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Refactor asset-swapper

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This commit is contained in:
Michael Zhu 2020-09-07 20:56:05 -07:00
parent f089f5d87f
commit c6d738ed0c
18 changed files with 597 additions and 500 deletions
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2
contracts/zero-ex/package.json
View File

@ -39,7 +39,7 @@
"publish:private": "yarn build && gitpkg publish"
},
"config": {
"publicInterfaceContracts": "IZeroEx,ZeroEx,FullMigration,InitialMigration,IFlashWallet,IAllowanceTarget,IERC20Transformer,IOwnableFeature,ISimpleFunctionRegistryFeature,ITokenSpenderFeature,ITransformERC20Feature,FillQuoteTransformer,PayTakerTransformer,WethTransformer,OwnableFeature,SimpleFunctionRegistryFeature,TransformERC20Feature,TokenSpenderFeature,AffiliateFeeTransformer,SignatureValidatorFeature,MetaTransactionsFeature,LogMetadataTransformer,BridgeAdapter",
"publicInterfaceContracts": "IZeroEx,ZeroEx,FullMigration,InitialMigration,IFlashWallet,IAllowanceTarget,IERC20Transformer,IOwnableFeature,ISimpleFunctionRegistryFeature,ITokenSpenderFeature,ITransformERC20Feature,FillQuoteTransformer,PayTakerTransformer,WethTransformer,OwnableFeature,SimpleFunctionRegistryFeature,TransformERC20Feature,TokenSpenderFeature,AffiliateFeeTransformer,SignatureValidatorFeature,MetaTransactionsFeature,LogMetadataTransformer,BridgeAdapter,LiquidityProviderFeature",
"abis:comment": "This list is auto-generated by contracts-gen. Don't edit manually.",
"abis": "./test/generated-artifacts/@(AffiliateFeeTransformer|AllowanceTarget|BootstrapFeature|BridgeAdapter|FillQuoteTransformer|FixinCommon|FixinEIP712|FixinReentrancyGuard|FlashWallet|FullMigration|IAllowanceTarget|IBootstrapFeature|IBridgeAdapter|IERC20Bridge|IERC20Transformer|IExchange|IFeature|IFlashWallet|IGasToken|ILiquidityProviderFeature|IMetaTransactionsFeature|IOwnableFeature|ISignatureValidatorFeature|ISimpleFunctionRegistryFeature|ITestSimpleFunctionRegistryFeature|ITokenSpenderFeature|ITransformERC20Feature|IUniswapFeature|IZeroEx|InitialMigration|LibBootstrap|LibCommonRichErrors|LibERC20Transformer|LibLiquidityProviderRichErrors|LibLiquidityProviderStorage|LibMetaTransactionsRichErrors|LibMetaTransactionsStorage|LibMigrate|LibOwnableRichErrors|LibOwnableStorage|LibProxyRichErrors|LibProxyStorage|LibReentrancyGuardStorage|LibSignatureRichErrors|LibSignedCallData|LibSimpleFunctionRegistryRichErrors|LibSimpleFunctionRegistryStorage|LibSpenderRichErrors|LibStorage|LibTokenSpenderStorage|LibTransformERC20RichErrors|LibTransformERC20Storage|LibWalletRichErrors|LiquidityProviderFeature|LogMetadataTransformer|MetaTransactionsFeature|MixinAdapterAddresses|MixinBalancer|MixinCurve|MixinKyber|MixinMStable|MixinMooniswap|MixinOasis|MixinUniswap|MixinUniswapV2|MixinZeroExBridge|OwnableFeature|PayTakerTransformer|SignatureValidatorFeature|SimpleFunctionRegistryFeature|TestCallTarget|TestDelegateCaller|TestFillQuoteTransformerBridge|TestFillQuoteTransformerExchange|TestFillQuoteTransformerHost|TestFullMigration|TestInitialMigration|TestMetaTransactionsTransformERC20Feature|TestMigrator|TestMintTokenERC20Transformer|TestMintableERC20Token|TestSimpleFunctionRegistryFeatureImpl1|TestSimpleFunctionRegistryFeatureImpl2|TestTokenSpender|TestTokenSpenderERC20Token|TestTransformERC20|TestTransformerBase|TestTransformerDeployerTransformer|TestTransformerHost|TestWeth|TestWethTransformerHost|TestZeroExFeature|TokenSpenderFeature|TransformERC20Feature|Transformer|TransformerDeployer|UniswapFeature|WethTransformer|ZeroEx).json"
},

2
contracts/zero-ex/src/artifacts.ts
View File

@ -18,6 +18,7 @@ import * as ISimpleFunctionRegistryFeature from '../generated-artifacts/ISimpleF
import * as ITokenSpenderFeature from '../generated-artifacts/ITokenSpenderFeature.json';
import * as ITransformERC20Feature from '../generated-artifacts/ITransformERC20Feature.json';
import * as IZeroEx from '../generated-artifacts/IZeroEx.json';
import * as LiquidityProviderFeature from '../generated-artifacts/LiquidityProviderFeature.json';
import * as LogMetadataTransformer from '../generated-artifacts/LogMetadataTransformer.json';
import * as MetaTransactionsFeature from '../generated-artifacts/MetaTransactionsFeature.json';
import * as OwnableFeature from '../generated-artifacts/OwnableFeature.json';
@ -52,4 +53,5 @@ export const artifacts = {
MetaTransactionsFeature: MetaTransactionsFeature as ContractArtifact,
LogMetadataTransformer: LogMetadataTransformer as ContractArtifact,
BridgeAdapter: BridgeAdapter as ContractArtifact,
LiquidityProviderFeature: LiquidityProviderFeature as ContractArtifact,
};

1
contracts/zero-ex/src/wrappers.ts
View File

@ -16,6 +16,7 @@ export * from '../generated-wrappers/i_token_spender_feature';
export * from '../generated-wrappers/i_transform_erc20_feature';
export * from '../generated-wrappers/i_zero_ex';
export * from '../generated-wrappers/initial_migration';
export * from '../generated-wrappers/liquidity_provider_feature';
export * from '../generated-wrappers/log_metadata_transformer';
export * from '../generated-wrappers/meta_transactions_feature';
export * from '../generated-wrappers/ownable_feature';

1
contracts/zero-ex/tsconfig.json
View File

@ -16,6 +16,7 @@
"generated-artifacts/ITransformERC20Feature.json",
"generated-artifacts/IZeroEx.json",
"generated-artifacts/InitialMigration.json",
"generated-artifacts/LiquidityProviderFeature.json",
"generated-artifacts/LogMetadataTransformer.json",
"generated-artifacts/MetaTransactionsFeature.json",
"generated-artifacts/OwnableFeature.json",

2
packages/asset-swapper/src/index.ts
View File

@ -119,6 +119,7 @@ export {
SwapQuoterRfqtOpts,
} from './types';
export { affiliateFeeUtils } from './utils/affiliate_fee_utils';
export { SOURCE_FLAGS } from './utils/market_operation_utils/constants';
export {
Parameters,
SamplerContractCall,
@ -136,7 +137,6 @@ export {
FeeSchedule,
Fill,
FillData,
FillFlags,
GetMarketOrdersRfqtOpts,
KyberFillData,
LiquidityProviderFillData,

6
packages/asset-swapper/src/utils/market_operation_utils/constants.ts
View File

@ -58,6 +58,7 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
sampleDistributionBase: 1.05,
feeSchedule: {},
gasSchedule: {},
exchangeProxyOverhead: () => ZERO_AMOUNT,
allowFallback: true,
shouldBatchBridgeOrders: true,
shouldGenerateQuoteReport: false,
@ -68,6 +69,11 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
*/
export const FEE_QUOTE_SOURCES = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.UniswapV2];
export const SOURCE_FLAGS: { [source in ERC20BridgeSource]: number } = Object.assign(
{},
...Object.values(ERC20BridgeSource).map((source: ERC20BridgeSource, index) => ({ [source]: 1 << index })),
);
/**
* Mainnet Curve configuration
*/

