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fix: router RFQ underutilization (#413)

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* fix: pass EP overhead to Path & use path comparison all & vip routes

* chore: add changelog entry for asset-swapper
This commit is contained in:
Kim Persson 2022-02-10 12:55:30 +01:00 committed by GitHub
parent 84e4819e6e
commit 9a16e00577
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GPG Key ID: 4AEE18F83AFDEB23
3 changed files with 16 additions and 15 deletions
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4
packages/asset-swapper/CHANGELOG.json
View File

@ -13,6 +13,10 @@
{
"note": "Improve Uniswap V3 gas schedule",
"pr": 397
},
{
"note": "Fix add Native as VIP and use Path to compare all sources vs vip only",
"pr": 413
}
]
},

11
packages/asset-swapper/src/utils/market_operation_utils/constants.ts
View File

@ -2224,7 +2224,14 @@ export const SPOOKYSWAP_ROUTER_BY_CHAIN_ID = valueByChainId<string>(
export const VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID = valueByChainId<ERC20BridgeSource[]>(
{
[ChainId.Mainnet]: [ERC20BridgeSource.UniswapV2, ERC20BridgeSource.SushiSwap, ERC20BridgeSource.UniswapV3],
[ChainId.Mainnet]: [
ERC20BridgeSource.UniswapV2,
ERC20BridgeSource.SushiSwap,
ERC20BridgeSource.UniswapV3,
ERC20BridgeSource.Curve,
ERC20BridgeSource.LiquidityProvider,
ERC20BridgeSource.Native,
],
[ChainId.BSC]: [
ERC20BridgeSource.PancakeSwap,
ERC20BridgeSource.PancakeSwapV2,
@ -2234,6 +2241,8 @@ export const VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID = valueByChainId<ERC20BridgeSo
ERC20BridgeSource.CafeSwap,
ERC20BridgeSource.CheeseSwap,
ERC20BridgeSource.JulSwap,
ERC20BridgeSource.LiquidityProvider,
ERC20BridgeSource.Native,
],
},
[],

16
packages/asset-swapper/src/utils/market_operation_utils/path_optimizer.ts
View File

@ -10,13 +10,11 @@ import { VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID } from '../market_operation_utils/
import { dexSamplesToFills, ethToOutputAmount, nativeOrdersToFills } from './fills';
import { DEFAULT_PATH_PENALTY_OPTS, Path, PathPenaltyOpts } from './path';
import { getRate } from './rate_utils';
import { DexSample, ERC20BridgeSource, FeeSchedule, Fill, FillData, SamplerMetrics } from './types';
// tslint:disable: prefer-for-of custom-no-magic-numbers completed-docs no-bitwise
const RUN_LIMIT_DECAY_FACTOR = 0.5;
const FILL_QUOTE_TRANSFORMER_GAS_OVERHEAD = new BigNumber(150e3);
// NOTE: The Rust router will panic with less than 3 samples
const MIN_NUM_SAMPLE_INPUTS = 3;
@ -293,7 +291,7 @@ function findRoutesAndCreateOptimalPath(
return undefined;
}
const pathFromRustInputs = Path.create(side, adjustedFills, input);
const pathFromRustInputs = Path.create(side, adjustedFills, input, opts);
return pathFromRustInputs;
}
@ -358,17 +356,7 @@ export function findOptimalRustPathFromSamples(
timingMs: performance.now() - beforeTimeMs,
});
const { input: allSourcesInput, output: allSourcesOutput } = allSourcesPath.adjustedSize();
// NOTE: For sell quotes input is the taker asset and for buy quotes input is the maker asset
const gasCostInWei = FILL_QUOTE_TRANSFORMER_GAS_OVERHEAD.times(opts.gasPrice);
const fqtOverheadInOutputToken = gasCostInWei.times(opts.outputAmountPerEth);
const outputWithFqtOverhead =
side === MarketOperation.Sell
? allSourcesOutput.minus(fqtOverheadInOutputToken)
: allSourcesOutput.plus(fqtOverheadInOutputToken);
const allSourcesAdjustedRateWithFqtOverhead = getRate(side, allSourcesInput, outputWithFqtOverhead);
if (vipSourcesPath?.adjustedRate().isGreaterThan(allSourcesAdjustedRateWithFqtOverhead)) {
if (vipSourcesPath?.isBetterThan(allSourcesPath)) {
return vipSourcesPath;
}
}