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fix: native order scaling & don't try to route 1 wei trades (it will fail) (#430)

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* feat: scale oversized native orders to quote amount for fake samples

* chore: temporarily use private publish neon-router version

* fix: short circuit 1 base unit trades to avoid router error

* chore: use published version of `neon-router`

* chore: add changelog entry for asset-swapper
This commit is contained in:
Kim Persson 2022-02-24 10:34:17 +01:00 committed by GitHub
parent 38969bb0a8
commit 6480aaa189
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GPG Key ID: 4AEE18F83AFDEB23
4 changed files with 41 additions and 11 deletions
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9
packages/asset-swapper/CHANGELOG.json
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@ -1,4 +1,13 @@
[
{
"version": "16.49.9",
"changes": [
{
"note": "Fix native order scaling & filter out 1 wei quotes",
"pr": "430"
}
]
},
{
"timestamp": 1645569128,
"version": "16.49.8",

2
packages/asset-swapper/package.json
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@ -66,7 +66,7 @@
"@0x/contracts-zero-ex": "^0.31.0",
"@0x/dev-utils": "^4.2.11",
"@0x/json-schemas": "^6.4.1",
"@0x/neon-router": "^0.3.2",
"@0x/neon-router": "^0.3.3",
"@0x/protocol-utils": "^1.11.0",
"@0x/quote-server": "^6.0.6",
"@0x/types": "^3.3.4",

33
packages/asset-swapper/src/utils/market_operation_utils/path_optimizer.ts
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@ -21,6 +21,8 @@ const MIN_NUM_SAMPLE_INPUTS = 3;
const isDexSample = (obj: DexSample | NativeOrderWithFillableAmounts): obj is DexSample => !!(obj as DexSample).source;
const ONE_BASE_UNIT = new BigNumber(1);
function nativeOrderToNormalizedAmounts(
side: MarketOperation,
nativeOrder: NativeOrderWithFillableAmounts,
@ -75,6 +77,13 @@ function findRoutesAndCreateOptimalPath(
fees: FeeSchedule,
neonRouterNumSamples: number,
): Path | undefined {
// Currently the rust router is unable to handle 1 base unit sized quotes and will error out
// To avoid flooding the logs with these errors we just return an insufficient liquidity error
// which is how the JS router handles these quotes today
if (input.eq(ONE_BASE_UNIT)) {
return undefined;
}
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
@ -155,12 +164,24 @@ function findRoutesAndCreateOptimalPath(
const inputs = [];
const outputs = [];
const outputFees = [];
// NOTE: We start at 0 here because the native order might be much larger than the amount
// By starting at 0 we make sure we can always use a portion of the native order to fill/partial fill
for (let i = 0; i <= 12; i++) {
const fraction = i / 12;
const currentInput = BigNumber.min(normalizedOrderInput.times(fraction), normalizedOrderInput);
const currentOutput = BigNumber.min(normalizedOrderOutput.times(fraction), normalizedOrderOutput);
// NOTE: Limit orders can be both larger or smaller than the input amount
// If the order is larger than the input we can scale the order to the size of
// the quote input (order pricing is constant) and then create 13 "samples" up to
// and including the full quote input amount.
// If the order is smaller we don't need to scale anything, we will just end up
// with trailing duplicate samples for the order input as we cannot go higher
const scaleToInput = BigNumber.min(input.dividedBy(normalizedOrderInput), 1);
for (let i = 1; i <= 13; i++) {
const fraction = i / 13;
const currentInput = BigNumber.min(
normalizedOrderInput.times(scaleToInput).times(fraction),
normalizedOrderInput,
);
const currentOutput = BigNumber.min(
normalizedOrderOutput.times(scaleToInput).times(fraction),
normalizedOrderOutput,
);
const id = `${ERC20BridgeSource.Native}-${serializedPaths.length}-${idx}-${i}`;
inputs.push(currentInput.integerValue().toNumber());
outputs.push(currentOutput.integerValue().toNumber());

8
yarn.lock
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@ -959,10 +959,10 @@
typedoc "~0.16.11"
yargs "^10.0.3"
"@0x/neon-router@^0.3.2":
version "0.3.2"
resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.3.2.tgz#dc68d0a108060d607b48e3d32ce0ff46f8dc0cc2"
integrity sha512-AdSPeCxRcjdpmWDkJI1wg+X4q14tmLE21vM0AixtMQQI5+f22sIeUCrPqU9FFKqMQTOW0/3d8tVXzxdollahbA==
"@0x/neon-router@^0.3.3":
version "0.3.3"
resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.3.3.tgz#dab540f4cd2aea6441ba29cbc35c28ca3f7a2b4f"
integrity sha512-xRIpRJ+gStLfDQI9mVdeugoLHQAp/bZfX7dycEQdStZlF6kcZk5kRe/iXCFoxoEY42fMaQW0/7JMFiB1C18t6Q==
dependencies:
"@mapbox/node-pre-gyp" "^1.0.5"