338
packages/asset-swapper/src/utils/market_operation_utils/fills.ts
View File

@ -3,15 +3,15 @@ import { BigNumber, hexUtils } from '@0x/utils';
import { MarketOperation, SignedOrderWithFillableAmounts } from '../../types';
import { fillableAmountsUtils } from '../../utils/fillable_amounts_utils';
import { POSITIVE_INF, ZERO_AMOUNT } from './constants';
import { CollapsedFill, DexSample, ERC20BridgeSource, FeeSchedule, Fill, FillFlags, MultiHopFillData } from './types';
import { POSITIVE_INF, SOURCE_FLAGS, ZERO_AMOUNT } from './constants';
import { DexSample, ERC20BridgeSource, FeeSchedule, Fill } from './types';
// tslint:disable: prefer-for-of no-bitwise completed-docs
/**
* Create fill paths from orders and dex quotes.
* Create `Fill` objects from orders and dex quotes.
*/
export function createFillPaths(opts: {
export function createFills(opts: {
side: MarketOperation;
orders?: SignedOrderWithFillableAmounts[];
dexQuotes?: DexSample[][];
@ -28,30 +28,50 @@ export function createFillPaths(opts: {
const dexQuotes = opts.dexQuotes || [];
const ethToOutputRate = opts.ethToOutputRate || ZERO_AMOUNT;
const ethToInputRate = opts.ethToInputRate || ZERO_AMOUNT;
// Create native fill paths.
const nativePath = nativeOrdersToPath(side, orders, opts.targetInput, ethToOutputRate, ethToInputRate, feeSchedule);
// Create DEX fill paths.
const dexPaths = dexQuotesToPaths(side, dexQuotes, ethToOutputRate, feeSchedule);
return filterPaths([...dexPaths, nativePath].map(p => clipPathToInput(p, opts.targetInput)), excludedSources);
// Create native fills.
const nativeFills = nativeOrdersToFills(
side,
orders,
opts.targetInput,
ethToOutputRate,
ethToInputRate,
feeSchedule,
);
// Create DEX fills.
const dexFills = dexQuotes.map(singleSourceSamples =>
dexSamplesToFills(side, singleSourceSamples, ethToOutputRate, ethToInputRate, feeSchedule),
);
return [...dexFills, nativeFills]
.map(p => clipFillsToInput(p, opts.targetInput))
.filter(fills => hasLiquidity(fills) && !excludedSources.includes(fills[0].source));
}
function filterPaths(paths: Fill[][], excludedSources: ERC20BridgeSource[]): Fill[][] {
return paths.filter(path => {
if (path.length === 0) {
return false;
function clipFillsToInput(fills: Fill[], targetInput: BigNumber = POSITIVE_INF): Fill[] {
const clipped: Fill[] = [];
let input = ZERO_AMOUNT;
for (const fill of fills) {
if (input.gte(targetInput)) {
break;
}
const [input, output] = getPathSize(path);
if (input.eq(0) || output.eq(0)) {
return false;
}
if (excludedSources.includes(path[0].source)) {
return false;
}
return true;
});
input = input.plus(fill.input);
clipped.push(fill);
}
return clipped;
}
function nativeOrdersToPath(
function hasLiquidity(fills: Fill[]): boolean {
if (fills.length === 0) {
return false;
}
const totalInput = BigNumber.sum(...fills.map(fill => fill.input));
const totalOutput = BigNumber.sum(...fills.map(fill => fill.output));
if (totalInput.isZero() || totalOutput.isZero()) {
return false;
}
return true;
}
function nativeOrdersToFills(
side: MarketOperation,
orders: SignedOrderWithFillableAmounts[],
targetInput: BigNumber = POSITIVE_INF,
@ -61,7 +81,7 @@ function nativeOrdersToPath(
): Fill[] {
const sourcePathId = hexUtils.random();
// Create a single path from all orders.
let path: Array<Fill & { adjustedRate: BigNumber }> = [];
let fills: Array<Fill & { adjustedRate: BigNumber }> = [];
for (const order of orders) {
const makerAmount = fillableAmountsUtils.getMakerAssetAmountSwappedAfterOrderFees(order);
const takerAmount = fillableAmountsUtils.getTakerAssetAmountSwappedAfterOrderFees(order);
@ -87,13 +107,13 @@ function nativeOrdersToPath(
if (adjustedRate.lte(0)) {
continue;
}
path.push({
fills.push({
sourcePathId,
adjustedRate,
adjustedOutput,
input: clippedInput,
output: clippedOutput,
flags: 0,
flags: SOURCE_FLAGS[ERC20BridgeSource.Native],
index: 0, // TBD
parent: undefined, // TBD
source: ERC20BridgeSource.Native,
@ -101,240 +121,56 @@ function nativeOrdersToPath(
});
}
// Sort by descending adjusted rate.
path = path.sort((a, b) => b.adjustedRate.comparedTo(a.adjustedRate));
fills = fills.sort((a, b) => b.adjustedRate.comparedTo(a.adjustedRate));
// Re-index fills.
for (let i = 0; i < path.length; ++i) {
path[i].parent = i === 0 ? undefined : path[i - 1];
path[i].index = i;
for (let i = 0; i < fills.length; ++i) {
fills[i].parent = i === 0 ? undefined : fills[i - 1];
fills[i].index = i;
}
return path;
return fills;
}
function dexQuotesToPaths(
function dexSamplesToFills(
side: MarketOperation,
dexQuotes: DexSample[][],
samples: DexSample[],
ethToOutputRate: BigNumber,
ethToInputRate: BigNumber,
fees: FeeSchedule,
): Fill[][] {
const paths: Fill[][] = [];
for (let quote of dexQuotes) {
const sourcePathId = hexUtils.random();
const path: Fill[] = [];
// Drop any non-zero entries. This can occur if the any fills on Kyber were UniswapReserves
// We need not worry about Kyber fills going to UniswapReserve as the input amount
// we fill is the same as we sampled. I.e we received [0,20,30] output from [1,2,3] input
// and we only fill [2,3] on Kyber (as 1 returns 0 output)
quote = quote.filter(q => !q.output.isZero());
for (let i = 0; i < quote.length; i++) {
const sample = quote[i];
const prevSample = i === 0 ? undefined : quote[i - 1];
const { source, fillData } = sample;
const input = sample.input.minus(prevSample ? prevSample.input : 0);
const output = sample.output.minus(prevSample ? prevSample.output : 0);
const fee = fees[source] === undefined ? 0 : fees[source]!(sample.fillData);
const penalty =
i === 0 // Only the first fill in a DEX path incurs a penalty.
? ethToOutputRate.times(fee)
: ZERO_AMOUNT;
const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
path.push({
sourcePathId,
input,
output,
adjustedOutput,
source,
fillData,
index: i,
parent: i !== 0 ? path[path.length - 1] : undefined,
flags: sourceToFillFlags(source),
});
): Fill[] {
const sourcePathId = hexUtils.random();
const fills: Fill[] = [];
// Drop any non-zero entries. This can occur if the any fills on Kyber were UniswapReserves
// We need not worry about Kyber fills going to UniswapReserve as the input amount
// we fill is the same as we sampled. I.e we received [0,20,30] output from [1,2,3] input
