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

packages/asset-swapper/CHANGELOG.json

@@ -1,4 +1,13 @@
 [
+    {
+        "version": "16.29.0",
+        "changes": [
+            {
+                "note": "Initial integration of neon-router (behind feature flag)",
+                "pr": 295
+            }
+        ]
+    },
     {
         "version": "16.28.0",
         "changes": [

packages/asset-swapper/package.json

@@ -67,6 +67,7 @@
         "@0x/dev-utils": "^4.2.9",
         "@0x/json-schemas": "^6.3.0",
         "@0x/protocol-utils": "^1.9.1",
+        "@0x/neon-router": "^0.1.3",
         "@0x/quote-server": "^6.0.6",
         "@0x/types": "^3.3.4",
         "@0x/typescript-typings": "^5.2.1",

packages/asset-swapper/src/swap_quoter.ts

@@ -363,6 +363,7 @@ export class SwapQuoter {
         const cloneOpts = _.omit(opts, 'gasPrice') as GetMarketOrdersOpts;
         const calcOpts: GetMarketOrdersOpts = {
             ...cloneOpts,
+            gasPrice,
             feeSchedule: _.mapValues(opts.feeSchedule, gasCost => (fillData: FillData) =>
                 gasCost === undefined ? 0 : gasPrice.times(gasCost(fillData)),
             ),

packages/asset-swapper/src/types.ts

@@ -256,7 +256,7 @@ export interface RfqRequestOpts {
 /**
  * gasPrice: gas price to determine protocolFee amount, default to ethGasStation fast amount
  */
-export interface SwapQuoteRequestOpts extends GetMarketOrdersOpts {
+export interface SwapQuoteRequestOpts extends Omit<GetMarketOrdersOpts, 'gasPrice'> {
     gasPrice?: BigNumber;
     rfqt?: RfqRequestOpts;
 }

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

@@ -1637,6 +1637,23 @@ export const TRADER_JOE_ROUTER_BY_CHAIN_ID = valueByChainId<string>(
     NULL_ADDRESS,
 );
 
+export const VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID = valueByChainId<ERC20BridgeSource[]>(
+    {
+        [ChainId.Mainnet]: [ERC20BridgeSource.UniswapV2, ERC20BridgeSource.SushiSwap, ERC20BridgeSource.UniswapV3],
+        [ChainId.BSC]: [
+            ERC20BridgeSource.PancakeSwap,
+            ERC20BridgeSource.PancakeSwapV2,
+            ERC20BridgeSource.BakerySwap,
+            ERC20BridgeSource.SushiSwap,
+            ERC20BridgeSource.ApeSwap,
+            ERC20BridgeSource.CafeSwap,
+            ERC20BridgeSource.CheeseSwap,
+            ERC20BridgeSource.JulSwap,
+        ],
+    },
+    [],
+);
+
 const uniswapV2CloneGasSchedule = (fillData?: FillData) => {
     // TODO: Different base cost if to/from ETH.
     let gas = 90e3;
@@ -1779,7 +1796,7 @@ export const POSITIVE_SLIPPAGE_FEE_TRANSFORMER_GAS = new BigNumber(20000);
 
 // tslint:enable:custom-no-magic-numbers
 
-export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
+export const DEFAULT_GET_MARKET_ORDERS_OPTS: Omit<GetMarketOrdersOpts, 'gasPrice'> = {
     // tslint:disable-next-line: custom-no-magic-numbers
     runLimit: 2 ** 15,
     excludedSources: [],

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

@@ -71,7 +71,25 @@ function hasLiquidity(fills: Fill[]): boolean {
     return true;
 }
 
