feat: initial integration of new router (#295)
* feat: integrate Rust router with asset-swapper WIP * fix: produce outputFees in the format the Rust router expects * fix: correct output fee calc and only use the rust router for sells * fix: make sure numbers sent to the rust router are integers * hack: try to debug why rust router output is being overestimated WIP * refactor: clean up router debugging code * fix: don't use negative output fees for sells * feat: try VIP sources in isolation and compare with routing all sources * fix: adjust for FQT overhead when choosing between VIP, all sources WIP * fix: pass gasPrice to path_optimizer for EP overhead calculations * feat: buy support with the Rust Router WIP * chore: WIP commit trying to get buys working * refactor: use samples instead of fills for the Rust router * feat: add vip handling hack to sample based routing * fix: revert to 200 samplings for rust router when using pure samples * refactor: remove old hacky Path based Rust code, add back feature toggle * fix: scale both fill output and adjustedOutput my same factor as input * feat: initial plumbing for supporting RFQ/Limit orders * fix: incorrect bump of input amount by one base unit before routing * fix: add fake samples for rfq/limit orders to fulfill the 3 sample req * fix pass rfq orders in the correct format to the rust router * chore: remove debugging logs and clean up code & comments * fix: use published version of @0x/neon-router * hack: scale routed amounts to account for precision loss of number/f64 * refactor: clean up code and address initial review comments * fix: only remove trailing 0 output samples before passing to the router * refactor: consolidate eth to output token calc into ethToOutputAmount fn * fix: interpolate input between samples on output amount instead of price * fix: return no path when we have no samples, add sanity asserts * refactor: fix interpolation comment wording * fix: remove double adjusted source route input amount * chore: update changelog for asset-swapper
This commit is contained in:
Kim Persson
GitHub
parent
34314960ef
commit
d06daf2957
@ -1,4 +1,13 @@
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[
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{
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"version": "16.29.0",
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"changes": [
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{
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"note": "Initial integration of neon-router (behind feature flag)",
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"pr": 295
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}
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]
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},
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{
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"version": "16.28.0",
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"changes": [
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@ -67,6 +67,7 @@
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"@0x/dev-utils": "^4.2.9",
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"@0x/json-schemas": "^6.3.0",
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"@0x/protocol-utils": "^1.9.1",
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"@0x/neon-router": "^0.1.3",
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"@0x/quote-server": "^6.0.6",
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"@0x/types": "^3.3.4",
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"@0x/typescript-typings": "^5.2.1",
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@ -363,6 +363,7 @@ export class SwapQuoter {
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const cloneOpts = _.omit(opts, 'gasPrice') as GetMarketOrdersOpts;
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const calcOpts: GetMarketOrdersOpts = {
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...cloneOpts,
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gasPrice,
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feeSchedule: _.mapValues(opts.feeSchedule, gasCost => (fillData: FillData) =>
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gasCost === undefined ? 0 : gasPrice.times(gasCost(fillData)),
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),
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@ -256,7 +256,7 @@ export interface RfqRequestOpts {
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/**
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* gasPrice: gas price to determine protocolFee amount, default to ethGasStation fast amount
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*/
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export interface SwapQuoteRequestOpts extends GetMarketOrdersOpts {
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export interface SwapQuoteRequestOpts extends Omit<GetMarketOrdersOpts, 'gasPrice'> {
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gasPrice?: BigNumber;
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rfqt?: RfqRequestOpts;
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}
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@ -1637,6 +1637,23 @@ export const TRADER_JOE_ROUTER_BY_CHAIN_ID = valueByChainId<string>(
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NULL_ADDRESS,
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);
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export const VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID = valueByChainId<ERC20BridgeSource[]>(
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{
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[ChainId.Mainnet]: [ERC20BridgeSource.UniswapV2, ERC20BridgeSource.SushiSwap, ERC20BridgeSource.UniswapV3],
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[ChainId.BSC]: [
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ERC20BridgeSource.PancakeSwap,
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ERC20BridgeSource.PancakeSwapV2,
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ERC20BridgeSource.BakerySwap,
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ERC20BridgeSource.SushiSwap,
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ERC20BridgeSource.ApeSwap,
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ERC20BridgeSource.CafeSwap,
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ERC20BridgeSource.CheeseSwap,
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ERC20BridgeSource.JulSwap,
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],
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},
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[],
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);
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const uniswapV2CloneGasSchedule = (fillData?: FillData) => {
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// TODO: Different base cost if to/from ETH.