// and we only fill [2,3] on Kyber (as 1 returns 0 output)
samples = samples.filter(q => !q.output.isZero());
for (let i = 0; i < samples.length; i++) {
const sample = samples[i];
const prevSample = i === 0 ? undefined : samples[i - 1];
const { source, fillData } = sample;
const input = sample.input.minus(prevSample ? prevSample.input : 0);
const output = sample.output.minus(prevSample ? prevSample.output : 0);
const fee = fees[source] === undefined ? 0 : fees[source]!(sample.fillData);
let penalty = ZERO_AMOUNT;
if (i === 0) {
// Only the first fill in a DEX path incurs a penalty.
penalty = !ethToOutputRate.isZero()
? ethToOutputRate.times(fee)
: ethToInputRate.times(fee).times(output.dividedToIntegerBy(input));
}
paths.push(path);
}
return paths;
}
const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
export function getTwoHopAdjustedRate(
side: MarketOperation,
twoHopQuote: DexSample<MultiHopFillData>,
targetInput: BigNumber,
ethToOutputRate: BigNumber,
fees: FeeSchedule = {},
): BigNumber {
const { output, input, fillData } = twoHopQuote;
if (input.isLessThan(targetInput) || output.isZero()) {
return ZERO_AMOUNT;
}
const penalty = ethToOutputRate.times(fees[ERC20BridgeSource.MultiHop]!(fillData));
const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
return side === MarketOperation.Sell ? adjustedOutput.div(input) : input.div(adjustedOutput);
}
function sourceToFillFlags(source: ERC20BridgeSource): number {
switch (source) {
case ERC20BridgeSource.Uniswap:
return FillFlags.ConflictsWithMultiBridge;
case ERC20BridgeSource.LiquidityProvider:
return FillFlags.ConflictsWithMultiBridge;
case ERC20BridgeSource.MultiBridge:
return FillFlags.MultiBridge;
default:
return 0;
}
}
export function getPathSize(path: Fill[], targetInput: BigNumber = POSITIVE_INF): [BigNumber, BigNumber] {
let input = ZERO_AMOUNT;
let output = ZERO_AMOUNT;
for (const fill of path) {
if (input.plus(fill.input).gte(targetInput)) {
const di = targetInput.minus(input);
input = input.plus(di);
output = output.plus(fill.output.times(di.div(fill.input)));
break;
} else {
input = input.plus(fill.input);
output = output.plus(fill.output);
}
}
return [input.integerValue(), output.integerValue()];
}
export function getPathAdjustedSize(path: Fill[], targetInput: BigNumber = POSITIVE_INF): [BigNumber, BigNumber] {
let input = ZERO_AMOUNT;
let output = ZERO_AMOUNT;
for (const fill of path) {
if (input.plus(fill.input).gte(targetInput)) {
const di = targetInput.minus(input);
if (di.gt(0)) {
input = input.plus(di);
// Penalty does not get interpolated.
const penalty = fill.adjustedOutput.minus(fill.output);
output = output.plus(fill.output.times(di.div(fill.input)).plus(penalty));
}
break;
} else {
input = input.plus(fill.input);
output = output.plus(fill.adjustedOutput);
}
}
return [input.integerValue(), output.integerValue()];
}
export function isValidPath(path: Fill[], skipDuplicateCheck: boolean = false): boolean {
let flags = 0;
for (let i = 0; i < path.length; ++i) {
// Fill must immediately follow its parent.
if (path[i].parent) {
if (i === 0 || path[i - 1] !== path[i].parent) {
return false;
}
}
if (!skipDuplicateCheck) {
// Fill must not be duplicated.
for (let j = 0; j < i; ++j) {
if (path[i] === path[j]) {
return false;
}
}
}
flags |= path[i].flags;
}
return arePathFlagsAllowed(flags);
}
export function arePathFlagsAllowed(flags: number): boolean {
const multiBridgeConflict = FillFlags.MultiBridge | FillFlags.ConflictsWithMultiBridge;
return (flags & multiBridgeConflict) !== multiBridgeConflict;
}
export function clipPathToInput(path: Fill[], targetInput: BigNumber = POSITIVE_INF): Fill[] {
const clipped: Fill[] = [];
let input = ZERO_AMOUNT;
for (const fill of path) {
if (input.gte(targetInput)) {
break;
}
input = input.plus(fill.input);
clipped.push(fill);
}
return clipped;
}
export function collapsePath(path: Fill[]): CollapsedFill[] {
const collapsed: CollapsedFill[] = [];
for (const fill of path) {
const source = fill.source;
if (collapsed.length !== 0 && source !== ERC20BridgeSource.Native) {
const prevFill = collapsed[collapsed.length - 1];
// If the last fill is from the same source, merge them.
if (prevFill.sourcePathId === fill.sourcePathId) {
prevFill.input = prevFill.input.plus(fill.input);
prevFill.output = prevFill.output.plus(fill.output);
prevFill.fillData = fill.fillData;
prevFill.subFills.push(fill);
continue;
}
}
collapsed.push({
sourcePathId: fill.sourcePathId,
source: fill.source,
fillData: fill.fillData,
input: fill.input,
output: fill.output,
subFills: [fill],
fills.push({
sourcePathId,
input,
output,
adjustedOutput,
source,
fillData,
index: i,
parent: i !== 0 ? fills[fills.length - 1] : undefined,
flags: SOURCE_FLAGS[source],
});
}
return collapsed;
}
export function getPathAdjustedCompleteRate(side: MarketOperation, path: Fill[], targetInput: BigNumber): BigNumber {
const [input, output] = getPathAdjustedSize(path, targetInput);
return getCompleteRate(side, input, output, targetInput);
}
export function getPathAdjustedRate(side: MarketOperation, path: Fill[], targetInput: BigNumber): BigNumber {
const [input, output] = getPathAdjustedSize(path, targetInput);
return getRate(side, input, output);
}
export function getPathAdjustedSlippage(
side: MarketOperation,
path: Fill[],
inputAmount: BigNumber,
maxRate: BigNumber,
): number {
if (maxRate.eq(0)) {
return 0;
}
const totalRate = getPathAdjustedRate(side, path, inputAmount);
const rateChange = maxRate.minus(totalRate);
return rateChange.div(maxRate).toNumber();
}
export function getCompleteRate(
side: MarketOperation,
input: BigNumber,
output: BigNumber,
targetInput: BigNumber,
): BigNumber {
if (input.eq(0) || output.eq(0) || targetInput.eq(0)) {
return ZERO_AMOUNT;
}
// Penalize paths that fall short of the entire input amount by a factor of
// input / targetInput => (i / t)
if (side === MarketOperation.Sell) {
// (o / i) * (i / t) => (o / t)
return output.div(targetInput);
}
// (i / o) * (i / t)
return input.div(output).times(input.div(targetInput));
}
export function getRate(side: MarketOperation, input: BigNumber, output: BigNumber): BigNumber {
if (input.eq(0) || output.eq(0)) {
return ZERO_AMOUNT;
}
return side === MarketOperation.Sell ? output.div(input) : input.div(output);
return fills;
}

