@0x/asset-swapper: respect max slippage in EP consumer

packages/asset-swapper/CHANGELOG.json

@@ -129,6 +129,10 @@
             {
                 "note": "Fix Balancer sampling",
                 "pr": 2711
+            },
+            {
+                "note": "Respect max slippage in EP consumer",
+                "pr": 2712
             }
         ]
     },

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

@@ -30,6 +30,8 @@ import { assert } from '../utils/assert';
 import { ERC20BridgeSource, UniswapV2FillData } from '../utils/market_operation_utils/types';
 import { getTokenFromAssetData } from '../utils/utils';
 
+import { getMinBuyAmount } from './utils';
+
 // tslint:disable-next-line:custom-no-magic-numbers
 const MAX_UINT256 = new BigNumber(2).pow(256).minus(1);
 const { NULL_ADDRESS, ZERO_AMOUNT } = constants;
@@ -93,6 +95,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
         const sellToken = getTokenFromAssetData(quote.takerAssetData);
         const buyToken = getTokenFromAssetData(quote.makerAssetData);
         const sellAmount = quote.worstCaseQuoteInfo.totalTakerAssetAmount;
+        const minBuyAmount = getMinBuyAmount(quote);
 
         // VIP routes.
         if (isDirectUniswapCompatible(quote, optsWithDefaults)) {
@@ -111,7 +114,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
                             return a;
                         }),
                         sellAmount,
-                        quote.worstCaseQuoteInfo.makerAssetAmount,
+                        minBuyAmount,
                         source === ERC20BridgeSource.SushiSwap,
                     )
                     .getABIEncodedTransactionData(),
@@ -225,7 +228,6 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
             }),
         });
 
-        const minBuyAmount = BigNumber.max(0, quote.worstCaseQuoteInfo.makerAssetAmount.minus(buyTokenFeeAmount));
         const calldataHexString = this._exchangeProxy
             .transformERC20(
                 isFromETH ? ETH_TOKEN_ADDRESS : sellToken,

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

@@ -0,0 +1,28 @@
+import { BigNumber } from '@0x/utils';
+import * as _ from 'lodash';
+
+import { MarketOperation, SwapQuote } from '../types';
+
+/**
+ * Compute the mminimum buy token amount for market operations by inferring
+ * the slippage from the orders in a quote. We cannot rely on
+ * `worstCaseQuoteInfo.makerAssetAmount` because that does not stop at
+ * maximum slippage.
+ */
+export function getMinBuyAmount(quote: SwapQuote): BigNumber {
+    // Infer the allowed maker asset slippage from the orders.
+    const totalOrderMakerAssetAmount = BigNumber.sum(...quote.orders.map(o => o.makerAssetAmount));
+    const totalFillMakerAssetAmount =
+        quote.type === MarketOperation.Sell
+            ? BigNumber.sum(...quote.orders.map(o => BigNumber.sum(0, ...o.fills.map(f => f.output))))
+            : BigNumber.sum(...quote.orders.map(o => BigNumber.sum(0, ...o.fills.map(f => f.input))));
+    if (totalFillMakerAssetAmount.eq(0)) {
+        return quote.worstCaseQuoteInfo.makerAssetAmount;
+    }
+    if (totalOrderMakerAssetAmount.eq(totalFillMakerAssetAmount)) {
+        // No slippage allowed on bought tokens.
+        return quote.bestCaseQuoteInfo.makerAssetAmount;
+    }
+    const slipRatio = totalOrderMakerAssetAmount.div(totalFillMakerAssetAmount);
+    return quote.bestCaseQuoteInfo.makerAssetAmount.times(slipRatio).integerValue(BigNumber.ROUND_DOWN);
+}