-function nativeOrdersToFills(
+export function ethToOutputAmount({
+    input,
+    output,
+    ethAmount,
+    inputAmountPerEth,
+    outputAmountPerEth,
+}: {
+    input: BigNumber;
+    output: BigNumber;
+    inputAmountPerEth: BigNumber;
+    outputAmountPerEth: BigNumber;
+    ethAmount: BigNumber | number;
+}): BigNumber {
+    return !outputAmountPerEth.isZero()
+        ? outputAmountPerEth.times(ethAmount)
+        : inputAmountPerEth.times(ethAmount).times(output.dividedToIntegerBy(input));
+}
+
+export function nativeOrdersToFills(
     side: MarketOperation,
     orders: NativeOrderWithFillableAmounts[],
     targetInput: BigNumber = POSITIVE_INF,
@@ -89,9 +107,13 @@ function nativeOrdersToFills(
         const input = side === MarketOperation.Sell ? takerAmount : makerAmount;
         const output = side === MarketOperation.Sell ? makerAmount : takerAmount;
         const fee = fees[ERC20BridgeSource.Native] === undefined ? 0 : fees[ERC20BridgeSource.Native]!(o);
-        const outputPenalty = !outputAmountPerEth.isZero()
+        const outputPenalty = ethToOutputAmount({
-            ? outputAmountPerEth.times(fee)
+            input,
-            : inputAmountPerEth.times(fee).times(output.dividedToIntegerBy(input));
+            output,
+            inputAmountPerEth,
+            outputAmountPerEth,
+            ethAmount: fee,
+        });
         // targetInput can be less than the order size
         // whilst the penalty is constant, it affects the adjusted output
         // only up until the target has been exhausted.
@@ -132,7 +154,7 @@ function nativeOrdersToFills(
     return fills;
 }
 
-function dexSamplesToFills(
+export function dexSamplesToFills(
     side: MarketOperation,
     samples: DexSample[],
     outputAmountPerEth: BigNumber,
@@ -156,9 +178,13 @@ function dexSamplesToFills(
         let penalty = ZERO_AMOUNT;
         if (i === 0) {
             // Only the first fill in a DEX path incurs a penalty.
-            penalty = !outputAmountPerEth.isZero()
+            penalty = ethToOutputAmount({
-                ? outputAmountPerEth.times(fee)
+                input,
-                : inputAmountPerEth.times(fee).times(output.dividedToIntegerBy(input));
+                output,
+                inputAmountPerEth,
+                outputAmountPerEth,
+                ethAmount: fee,
+            });
         }
         const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
 

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

@@ -39,7 +39,7 @@ import { createFills } from './fills';
 import { getBestTwoHopQuote } from './multihop_utils';
 import { createOrdersFromTwoHopSample } from './orders';
 import { Path, PathPenaltyOpts } from './path';
-import { fillsToSortedPaths, findOptimalPathAsync } from './path_optimizer';
+import { fillsToSortedPaths, findOptimalPathJSAsync, findOptimalRustPathFromSamples } from './path_optimizer';
 import { DexOrderSampler, getSampleAmounts } from './sampler';
 import { SourceFilters } from './source_filters';
 import {
@@ -48,7 +48,6 @@ import {
     DexSample,
     ERC20BridgeSource,
     Fill,
-    FillData,
     GenerateOptimizedOrdersOpts,
     GetMarketOrdersOpts,
     MarketSideLiquidity,
@@ -57,6 +56,8 @@ import {
     OrderDomain,
 } from './types';
 
+const SHOULD_USE_RUST_ROUTER = process.env.RUST_ROUTER === 'true';
+
 // tslint:disable:boolean-naming
 
 export class MarketOperationUtils {
@@ -326,12 +327,12 @@ export class MarketOperationUtils {
     public async getBatchMarketBuyOrdersAsync(
         batchNativeOrders: SignedNativeOrder[][],
         makerAmounts: BigNumber[],
-        opts?: Partial<GetMarketOrdersOpts>,
+        opts: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber },
     ): Promise<Array<OptimizerResult | undefined>> {
         if (batchNativeOrders.length === 0) {
             throw new Error(AggregationError.EmptyOrders);
         }
-        const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
+        const _opts: GetMarketOrdersOpts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
 
         const requestFilters = new SourceFilters().exclude(_opts.excludedSources).include(_opts.includedSources);
         const quoteSourceFilters = this._buySources.merge(requestFilters);
@@ -409,6 +410,7 @@ export class MarketOperationUtils {
                             excludedSources: _opts.excludedSources,
                             feeSchedule: _opts.feeSchedule,
                             allowFallback: _opts.allowFallback,
+                            gasPrice: _opts.gasPrice,
                         },
                     );
                     return optimizerResult;
@@ -475,6 +477,7 @@ export class MarketOperationUtils {
             outputAmountPerEth,
             inputAmountPerEth,
             exchangeProxyOverhead: opts.exchangeProxyOverhead || (() => ZERO_AMOUNT),
+            gasPrice: opts.gasPrice,
         };
 
         // NOTE: For sell quotes input is the taker asset and for buy quotes input is the maker asset
@@ -485,8 +488,22 @@ export class MarketOperationUtils {
         const _unoptimizedPath = fillsToSortedPaths(fills, side, inputAmount, penaltyOpts)[0];
         const unoptimizedPath = _unoptimizedPath ? _unoptimizedPath.collapse(orderOpts) : undefined;
 
