feat: Improve Uniswap V3 gas schedule (#397)

* feat: UniswapV3Sampler use QuoterV2 for sells WIP

* feat: UniswapV3Sampler for QuoterV2 buys WIP

* refactor: separate logic to remove stack too deep issue

* feat: Use initializedTicksCrossed from Uniswap QuoterV2 for gas est.

* fix: use Quoter gasUsed instead of estimating gas from pools + ticks

* refactor: clean up UniswapV3Sampler & remove old Quoter interface

* refactor: unify code for buys and sells while handling stack too deep

* fix: use mean gas price from all sample estimating UniV3 gas schedule

* fix: fallback to legacy Uniswap V3 gas estimate if we can't get gasUsed

* refactor: use named function instead of fat arrow

* chore: add asset-swapper changelog entry

packages/asset-swapper/CHANGELOG.json

@@ -9,6 +9,10 @@
             {
                 "note": "Fix incorrect output scaling when input is less than desired amount, update fast-abi",
                 "pr": 401
+            },
+            {
+                "note": "Improve Uniswap V3 gas schedule",
+                "pr": 397
             }
         ]
     },

packages/asset-swapper/contracts/src/UniswapV3Sampler.sol

@@ -22,17 +22,43 @@ pragma experimental ABIEncoderV2;
 
 import "@0x/contracts-erc20/contracts/src/v06/IERC20TokenV06.sol";
 
-interface IUniswapV3Quoter {
+interface IUniswapV3QuoterV2 {
     function factory()
         external
         view
         returns (IUniswapV3Factory factory);
+
+    // @notice Returns the amount out received for a given exact input swap without executing the swap
+    // @param path The path of the swap, i.e. each token pair and the pool fee
+    // @param amountIn The amount of the first token to swap
+    // @return amountOut The amount of the last token that would be received
+    // @return sqrtPriceX96AfterList List of the sqrt price after the swap for each pool in the path
+    // @return initializedTicksCrossedList List of the initialized ticks that the swap crossed for each pool in the path
+    // @return gasEstimate The estimate of the gas that the swap consumes
     function quoteExactInput(bytes memory path, uint256 amountIn)
         external
-        returns (uint256 amountOut);
+        returns (
+            uint256 amountOut,
+            uint160[] memory sqrtPriceX96AfterList,
+            uint32[] memory initializedTicksCrossedList,
+            uint256 gasEstimate
+        );
+
+    // @notice Returns the amount in required for a given exact output swap without executing the swap
+    // @param path The path of the swap, i.e. each token pair and the pool fee. Path must be provided in reverse order
+    // @param amountOut The amount of the last token to receive
+    // @return amountIn The amount of first token required to be paid
+    // @return sqrtPriceX96AfterList List of the sqrt price after the swap for each pool in the path
+    // @return initializedTicksCrossedList List of the initialized ticks that the swap crossed for each pool in the path
+    // @return gasEstimate The estimate of the gas that the swap consumes
     function quoteExactOutput(bytes memory path, uint256 amountOut)
         external
-        returns (uint256 amountIn);
+        returns (
+            uint256 amountIn,
+            uint160[] memory sqrtPriceX96AfterList,
+            uint32[] memory initializedTicksCrossedList,
+            uint256 gasEstimate
+        );
 }
 
 interface IUniswapV3Factory {
@@ -61,14 +87,15 @@ contract UniswapV3Sampler
     /// @return makerTokenAmounts Maker amounts bought at each taker token
     ///         amount.
     function sampleSellsFromUniswapV3(
-        IUniswapV3Quoter quoter,
+        IUniswapV3QuoterV2 quoter,
         IERC20TokenV06[] memory path,
         uint256[] memory takerTokenAmounts
     )
         public
         returns (
             bytes[] memory uniswapPaths,
-            uint256[] memory makerTokenAmounts
+            uint256[] memory makerTokenAmounts,
+            uint256[] memory uniswapGasUsed
         )
     {
         IUniswapV3Pool[][] memory poolPaths =
@@ -76,31 +103,39 @@ contract UniswapV3Sampler
 
         makerTokenAmounts = new uint256[](takerTokenAmounts.length);
         uniswapPaths = new bytes[](takerTokenAmounts.length);
+        uniswapGasUsed = new uint256[](takerTokenAmounts.length);
 