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let gas = 90e3;
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@ -1779,7 +1796,7 @@ export const POSITIVE_SLIPPAGE_FEE_TRANSFORMER_GAS = new BigNumber(20000);
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// tslint:enable:custom-no-magic-numbers
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export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
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export const DEFAULT_GET_MARKET_ORDERS_OPTS: Omit<GetMarketOrdersOpts, 'gasPrice'> = {
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// tslint:disable-next-line: custom-no-magic-numbers
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runLimit: 2 ** 15,
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excludedSources: [],
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@ -71,7 +71,25 @@ function hasLiquidity(fills: Fill[]): boolean {
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return true;
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}
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function nativeOrdersToFills(
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export function ethToOutputAmount({
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input,
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output,
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ethAmount,
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inputAmountPerEth,
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outputAmountPerEth,
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}: {
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input: BigNumber;
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output: BigNumber;
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inputAmountPerEth: BigNumber;
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outputAmountPerEth: BigNumber;
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ethAmount: BigNumber | number;
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}): BigNumber {
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return !outputAmountPerEth.isZero()
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? outputAmountPerEth.times(ethAmount)
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: inputAmountPerEth.times(ethAmount).times(output.dividedToIntegerBy(input));
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}
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export function nativeOrdersToFills(
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side: MarketOperation,
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orders: NativeOrderWithFillableAmounts[],
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targetInput: BigNumber = POSITIVE_INF,
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@ -89,9 +107,13 @@ function nativeOrdersToFills(
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const input = side === MarketOperation.Sell ? takerAmount : makerAmount;
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const output = side === MarketOperation.Sell ? makerAmount : takerAmount;
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const fee = fees[ERC20BridgeSource.Native] === undefined ? 0 : fees[ERC20BridgeSource.Native]!(o);
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const outputPenalty = !outputAmountPerEth.isZero()
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? outputAmountPerEth.times(fee)
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: inputAmountPerEth.times(fee).times(output.dividedToIntegerBy(input));
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const outputPenalty = ethToOutputAmount({
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input,
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output,
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inputAmountPerEth,
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outputAmountPerEth,
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ethAmount: fee,
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});
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// targetInput can be less than the order size
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// whilst the penalty is constant, it affects the adjusted output
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// only up until the target has been exhausted.
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@ -132,7 +154,7 @@ function nativeOrdersToFills(
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return fills;
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}
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function dexSamplesToFills(
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export function dexSamplesToFills(
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side: MarketOperation,
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samples: DexSample[],
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outputAmountPerEth: BigNumber,
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@ -156,9 +178,13 @@ function dexSamplesToFills(
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let penalty = ZERO_AMOUNT;
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if (i === 0) {
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// Only the first fill in a DEX path incurs a penalty.
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penalty = !outputAmountPerEth.isZero()
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? outputAmountPerEth.times(fee)
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: inputAmountPerEth.times(fee).times(output.dividedToIntegerBy(input));
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penalty = ethToOutputAmount({
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input,
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output,
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inputAmountPerEth,
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outputAmountPerEth,
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ethAmount: fee,
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});
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}
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const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
