feat: asset-swapper use ethToInputRate when ethToOutputRate is unavailable (#2660)

packages/asset-swapper/CHANGELOG.json

@@ -41,6 +41,10 @@
             {
                 "note": "Fix depth buy scale",
                 "pr": 2659
+            },
+            {
+                "note": "Adjust fill by ethToInputRate when ethToOutputRate is 0",
+                "pr": 2660
             }
         ]
     },

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

@@ -17,6 +17,7 @@ export function createFillPaths(opts: {
     dexQuotes?: DexSample[][];
     targetInput?: BigNumber;
     ethToOutputRate?: BigNumber;
+    ethToInputRate?: BigNumber;
     excludedSources?: ERC20BridgeSource[];
     feeSchedule?: FeeSchedule;
 }): Fill[][] {
@@ -26,8 +27,9 @@ export function createFillPaths(opts: {
     const orders = opts.orders || [];
     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, feeSchedule);
+    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);
@@ -54,6 +56,7 @@ function nativeOrdersToPath(
     orders: SignedOrderWithFillableAmounts[],
     targetInput: BigNumber = POSITIVE_INF,
     ethToOutputRate: BigNumber,
+    ethToInputRate: BigNumber,
     fees: FeeSchedule,
 ): Fill[] {
     const sourcePathId = hexUtils.random();
@@ -64,9 +67,10 @@ function nativeOrdersToPath(
         const takerAmount = fillableAmountsUtils.getTakerAssetAmountSwappedAfterOrderFees(order);
         const input = side === MarketOperation.Sell ? takerAmount : makerAmount;
         const output = side === MarketOperation.Sell ? makerAmount : takerAmount;
-        const penalty = ethToOutputRate.times(
+        const fee = fees[ERC20BridgeSource.Native] === undefined ? 0 : fees[ERC20BridgeSource.Native]!();
-            fees[ERC20BridgeSource.Native] === undefined ? 0 : fees[ERC20BridgeSource.Native]!(),
+        const outputPenalty = !ethToOutputRate.isZero()
-        );
+            ? ethToOutputRate.times(fee)
+            : ethToInputRate.times(fee).times(output.dividedToIntegerBy(input));
         // 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.
@@ -76,7 +80,7 @@ function nativeOrdersToPath(
         // scale the clipped output inline with the input
         const clippedOutput = clippedInput.dividedBy(input).times(output);
         const adjustedOutput =
-            side === MarketOperation.Sell ? clippedOutput.minus(penalty) : clippedOutput.plus(penalty);
+            side === MarketOperation.Sell ? clippedOutput.minus(outputPenalty) : clippedOutput.plus(outputPenalty);
         const adjustedRate =
             side === MarketOperation.Sell ? adjustedOutput.div(clippedInput) : clippedInput.div(adjustedOutput);
         // Skip orders with rates that are <= 0.

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

@@ -1,4 +1,5 @@
 import { ContractAddresses } from '@0x/contract-addresses';
+import { ZERO_AMOUNT } from '@0x/order-utils';
 import { RFQTIndicativeQuote } from '@0x/quote-server';
 import { SignedOrder } from '@0x/types';
 import { BigNumber, NULL_ADDRESS } from '@0x/utils';
@@ -114,6 +115,17 @@ export class MarketOperationUtils {
                 this._liquidityProviderRegistry,
                 this._multiBridge,
             ),
+            // Get ETH -> taker token price.
+            await DexOrderSampler.ops.getMedianSellRateAsync(
+                difference(FEE_QUOTE_SOURCES.concat(this._optionalSources()), _opts.excludedSources),
+                takerToken,
+                this._wethAddress,
+                ONE_ETHER,
+                this._wethAddress,
+                this._sampler.balancerPoolsCache,
+                this._liquidityProviderRegistry,
+                this._multiBridge,
+            ),
             // Get sell quotes for taker -> maker.
             await DexOrderSampler.ops.getSellQuotesAsync(
                 difference(
@@ -152,7 +164,7 @@ export class MarketOperationUtils {
             .then(async r => this._sampler.executeAsync(r));
 
