[api] Use liquidity to filter UniswapV3 pools (#250)
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Savarn Dontamsetti (Sav)
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GitHub
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08fa57d365
commit
689ebf1e85
@@ -23,13 +23,9 @@ pragma experimental ABIEncoderV2;
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import "@0x/contracts-erc20/contracts/src/v06/IERC20TokenV06.sol";
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import "./interfaces/IUniswapV3.sol";
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import "./interfaces/IMultiQuoter.sol";
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import "./TickBasedAMMCommon.sol";
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contract UniswapV3Common is TickBasedAMMCommon {
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/// @dev Gas limit for UniswapV3 calls
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uint256 private constant POOL_FILTERING_GAS_LIMIT = 450e3;
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function toUniswapPath(
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address[] memory tokenPath,
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address[] memory poolPath
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@@ -62,36 +58,23 @@ contract UniswapV3Common is TickBasedAMMCommon {
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}
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/// @dev Returns `poolPaths` to sample against. The caller is responsible for not using path involinvg zero address(es).
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function getPoolPaths(
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address factory,
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IMultiQuoter multiQuoter,
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address[] memory path,
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uint256 inputAmount
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) internal view returns (address[][] memory poolPaths) {
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function getPoolPaths(address factory, address[] memory path) internal view returns (address[][] memory poolPaths) {
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if (path.length == 2) {
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return getPoolPathSingleHop(factory, multiQuoter, path, inputAmount);
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return getPoolPathSingleHop(factory, path);
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}
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if (path.length == 3) {
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return getPoolPathTwoHop(factory, multiQuoter, path, inputAmount);
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return getPoolPathTwoHop(factory, path);
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}
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revert("UniswapV3Sampler/unsupported token path length");
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}
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function getPoolPathSingleHop(
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address factory,
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IMultiQuoter multiQuoter,
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address[] memory path,
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uint256 inputAmount
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address[] memory path
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) private view returns (address[][] memory poolPaths) {
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poolPaths = new address[][](2);
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(address[2] memory topPools, ) = getTopTwoPools(
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GetTopTwoPoolsParams({
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factory: factory,
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multiQuoter: multiQuoter,
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inputToken: path[0],
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outputToken: path[1],
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inputAmount: inputAmount
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})
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address[2] memory topPools = getTopTwoPools(
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GetTopTwoPoolsParams({factory: factory, inputToken: path[0], outputToken: path[1]})
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);
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uint256 pathCount = 0;
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@@ -105,29 +88,15 @@ contract UniswapV3Common is TickBasedAMMCommon {
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function getPoolPathTwoHop(
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address factory,
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IMultiQuoter multiQuoter,
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address[] memory path,
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uint256 inputAmount
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address[] memory path
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) private view returns (address[][] memory poolPaths) {
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poolPaths = new address[][](4);
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(address[2] memory firstHopTopPools, uint256[2] memory firstHopAmounts) = getTopTwoPools(
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GetTopTwoPoolsParams({
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factory: factory,
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multiQuoter: multiQuoter,
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inputToken: path[0],
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outputToken: path[1],
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inputAmount: inputAmount
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})
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address[2] memory firstHopTopPools = getTopTwoPools(
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GetTopTwoPoolsParams({factory: factory, inputToken: path[0], outputToken: path[1]})
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);
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(address[2] memory secondHopTopPools, ) = getTopTwoPools(
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GetTopTwoPoolsParams({
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factory: factory,
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multiQuoter: multiQuoter,
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inputToken: path[1],
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outputToken: path[2],
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inputAmount: firstHopAmounts[0]
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})
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address[2] memory secondHopTopPools = getTopTwoPools(
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GetTopTwoPoolsParams({factory: factory, inputToken: path[1], outputToken: path[2]})
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);
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uint256 pathCount = 0;
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@@ -144,25 +113,20 @@ contract UniswapV3Common is TickBasedAMMCommon {
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struct GetTopTwoPoolsParams {
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address factory;
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IMultiQuoter multiQuoter;
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address inputToken;
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address outputToken;
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uint256 inputAmount;
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}
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/// @dev Returns top 0-2 pools and corresponding output amounts based on swaping `inputAmount`.