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@ -39,7 +39,7 @@ import { createFills } from './fills';
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import { getBestTwoHopQuote } from './multihop_utils';
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import { createOrdersFromTwoHopSample } from './orders';
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import { Path, PathPenaltyOpts } from './path';
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import { fillsToSortedPaths, findOptimalPathAsync } from './path_optimizer';
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import { fillsToSortedPaths, findOptimalPathJSAsync, findOptimalRustPathFromSamples } from './path_optimizer';
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import { DexOrderSampler, getSampleAmounts } from './sampler';
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import { SourceFilters } from './source_filters';
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import {
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@ -48,7 +48,6 @@ import {
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DexSample,
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ERC20BridgeSource,
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Fill,
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FillData,
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GenerateOptimizedOrdersOpts,
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GetMarketOrdersOpts,
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MarketSideLiquidity,
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@ -57,6 +56,8 @@ import {
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OrderDomain,
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} from './types';
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const SHOULD_USE_RUST_ROUTER = process.env.RUST_ROUTER === 'true';
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// tslint:disable:boolean-naming
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export class MarketOperationUtils {
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@ -326,12 +327,12 @@ export class MarketOperationUtils {
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public async getBatchMarketBuyOrdersAsync(
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batchNativeOrders: SignedNativeOrder[][],
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makerAmounts: BigNumber[],
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opts?: Partial<GetMarketOrdersOpts>,
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opts: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber },
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): Promise<Array<OptimizerResult | undefined>> {
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if (batchNativeOrders.length === 0) {
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throw new Error(AggregationError.EmptyOrders);
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}
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const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
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const _opts: GetMarketOrdersOpts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
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const requestFilters = new SourceFilters().exclude(_opts.excludedSources).include(_opts.includedSources);
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const quoteSourceFilters = this._buySources.merge(requestFilters);
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@ -409,6 +410,7 @@ export class MarketOperationUtils {
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excludedSources: _opts.excludedSources,
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feeSchedule: _opts.feeSchedule,
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allowFallback: _opts.allowFallback,
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gasPrice: _opts.gasPrice,
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},
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);
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return optimizerResult;
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@ -475,6 +477,7 @@ export class MarketOperationUtils {
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outputAmountPerEth,
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inputAmountPerEth,
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exchangeProxyOverhead: opts.exchangeProxyOverhead || (() => ZERO_AMOUNT),
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gasPrice: opts.gasPrice,
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};
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// NOTE: For sell quotes input is the taker asset and for buy quotes input is the maker asset
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@ -485,8 +488,22 @@ export class MarketOperationUtils {
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const _unoptimizedPath = fillsToSortedPaths(fills, side, inputAmount, penaltyOpts)[0];
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const unoptimizedPath = _unoptimizedPath ? _unoptimizedPath.collapse(orderOpts) : undefined;
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// Find the optimal path
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const optimalPath = await findOptimalPathAsync(side, fills, inputAmount, opts.runLimit, penaltyOpts);
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// Find the optimal path using Rust router if enabled, otherwise fallback to JS Router
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let optimalPath: Path | undefined;
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if (SHOULD_USE_RUST_ROUTER) {
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optimalPath = findOptimalRustPathFromSamples(
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side,
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dexQuotes,
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[...nativeOrders, ...augmentedRfqtIndicativeQuotes],
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inputAmount,
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penaltyOpts,
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opts.feeSchedule,
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this._sampler.chainId,
