fix: add separate priceComparisonsReport to fix missing quoteReport data [TKR-91] (#219)

* fix: add separate priceComparisonsReport to fix missing quoteReport data

* chore: remove notice about unconfirmed Uniswap V3 addresses

* refactor: move price comparisons computation logic into separate method

* chore: add AS changelog entry

packages/asset-swapper/CHANGELOG.json

@@ -2,9 +2,13 @@
     {
         "version": "6.11.0",
         "changes": [
+            {
+                "note": "Add price comparisons data separate from the quote report",
+                "pr": 219
+            },
             {
                 "note": "Add caching for top Balancer V2 pools on startup and during regular intervals",
-                "pr": "228"
+                "pr": 228
             },
             {
                 "note": "Tweak compiler settings for smaller sampler bytecode",

packages/asset-swapper/src/index.ts

@@ -161,6 +161,7 @@ export {
     NativeRfqOrderQuoteReportEntry,
     QuoteReport,
     QuoteReportEntry,
+    PriceComparisonsReport,
 } from './utils/quote_report_generator';
 export { QuoteRequestor } from './utils/quote_requestor';
 export { ERC20BridgeSamplerContract, BalanceCheckerContract, FakeTakerContract } from './wrappers';

packages/asset-swapper/src/swap_quoter.ts

@@ -495,7 +495,14 @@ function createSwapQuote(
     gasSchedule: FeeSchedule,
     slippage: number,
 ): SwapQuote {
-    const { optimizedOrders, quoteReport, sourceFlags, takerAmountPerEth, makerAmountPerEth } = optimizerResult;
+    const {
+        optimizedOrders,
+        quoteReport,
+        sourceFlags,
+        takerAmountPerEth,
+        makerAmountPerEth,
+        priceComparisonsReport,
+    } = optimizerResult;
     const isTwoHop = sourceFlags === SOURCE_FLAGS[ERC20BridgeSource.MultiHop];
 
     // Calculate quote info
@@ -519,6 +526,7 @@ function createSwapQuote(
         makerAmountPerEth,
         quoteReport,
         isTwoHop,
+        priceComparisonsReport,
     };
 
     if (operation === MarketOperation.Buy) {

packages/asset-swapper/src/types.ts

@@ -18,7 +18,7 @@ import {
     OptimizedMarketOrder,
     TokenAdjacencyGraph,
 } from './utils/market_operation_utils/types';
-import { QuoteReport } from './utils/quote_report_generator';
+import { PriceComparisonsReport, QuoteReport } from './utils/quote_report_generator';
 
 /**
  * expiryBufferMs: The number of seconds to add when calculating whether an order is expired or not. Defaults to 300s (5m).
@@ -169,6 +169,7 @@ export interface SwapQuoteBase {
     worstCaseQuoteInfo: SwapQuoteInfo;
     sourceBreakdown: SwapQuoteOrdersBreakdown;
     quoteReport?: QuoteReport;
+    priceComparisonsReport?: PriceComparisonsReport;
     isTwoHop: boolean;
     makerTokenDecimals: number;
     takerTokenDecimals: number;

packages/asset-swapper/src/utils/market_operation_utils/constants.ts

@@ -1059,7 +1059,6 @@ export const BALANCER_V2_SUBGRAPH_URL = 'https://api.thegraph.com/subgraphs/name
 
 export const UNISWAPV3_CONFIG_BY_CHAIN_ID = valueByChainId(
     {
-        // Unconfirmed Mainnet contracts, please confirm
         [ChainId.Mainnet]: {
             quoter: '0xb27308f9f90d607463bb33ea1bebb41c27ce5ab6',
             router: '0xe592427a0aece92de3edee1f18e0157c05861564',
@@ -1335,5 +1334,6 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
     exchangeProxyOverhead: () => ZERO_AMOUNT,
     allowFallback: true,
     shouldGenerateQuoteReport: true,
+    shouldIncludePriceComparisonsReport: false,
     tokenAdjacencyGraph: { default: [] },
 };

packages/asset-swapper/src/utils/market_operation_utils/index.ts

@@ -16,7 +16,14 @@ import {
     getNativeAdjustedMakerFillAmount,
 } from '../utils';
 