72
packages/asset-swapper/src/utils/market_operation_utils/index.ts
View File

@ -14,12 +14,12 @@ import {
FEE_QUOTE_SOURCES,
ONE_ETHER,
SELL_SOURCE_FILTER,
SOURCE_FLAGS,
ZERO_AMOUNT,
} from './constants';
import { createFillPaths, getPathAdjustedRate, getPathAdjustedSlippage } from './fills';
import { createFills } from './fills';
import { getBestTwoHopQuote } from './multihop_utils';
import {
createOrdersFromPath,
createOrdersFromTwoHopSample,
createSignedOrdersFromRfqtIndicativeQuotes,
createSignedOrdersWithFillableAmounts,
@ -32,12 +32,12 @@ import {
AggregationError,
DexSample,
ERC20BridgeSource,
ExchangeProxyOverhead,
FeeSchedule,
GetMarketOrdersOpts,
MarketSideLiquidity,
OptimizedMarketOrder,
OptimizerResult,
OptimizerResultWithReport,
OrderDomain,
TokenAdjacencyGraph,
} from './types';
@ -359,7 +359,7 @@ export class MarketOperationUtils {
nativeOrders: SignedOrder[],
takerAmount: BigNumber,
opts?: Partial<GetMarketOrdersOpts>,
): Promise<OptimizerResultWithReport> {
): Promise<OptimizerResult> {
const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
const marketSideLiquidity = await this.getMarketSellLiquidityAsync(nativeOrders, takerAmount, _opts);
const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
@ -396,7 +396,7 @@ export class MarketOperationUtils {
nativeOrders: SignedOrder[],
makerAmount: BigNumber,
opts?: Partial<GetMarketOrdersOpts>,
): Promise<OptimizerResultWithReport> {
): Promise<OptimizerResult> {
const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
const marketSideLiquidity = await this.getMarketBuyLiquidityAsync(nativeOrders, makerAmount, _opts);
const optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
@ -526,6 +526,7 @@ export class MarketOperationUtils {
maxFallbackSlippage?: number;
excludedSources?: ERC20BridgeSource[];
feeSchedule?: FeeSchedule;
exchangeProxyOverhead?: ExchangeProxyOverhead;
allowFallback?: boolean;
shouldBatchBridgeOrders?: boolean;
},
@ -554,8 +555,8 @@ export class MarketOperationUtils {
shouldBatchBridgeOrders: !!opts.shouldBatchBridgeOrders,
};
// Convert native orders and dex quotes into fill paths.
const paths = createFillPaths({
// Convert native orders and dex quotes into `Fill` objects.
const fills = createFills({
side,
// Augment native orders with their fillable amounts.
orders: [
@ -571,11 +572,16 @@ export class MarketOperationUtils {
});
// Find the optimal path.
let optimalPath = (await findOptimalPathAsync(side, paths, inputAmount, opts.runLimit)) || [];
if (optimalPath.length === 0) {
const optimizerOpts = {
ethToOutputRate,
ethToInputRate,
exchangeProxyOverhead: opts.exchangeProxyOverhead || (() => ZERO_AMOUNT),
};
let optimalPath = await findOptimalPathAsync(side, fills, inputAmount, opts.runLimit, optimizerOpts);
if (optimalPath === undefined) {
throw new Error(AggregationError.NoOptimalPath);
}
const optimalPathRate = getPathAdjustedRate(side, optimalPath, inputAmount);
const optimalPathRate = optimalPath.adjustedRate();
const { adjustedRate: bestTwoHopRate, quote: bestTwoHopQuote } = getBestTwoHopQuote(
marketSideLiquidity,
@ -583,39 +589,35 @@ export class MarketOperationUtils {
);
if (bestTwoHopQuote && bestTwoHopRate.isGreaterThan(optimalPathRate)) {
const twoHopOrders = createOrdersFromTwoHopSample(bestTwoHopQuote, orderOpts);
return { optimizedOrders: twoHopOrders, liquidityDelivered: bestTwoHopQuote, isTwoHop: true };
return {
optimizedOrders: twoHopOrders,
liquidityDelivered: bestTwoHopQuote,
sourceFlags: SOURCE_FLAGS[ERC20BridgeSource.MultiHop],
};
}
// Generate a fallback path if native orders are in the optimal path.
const nativeSubPath = optimalPath.filter(f => f.source === ERC20BridgeSource.Native);
if (opts.allowFallback && nativeSubPath.length !== 0) {
const nativeFills = optimalPath.fills.filter(f => f.source === ERC20BridgeSource.Native);
if (opts.allowFallback && nativeFills.length !== 0) {
// We create a fallback path that is exclusive of Native liquidity
// This is the optimal on-chain path for the entire input amount
const nonNativePaths = paths.filter(p => p.length > 0 && p[0].source !== ERC20BridgeSource.Native);
const nonNativeOptimalPath =
(await findOptimalPathAsync(side, nonNativePaths, inputAmount, opts.runLimit)) || [];
const nonNativeFills = fills.filter(p => p.length > 0 && p[0].source !== ERC20BridgeSource.Native);
const nonNativeOptimalPath = await findOptimalPathAsync(side, nonNativeFills, inputAmount, opts.runLimit);
// Calculate the slippage of on-chain sources compared to the most optimal path
const fallbackSlippage = getPathAdjustedSlippage(side, nonNativeOptimalPath, inputAmount, optimalPathRate);
if (nativeSubPath.length === optimalPath.length || fallbackSlippage <= maxFallbackSlippage) {
// If the last fill is Native and penultimate is not, then the intention was to partial fill
// In this case we drop it entirely as we can't handle a failure at the end and we don't
// want to fully fill when it gets prepended to the front below
const [last, penultimateIfExists] = optimalPath.slice().reverse();
const lastNativeFillIfExists =
last.source === ERC20BridgeSource.Native &&
penultimateIfExists &&
penultimateIfExists.source !== ERC20BridgeSource.Native
? last
: undefined;
// By prepending native paths to the front they cannot split on-chain sources and incur
// an additional protocol fee. I.e [Uniswap,Native,Kyber] becomes [Native,Uniswap,Kyber]
// In the previous step we dropped any hanging Native partial fills, as to not fully fill
optimalPath = [...nativeSubPath.filter(f => f !== lastNativeFillIfExists), ...nonNativeOptimalPath];
if (
nonNativeOptimalPath !== undefined &&
(nativeFills.length === optimalPath.fills.length ||
nonNativeOptimalPath.adjustedSlippage(optimalPathRate) <= maxFallbackSlippage)
) {
optimalPath.addFallback(nonNativeOptimalPath);
}
}
const optimizedOrders = createOrdersFromPath(optimalPath, orderOpts);
const liquidityDelivered = _.flatten(optimizedOrders.map(order => order.fills));
return { optimizedOrders, liquidityDelivered, isTwoHop: false };
const collapsedPath = optimalPath.collapse(orderOpts);
return {
optimizedOrders: collapsedPath.orders,
liquidityDelivered: collapsedPath.collapsedFills,
sourceFlags: collapsedPath.sourceFlags,
} as OptimizerResult;
}
}

2
packages/asset-swapper/src/utils/market_operation_utils/multihop_utils.ts
View File

@ -2,7 +2,7 @@ import { BigNumber } from '@0x/utils';
import * as _ from 'lodash';
import { ZERO_AMOUNT } from './constants';
import { getTwoHopAdjustedRate } from './fills';
import { getTwoHopAdjustedRate } from './rate_utils';
import { DexSample, FeeSchedule, MarketSideLiquidity, MultiHopFillData, TokenAdjacencyGraph } from './types';
/**

41
packages/asset-swapper/src/utils/market_operation_utils/orders.ts
View File

@ -16,7 +16,6 @@ import {
WALLET_SIGNATURE,
ZERO_AMOUNT,
} from './constants';
import { collapsePath } from './fills';
import { getMultiBridgeIntermediateToken } from './multibridge_utils';
import {
AggregationError,
@ -26,7 +25,6 @@ import {
CurveFillData,
DexSample,
ERC20BridgeSource,
Fill,
KyberFillData,
LiquidityProviderFillData,
MooniswapFillData,
@ -155,37 +153,6 @@ export interface CreateOrderFromPathOpts {
shouldBatchBridgeOrders: boolean;
}
// Convert sell fills into orders.
export function createOrdersFromPath(path: Fill[], opts: CreateOrderFromPathOpts): OptimizedMarketOrder[] {
const [makerToken, takerToken] = getMakerTakerTokens(opts);
const collapsedPath = collapsePath(path);
const orders: OptimizedMarketOrder[] = [];
for (let i = 0; i < collapsedPath.length; ) {
if (collapsedPath[i].source === ERC20BridgeSource.Native) {
orders.push(createNativeOrder(collapsedPath[i] as NativeCollapsedFill));
++i;
continue;
}
// If there are contiguous bridge orders, we can batch them together.
const contiguousBridgeFills = [collapsedPath[i]];
for (let j = i + 1; j < collapsedPath.length; ++j) {
if (collapsedPath[j].source === ERC20BridgeSource.Native) {
break;
}
contiguousBridgeFills.push(collapsedPath[j]);
}
// Always use DexForwarderBridge unless configured not to
if (!opts.shouldBatchBridgeOrders) {
orders.push(createBridgeOrder(contiguousBridgeFills[0], makerToken, takerToken, opts));
i += 1;
} else {
orders.push(createBatchedBridgeOrder(contiguousBridgeFills, opts));
i += contiguousBridgeFills.length;
}
}
return orders;
}
export function createOrdersFromTwoHopSample(
sample: DexSample<MultiHopFillData>,
opts: CreateOrderFromPathOpts,
@ -248,7 +215,7 @@ function getBridgeAddressFromFill(fill: CollapsedFill, opts: CreateOrderFromPath
throw new Error(AggregationError.NoBridgeForSource);
}
function createBridgeOrder(
export function createBridgeOrder(
fill: CollapsedFill,
makerToken: string,
takerToken: string,
@ -362,7 +329,7 @@ function createBridgeOrder(
};
}
function createBatchedBridgeOrder(fills: CollapsedFill[], opts: CreateOrderFromPathOpts): OptimizedMarketOrder {
export function createBatchedBridgeOrder(fills: CollapsedFill[], opts: CreateOrderFromPathOpts): OptimizedMarketOrder {
const [makerToken, takerToken] = getMakerTakerTokens(opts);
let totalMakerAssetAmount = ZERO_AMOUNT;
let totalTakerAssetAmount = ZERO_AMOUNT;
@ -403,7 +370,7 @@ function createBatchedBridgeOrder(fills: CollapsedFill[], opts: CreateOrderFromP
};
}
function getMakerTakerTokens(opts: CreateOrderFromPathOpts): [string, string] {
export function getMakerTakerTokens(opts: CreateOrderFromPathOpts): [string, string] {
const makerToken = opts.side === MarketOperation.Sell ? opts.outputToken : opts.inputToken;
const takerToken = opts.side === MarketOperation.Sell ? opts.inputToken : opts.outputToken;
return [makerToken, takerToken];
@ -525,7 +492,7 @@ function createCommonBridgeOrderFields(orderDomain: OrderDomain): CommonBridgeOr
};
}
function createNativeOrder(fill: NativeCollapsedFill): OptimizedMarketOrder {
export function createNativeOrder(fill: NativeCollapsedFill): OptimizedMarketOrder {
return {
fills: [fill],
...fill.fillData!.order, // tslint:disable-line:no-non-null-assertion