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);
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} else {
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optimalPath = await findOptimalPathJSAsync(side, fills, inputAmount, opts.runLimit, penaltyOpts);
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}
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const optimalPathRate = optimalPath ? optimalPath.adjustedRate() : ZERO_AMOUNT;
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const { adjustedRate: bestTwoHopRate, quote: bestTwoHopQuote } = getBestTwoHopQuote(
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@ -514,7 +531,7 @@ export class MarketOperationUtils {
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}
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// Generate a fallback path if required
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await this._addOptionalFallbackAsync(side, inputAmount, optimalPath, fills, opts, penaltyOpts);
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await this._addOptionalFallbackAsync(side, inputAmount, optimalPath, dexQuotes, fills, opts, penaltyOpts);
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const collapsedPath = optimalPath.collapse(orderOpts);
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return {
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@ -536,9 +553,9 @@ export class MarketOperationUtils {
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nativeOrders: SignedNativeOrder[],
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amount: BigNumber,
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side: MarketOperation,
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opts?: Partial<GetMarketOrdersOpts>,
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opts: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber },
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): Promise<OptimizerResultWithReport> {
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const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
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const _opts: GetMarketOrdersOpts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
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const optimizerOpts: GenerateOptimizedOrdersOpts = {
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bridgeSlippage: _opts.bridgeSlippage,
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maxFallbackSlippage: _opts.maxFallbackSlippage,
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@ -546,6 +563,7 @@ export class MarketOperationUtils {
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feeSchedule: _opts.feeSchedule,
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allowFallback: _opts.allowFallback,
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exchangeProxyOverhead: _opts.exchangeProxyOverhead,
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gasPrice: _opts.gasPrice,
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};
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if (nativeOrders.length === 0) {
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@ -711,7 +729,8 @@ export class MarketOperationUtils {
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side: MarketOperation,
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inputAmount: BigNumber,
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optimalPath: Path,
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fills: Array<Array<Fill<FillData>>>,
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dexQuotes: DexSample[][],
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fills: Fill[][],
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opts: GenerateOptimizedOrdersOpts,
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penaltyOpts: PathPenaltyOpts,
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): Promise<void> {
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@ -725,13 +744,37 @@ export class MarketOperationUtils {
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if (opts.allowFallback && fragileFills.length !== 0) {
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// We create a fallback path that is exclusive of Native liquidity
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// This is the optimal on-chain path for the entire input amount
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const sturdyFills = fills.filter(p => p.length > 0 && !fragileSources.includes(p[0].source));
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const sturdyOptimalPath = await findOptimalPathAsync(side, sturdyFills, inputAmount, opts.runLimit, {
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const sturdyPenaltyOpts = {
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...penaltyOpts,
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exchangeProxyOverhead: (sourceFlags: bigint) =>
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// tslint:disable-next-line: no-bitwise
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penaltyOpts.exchangeProxyOverhead(sourceFlags | optimalPath.sourceFlags),
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});
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};
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let sturdyOptimalPath: Path | undefined;
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if (SHOULD_USE_RUST_ROUTER) {
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const sturdySamples = dexQuotes.filter(
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samples => samples.length > 0 && !fragileSources.includes(samples[0].source),
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);
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sturdyOptimalPath = findOptimalRustPathFromSamples(
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side,
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sturdySamples,
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[],
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inputAmount,
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sturdyPenaltyOpts,
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opts.feeSchedule,
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this._sampler.chainId,