-import { generateQuoteReport, QuoteReport } from './../quote_report_generator';
+import {
+    dexSampleToReportSource,
+    generateQuoteReport,
+    multiHopSampleToReportSource,
+    nativeOrderToReportEntry,
+    PriceComparisonsReport,
+    QuoteReport,
+} from './../quote_report_generator';
 import { getComparisonPrices } from './comparison_price';
 import {
     BUY_SOURCE_FILTER_BY_CHAIN_ID,
@@ -68,6 +75,27 @@ export class MarketOperationUtils {
         return generateQuoteReport(side, quotes.nativeOrders, liquidityDelivered, comparisonPrice, quoteRequestor);
     }
 
+    private static _computePriceComparisonsReport(
+        quoteRequestor: QuoteRequestor | undefined,
+        marketSideLiquidity: MarketSideLiquidity,
+        comparisonPrice?: BigNumber | undefined,
+    ): PriceComparisonsReport {
+        const { side, quotes } = marketSideLiquidity;
+        const dexSources = _.flatten(quotes.dexQuotes).map(quote => dexSampleToReportSource(quote, side));
+        const multiHopSources = quotes.twoHopQuotes.map(quote => multiHopSampleToReportSource(quote, side));
+        const nativeSources = quotes.nativeOrders.map(order =>
+            nativeOrderToReportEntry(
+                order.type,
+                order as any,
+                order.fillableTakerAmount,
+                comparisonPrice,
+                quoteRequestor,
+            ),
+        );
+
+        return { dexSources, multiHopSources, nativeSources };
+    }
+
     constructor(
         private readonly _sampler: DexOrderSampler,
         private readonly contractAddresses: AssetSwapperContractAddresses,
@@ -677,7 +705,16 @@ export class MarketOperationUtils {
                 wholeOrderPrice,
             );
         }
-        return { ...optimizerResult, quoteReport };
+
+        let priceComparisonsReport: PriceComparisonsReport | undefined;
+        if (_opts.shouldIncludePriceComparisonsReport) {
+            priceComparisonsReport = MarketOperationUtils._computePriceComparisonsReport(
+                _opts.rfqt ? _opts.rfqt.quoteRequestor : undefined,
+                marketSideLiquidity,
+                wholeOrderPrice,
+            );
+        }
+        return { ...optimizerResult, quoteReport, priceComparisonsReport };
     }
 
     private async _refreshPoolCacheIfRequiredAsync(takerToken: string, makerToken: string): Promise<void> {

packages/asset-swapper/src/utils/market_operation_utils/types.ts

@@ -9,7 +9,7 @@ import { BigNumber } from '@0x/utils';
 
 import { NativeOrderWithFillableAmounts, RfqFirmQuoteValidator, RfqRequestOpts } from '../../types';
 import { QuoteRequestor } from '../../utils/quote_requestor';
-import { QuoteReport } from '../quote_report_generator';
+import { PriceComparisonsReport, QuoteReport } from '../quote_report_generator';
 
 import { CollapsedPath } from './path';
 import { SourceFilters } from './source_filters';
@@ -401,6 +401,11 @@ export interface GetMarketOrdersOpts {
      * Whether to generate a quote report
      */
     shouldGenerateQuoteReport: boolean;
+
+    /**
+     * Whether to include price comparison data in the quote
+     */
+    shouldIncludePriceComparisonsReport: boolean;
     /**
      * Token addresses with a list of adjacent intermediary tokens to consider
      * hopping to. E.g DAI->USDC via an adjacent token WETH
@@ -435,6 +440,7 @@ export interface OptimizerResult {
 
 export interface OptimizerResultWithReport extends OptimizerResult {
     quoteReport?: QuoteReport;
+    priceComparisonsReport?: PriceComparisonsReport;
 }
 
 export type MarketDepthSide = Array<Array<DexSample<FillData>>>;

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

@@ -60,6 +60,12 @@ export interface QuoteReport {
     sourcesDelivered: QuoteReportEntry[];
 }
 