287
packages/asset-swapper/src/utils/market_operation_utils/path.ts Normal file
View File

@ -0,0 +1,287 @@
import { BigNumber } from '@0x/utils';
import { MarketOperation } from '../../types';
import { POSITIVE_INF, SOURCE_FLAGS, ZERO_AMOUNT } from './constants';
import {
createBatchedBridgeOrder,
createBridgeOrder,
createNativeOrder,
CreateOrderFromPathOpts,
getMakerTakerTokens,
} from './orders';
import { getCompleteRate, getRate } from './rate_utils';
import {
CollapsedFill,
ERC20BridgeSource,
ExchangeProxyOverhead,
Fill,
NativeCollapsedFill,
OptimizedMarketOrder,
} from './types';
// tslint:disable: prefer-for-of no-bitwise completed-docs
export interface PathSize {
input: BigNumber;
output: BigNumber;
}
export interface PathPenaltyOpts {
ethToOutputRate: BigNumber;
ethToInputRate: BigNumber;
exchangeProxyOverhead: ExchangeProxyOverhead;
}
export const DEFAULT_PATH_PENALTY_OPTS: PathPenaltyOpts = {
ethToOutputRate: ZERO_AMOUNT,
ethToInputRate: ZERO_AMOUNT,
exchangeProxyOverhead: () => ZERO_AMOUNT,
};
export class Path {
public collapsedFills?: ReadonlyArray<CollapsedFill>;
public orders?: OptimizedMarketOrder[];
public sourceFlags: number = 0;
protected _size: PathSize = { input: ZERO_AMOUNT, output: ZERO_AMOUNT };
protected _adjustedSize: PathSize = { input: ZERO_AMOUNT, output: ZERO_AMOUNT };
protected constructor(
protected readonly side: MarketOperation,
public fills: ReadonlyArray<Fill>,
protected readonly targetInput: BigNumber,
public readonly pathPenaltyOpts: PathPenaltyOpts,
) {}
public static create(
side: MarketOperation,
fills: ReadonlyArray<Fill>,
targetInput: BigNumber = POSITIVE_INF,
pathPenaltyOpts: PathPenaltyOpts = DEFAULT_PATH_PENALTY_OPTS,
): Path {
const path = new Path(side, fills, targetInput, pathPenaltyOpts);
fills.forEach(fill => {
path.sourceFlags |= fill.flags;
path._addFillSize(fill);
});
return path;
}
public static clone(base: Path): Path {
const clonedPath = new Path(base.side, base.fills.slice(), base.targetInput, base.pathPenaltyOpts);
clonedPath.sourceFlags = base.sourceFlags;
clonedPath._size = { ...base._size };
clonedPath._adjustedSize = { ...base._adjustedSize };
clonedPath.collapsedFills = base.collapsedFills === undefined ? undefined : base.collapsedFills.slice();
clonedPath.orders = base.orders === undefined ? undefined : base.orders.slice();
return clonedPath;
}
public append(fill: Fill): this {
(this.fills as Fill[]).push(fill);
this.sourceFlags |= fill.flags;
this._addFillSize(fill);
return this;
}
public addFallback(fallback: Path): this {
// If the last fill is Native and penultimate is not, then the intention was to partial fill
// In this case we drop it entirely as we can't handle a failure at the end and we don't
// want to fully fill when it gets prepended to the front below
const [last, penultimateIfExists] = this.fills.slice().reverse();
const lastNativeFillIfExists =
last.source === ERC20BridgeSource.Native &&
penultimateIfExists &&
penultimateIfExists.source !== ERC20BridgeSource.Native
? last
: undefined;
// By prepending native paths to the front they cannot split on-chain sources and incur
// an additional protocol fee. I.e [Uniswap,Native,Kyber] becomes [Native,Uniswap,Kyber]
// In the previous step we dropped any hanging Native partial fills, as to not fully fill
const nativeFills = this.fills.filter(f => f.source === ERC20BridgeSource.Native);
this.fills = [...nativeFills.filter(f => f !== lastNativeFillIfExists), ...fallback.fills];
// Recompute the source flags
this.sourceFlags = this.fills.reduce((flags, fill) => (flags |= fill.flags), 0);
return this;
}
public collapse(opts: CreateOrderFromPathOpts): CollapsedPath {
const [makerToken, takerToken] = getMakerTakerTokens(opts);
const collapsedFills = this.collapsedFills === undefined ? this._collapseFills() : this.collapsedFills;
this.orders = [];
for (let i = 0; i < collapsedFills.length; ) {
if (collapsedFills[i].source === ERC20BridgeSource.Native) {
this.orders.push(createNativeOrder(collapsedFills[i] as NativeCollapsedFill));
++i;
continue;
}
// If there are contiguous bridge orders, we can batch them together.
const contiguousBridgeFills = [collapsedFills[i]];
for (let j = i + 1; j < collapsedFills.length; ++j) {
if (collapsedFills[j].source === ERC20BridgeSource.Native) {
break;
}
contiguousBridgeFills.push(collapsedFills[j]);
}
// Always use DexForwarderBridge unless configured not to
if (!opts.shouldBatchBridgeOrders) {
this.orders.push(createBridgeOrder(contiguousBridgeFills[0], makerToken, takerToken, opts));
i += 1;
} else {
this.orders.push(createBatchedBridgeOrder(contiguousBridgeFills, opts));
i += contiguousBridgeFills.length;
}
}
return this as CollapsedPath;
}
public size(): PathSize {
return this._size;
}
public adjustedSize(): PathSize {
const { input, output } = this._adjustedSize;
const { exchangeProxyOverhead, ethToOutputRate, ethToInputRate } = this.pathPenaltyOpts;
const gasOverhead = exchangeProxyOverhead(this.sourceFlags);
const pathPenalty = !ethToOutputRate.isZero()
? ethToOutputRate.times(gasOverhead)
: ethToInputRate.times(gasOverhead).times(output.dividedToIntegerBy(input));
return {
input,
output: this.side === MarketOperation.Sell ? output.minus(pathPenalty) : output.plus(pathPenalty),
};
}
public adjustedCompleteRate(): BigNumber {
const { input, output } = this.adjustedSize();
return getCompleteRate(this.side, input, output, this.targetInput);
}
public adjustedRate(): BigNumber {
const { input, output } = this.adjustedSize();
return getRate(this.side, input, output);
}
public adjustedSlippage(maxRate: BigNumber): number {
if (maxRate.eq(0)) {
return 0;
}
const totalRate = this.adjustedRate();
const rateChange = maxRate.minus(totalRate);
return rateChange.div(maxRate).toNumber();
}
public isBetterThan(other: Path): boolean {
if (!this.targetInput.isEqualTo(other.targetInput)) {
throw new Error(`Target input mismatch: ${this.targetInput} !== ${other.targetInput}`);
}
const { targetInput } = this;
const { input } = this._size;
const { input: otherInput } = other._size;
if (input.isLessThan(targetInput) || otherInput.isLessThan(targetInput)) {
return input.isGreaterThan(otherInput);
} else {
return this.adjustedCompleteRate().isGreaterThan(other.adjustedCompleteRate());
}
// if (otherInput.isLessThan(targetInput)) {
// return input.isGreaterThan(otherInput);
// } else if (input.isGreaterThanOrEqualTo(targetInput)) {
// return this.adjustedCompleteRate().isGreaterThan(other.adjustedCompleteRate());
// }
// return false;
}
public isComplete(): boolean {
const { input } = this._size;
return input.gte(this.targetInput);
}
public isValid(skipDuplicateCheck: boolean = false): boolean {
for (let i = 0; i < this.fills.length; ++i) {
// Fill must immediately follow its parent.
if (this.fills[i].parent) {
if (i === 0 || this.fills[i - 1] !== this.fills[i].parent) {
return false;
}
}
if (!skipDuplicateCheck) {
// Fill must not be duplicated.
for (let j = 0; j < i; ++j) {
if (this.fills[i] === this.fills[j]) {
return false;
}
}
}
}
return doSourcesConflict(this.sourceFlags);
}
public isValidNextFill(fill: Fill): boolean {
if (this.fills.length === 0) {
return !fill.parent;
}
if (this.fills[this.fills.length - 1] === fill.parent) {
return true;
}
if (fill.parent) {
return false;
}
return doSourcesConflict(this.sourceFlags | fill.flags);
}
private _collapseFills(): ReadonlyArray<CollapsedFill> {
this.collapsedFills = [];
for (const fill of this.fills) {
const source = fill.source;
if (this.collapsedFills.length !== 0 && source !== ERC20BridgeSource.Native) {
const prevFill = this.collapsedFills[this.collapsedFills.length - 1];
// If the last fill is from the same source, merge them.
if (prevFill.sourcePathId === fill.sourcePathId) {
prevFill.input = prevFill.input.plus(fill.input);
prevFill.output = prevFill.output.plus(fill.output);
prevFill.fillData = fill.fillData;
prevFill.subFills.push(fill);
continue;
}
}
(this.collapsedFills as CollapsedFill[]).push({
sourcePathId: fill.sourcePathId,
source: fill.source,
fillData: fill.fillData,
input: fill.input,
output: fill.output,
subFills: [fill],
});
}
return this.collapsedFills;
}
private _addFillSize(fill: Fill): void {
if (this._size.input.plus(fill.input).isGreaterThan(this.targetInput)) {
const remainingInput = this.targetInput.minus(this._size.input);
const scaledFillOutput = fill.output.times(remainingInput.div(fill.input));
this._size.input = this.targetInput;
this._size.output = this._size.output.plus(scaledFillOutput);
// Penalty does not get interpolated.
const penalty = fill.adjustedOutput.minus(fill.output);
this._adjustedSize.input = this.targetInput;
this._adjustedSize.output = this._adjustedSize.output.plus(scaledFillOutput).plus(penalty);
} else {
this._size.input = this._size.input.plus(fill.input);
this._size.output = this._size.output.plus(fill.output);
this._adjustedSize.input = this._adjustedSize.input.plus(fill.input);
this._adjustedSize.output = this._adjustedSize.output.plus(fill.adjustedOutput);
}
}
}
export interface CollapsedPath extends Path {
readonly collapsedFills: ReadonlyArray<CollapsedFill>;
readonly orders: OptimizedMarketOrder[];
}
const MULTIBRIDGE_SOURCES = SOURCE_FLAGS.LiquidityProvider | SOURCE_FLAGS.Uniswap;
export function doSourcesConflict(flags: number): boolean {
const multiBridgeConflict = flags & SOURCE_FLAGS.MultiBridge && flags & MULTIBRIDGE_SOURCES;
return !multiBridgeConflict;
}