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);
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} else {
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const sturdyFills = fills.filter(p => p.length > 0 && !fragileSources.includes(p[0].source));
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sturdyOptimalPath = await findOptimalPathJSAsync(
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side,
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sturdyFills,
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inputAmount,
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opts.runLimit,
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sturdyPenaltyOpts,
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);
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}
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// Calculate the slippage of on-chain sources compared to the most optimal path
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// if within an acceptable threshold we enable a fallback to prevent reverts
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if (
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@ -3,6 +3,7 @@ import { BigNumber } from '@0x/utils';
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import { MarketOperation } from '../../types';
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import { POSITIVE_INF, ZERO_AMOUNT } from './constants';
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import { ethToOutputAmount } from './fills';
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import { createBridgeOrder, createNativeOptimizedOrder, CreateOrderFromPathOpts, getMakerTakerTokens } from './orders';
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import { getCompleteRate, getRate } from './rate_utils';
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import {
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@ -25,12 +26,14 @@ export interface PathPenaltyOpts {
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outputAmountPerEth: BigNumber;
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inputAmountPerEth: BigNumber;
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exchangeProxyOverhead: ExchangeProxyOverhead;
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gasPrice: BigNumber;
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}
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export const DEFAULT_PATH_PENALTY_OPTS: PathPenaltyOpts = {
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outputAmountPerEth: ZERO_AMOUNT,
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inputAmountPerEth: ZERO_AMOUNT,
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exchangeProxyOverhead: () => ZERO_AMOUNT,
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gasPrice: ZERO_AMOUNT,
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};
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export class Path {
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@ -143,9 +146,13 @@ export class Path {
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const { input, output } = this._adjustedSize;
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const { exchangeProxyOverhead, outputAmountPerEth, inputAmountPerEth } = this.pathPenaltyOpts;
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const gasOverhead = exchangeProxyOverhead(this.sourceFlags);
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const pathPenalty = !outputAmountPerEth.isZero()
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? outputAmountPerEth.times(gasOverhead)
|
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: inputAmountPerEth.times(gasOverhead).times(output.dividedToIntegerBy(input));
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const pathPenalty = ethToOutputAmount({
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input,
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output,
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inputAmountPerEth,
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outputAmountPerEth,
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ethAmount: gasOverhead,
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});
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return {
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input,
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output: this.side === MarketOperation.Sell ? output.minus(pathPenalty) : output.plus(pathPenalty),
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@ -1,20 +1,377 @@
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import { assert } from '@0x/assert';
|
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import { ChainId } from '@0x/contract-addresses';
|
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import { OptimizerCapture, route, SerializedPath } from '@0x/neon-router';
|
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import { BigNumber } from '@0x/utils';
|
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import * as _ from 'lodash';
|
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import { performance } from 'perf_hooks';
|
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|
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import { MarketOperation } from '../../types';
|
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import { DEFAULT_INFO_LOGGER } from '../../constants';
|
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import { MarketOperation, NativeOrderWithFillableAmounts } from '../../types';
|
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import { VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID } from '../market_operation_utils/constants';
|
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|
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import { dexSamplesToFills, ethToOutputAmount, nativeOrdersToFills } from './fills';
|
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import { DEFAULT_PATH_PENALTY_OPTS, Path, PathPenaltyOpts } from './path';
|
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import { ERC20BridgeSource, Fill } from './types';
|
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import { getRate } from './rate_utils';
|
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import { DexSample, ERC20BridgeSource, FeeSchedule, Fill, FillData } from './types';