-        // Find the optimal path
+        // Find the optimal path using Rust router if enabled, otherwise fallback to JS Router
-        const optimalPath = await findOptimalPathAsync(side, fills, inputAmount, opts.runLimit, penaltyOpts);
+        let optimalPath: Path | undefined;
+        if (SHOULD_USE_RUST_ROUTER) {
+            optimalPath = findOptimalRustPathFromSamples(
+                side,
+                dexQuotes,
+                [...nativeOrders, ...augmentedRfqtIndicativeQuotes],
+                inputAmount,
+                penaltyOpts,
+                opts.feeSchedule,
+                this._sampler.chainId,
+            );
+        } else {
+            optimalPath = await findOptimalPathJSAsync(side, fills, inputAmount, opts.runLimit, penaltyOpts);
+        }
+
         const optimalPathRate = optimalPath ? optimalPath.adjustedRate() : ZERO_AMOUNT;
 
         const { adjustedRate: bestTwoHopRate, quote: bestTwoHopQuote } = getBestTwoHopQuote(
@@ -514,7 +531,7 @@ export class MarketOperationUtils {
         }
 
         // Generate a fallback path if required
-        await this._addOptionalFallbackAsync(side, inputAmount, optimalPath, fills, opts, penaltyOpts);
+        await this._addOptionalFallbackAsync(side, inputAmount, optimalPath, dexQuotes, fills, opts, penaltyOpts);
         const collapsedPath = optimalPath.collapse(orderOpts);
 
         return {
@@ -536,9 +553,9 @@ export class MarketOperationUtils {
         nativeOrders: SignedNativeOrder[],
         amount: BigNumber,
         side: MarketOperation,
-        opts?: Partial<GetMarketOrdersOpts>,
+        opts: Partial<GetMarketOrdersOpts> & { gasPrice: BigNumber },
     ): Promise<OptimizerResultWithReport> {
-        const _opts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
+        const _opts: GetMarketOrdersOpts = { ...DEFAULT_GET_MARKET_ORDERS_OPTS, ...opts };
         const optimizerOpts: GenerateOptimizedOrdersOpts = {
             bridgeSlippage: _opts.bridgeSlippage,
             maxFallbackSlippage: _opts.maxFallbackSlippage,
@@ -546,6 +563,7 @@ export class MarketOperationUtils {
             feeSchedule: _opts.feeSchedule,
             allowFallback: _opts.allowFallback,
             exchangeProxyOverhead: _opts.exchangeProxyOverhead,
+            gasPrice: _opts.gasPrice,
         };
 
         if (nativeOrders.length === 0) {
@@ -711,7 +729,8 @@ export class MarketOperationUtils {
         side: MarketOperation,
         inputAmount: BigNumber,
         optimalPath: Path,
-        fills: Array<Array<Fill<FillData>>>,
+        dexQuotes: DexSample[][],
+        fills: Fill[][],
         opts: GenerateOptimizedOrdersOpts,
         penaltyOpts: PathPenaltyOpts,
     ): Promise<void> {
@@ -725,13 +744,37 @@ export class MarketOperationUtils {
         if (opts.allowFallback && fragileFills.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 sturdyFills = fills.filter(p => p.length > 0 && !fragileSources.includes(p[0].source));
+            const sturdyPenaltyOpts = {
-            const sturdyOptimalPath = await findOptimalPathAsync(side, sturdyFills, inputAmount, opts.runLimit, {
                 ...penaltyOpts,
                 exchangeProxyOverhead: (sourceFlags: bigint) =>
                     // tslint:disable-next-line: no-bitwise
                     penaltyOpts.exchangeProxyOverhead(sourceFlags | optimalPath.sourceFlags),
-            });
+            };
+
+            let sturdyOptimalPath: Path | undefined;
+            if (SHOULD_USE_RUST_ROUTER) {
+                const sturdySamples = dexQuotes.filter(
+                    samples => samples.length > 0 && !fragileSources.includes(samples[0].source),
+                );
+                sturdyOptimalPath = findOptimalRustPathFromSamples(
+                    side,
+                    sturdySamples,
+                    [],
+                    inputAmount,
+                    sturdyPenaltyOpts,
+                    opts.feeSchedule,
+                    this._sampler.chainId,
+                );
+            } else {
+                const sturdyFills = fills.filter(p => p.length > 0 && !fragileSources.includes(p[0].source));
+                sturdyOptimalPath = await findOptimalPathJSAsync(
+                    side,
+                    sturdyFills,
+                    inputAmount,
+                    opts.runLimit,
+                    sturdyPenaltyOpts,
+                );
+            }
             // Calculate the slippage of on-chain sources compared to the most optimal path
             // if within an acceptable threshold we enable a fallback to prevent reverts
             if (