139
packages/asset-swapper/src/utils/market_operation_utils/path_optimizer.ts
View File

@ -1,17 +1,9 @@
import { BigNumber } from '@0x/utils';
import * as _ from 'lodash';
import { MarketOperation } from '../../types';
import { ZERO_AMOUNT } from './constants';
import {
arePathFlagsAllowed,
getCompleteRate,
getPathAdjustedCompleteRate,
getPathAdjustedRate,
getPathAdjustedSize,
getPathSize,
isValidPath,
} from './fills';
import { DEFAULT_PATH_PENALTY_OPTS, Path, PathPenaltyOpts } from './path';
import { Fill } from './types';
// tslint:disable: prefer-for-of custom-no-magic-numbers completed-docs no-bitwise
@ -19,134 +11,93 @@ import { Fill } from './types';
const RUN_LIMIT_DECAY_FACTOR = 0.5;
/**
* Find the optimal mixture of paths that maximizes (for sells) or minimizes
* Find the optimal mixture of fills that maximizes (for sells) or minimizes
* (for buys) output, while meeting the input requirement.
*/
export async function findOptimalPathAsync(
side: MarketOperation,
paths: Fill[][],
fills: Fill[][],
targetInput: BigNumber,
runLimit: number = 2 ** 8,
): Promise<Fill[] | undefined> {
// Sort paths by descending adjusted completed rate.
const sortedPaths = paths
.slice(0)
.sort((a, b) =>
getPathAdjustedCompleteRate(side, b, targetInput).comparedTo(
getPathAdjustedCompleteRate(side, a, targetInput),
),
);
let optimalPath = sortedPaths[0] || [];
opts: PathPenaltyOpts = DEFAULT_PATH_PENALTY_OPTS,
): Promise<Path | undefined> {
const rates = rateBySourcePathId(side, fills, targetInput);
const paths = fills.map(singleSourceFills => Path.create(side, singleSourceFills, targetInput, opts));
// Sort fill arrays by descending adjusted completed rate.
const sortedPaths = paths.sort((a, b) => b.adjustedCompleteRate().comparedTo(a.adjustedCompleteRate()));
if (sortedPaths.length === 0) {
return undefined;
}
let optimalPath = sortedPaths[0];
for (const [i, path] of sortedPaths.slice(1).entries()) {
optimalPath = mixPaths(side, optimalPath, path, targetInput, runLimit * RUN_LIMIT_DECAY_FACTOR ** i);
optimalPath = mixPaths(side, optimalPath, path, targetInput, runLimit * RUN_LIMIT_DECAY_FACTOR ** i, rates);
// Yield to event loop.
await Promise.resolve();
}
return isPathComplete(optimalPath, targetInput) ? optimalPath : undefined;
return optimalPath.isComplete() ? optimalPath : undefined;
}
function mixPaths(
side: MarketOperation,
pathA: Fill[],
pathB: Fill[],
pathA: Path,
pathB: Path,
targetInput: BigNumber,
maxSteps: number,
): Fill[] {
rateBySourcePathId: { [id: string]: BigNumber },
): Path {
const _maxSteps = Math.max(maxSteps, 32);
let steps = 0;
// We assume pathA is the better of the two initially.
let bestPath: Fill[] = pathA;
let [bestPathInput, bestPathOutput] = getPathAdjustedSize(pathA, targetInput);
let bestPathRate = getCompleteRate(side, bestPathInput, bestPathOutput, targetInput);
const _isBetterPath = (input: BigNumber, rate: BigNumber) => {
if (bestPathInput.lt(targetInput)) {
return input.gt(bestPathInput);
} else if (input.gte(targetInput)) {
return rate.gt(bestPathRate);
}
return false;
};
const _walk = (path: Fill[], input: BigNumber, output: BigNumber, flags: number, remainingFills: Fill[]) => {
let bestPath: Path = pathA;
const _walk = (path: Path, remainingFills: Fill[]) => {
steps += 1;
const rate = getCompleteRate(side, input, output, targetInput);
if (_isBetterPath(input, rate)) {
if (path.isBetterThan(bestPath)) {
bestPath = path;
bestPathInput = input;
bestPathOutput = output;
bestPathRate = rate;
}
const remainingInput = targetInput.minus(input);
if (remainingInput.gt(0)) {
const remainingInput = targetInput.minus(path.size().input);
if (remainingInput.isGreaterThan(0)) {
for (let i = 0; i < remainingFills.length && steps < _maxSteps; ++i) {
const fill = remainingFills[i];
// Only walk valid paths.
if (!isValidNextPathFill(path, flags, fill)) {
if (!path.isValidNextFill(fill)) {
continue;
}
// Remove this fill from the next list of candidate fills.
const nextRemainingFills = remainingFills.slice();
nextRemainingFills.splice(i, 1);
// Recurse.
_walk(
[...path, fill],
input.plus(BigNumber.min(remainingInput, fill.input)),
output.plus(
// Clip the output of the next fill to the remaining
// input.
clipFillAdjustedOutput(fill, remainingInput),
),
flags | fill.flags,
nextRemainingFills,
);
_walk(Path.clone(path).append(fill), nextRemainingFills);
}
}
};
const allFills = [...pathA, ...pathB];
const sources = allFills.filter(f => f.index === 0).map(f => f.sourcePathId);
const rateBySource = Object.assign(
{},
...sources.map(s => ({
[s]: getPathAdjustedRate(side, allFills.filter(f => f.sourcePathId === s), targetInput),
})),
);
const allFills = [...pathA.fills, ...pathB.fills];
// Sort subpaths by rate and keep fills contiguous to improve our
// chances of walking ideal, valid paths first.
const sortedFills = allFills.sort((a, b) => {
if (a.sourcePathId !== b.sourcePathId) {
return rateBySource[b.sourcePathId].comparedTo(rateBySource[a.sourcePathId]);
return rateBySourcePathId[b.sourcePathId].comparedTo(rateBySourcePathId[a.sourcePathId]);
}
return a.index - b.index;
});
_walk([], ZERO_AMOUNT, ZERO_AMOUNT, 0, sortedFills);
if (!isValidPath(bestPath)) {
_walk(Path.create(side, [], targetInput, pathA.pathPenaltyOpts), sortedFills);
if (!bestPath.isValid()) {
throw new Error('nooope');
}
return bestPath;
}
function isValidNextPathFill(path: Fill[], pathFlags: number, fill: Fill): boolean {
if (path.length === 0) {
return !fill.parent;
}
if (path[path.length - 1] === fill.parent) {
return true;
}
if (fill.parent) {
return false;
}
return arePathFlagsAllowed(pathFlags | fill.flags);
}
function isPathComplete(path: Fill[], targetInput: BigNumber): boolean {
const [input] = getPathSize(path);
return input.gte(targetInput);
}
function clipFillAdjustedOutput(fill: Fill, remainingInput: BigNumber): BigNumber {
if (fill.input.lte(remainingInput)) {
return fill.adjustedOutput;
}
// Penalty does not get interpolated.
const penalty = fill.adjustedOutput.minus(fill.output);
return remainingInput.times(fill.output.div(fill.input)).plus(penalty);
function rateBySourcePathId(
side: MarketOperation,
fills: Fill[][],
targetInput: BigNumber,
): { [id: string]: BigNumber } {
const flattenedFills = _.flatten(fills);
const sourcePathIds = flattenedFills.filter(f => f.index === 0).map(f => f.sourcePathId);
return Object.assign(
{},
...sourcePathIds.map(s => ({
[s]: Path.create(side, flattenedFills.filter(f => f.sourcePathId === s), targetInput).adjustedRate(),
})),
);
}