|
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|
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// tslint:disable: prefer-for-of custom-no-magic-numbers completed-docs no-bitwise
|
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|
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const RUN_LIMIT_DECAY_FACTOR = 0.5;
|
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const RUST_ROUTER_NUM_SAMPLES = 200;
|
||||
const FILL_QUOTE_TRANSFORMER_GAS_OVERHEAD = new BigNumber(150e3);
|
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// NOTE: The Rust router will panic with less than 3 samples
|
||||
const MIN_NUM_SAMPLE_INPUTS = 3;
|
||||
|
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const isDexSample = (obj: DexSample | NativeOrderWithFillableAmounts): obj is DexSample => !!(obj as DexSample).source;
|
||||
|
||||
function nativeOrderToNormalizedAmounts(
|
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side: MarketOperation,
|
||||
nativeOrder: NativeOrderWithFillableAmounts,
|
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): { input: BigNumber; output: BigNumber } {
|
||||
const { fillableTakerAmount, fillableTakerFeeAmount, fillableMakerAmount } = nativeOrder;
|
||||
const makerAmount = fillableMakerAmount;
|
||||
const takerAmount = fillableTakerAmount.plus(fillableTakerFeeAmount);
|
||||
const input = side === MarketOperation.Sell ? takerAmount : makerAmount;
|
||||
const output = side === MarketOperation.Sell ? makerAmount : takerAmount;
|
||||
|
||||
return { input, output };
|
||||
}
|
||||
|
||||
function calculateOuputFee(
|
||||
side: MarketOperation,
|
||||
sampleOrNativeOrder: DexSample | NativeOrderWithFillableAmounts,
|
||||
outputAmountPerEth: BigNumber,
|
||||
inputAmountPerEth: BigNumber,
|
||||
fees: FeeSchedule,
|
||||
): BigNumber {
|
||||
if (isDexSample(sampleOrNativeOrder)) {
|
||||
const { input, output, source, fillData } = sampleOrNativeOrder;
|
||||
const fee = fees[source]?.(fillData) || 0;
|
||||
const outputFee = ethToOutputAmount({
|
||||
input,
|
||||
output,
|
||||
inputAmountPerEth,
|
||||
outputAmountPerEth,
|
||||
ethAmount: fee,
|
||||
});
|
||||
return outputFee;
|
||||
} else {
|
||||
const { input, output } = nativeOrderToNormalizedAmounts(side, sampleOrNativeOrder);
|
||||
const fee = fees[ERC20BridgeSource.Native]?.(sampleOrNativeOrder) || 0;
|
||||
const outputFee = ethToOutputAmount({
|
||||
input,
|
||||
output,
|
||||
inputAmountPerEth,
|
||||
outputAmountPerEth,
|
||||
ethAmount: fee,
|
||||
});
|
||||
return outputFee;
|
||||
}
|
||||
}
|
||||
|
||||
// Use linear interpolation to approximate the output
|
||||
// at a certain input somewhere between the two samples
|
||||
// See https://en.wikipedia.org/wiki/Linear_interpolation
|
||||
const interpolateOutputFromSamples = (
|
||||
left: { input: BigNumber; output: BigNumber },
|
||||
right: { input: BigNumber; output: BigNumber },
|
||||
targetInput: BigNumber,
|
||||
): BigNumber =>
|
||||
left.output.plus(
|
||||
right.output
|
||||
.minus(left.output)
|
||||
.dividedBy(right.input.minus(left.input))
|
||||
.times(targetInput.minus(left.input)),
|
||||
);
|
||||
|
||||
function findRoutesAndCreateOptimalPath(
|
||||
side: MarketOperation,
|
||||
samples: DexSample[][],
|
||||
nativeOrders: NativeOrderWithFillableAmounts[],
|
||||
input: BigNumber,
|
||||
opts: PathPenaltyOpts,
|
||||
fees: FeeSchedule,
|
||||
): Path | undefined {
|
||||
const createFill = (sample: DexSample) =>
|
||||
dexSamplesToFills(side, [sample], opts.outputAmountPerEth, opts.inputAmountPerEth, fees)[0];
|
||||
// Track sample id's to integers (required by rust router)
|
||||
const sampleIdLookup: { [key: string]: number } = {};
|
||||
let sampleIdCounter = 0;
|
||||
const sampleToId = (source: ERC20BridgeSource, index: number): number => {
|
||||
const key = `${source}-${index}`;
|
||||
if (sampleIdLookup[key]) {
|
||||
return sampleIdLookup[key];
|
||||
} else {
|
||||
sampleIdLookup[key] = ++sampleIdCounter;
|
||||
return sampleIdLookup[key];
|
||||
}
|
||||
};
|
||||
|
||||
const samplesAndNativeOrdersWithResults: Array<DexSample[] | NativeOrderWithFillableAmounts[]> = [];
|
||||
const serializedPaths: SerializedPath[] = [];
|
||||
for (const singleSourceSamples of samples) {
|
||||
if (singleSourceSamples.length === 0) {
|
||||
continue;
|
||||
}
|
||||
|
||||
const singleSourceSamplesWithOutput = [...singleSourceSamples];
|
||||
for (let i = singleSourceSamples.length - 1; i >= 0; i--) {
|
||||
if (singleSourceSamples[i].output.isZero()) {
|
||||
// Remove trailing 0 output samples
|
||||
singleSourceSamplesWithOutput.pop();
|
||||
} else {
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
if (singleSourceSamplesWithOutput.length < MIN_NUM_SAMPLE_INPUTS) {
|
||||
continue;
|
||||
}
|
||||
|
||||
// TODO(kimpers): Do we need to handle 0 entries, from eg Kyber?
|
||||
const serializedPath = singleSourceSamplesWithOutput.reduce<SerializedPath>(
|
||||
(memo, sample, sampleIdx) => {
|
||||
memo.ids.push(sampleToId(sample.source, sampleIdx));
|
||||
memo.inputs.push(sample.input.integerValue().toNumber());
|
||||
memo.outputs.push(sample.output.integerValue().toNumber());
|
||||
memo.outputFees.push(
|
||||
calculateOuputFee(side, sample, opts.outputAmountPerEth, opts.inputAmountPerEth, fees)
|
||||
.integerValue()
|
||||
.toNumber(),
|
||||
);
|
||||
|
||||
return memo;
|
||||
},
|
||||
{
|
||||
ids: [],
|
||||
inputs: [],
|
||||
outputs: [],
|
||||
outputFees: [],
|
||||
},
|
||||
);
|
||||
|
||||
samplesAndNativeOrdersWithResults.push(singleSourceSamplesWithOutput);
|
||||
serializedPaths.push(serializedPath);
|
||||
}
|
||||
|
||||
for (const [idx, nativeOrder] of nativeOrders.entries()) {
|
||||
const { input: normalizedOrderInput, output: normalizedOrderOutput } = nativeOrderToNormalizedAmounts(
|
||||
side,
|
||||
nativeOrder,
|
||||
);
|
||||
// NOTE: skip dummy order created in swap_quoter
|
||||
// TODO: remove dummy order and this logic once we don't need the JS router
|
||||
if (normalizedOrderInput.isLessThanOrEqualTo(0) || normalizedOrderOutput.isLessThanOrEqualTo(0)) {
|
||||
continue;
|
||||
}
|
||||
|
||||
// HACK: the router requires at minimum 3 samples as a basis for interpolation
|
||||
const inputs = [
|
||||
0,
|
||||
normalizedOrderInput
|
||||
.dividedBy(2)
|
||||
