOG.json
View File

@ -1,4 +1,13 @@
[
{
"version": "16.45.2",
"changes": [
{
"note": "Handle 0 output samples and negative adjusted rate native orders in routing",
"pr": 387
}
]
},
{
"version": "16.45.1",
"changes": [

97
packages/asset-swapper/src/utils/market_operation_utils/path_optimizer.ts
View File

@ -1,7 +1,7 @@
import { assert } from '@0x/assert';
import { ChainId } from '@0x/contract-addresses';
import { OptimizerCapture, route, SerializedPath } from '@0x/neon-router';
import { BigNumber } from '@0x/utils';
import { BigNumber, hexUtils } from '@0x/utils';
import * as _ from 'lodash';
import { performance } from 'perf_hooks';
@ -76,16 +76,25 @@ function findRoutesAndCreateOptimalPath(
fees: FeeSchedule,
neonRouterNumSamples: number,
): Path | undefined {
const createFill = (sample: DexSample) =>
dexSamplesToFills(side, [sample], opts.outputAmountPerEth, opts.inputAmountPerEth, fees)[0];
const createFill = (sample: DexSample): Fill | undefined => {
const fills = dexSamplesToFills(side, [sample], opts.outputAmountPerEth, opts.inputAmountPerEth, fees);
// NOTE: If the sample has 0 output dexSamplesToFills will return [] because no fill can be created
if (fills.length === 0) {
return undefined;
}
return fills[0];
};
const samplesAndNativeOrdersWithResults: Array<DexSample[] | NativeOrderWithFillableAmounts[]> = [];
const serializedPaths: SerializedPath[] = [];
const sampleSourcePathIds: string[] = [];
for (const singleSourceSamples of samples) {
if (singleSourceSamples.length === 0) {
continue;
}
const sourcePathId = hexUtils.random();
const singleSourceSamplesWithOutput = [...singleSourceSamples];
for (let i = singleSourceSamples.length - 1; i >= 0; i--) {
if (singleSourceSamples[i].output.isZero()) {
@ -124,8 +133,10 @@ function findRoutesAndCreateOptimalPath(
samplesAndNativeOrdersWithResults.push(singleSourceSamplesWithOutput);
serializedPaths.push(serializedPath);
sampleSourcePathIds.push(sourcePathId);
}
const nativeOrdersourcePathId = hexUtils.random();
for (const [idx, nativeOrder] of nativeOrders.entries()) {
const { input: normalizedOrderInput, output: normalizedOrderOutput } = nativeOrderToNormalizedAmounts(
side,
@ -136,32 +147,25 @@ function findRoutesAndCreateOptimalPath(
if (normalizedOrderInput.isLessThanOrEqualTo(0) || normalizedOrderOutput.isLessThanOrEqualTo(0)) {
continue;
}
// HACK: the router requires at minimum 3 samples as a basis for interpolation
const inputs = [
0,
normalizedOrderInput
.dividedBy(2)
.integerValue()
.toNumber(),
normalizedOrderInput.integerValue().toNumber(),
];
const outputs = [
0,
normalizedOrderOutput
.dividedBy(2)
.integerValue()
.toNumber(),
normalizedOrderOutput.integerValue().toNumber(),
];
// NOTE: same fee no matter if full or partial fill
const fee = calculateOuputFee(side, nativeOrder, opts.outputAmountPerEth, opts.inputAmountPerEth, fees)
.integerValue()
.toNumber();
const outputFees = [fee, fee, fee];
// NOTE: ids can be the same for all fake samples
const id = `${ERC20BridgeSource.Native}-${serializedPaths.length}-${idx}`;
const ids = [id, id, id];
// HACK: due to an issue with the Rust router interpolation we need to create exactly 13 samples from the native order
const ids = [];
const inputs = [];
const outputs = [];
const outputFees = [];
for (let i = 1; i <= 13; i++) {
const fraction = i / 13;
const currentInput = BigNumber.min(normalizedOrderInput.times(fraction), normalizedOrderInput);
const currentOutput = BigNumber.min(normalizedOrderOutput.times(fraction), normalizedOrderOutput);
const id = `${ERC20BridgeSource.Native}-${serializedPaths.length}-${idx}-${i}`;