         for (uint256 i = 0; i < takerTokenAmounts.length; ++i) {
             // Pick the best result from all the paths.
-            bytes memory topUniswapPath;
             uint256 topBuyAmount = 0;
             for (uint256 j = 0; j < poolPaths.length; ++j) {
                 bytes memory uniswapPath = _toUniswapPath(path, poolPaths[j]);
-                try
+                try quoter.quoteExactInput
-                    quoter.quoteExactInput
                     { gas: QUOTE_GAS }
                     (uniswapPath, takerTokenAmounts[i])
-                        returns (uint256 buyAmount)
+                    returns (
+                        uint256 buyAmount,
+                        uint160[] memory, /* sqrtPriceX96AfterList */
+                        uint32[] memory, /* initializedTicksCrossedList */
+                        uint256 gasUsed
+                    )
                 {
                     if (topBuyAmount <= buyAmount) {
                         topBuyAmount = buyAmount;
-                        topUniswapPath = uniswapPath;
+                        uniswapPaths[i] = uniswapPath;
+                        uniswapGasUsed[i] = gasUsed;
                     }
-                } catch { }
+                } catch {}
             }
-            // Break early if we can't complete the buys.
+            // Break early if we can't complete the sells.
             if (topBuyAmount == 0) {
+                // HACK(kimpers): To avoid too many local variables, paths and gas used is set directly in the loop
+                // then reset if no valid valid quote was found
+                uniswapPaths[i] = "";
+                uniswapGasUsed[i] = 0;
                 break;
             }
             makerTokenAmounts[i] = topBuyAmount;
-            uniswapPaths[i] = topUniswapPath;
         }
     }
 
@@ -112,14 +147,15 @@ contract UniswapV3Sampler
     /// @return takerTokenAmounts Taker amounts sold at each maker token
     ///         amount.
     function sampleBuysFromUniswapV3(
-        IUniswapV3Quoter quoter,
+        IUniswapV3QuoterV2 quoter,
         IERC20TokenV06[] memory path,
         uint256[] memory makerTokenAmounts
     )
         public
         returns (
             bytes[] memory uniswapPaths,
-            uint256[] memory takerTokenAmounts
+            uint256[] memory takerTokenAmounts,
+            uint256[] memory uniswapGasUsed
         )
     {
         IUniswapV3Pool[][] memory poolPaths =
@@ -128,11 +164,12 @@ contract UniswapV3Sampler
 
         takerTokenAmounts = new uint256[](makerTokenAmounts.length);
         uniswapPaths = new bytes[](makerTokenAmounts.length);
+        uniswapGasUsed = new uint256[](makerTokenAmounts.length);
 
         for (uint256 i = 0; i < makerTokenAmounts.length; ++i) {
+            uint256 topSellAmount;
+
             // Pick the best result from all the paths.
-            bytes memory topUniswapPath;
-            uint256 topSellAmount = 0;
             for (uint256 j = 0; j < poolPaths.length; ++j) {
                 // quoter requires path to be reversed for buys.
                 bytes memory uniswapPath = _toUniswapPath(
@@ -143,21 +180,30 @@ contract UniswapV3Sampler
                     quoter.quoteExactOutput
                         { gas: QUOTE_GAS }
                         (uniswapPath, makerTokenAmounts[i])
-                        returns (uint256 sellAmount)
+                        returns (
+                            uint256 sellAmount,
+                            uint160[] memory, /* sqrtPriceX96AfterList */
+                            uint32[] memory, /* initializedTicksCrossedList */
+                            uint256 gasUsed
+                        )
                 {
                     if (topSellAmount == 0 || topSellAmount >= sellAmount) {
                         topSellAmount = sellAmount;
                         // But the output path should still be encoded for sells.
-                        topUniswapPath = _toUniswapPath(path, poolPaths[j]);
+                        uniswapPaths[i] = _toUniswapPath(path, poolPaths[j]);
+                        uniswapGasUsed[i] = gasUsed;
                     }
                 } catch {}
             }
             // Break early if we can't complete the buys.
             if (topSellAmount == 0) {
+                // HACK(kimpers): To avoid too many local variables, paths and gas used is set directly in the loop
+                // then reset if no valid valid quote was found
+                uniswapPaths[i] = "";
+                uniswapGasUsed[i] = 0;
                 break;
             }
             takerTokenAmounts[i] = topSellAmount;
-            uniswapPaths[i] = topUniswapPath;
         }
     }
 
@@ -236,6 +282,7 @@ contract UniswapV3Sampler
 
     function _reverseTokenPath(IERC20TokenV06[] memory tokenPath)
         private
+        pure
         returns (IERC20TokenV06[] memory reversed)
     {
         reversed = new IERC20TokenV06[](tokenPath.length);
@@ -246,6 +293,7 @@ contract UniswapV3Sampler
 
     function _reversePoolPath(IUniswapV3Pool[] memory poolPath)
         private
+        pure
         returns (IUniswapV3Pool[] memory reversed)
     {
         reversed = new IUniswapV3Pool[](poolPath.length);

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

@@ -2,6 +2,7 @@ import { ChainId, getContractAddressesForChainOrThrow } from '@0x/contract-addre
 import { FillQuoteTransformerOrderType } from '@0x/protocol-utils';
 import { BigNumber } from '@0x/utils';
 import { formatBytes32String } from '@ethersproject/strings';
+import * as _ from 'lodash';
 
 import { TokenAdjacencyGraphBuilder } from '../token_adjacency_graph_builder';
 