.integerValue()
|
||||
.toNumber(),
|
||||
normalizedOrderInput.integerValue().toNumber(),
|
||||
];
|
||||
const outputs = [
|
||||
0,
|
||||
normalizedOrderOutput
|
||||
.dividedBy(2)
|
||||
.integerValue()
|
||||
.toNumber(),
|
||||
normalizedOrderOutput.integerValue().toNumber(),
|
||||
];
|
||||
// NOTE: same fee no matter if full or partial fill
|
||||
const fee = calculateOuputFee(side, nativeOrder, opts.outputAmountPerEth, opts.inputAmountPerEth, fees)
|
||||
.integerValue()
|
||||
.toNumber();
|
||||
const outputFees = [fee, fee, fee];
|
||||
// NOTE: ids can be the same for all fake samples
|
||||
const id = sampleToId(ERC20BridgeSource.Native, idx);
|
||||
const ids = [id, id, id];
|
||||
|
||||
const serializedPath: SerializedPath = {
|
||||
ids,
|
||||
inputs,
|
||||
outputs,
|
||||
outputFees,
|
||||
};
|
||||
|
||||
samplesAndNativeOrdersWithResults.push([nativeOrder]);
|
||||
serializedPaths.push(serializedPath);
|
||||
}
|
||||
|
||||
if (serializedPaths.length === 0) {
|
||||
return undefined;
|
||||
}
|
||||
|
||||
const rustArgs: OptimizerCapture = {
|
||||
side,
|
||||
targetInput: input.toNumber(),
|
||||
pathsIn: serializedPaths,
|
||||
};
|
||||
|
||||
const before = performance.now();
|
||||
const allSourcesRustRoute = route(rustArgs, RUST_ROUTER_NUM_SAMPLES);
|
||||
DEFAULT_INFO_LOGGER(
|
||||
{ router: 'neon-router', performanceMs: performance.now() - before, type: 'real' },
|
||||
'Rust router real routing performance',
|
||||
);
|
||||
|
||||
assert.assert(
|
||||
rustArgs.pathsIn.length === allSourcesRustRoute.length,
|
||||
'different number of sources in the Router output than the input',
|
||||
);
|
||||
|
||||
const routesAndSamples = _.zip(allSourcesRustRoute, samplesAndNativeOrdersWithResults);
|
||||
|
||||
const adjustedFills: Fill[] = [];
|
||||
const totalRoutedAmount = BigNumber.sum(...allSourcesRustRoute);
|
||||
|
||||
const scale = input.dividedBy(totalRoutedAmount);
|
||||
for (const [routeInput, routeSamplesAndNativeOrders] of routesAndSamples) {
|
||||
if (!routeInput || !routeSamplesAndNativeOrders) {
|
||||
continue;
|
||||
}
|
||||
// TODO(kimpers): [TKR-241] amounts are sometimes clipped in the router due to precisions loss for number/f64
|
||||
// we can work around it by scaling it and rounding up. However now we end up with a total amount of a couple base units too much
|
||||
const rustInputAdjusted = BigNumber.min(
|
||||
new BigNumber(routeInput).multipliedBy(scale).integerValue(BigNumber.ROUND_CEIL),
|
||||
input,
|
||||
);
|
||||
|
||||
const current = routeSamplesAndNativeOrders[routeSamplesAndNativeOrders.length - 1];
|
||||
if (!isDexSample(current)) {
|
||||
const nativeFill = nativeOrdersToFills(
|
||||
side,
|
||||
[current],
|
||||
rustInputAdjusted,
|
||||
opts.outputAmountPerEth,
|
||||
opts.inputAmountPerEth,
|
||||
fees,
|
||||
)[0];
|
||||
// NOTE: For Limit/RFQ orders we are done here. No need to scale output
|
||||
adjustedFills.push(nativeFill);
|
||||
continue;
|
||||
}
|
||||
|
||||
// NOTE: For DexSamples only
|
||||
let fill = createFill(current);
|
||||
const routeSamples = routeSamplesAndNativeOrders as Array<DexSample<FillData>>;
|
||||
// Descend to approach a closer fill for fillData which may not be consistent
|
||||
// throughout the path (UniswapV3) and for a closer guesstimate at
|
||||
// gas used
|
||||
|
||||
assert.assert(routeSamples.length >= 1, 'Found no sample to use for source');
|
||||
for (let k = routeSamples.length - 1; k >= 0; k--) {
|
||||
if (k === 0) {
|
||||
fill = createFill(routeSamples[0]);
|
||||
}
|
||||
if (rustInputAdjusted.isGreaterThan(routeSamples[k].input)) {
|
||||
// Between here and the previous fill
|
||||
// HACK: Use the midpoint between the two
|
||||
const left = routeSamples[k];
|
||||
const right = routeSamples[k + 1];
|
||||
if (left && right) {
|
||||
// Approximate how much output we get for the input with the surrounding samples
|
||||
const interpolatedOutput = interpolateOutputFromSamples(
|
||||
left,
|
||||
right,
|
||||
rustInputAdjusted,
|
||||
).decimalPlaces(0, side === MarketOperation.Sell ? BigNumber.ROUND_FLOOR : BigNumber.ROUND_CEIL);
|
||||
|
||||
fill = createFill({
|
||||
...right, // default to the greater (for gas used)
|
||||
input: rustInputAdjusted,
|
||||
output: interpolatedOutput,
|
||||
});
|
||||
} else {
|
||||
assert.assert(Boolean(left || right), 'No valid sample to use');
|
||||
fill = createFill(left || right);
|
||||
}
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
const scaleOutput = (output: BigNumber) =>
|
||||
output
|
||||
.dividedBy(fill.input)
|
||||
.times(rustInputAdjusted)
|
||||
.decimalPlaces(0, side === MarketOperation.Sell ? BigNumber.ROUND_FLOOR : BigNumber.ROUND_CEIL);
|
||||
adjustedFills.push({
|
||||
...fill,
|
||||
input: rustInputAdjusted,
|
||||
output: scaleOutput(fill.output),
|
||||
adjustedOutput: scaleOutput(fill.adjustedOutput),
|
||||
index: 0,
|
||||
parent: undefined,
|
||||
});
|
||||
}
|
||||
|
||||
const pathFromRustInputs = Path.create(side, adjustedFills, input);
|
||||
|
||||
return pathFromRustInputs;
|
||||
}
|
||||
|
||||
export function findOptimalRustPathFromSamples(
|
||||
side: MarketOperation,
|
||||
samples: DexSample[][],
|
||||
nativeOrders: NativeOrderWithFillableAmounts[],
|
||||
input: BigNumber,
|
||||
opts: PathPenaltyOpts,
|
||||
fees: FeeSchedule,
|
||||
chainId: ChainId,
|
||||
): Path | undefined {
|
||||
const before = performance.now();
|
||||
const logPerformance = () =>
|
||||
DEFAULT_INFO_LOGGER(
|
||||
{ router: 'neon-router', performanceMs: performance.now() - before, type: 'total' },
|
||||
'Rust router total routing performance',
|
||||
);
|
||||
|
||||
const allSourcesPath = findRoutesAndCreateOptimalPath(side, samples, nativeOrders, input, opts, fees);
|
||||
if (!allSourcesPath) {
|
||||
return undefined;
|
||||
}
|
||||
|
||||
const vipSources = VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID[chainId];
|
||||
|
||||
// HACK(kimpers): The Rust router currently doesn't account for VIP sources correctly
|
||||
// we need to try to route them in isolation and compare with the results all sources
|
||||
if (vipSources.length > 0) {
|
||||
const vipSourcesSet = new Set(vipSources);
|
||||
const vipSourcesSamples = samples.filter(s => s[0] && vipSourcesSet.has(s[0].source));
|
||||
|
||||
if (vipSourcesSamples.length > 0) {