inputs.push(currentInput.integerValue().toNumber());
outputs.push(currentOutput.integerValue().toNumber());
outputFees.push(fee);
ids.push(id);
}
const serializedPath: SerializedPath = {
ids,
@ -172,6 +176,7 @@ function findRoutesAndCreateOptimalPath(
samplesAndNativeOrdersWithResults.push([nativeOrder]);
serializedPaths.push(serializedPath);
sampleSourcePathIds.push(nativeOrdersourcePathId);
}
if (serializedPaths.length === 0) {
@ -200,12 +205,13 @@ function findRoutesAndCreateOptimalPath(
allSourcesRustRoute,
samplesAndNativeOrdersWithResults,
strategySourcesOutputAmounts,
sampleSourcePathIds,
);
const adjustedFills: Fill[] = [];
const totalRoutedAmount = BigNumber.sum(...allSourcesRustRoute);
const scale = input.dividedBy(totalRoutedAmount);
for (const [routeInput, routeSamplesAndNativeOrders, outputAmount] of routesAndSamplesAndOutputs) {
for (const [routeInput, routeSamplesAndNativeOrders, outputAmount, sourcePathId] of routesAndSamplesAndOutputs) {
if (!routeInput || !routeSamplesAndNativeOrders || !outputAmount || !Number.isFinite(outputAmount)) {
continue;
}
@ -225,14 +231,21 @@ function findRoutesAndCreateOptimalPath(
opts.outputAmountPerEth,
opts.inputAmountPerEth,
fees,
)[0];
// NOTE: For Limit/RFQ orders we are done here. No need to scale output
adjustedFills.push(nativeFill);
)[0] as Fill | undefined;
// Note: If the order has an adjusted rate of less than or equal to 0 it will be skipped
// and nativeFill will be `undefined`
if (nativeFill) {
// NOTE: For Limit/RFQ orders we are done here. No need to scale output
adjustedFills.push({ ...nativeFill, sourcePathId: sourcePathId ?? hexUtils.random() });
}
continue;
}
// NOTE: For DexSamples only
let fill = createFill(current);
if (!fill) {
continue;
}
const routeSamples = routeSamplesAndNativeOrders as Array<DexSample<FillData>>;
// Descend to approach a closer fill for fillData which may not be consistent
// throughout the path (UniswapV3) and for a closer guesstimate at
@ -241,38 +254,40 @@ function findRoutesAndCreateOptimalPath(
assert.assert(routeSamples.length >= 1, 'Found no sample to use for source');
for (let k = routeSamples.length - 1; k >= 0; k--) {
if (k === 0) {
fill = createFill(routeSamples[0]);
fill = createFill(routeSamples[0]) ?? fill;
}
if (rustInputAdjusted.isGreaterThan(routeSamples[k].input)) {
const left = routeSamples[k];
const right = routeSamples[k + 1];
if (left && right) {
fill = createFill({
...right, // default to the greater (for gas used)
input: rustInputAdjusted,
output: new BigNumber(outputAmount),
});
fill =
createFill({
...right, // default to the greater (for gas used)
input: rustInputAdjusted,
output: new BigNumber(outputAmount),
}) ?? fill;
} else {
assert.assert(Boolean(left || right), 'No valid sample to use');
fill = createFill(left || right);
fill = createFill(left || right) ?? fill;
}
break;
}
}
// TODO(kimpers): remove once we have solved the rounding/precision loss issues in the Rust router
const scaleOutput = (output: BigNumber) =>
const scaleOutput = (fillInput: BigNumber, output: BigNumber) =>
output
.dividedBy(fill.input)
.dividedBy(fillInput)
.times(rustInputAdjusted)
.decimalPlaces(0, side === MarketOperation.Sell ? BigNumber.ROUND_FLOOR : BigNumber.ROUND_CEIL);
adjustedFills.push({
...fill,
input: rustInputAdjusted,
output: scaleOutput(fill.output),
adjustedOutput: scaleOutput(fill.adjustedOutput),
output: scaleOutput(fill.input, fill.output),
adjustedOutput: scaleOutput(fill.input, fill.adjustedOutput),
index: 0,
parent: undefined,
sourcePathId: sourcePathId ?? hexUtils.random(),
});
}