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/// Addresses in `topPools` can be zero addresses when there are pool isn't available.
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function getTopTwoPools(
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GetTopTwoPoolsParams memory params
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) private view returns (address[2] memory topPools, uint256[2] memory topOutputAmounts) {
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function getTopTwoPools(GetTopTwoPoolsParams memory params) private view returns (address[2] memory topPools) {
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address[] memory path = new address[](2);
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path[0] = params.inputToken;
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path[1] = params.outputToken;
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uint256[] memory inputAmounts = new uint256[](1);
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inputAmounts[0] = params.inputAmount;
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uint24[4] memory validPoolFees = [uint24(0.0001e6), uint24(0.0005e6), uint24(0.003e6), uint24(0.01e6)];
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uint128[2] memory topLiquidityAmounts;
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for (uint256 i = 0; i < validPoolFees.length; ++i) {
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address pool = IUniswapV3Factory(params.factory).getPool(
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params.inputToken,
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@@ -173,30 +137,15 @@ contract UniswapV3Common is TickBasedAMMCommon {
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continue;
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}
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address[] memory poolPath = new address[](1);
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poolPath[0] = pool;
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bytes memory uniswapPath = toUniswapPath(path, poolPath);
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try
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params.multiQuoter.quoteExactMultiInput{gas: POOL_FILTERING_GAS_LIMIT}(
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params.factory,
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uniswapPath,
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inputAmounts
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)
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{} catch (bytes memory reason) {
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(bool success, uint256[] memory outputAmounts, ) = decodeMultiSwapRevert(reason);
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if (success) {
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// Keeping track of the top 2 pools.
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if (outputAmounts[0] > topOutputAmounts[0]) {
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topOutputAmounts[1] = topOutputAmounts[0];
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topPools[1] = topPools[0];
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topOutputAmounts[0] = outputAmounts[0];
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topPools[0] = pool;
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} else if (outputAmounts[0] > topOutputAmounts[1]) {
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topOutputAmounts[1] = outputAmounts[0];
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topPools[1] = pool;
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}
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}
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uint128 currLiquidity = IUniswapV3Pool(pool).liquidity();
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if (currLiquidity > topLiquidityAmounts[0]) {
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topLiquidityAmounts[1] = topLiquidityAmounts[0];
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topPools[1] = topPools[0];
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topLiquidityAmounts[0] = currLiquidity;
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topPools[0] = pool;
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} else if (currLiquidity > topLiquidityAmounts[1]) {
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topLiquidityAmounts[1] = currLiquidity;
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topPools[1] = pool;
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}
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}
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}
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@@ -43,12 +43,7 @@ contract UniswapV3Sampler is UniswapV3Common {
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public
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returns (bytes[] memory uniswapPaths, uint256[] memory uniswapGasUsed, uint256[] memory makerTokenAmounts)
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{
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address[][] memory poolPaths = getPoolPaths(
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factory,
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multiQuoter,
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path,
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takerTokenAmounts[takerTokenAmounts.length - 1]
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);
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address[][] memory poolPaths = getPoolPaths(factory, path);
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makerTokenAmounts = new uint256[](takerTokenAmounts.length);
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uniswapPaths = new bytes[](takerTokenAmounts.length);
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@@ -108,12 +103,7 @@ contract UniswapV3Sampler is UniswapV3Common {
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returns (bytes[] memory uniswapPaths, uint256[] memory uniswapGasUsed, uint256[] memory takerTokenAmounts)
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{
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address[] memory reversedPath = reverseAddressPath(path);
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address[][] memory poolPaths = getPoolPaths(
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factory,
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multiQuoter,
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reversedPath,
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makerTokenAmounts[makerTokenAmounts.length - 1]
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);
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address[][] memory poolPaths = getPoolPaths(factory, reversedPath);
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takerTokenAmounts = new uint256[](makerTokenAmounts.length);
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uniswapPaths = new bytes[](makerTokenAmounts.length);
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