|
||||
const vipSourcesPath = findRoutesAndCreateOptimalPath(side, vipSourcesSamples, [], input, opts, fees);
|
||||
|
||||
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)) {
|
||||
logPerformance();
|
||||
return vipSourcesPath;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
logPerformance();
|
||||
return allSourcesPath;
|
||||
}
|
||||
|
||||
/**
|
||||
* Find the optimal mixture of fills that maximizes (for sells) or minimizes
|
||||
* (for buys) output, while meeting the input requirement.
|
||||
*/
|
||||
export async function findOptimalPathAsync(
|
||||
export async function findOptimalPathJSAsync(
|
||||
side: MarketOperation,
|
||||
fills: Fill[][],
|
||||
targetInput: BigNumber,
|
||||
|
||||
@ -455,6 +455,11 @@ export interface GetMarketOrdersOpts {
|
||||
* hopping to. E.g DAI->USDC via an adjacent token WETH
|
||||
*/
|
||||
tokenAdjacencyGraph: TokenAdjacencyGraph;
|
||||
|
||||
/**
|
||||
* Gas price to use for quote
|
||||
*/
|
||||
gasPrice: BigNumber;
|
||||
}
|
||||
|
||||
/**
|
||||
@ -534,10 +539,11 @@ export interface GenerateOptimizedOrdersOpts {
|
||||
bridgeSlippage?: number;
|
||||
maxFallbackSlippage?: number;
|
||||
excludedSources?: ERC20BridgeSource[];
|
||||
feeSchedule?: FeeSchedule;
|
||||
feeSchedule: FeeSchedule;
|
||||
exchangeProxyOverhead?: ExchangeProxyOverhead;
|
||||
allowFallback?: boolean;
|
||||
shouldBatchBridgeOrders?: boolean;
|
||||
gasPrice: BigNumber;
|
||||
}
|
||||
|
||||
export interface ComparisonPrice {
|
||||
|
||||
@ -79,7 +79,7 @@ async function getMarketSellOrdersAsync(
|
||||
utils: MarketOperationUtils,
|
||||
nativeOrders: SignedNativeOrder[],
|
||||
takerAmount: BigNumber,
|
||||
opts?: Partial<GetMarketOrdersOpts>,
|
||||
opts: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber },
|
||||
): Promise<OptimizerResultWithReport> {
|
||||
return utils.getOptimizerResultAsync(nativeOrders, takerAmount, MarketOperation.Sell, opts);
|
||||
}
|
||||
@ -96,7 +96,7 @@ async function getMarketBuyOrdersAsync(
|
||||
utils: MarketOperationUtils,
|
||||
nativeOrders: SignedNativeOrder[],
|
||||
makerAmount: BigNumber,
|
||||
opts?: Partial<GetMarketOrdersOpts>,
|
||||
opts: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber },
|
||||
): Promise<OptimizerResultWithReport> {
|
||||
return utils.getOptimizerResultAsync(nativeOrders, makerAmount, MarketOperation.Buy, opts);
|
||||
}
|
||||
@ -459,7 +459,7 @@ describe('MarketOperationUtils tests', () => {
|
||||
FILL_AMOUNT,
|
||||
_.times(NUM_SAMPLES, i => DEFAULT_RATES[ERC20BridgeSource.Native][i]),
|
||||
);
|
||||
const DEFAULT_OPTS: Partial<GetMarketOrdersOpts> = {
|
||||
const DEFAULT_OPTS: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber } = {
|
||||
numSamples: NUM_SAMPLES,
|
||||
sampleDistributionBase: 1,
|
||||
bridgeSlippage: 0,
|
||||
@ -468,6 +468,7 @@ describe('MarketOperationUtils tests', () => {
|
||||
allowFallback: false,
|
||||
gasSchedule: {},
|
||||
feeSchedule: {},
|
||||
gasPrice: new BigNumber(30e9),
|
||||
};
|
||||
|
||||
beforeEach(() => {
|
||||
@ -1229,6 +1230,7 @@ describe('MarketOperationUtils tests', () => {
|
||||
excludedSources: [],
|
||||
numSamples: 4,
|
||||
bridgeSlippage: 0,
|
||||
gasPrice: new BigNumber(30e9),
|
||||
},
|
||||
);
|
||||
const result = ordersAndReport.optimizedOrders;
|
||||
@ -1298,7 +1300,8 @@ describe('MarketOperationUtils tests', () => {
|
||||
FILL_AMOUNT,
|
||||
_.times(NUM_SAMPLES, () => DEFAULT_RATES[ERC20BridgeSource.Native][0]),
|
||||
);
|
||||
const DEFAULT_OPTS: Partial<GetMarketOrdersOpts> = {
|
||||
const GAS_PRICE = new BigNumber(100e9); // 100 gwei
|
||||
const DEFAULT_OPTS: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber } = {
|
||||
numSamples: NUM_SAMPLES,
|
||||
sampleDistributionBase: 1,
|
||||
bridgeSlippage: 0,
|
||||
@ -1307,6 +1310,7 @@ describe('MarketOperationUtils tests', () => {
|
||||
allowFallback: false,
|
||||
gasSchedule: {},
|
||||
feeSchedule: {},
|
||||
gasPrice: GAS_PRICE,
|
||||
};
|
||||
|
||||
beforeEach(() => {
|
||||
@ -1626,11 +1630,10 @@ describe('MarketOperationUtils tests', () => {
|
||||
getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
|
||||
});
|
||||
const optimizer = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
|
||||
const gasPrice = 100e9; // 100 gwei
|
||||
const exchangeProxyOverhead = (sourceFlags: bigint) =>
|
||||
sourceFlags === SOURCE_FLAGS.LiquidityProvider
|
||||
? constants.ZERO_AMOUNT
|
||||
: new BigNumber(1.3e5).times(gasPrice);
|
||||
: new BigNumber(1.3e5).times(GAS_PRICE);
|
||||
const improvedOrdersResponse = await optimizer.getOptimizerResultAsync(
|
||||
createOrdersFromSellRates(FILL_AMOUNT, rates[ERC20BridgeSource.Native]),
|
||||
FILL_AMOUNT,
|
||||
|
||||
22
yarn.lock
22
yarn.lock
@ -959,6 +959,13 @@
|
||||
typedoc "~0.16.11"
|
||||
yargs "^10.0.3"
|
||||
|
||||
"@0x/neon-router@^0.1.3":
|
||||
version "0.1.3"
|
||||
resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.1.3.tgz#70da4c17ca4b59dfe8b5e539673e364a70e62ebd"
|
||||
integrity sha512-EfdrG829NalYjAK5/nMTD6YyJQgUzgssL2Hvyphu1ugWxWlZ3QMM9qpZsKt82hUiyZT/64I4JJ3hkerMhTaHeg==
|
||||
dependencies:
|
||||
"@mapbox/node-pre-gyp" "^1.0.5"
|
||||
|
||||
"@0x/order-utils@^10.2.4", "@0x/order-utils@^10.4.28":
|
||||
version "10.4.28"
|
||||
resolved "https://registry.yarnpkg.com/@0x/order-utils/-/order-utils-10.4.28.tgz#c7b2f7d87a7f9834f9aa6186fbac68f32a05a81d"
|
||||
@ -2473,6 +2480,21 @@
|
||||
semver "^7.3.4"
|
||||
tar "^6.1.0"
|
||||
|
||||
"@mapbox/node-pre-gyp@^1.0.5":
|
||||
version "1.0.5"
|
||||
resolved "https://registry.yarnpkg.com/@mapbox/node-pre-gyp/-/node-pre-gyp-1.0.5.tgz#2a0b32fcb416fb3f2250fd24cb2a81421a4f5950"
|
||||
integrity sha512-4srsKPXWlIxp5Vbqz5uLfBN+du2fJChBoYn/f2h991WLdk7jUvcSk/McVLSv/X+xQIPI8eGD5GjrnygdyHnhPA==
|
||||
dependencies:
|
||||
detect-libc "^1.0.3"
|
||||
https-proxy-agent "^5.0.0"
|
||||
make-dir "^3.1.0"
|
||||
node-fetch "^2.6.1"
|
||||
nopt "^5.0.0"
|
||||
npmlog "^4.1.2"
|
||||
rimraf "^3.0.2"
|
||||
semver "^7.3.4"
|
||||
tar "^6.1.0"
|
||||
|
||||
"@mrmlnc/readdir-enhanced@^2.2.1":
|
||||
version "2.2.1"
|
||||
resolved "https://registry.yarnpkg.com/@mrmlnc/readdir-enhanced/-/readdir-enhanced-2.2.1.tgz#524af240d1a360527b730475ecfa1344aa540dde"
|
||||
|
||||
Loading…
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Reference in New Issue
Block a user