48
packages/asset-swapper/src/utils/market_operation_utils/rate_utils.ts Normal file
View File

@ -0,0 +1,48 @@
import { BigNumber } from '@0x/utils';
import { MarketOperation } from '../../types';
import { ZERO_AMOUNT } from './constants';
import { DexSample, ERC20BridgeSource, FeeSchedule, MultiHopFillData } from './types';
export function getTwoHopAdjustedRate(
side: MarketOperation,
twoHopQuote: DexSample<MultiHopFillData>,
targetInput: BigNumber,
ethToOutputRate: BigNumber,
fees: FeeSchedule = {},
): BigNumber {
const { output, input, fillData } = twoHopQuote;
if (input.isLessThan(targetInput) || output.isZero()) {
return ZERO_AMOUNT;
}
const penalty = ethToOutputRate.times(fees[ERC20BridgeSource.MultiHop]!(fillData));
const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
return side === MarketOperation.Sell ? adjustedOutput.div(input) : input.div(adjustedOutput);
}
export function getCompleteRate(
side: MarketOperation,
input: BigNumber,
output: BigNumber,
targetInput: BigNumber,
): BigNumber {
if (input.eq(0) || output.eq(0) || targetInput.eq(0)) {
return ZERO_AMOUNT;
}
// Penalize paths that fall short of the entire input amount by a factor of
// input / targetInput => (i / t)
if (side === MarketOperation.Sell) {
// (o / i) * (i / t) => (o / t)
return output.div(targetInput);
}
// (i / o) * (i / t)
return input.div(output).times(input.div(targetInput));
}
export function getRate(side: MarketOperation, input: BigNumber, output: BigNumber): BigNumber {
if (input.eq(0) || output.eq(0)) {
return ZERO_AMOUNT;
}
return side === MarketOperation.Sell ? output.div(input) : input.div(output);
}

21
packages/asset-swapper/src/utils/market_operation_utils/types.ts
View File

@ -156,16 +156,6 @@ export interface DexSample<TFillData extends FillData = FillData> extends Source
output: BigNumber;
}
/**
* Flags for `Fill` objects.
*/
export enum FillFlags {
ConflictsWithKyber = 0x1,
Kyber = 0x2,
ConflictsWithMultiBridge = 0x4,
MultiBridge = 0x8,
}
/**
* Represents a node on a fill path.
*/
@ -174,8 +164,8 @@ export interface Fill<TFillData extends FillData = FillData> extends SourceInfo<
// This is generated when the path is generated and is useful to distinguish
// paths that have the same `source` IDs but are distinct (e.g., Curves).
sourcePathId: string;
// See `FillFlags`.
flags: FillFlags;
// See `SOURCE_FLAGS`.
flags: number;
// Input fill amount (taker asset amount in a sell, maker asset amount in a buy).
input: BigNumber;
// Output fill amount (maker asset amount in a sell, taker asset amount in a buy).
@ -234,6 +224,7 @@ export interface GetMarketOrdersRfqtOpts extends RfqtRequestOpts {
export type FeeEstimate = (fillData?: FillData) => number | BigNumber;
export type FeeSchedule = Partial<{ [key in ERC20BridgeSource]: FeeEstimate }>;
export type ExchangeProxyOverhead = (sourceFlags: number) => BigNumber;
/**
* Options for `getMarketSellOrdersAsync()` and `getMarketBuyOrdersAsync()`.
@ -288,6 +279,7 @@ export interface GetMarketOrdersOpts {
* Estimated gas consumed by each liquidity source.
*/
gasSchedule: FeeSchedule;
exchangeProxyOverhead: ExchangeProxyOverhead;
/**
* Whether to pad the quote with a redundant fallback quote using different
* sources. Defaults to `true`.
@ -321,11 +313,8 @@ export interface SourceQuoteOperation<TFillData extends FillData = FillData>
export interface OptimizerResult {
optimizedOrders: OptimizedMarketOrder[];
isTwoHop: boolean;
sourceFlags: number;
liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>;
}
export interface OptimizerResultWithReport extends OptimizerResult {
quoteReport?: QuoteReport;
}

6
packages/asset-swapper/src/utils/quote_report_generator.ts
View File

@ -64,7 +64,7 @@ export function generateQuoteReport(
multiHopQuotes: Array<DexSample<MultiHopFillData>>,
nativeOrders: SignedOrder[],
orderFillableAmounts: BigNumber[],
liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>,
liquidityDelivered: ReadonlyArray<CollapsedFill> | DexSample<MultiHopFillData>,
quoteRequestor?: QuoteRequestor,
): QuoteReport {
const dexReportSourcesConsidered = dexQuotes.map(quote => _dexSampleToReportSource(quote, marketOperation));
@ -101,7 +101,9 @@ export function generateQuoteReport(
}
});
} else {
sourcesDelivered = [_multiHopSampleToReportSource(liquidityDelivered, marketOperation)];
sourcesDelivered = [
_multiHopSampleToReportSource(liquidityDelivered as DexSample<MultiHopFillData>, marketOperation),
];
}
return {
sourcesConsidered,