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

@@ -3,6 +3,7 @@ import { BigNumber } from '@0x/utils';
 import { MarketOperation } from '../../types';
 
 import { POSITIVE_INF, ZERO_AMOUNT } from './constants';
+import { ethToOutputAmount } from './fills';
 import { createBridgeOrder, createNativeOptimizedOrder, CreateOrderFromPathOpts, getMakerTakerTokens } from './orders';
 import { getCompleteRate, getRate } from './rate_utils';
 import {
@@ -25,12 +26,14 @@ export interface PathPenaltyOpts {
     outputAmountPerEth: BigNumber;
     inputAmountPerEth: BigNumber;
     exchangeProxyOverhead: ExchangeProxyOverhead;
+    gasPrice: BigNumber;
 }
 
 export const DEFAULT_PATH_PENALTY_OPTS: PathPenaltyOpts = {
     outputAmountPerEth: ZERO_AMOUNT,
     inputAmountPerEth: ZERO_AMOUNT,
     exchangeProxyOverhead: () => ZERO_AMOUNT,
+    gasPrice: ZERO_AMOUNT,
 };
 
 export class Path {
@@ -143,9 +146,13 @@ export class Path {
         const { input, output } = this._adjustedSize;
         const { exchangeProxyOverhead, outputAmountPerEth, inputAmountPerEth } = this.pathPenaltyOpts;
         const gasOverhead = exchangeProxyOverhead(this.sourceFlags);
-        const pathPenalty = !outputAmountPerEth.isZero()
+        const pathPenalty = ethToOutputAmount({
-            ? outputAmountPerEth.times(gasOverhead)
+            input,
-            : inputAmountPerEth.times(gasOverhead).times(output.dividedToIntegerBy(input));
+            output,
+            inputAmountPerEth,
+            outputAmountPerEth,
+            ethAmount: gasOverhead,
+        });
         return {
             input,
             output: this.side === MarketOperation.Sell ? output.minus(pathPenalty) : output.plus(pathPenalty),

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

@@ -1,20 +1,377 @@
+import { assert } from '@0x/assert';
+import { ChainId } from '@0x/contract-addresses';
+import { OptimizerCapture, route, SerializedPath } from '@0x/neon-router';
 import { BigNumber } from '@0x/utils';
 import * as _ from 'lodash';
+import { performance } from 'perf_hooks';
 
-import { MarketOperation } from '../../types';
+import { DEFAULT_INFO_LOGGER } from '../../constants';
+import { MarketOperation, NativeOrderWithFillableAmounts } from '../../types';
+import { VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID } from '../market_operation_utils/constants';
 
+import { dexSamplesToFills, ethToOutputAmount, nativeOrdersToFills } from './fills';
 import { DEFAULT_PATH_PENALTY_OPTS, Path, PathPenaltyOpts } from './path';
-import { ERC20BridgeSource, Fill } from './types';
+import { getRate } from './rate_utils';
+import { DexSample, ERC20BridgeSource, FeeSchedule, Fill, FillData } from './types';
 
 // tslint:disable: prefer-for-of custom-no-magic-numbers completed-docs no-bitwise
 
 const RUN_LIMIT_DECAY_FACTOR = 0.5;
+const RUST_ROUTER_NUM_SAMPLES = 200;
+const FILL_QUOTE_TRANSFORMER_GAS_OVERHEAD = new BigNumber(150e3);
+// NOTE: The Rust router will panic with less than 3 samples
+const MIN_NUM_SAMPLE_INPUTS = 3;
+
+const isDexSample = (obj: DexSample | NativeOrderWithFillableAmounts): obj is DexSample => !!(obj as DexSample).source;
+
+function nativeOrderToNormalizedAmounts(
+    side: MarketOperation,
+    nativeOrder: NativeOrderWithFillableAmounts,
+): { 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,

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

@@ -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 {

packages/asset-swapper/test/market_operation_utils_test.ts

@@ -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,

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"