@@ -17,7 +18,9 @@ import {
     ERC20BridgeSource,
     FeeSchedule,
     FillData,
+    FinalUniswapV3FillData,
     GetMarketOrdersOpts,
+    isFinalUniswapV3FillData,
     KyberSamplerOpts,
     LidoInfo,
     LiquidityProviderFillData,
@@ -2039,19 +2042,19 @@ export const BEETHOVEN_X_SUBGRAPH_URL_BY_CHAIN = valueByChainId<string>(
 export const UNISWAPV3_CONFIG_BY_CHAIN_ID = valueByChainId(
     {
         [ChainId.Mainnet]: {
-            quoter: '0xb27308f9f90d607463bb33ea1bebb41c27ce5ab6',
+            quoter: '0x61ffe014ba17989e743c5f6cb21bf9697530b21e',
             router: '0xe592427a0aece92de3edee1f18e0157c05861564',
         },
         [ChainId.Ropsten]: {
-            quoter: '0x2f9e608fd881861b8916257b76613cb22ee0652c',
+            quoter: '0x61ffe014ba17989e743c5f6cb21bf9697530b21e',
             router: '0x03782388516e94fcd4c18666303601a12aa729ea',
         },
         [ChainId.Polygon]: {
-            quoter: '0xb27308f9f90d607463bb33ea1bebb41c27ce5ab6',
+            quoter: '0x61ffe014ba17989e743c5f6cb21bf9697530b21e',
             router: '0xe592427a0aece92de3edee1f18e0157c05861564',
         },
         [ChainId.Optimism]: {
-            quoter: '0xb27308f9f90d607463bb33ea1bebb41c27ce5ab6',
+            quoter: '0x61ffe014ba17989e743c5f6cb21bf9697530b21e',
             router: '0xe592427a0aece92de3edee1f18e0157c05861564',
         },
     },
@@ -2334,11 +2337,33 @@ export const DEFAULT_GAS_SCHEDULE: Required<FeeSchedule> = {
         return gas;
     },
     [ERC20BridgeSource.UniswapV3]: (fillData?: FillData) => {
-        let gas = 100e3;
+        const uniFillData = fillData as UniswapV3FillData | FinalUniswapV3FillData;
-        const path = (fillData as UniswapV3FillData).tokenAddressPath;
+        // NOTE: This base value was heuristically chosen by looking at how much it generally
+        // underestimated gas usage
+        const base = 34e3; // 34k base
+        let gas = base;
+        if (isFinalUniswapV3FillData(uniFillData)) {
+            gas += uniFillData.gasUsed;
+        } else {
+            // NOTE: We don't actually know which of the paths would be used in the router
+            // therefore we estimate using the mean of gas prices returned from UniswapV3
+            // For the best case scenario (least amount of hops & ticks) this will
+            // over estimate the gas usage
+            const pathAmountsWithGasUsed = uniFillData.pathAmounts.filter(p => p.gasUsed > 0);
+            const meanGasUsedForPath = Math.round(_.meanBy(pathAmountsWithGasUsed, p => p.gasUsed));
+            gas += meanGasUsedForPath;
+        }
+
+        // If we for some reason could not read `gasUsed` when sampling
+        // fall back to legacy gas estimation
+        if (gas === base) {
+            gas = 100e3;
+            const path = uniFillData.tokenAddressPath;
             if (path.length > 2) {
                 gas += (path.length - 2) * 32e3; // +32k for each hop.
             }
+        }
+
         return gas;
     },
     [ERC20BridgeSource.Lido]: () => 226e3,

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

@@ -36,6 +36,7 @@ import {
     ShellFillData,
     UniswapV2FillData,
     UniswapV3FillData,
+    UniswapV3PathAmount,
 } from './types';
 
 // tslint:disable completed-docs
@@ -387,11 +388,14 @@ function createFinalBridgeOrderFillDataFromCollapsedFill(fill: CollapsedFill): F
     switch (fill.source) {
         case ERC20BridgeSource.UniswapV3: {
             const fd = fill.fillData as UniswapV3FillData;
-            return {
+            const { uniswapPath, gasUsed } = getBestUniswapV3PathAmountForInputAmount(fd, fill.input);
+            const finalFillData: FinalUniswapV3FillData = {
                 router: fd.router,
                 tokenAddressPath: fd.tokenAddressPath,
-                uniswapPath: getBestUniswapV3PathForInputAmount(fd, fill.input),
+                uniswapPath,
+                gasUsed,
             };
+            return finalFillData;
         }
         default:
             break;
@@ -399,18 +403,21 @@ function createFinalBridgeOrderFillDataFromCollapsedFill(fill: CollapsedFill): F
     return fill.fillData;
 }
 