2
packages/asset-swapper/src/utils/quote_simulation.ts
View File

@ -349,7 +349,7 @@ function fromIntermediateQuoteFillResult(ir: IntermediateQuoteFillResult, quoteI
};
}
export function getFlattenedFillsFromOrders(orders: OptimizedMarketOrder[]): CollapsedFill[] {
function getFlattenedFillsFromOrders(orders: OptimizedMarketOrder[]): CollapsedFill[] {
const fills: CollapsedFill[] = [];
for (const o of orders) {
fills.push(...o.fills);

115
packages/asset-swapper/src/utils/swap_quote_calculator.ts
View File

@ -16,6 +16,7 @@ import {
} from '../types';
import { MarketOperationUtils } from './market_operation_utils';
import { SOURCE_FLAGS } from './market_operation_utils/constants';
import { convertNativeOrderToFullyFillableOptimizedOrders } from './market_operation_utils/orders';
import {
ERC20BridgeSource,
@ -130,70 +131,74 @@ export class SwapQuoteCalculator {
let optimizedOrders: OptimizedMarketOrder[];
let quoteReport: QuoteReport | undefined;
let isTwoHop = false;
let sourceFlags: number = 0;
{
// Scale fees by gas price.
const _opts: GetMarketOrdersOpts = {
...opts,
feeSchedule: _.mapValues(opts.feeSchedule, gasCost => (fillData?: FillData) =>
gasCost === undefined ? 0 : gasPrice.times(gasCost(fillData)),
),
};
// Scale fees by gas price.
const _opts: GetMarketOrdersOpts = {
...opts,
feeSchedule: _.mapValues(opts.feeSchedule, gasCost => (fillData?: FillData) =>
gasCost === undefined ? 0 : gasPrice.times(gasCost(fillData)),
),
exchangeProxyOverhead: (sourceFlags: number) => gasPrice.times(opts.exchangeProxyOverhead!(sourceFlags)),
};
const firstOrderMakerAssetData = !!prunedOrders[0]
? assetDataUtils.decodeAssetDataOrThrow(prunedOrders[0].makerAssetData)
: { assetProxyId: '' };
const firstOrderMakerAssetData = !!prunedOrders[0]
? assetDataUtils.decodeAssetDataOrThrow(prunedOrders[0].makerAssetData)
: { assetProxyId: '' };
if (firstOrderMakerAssetData.assetProxyId === AssetProxyId.ERC721) {
// HACK: to conform ERC721 orders to the output of market operation utils, assumes complete fillable
optimizedOrders = prunedOrders.map(o => convertNativeOrderToFullyFillableOptimizedOrders(o));
if (firstOrderMakerAssetData.assetProxyId === AssetProxyId.ERC721) {
// HACK: to conform ERC721 orders to the output of market operation utils, assumes complete fillable
optimizedOrders = prunedOrders.map(o => convertNativeOrderToFullyFillableOptimizedOrders(o));
} else {
if (operation === MarketOperation.Buy) {
const buyResult = await this._marketOperationUtils.getMarketBuyOrdersAsync(
prunedOrders,
assetFillAmount,
_opts,
);
optimizedOrders = buyResult.optimizedOrders;
quoteReport = buyResult.quoteReport;
sourceFlags = buyResult.sourceFlags;
} else {
if (operation === MarketOperation.Buy) {
const buyResult = await this._marketOperationUtils.getMarketBuyOrdersAsync(
prunedOrders,
assetFillAmount,
_opts,
);
optimizedOrders = buyResult.optimizedOrders;
quoteReport = buyResult.quoteReport;
isTwoHop = buyResult.isTwoHop;
} else {
const sellResult = await this._marketOperationUtils.getMarketSellOrdersAsync(
prunedOrders,
assetFillAmount,
_opts,
);
optimizedOrders = sellResult.optimizedOrders;
quoteReport = sellResult.quoteReport;
isTwoHop = sellResult.isTwoHop;
}
const sellResult = await this._marketOperationUtils.getMarketSellOrdersAsync(
prunedOrders,
assetFillAmount,
_opts,
);
optimizedOrders = sellResult.optimizedOrders;
quoteReport = sellResult.quoteReport;
sourceFlags = sellResult.sourceFlags;
}
}
// assetData information for the result
const { makerAssetData, takerAssetData } = prunedOrders[0];
return isTwoHop
? createTwoHopSwapQuote(
makerAssetData,
takerAssetData,
optimizedOrders,
operation,
assetFillAmount,
gasPrice,
opts.gasSchedule,
quoteReport,
)
: createSwapQuote(
makerAssetData,
takerAssetData,
optimizedOrders,
operation,
assetFillAmount,
gasPrice,
opts.gasSchedule,
quoteReport,
);
const swapQuote =
sourceFlags === SOURCE_FLAGS[ERC20BridgeSource.MultiHop]
? createTwoHopSwapQuote(
makerAssetData,
takerAssetData,
optimizedOrders,
operation,
assetFillAmount,
gasPrice,
opts.gasSchedule,
quoteReport,
)
: createSwapQuote(
makerAssetData,
takerAssetData,
optimizedOrders,
operation,
assetFillAmount,
gasPrice,
opts.gasSchedule,
quoteReport,
);
const exchangeProxyOverhead = _opts.exchangeProxyOverhead(sourceFlags).toNumber();
swapQuote.bestCaseQuoteInfo.gas += exchangeProxyOverhead;
swapQuote.worstCaseQuoteInfo.gas += exchangeProxyOverhead;
return swapQuote;
}
}

12
packages/asset-swapper/test/market_operation_utils_test.ts
View File

@ -24,7 +24,7 @@ import {
SELL_SOURCE_FILTER,
ZERO_AMOUNT,
} from '../src/utils/market_operation_utils/constants';
import { createFillPaths } from '../src/utils/market_operation_utils/fills';
import { createFills } from '../src/utils/market_operation_utils/fills';
import { DexOrderSampler } from '../src/utils/market_operation_utils/sampler';
import { BATCH_SOURCE_FILTERS } from '../src/utils/market_operation_utils/sampler_operations';
import {
@ -1299,7 +1299,7 @@ describe('MarketOperationUtils tests', () => {
it('batches contiguous bridge sources', async () => {
const rates: RatesBySource = { ...ZERO_RATES };
rates[ERC20BridgeSource.Native] = [0.5, 0.01, 0.01, 0.01];
rates[ERC20BridgeSource.Native] = [0.3, 0.01, 0.01, 0.01];
rates[ERC20BridgeSource.Eth2Dai] = [0.49, 0.02, 0.01, 0.01];
rates[ERC20BridgeSource.Uniswap] = [0.48, 0.01, 0.01, 0.01];
replaceSamplerOps({
@ -1318,14 +1318,14 @@ describe('MarketOperationUtils tests', () => {
expect(improvedOrders).to.be.length(2);
const orderFillSources = getSortedOrderSources(MarketOperation.Sell, improvedOrders);
expect(orderFillSources).to.deep.eq([
[ERC20BridgeSource.Native],
[ERC20BridgeSource.Eth2Dai, ERC20BridgeSource.Uniswap],
[ERC20BridgeSource.Native],
]);
});
});
});
describe('createFillPaths', () => {
describe('createFills', () => {
const takerAssetAmount = new BigNumber(5000000);
const ethToOutputRate = new BigNumber(0.5);
// tslint:disable-next-line:no-object-literal-type-assertion
@ -1359,7 +1359,7 @@ describe('MarketOperationUtils tests', () => {
};
it('penalizes native fill based on target amount when target is smaller', () => {
const path = createFillPaths({
const path = createFills({
side: MarketOperation.Sell,
orders,
dexQuotes: [],
@ -1372,7 +1372,7 @@ describe('MarketOperationUtils tests', () => {
});
it('penalizes native fill based on available amount when target is larger', () => {
const path = createFillPaths({
const path = createFills({
side: MarketOperation.Sell,
orders,
dexQuotes: [],