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Handle max in/out ratio reverts in Balancer sampling functions

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This commit is contained in:
Michael Zhu 2020-09-23 12:46:50 -07:00 committed by Lawrence Forman
parent 5f570b772d
commit a57cf68ee4
3 changed files with 50 additions and 2 deletions
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4
packages/asset-swapper/CHANGELOG.json
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@ -125,6 +125,10 @@
{
"note": "Pass back fillData from quote reporter",
"pr": 2702
},
{
"note": "Fix Balancer sampling",
"pr": 2711
}
]
},

39
packages/asset-swapper/contracts/src/BalancerSampler.sol
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@ -27,6 +27,12 @@ contract BalancerSampler {
/// @dev Base gas limit for Balancer calls.
uint256 constant private BALANCER_CALL_GAS = 300e3; // 300k
// Balancer math constants
// https://github.com/balancer-labs/balancer-core/blob/master/contracts/BConst.sol
uint256 constant private BONE = 10 ** 18;
uint256 constant private MAX_IN_RATIO = BONE / 2;
uint256 constant private MAX_OUT_RATIO = (BONE / 3) + 1 wei;
struct BalancerState {
uint256 takerTokenBalance;
uint256 makerTokenBalance;
@ -67,6 +73,11 @@ contract BalancerSampler {
poolState.swapFee = pool.getSwapFee();
for (uint256 i = 0; i < numSamples; i++) {
// Handles this revert scenario:
// https://github.com/balancer-labs/balancer-core/blob/master/contracts/BPool.sol#L443
if (takerTokenAmounts[i] > _bmul(poolState.takerTokenBalance, MAX_IN_RATIO)) {
break;
}
(bool didSucceed, bytes memory resultData) =
poolAddress.staticcall.gas(BALANCER_CALL_GAS)(
abi.encodeWithSelector(
@ -120,6 +131,11 @@ contract BalancerSampler {
poolState.swapFee = pool.getSwapFee();
for (uint256 i = 0; i < numSamples; i++) {
// Handles this revert scenario:
// https://github.com/balancer-labs/balancer-core/blob/master/contracts/BPool.sol#L505
if (makerTokenAmounts[i] > _bmul(poolState.makerTokenBalance, MAX_OUT_RATIO)) {
break;
}
(bool didSucceed, bytes memory resultData) =
poolAddress.staticcall.gas(BALANCER_CALL_GAS)(
abi.encodeWithSelector(
@ -140,4 +156,27 @@ contract BalancerSampler {
takerTokenAmounts[i] = sellAmount;
}
}
/// @dev Hacked version of Balancer's `bmul` function, returning 0 instead
/// of reverting.
/// https://github.com/balancer-labs/balancer-core/blob/master/contracts/BNum.sol#L63-L73
/// @param a The first operand.
/// @param b The second operand.
/// @param c The result of the multiplication, or 0 if `bmul` would've reverted.
function _bmul(uint256 a, uint256 b)
private
pure
returns (uint256 c)
{
uint c0 = a * b;
if (a != 0 && c0 / a != b) {
return 0;
}
uint c1 = c0 + (BONE / 2);
if (c1 < c0) {
return 0;
}
uint c2 = c1 / BONE;
return c2;
}
}

9
packages/asset-swapper/src/utils/market_operation_utils/balancer_utils.ts
View File

@ -2,6 +2,8 @@ import { BigNumber } from '@0x/utils';
import { bmath, getPoolsWithTokens, parsePoolData } from '@balancer-labs/sor';
import { Decimal } from 'decimal.js';
import { ZERO_AMOUNT } from './constants';
// tslint:disable:boolean-naming
export interface BalancerPool {
@ -118,6 +120,9 @@ export class BalancerPoolsCache {
// tslint:disable completed-docs
export function computeBalancerSellQuote(pool: BalancerPool, takerFillAmount: BigNumber): BigNumber {
if (takerFillAmount.isGreaterThan(bmath.bmul(pool.balanceIn, bmath.MAX_IN_RATIO))) {
return ZERO_AMOUNT;
}
const weightRatio = pool.weightIn.dividedBy(pool.weightOut);
const adjustedIn = bmath.BONE.minus(pool.swapFee)
.dividedBy(bmath.BONE)
@ -130,8 +135,8 @@ export function computeBalancerSellQuote(pool: BalancerPool, takerFillAmount: Bi
}
export function computeBalancerBuyQuote(pool: BalancerPool, makerFillAmount: BigNumber): BigNumber {
if (makerFillAmount.isGreaterThanOrEqualTo(pool.balanceOut)) {
return new BigNumber(0);
if (makerFillAmount.isGreaterThan(bmath.bmul(pool.balanceOut, bmath.MAX_OUT_RATIO))) {
return ZERO_AMOUNT;
}
const weightRatio = pool.weightOut.dividedBy(pool.weightIn);
const diff = pool.balanceOut.minus(makerFillAmount);