-function getBestUniswapV3PathForInputAmount(fillData: UniswapV3FillData, inputAmount: BigNumber): string {
+function getBestUniswapV3PathAmountForInputAmount(
+    fillData: UniswapV3FillData,
+    inputAmount: BigNumber,
+): UniswapV3PathAmount {
     if (fillData.pathAmounts.length === 0) {
         throw new Error(`No Uniswap V3 paths`);
     }
     // Find the best path that can satisfy `inputAmount`.
     // Assumes `fillData.pathAmounts` is sorted ascending.
-    for (const { inputAmount: pathInputAmount, uniswapPath } of fillData.pathAmounts) {
+    for (const pathAmount of fillData.pathAmounts) {
-        if (pathInputAmount.gte(inputAmount)) {
+        if (pathAmount.inputAmount.gte(inputAmount)) {
-            return uniswapPath;
+            return pathAmount;
         }
     }
-    return fillData.pathAmounts[fillData.pathAmounts.length - 1].uniswapPath;
+    return fillData.pathAmounts[fillData.pathAmounts.length - 1];
 }
 
 export function getMakerTakerTokens(opts: CreateOrderFromPathOpts): [string, string] {

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

@@ -767,16 +767,17 @@ export class SamplerOperations {
             function: this._samplerContract.sampleSellsFromUniswapV3,
             params: [quoter, tokenAddressPath, takerFillAmounts],
             callback: (callResults: string, fillData: UniswapV3FillData): BigNumber[] => {
-                const [paths, samples] = this._samplerContract.getABIDecodedReturnData<[string[], BigNumber[]]>(
+                const [paths, samples, gasUsed] = this._samplerContract.getABIDecodedReturnData<
-                    'sampleSellsFromUniswapV3',
+                    [string[], BigNumber[], BigNumber[]]
-                    callResults,
+                >('sampleSellsFromUniswapV3', callResults);
-                );
                 fillData.router = router;
                 fillData.tokenAddressPath = tokenAddressPath;
                 fillData.pathAmounts = paths.map((uniswapPath, i) => ({
                     uniswapPath,
                     inputAmount: takerFillAmounts[i],
+                    gasUsed: gasUsed[i].toNumber(),
                 }));
+
                 return samples;
             },
         });
@@ -795,15 +796,15 @@ export class SamplerOperations {
             function: this._samplerContract.sampleBuysFromUniswapV3,
             params: [quoter, tokenAddressPath, makerFillAmounts],
             callback: (callResults: string, fillData: UniswapV3FillData): BigNumber[] => {
-                const [paths, samples] = this._samplerContract.getABIDecodedReturnData<[string[], BigNumber[]]>(
+                const [paths, samples, gasUsed] = this._samplerContract.getABIDecodedReturnData<
-                    'sampleBuysFromUniswapV3',
+                    [string[], BigNumber[], BigNumber[]]
-                    callResults,
+                >('sampleBuysFromUniswapV3', callResults);
-                );
                 fillData.router = router;
                 fillData.tokenAddressPath = tokenAddressPath;
                 fillData.pathAmounts = paths.map((uniswapPath, i) => ({
                     uniswapPath,
                     inputAmount: makerFillAmounts[i],
+                    gasUsed: gasUsed[i].toNumber(),
                 }));
                 return samples;
             },

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

@@ -268,19 +268,34 @@ export interface HopInfo {
     returnData: string;
 }
 
+export interface UniswapV3PathAmount {
+    uniswapPath: string;
+    inputAmount: BigNumber;
+    gasUsed: number;
+}
 export interface UniswapV3FillData extends FillData {
     tokenAddressPath: string[];
     router: string;
-    pathAmounts: Array<{ uniswapPath: string; inputAmount: BigNumber }>;
+    pathAmounts: UniswapV3PathAmount[];
 }
 
 export interface KyberDmmFillData extends UniswapV2FillData {
     poolsPath: string[];
 }
 
-export interface FinalUniswapV3FillData extends Omit<UniswapV3FillData, 'uniswapPaths'> {
+/**
+ * Determines whether FillData is UniswapV3FillData or FinalUniswapV3FillData
+ */
+export function isFinalUniswapV3FillData(
+    data: UniswapV3FillData | FinalUniswapV3FillData,
+): data is FinalUniswapV3FillData {
+    return !!(data as FinalUniswapV3FillData).uniswapPath;
+}
+
+export interface FinalUniswapV3FillData extends Omit<UniswapV3FillData, 'pathAmounts'> {
     // The uniswap-encoded path that can fll the maximum input amount.
     uniswapPath: string;
+    gasUsed: number;
 }
 
 export interface LidoFillData extends FillData {