+export interface PriceComparisonsReport {
+    dexSources: BridgeQuoteReportEntry[];
+    multiHopSources: MultiHopQuoteReportEntry[];
+    nativeSources: Array<NativeLimitOrderQuoteReportEntry | NativeRfqOrderQuoteReportEntry>;
+}
+
 /**
  * Generates a report of sources considered while computing the optimized
  * swap quote, and the sources ultimately included in the computed quote.
@@ -72,7 +78,7 @@ export function generateQuoteReport(
     quoteRequestor?: QuoteRequestor,
 ): QuoteReport {
     const nativeOrderSourcesConsidered = nativeOrders.map(order =>
-        _nativeOrderToReportEntry(order.type, order as any, order.fillableTakerAmount, comparisonPrice, quoteRequestor),
+        nativeOrderToReportEntry(order.type, order as any, order.fillableTakerAmount, comparisonPrice, quoteRequestor),
     );
     const sourcesConsidered = [...nativeOrderSourcesConsidered.filter(order => order.isRfqt)];
 
@@ -87,7 +93,7 @@ export function generateQuoteReport(
         // map sources delivered
         sourcesDelivered = liquidityDelivered.map(collapsedFill => {
             if (_isNativeOrderFromCollapsedFill(collapsedFill)) {
-                return _nativeOrderToReportEntry(
+                return nativeOrderToReportEntry(
                     collapsedFill.type,
                     collapsedFill.fillData,
                     nativeOrderSignaturesToFillableAmounts[_nativeDataToId(collapsedFill.fillData)],
@@ -95,13 +101,13 @@ export function generateQuoteReport(
                     quoteRequestor,
                 );
             } else {
-                return _dexSampleToReportSource(collapsedFill, marketOperation);
+                return dexSampleToReportSource(collapsedFill, marketOperation);
             }
         });
     } else {
         sourcesDelivered = [
             // tslint:disable-next-line: no-unnecessary-type-assertion
-            _multiHopSampleToReportSource(liquidityDelivered as DexSample<MultiHopFillData>, marketOperation),
+            multiHopSampleToReportSource(liquidityDelivered as DexSample<MultiHopFillData>, marketOperation),
         ];
     }
     return {
@@ -115,7 +121,11 @@ function _nativeDataToId(data: { signature: Signature }): string {
     return `${v}${r}${s}`;
 }
 
-function _dexSampleToReportSource(ds: DexSample, marketOperation: MarketOperation): BridgeQuoteReportEntry {
+/**
+ * Generates a report sample for a DEX source
+ * NOTE: this is used for the QuoteReport and quote price comparison data
+ */
+export function dexSampleToReportSource(ds: DexSample, marketOperation: MarketOperation): BridgeQuoteReportEntry {
     const liquiditySource = ds.source;
 
     if (liquiditySource === ERC20BridgeSource.Native) {
@@ -143,7 +153,11 @@ function _dexSampleToReportSource(ds: DexSample, marketOperation: MarketOperatio
     }
 }
 
-function _multiHopSampleToReportSource(
+/**
+ * Generates a report sample for a MultiHop source
+ * NOTE: this is used for the QuoteReport and quote price comparison data
+ */
+export function multiHopSampleToReportSource(
     ds: DexSample<MultiHopFillData>,
     marketOperation: MarketOperation,
 ): MultiHopQuoteReportEntry {
@@ -176,7 +190,11 @@ function _isNativeOrderFromCollapsedFill(cf: CollapsedFill): cf is NativeCollaps
     return type === FillQuoteTransformerOrderType.Limit || type === FillQuoteTransformerOrderType.Rfq;
 }
 
-function _nativeOrderToReportEntry(
+/**
+ * Generates a report entry for a native order
+ * NOTE: this is used for the QuoteReport and quote price comparison data
+ */
+export function nativeOrderToReportEntry(
     type: FillQuoteTransformerOrderType,
     fillData: NativeLimitOrderFillData | NativeRfqOrderFillData,
     fillableAmount: BigNumber,