         const [
-            [orderFillableAmounts, liquidityProviderAddress, ethToMakerAssetRate, dexQuotes],
+            [orderFillableAmounts, liquidityProviderAddress, ethToMakerAssetRate, ethToTakerAssetRate, dexQuotes],
             rfqtIndicativeQuotes,
             [balancerQuotes],
         ] = await Promise.all([samplerPromise, rfqtPromise, balancerPromise]);
@@ -174,6 +186,7 @@ export class MarketOperationUtils {
             nativeOrders,
             orderFillableAmounts,
             ethToOutputRate: ethToMakerAssetRate,
+            ethToInputRate: ethToTakerAssetRate,
             rfqtIndicativeQuotes,
         };
     }
@@ -207,6 +220,17 @@ export class MarketOperationUtils {
                 makerToken,
                 takerToken,
             ),
+            // Get ETH -> maker token price.
+            await DexOrderSampler.ops.getMedianSellRateAsync(
+                difference(FEE_QUOTE_SOURCES.concat(this._optionalSources()), _opts.excludedSources),
+                makerToken,
+                this._wethAddress,
+                ONE_ETHER,
+                this._wethAddress,
+                this._sampler.balancerPoolsCache,
+                this._liquidityProviderRegistry,
+                this._multiBridge,
+            ),
             // Get ETH -> taker token price.
             await DexOrderSampler.ops.getMedianSellRateAsync(
                 difference(FEE_QUOTE_SOURCES.concat(this._optionalSources()), _opts.excludedSources),
@@ -255,7 +279,7 @@ export class MarketOperationUtils {
             _opts,
         );
         const [
-            [orderFillableAmounts, liquidityProviderAddress, ethToTakerAssetRate, dexQuotes],
+            [orderFillableAmounts, liquidityProviderAddress, ethToMakerAssetRate, ethToTakerAssetRate, dexQuotes],
             rfqtIndicativeQuotes,
             [balancerQuotes],
         ] = await Promise.all([samplerPromise, rfqtPromise, balancerPromise]);
@@ -276,6 +300,7 @@ export class MarketOperationUtils {
             nativeOrders,
             orderFillableAmounts,
             ethToOutputRate: ethToTakerAssetRate,
+            ethToInputRate: ethToMakerAssetRate,
             rfqtIndicativeQuotes,
         };
     }
@@ -388,6 +413,7 @@ export class MarketOperationUtils {
         const batchOrderFillableAmounts = executeResults.splice(0, batchNativeOrders.length) as BigNumber[][];
         const batchEthToTakerAssetRate = executeResults.splice(0, batchNativeOrders.length) as BigNumber[];
         const batchDexQuotes = executeResults.splice(0, batchNativeOrders.length) as DexSample[][][];
+        const ethToInputRate = ZERO_AMOUNT;
 
         return Promise.all(
             batchNativeOrders.map(async (nativeOrders, i) => {
@@ -408,6 +434,7 @@ export class MarketOperationUtils {
                             dexQuotes,
                             inputAmount: makerAmount,
                             ethToOutputRate: ethToTakerAssetRate,
+                            ethToInputRate,
                             rfqtIndicativeQuotes: [],
                             inputToken: makerToken,
                             outputToken: takerToken,
@@ -454,6 +481,7 @@ export class MarketOperationUtils {
             rfqtIndicativeQuotes,
             dexQuotes,
             ethToOutputRate,
+            ethToInputRate,
         } = marketSideLiquidity;
         const maxFallbackSlippage = opts.maxFallbackSlippage || 0;
         // Convert native orders and dex quotes into fill paths.
@@ -467,6 +495,7 @@ export class MarketOperationUtils {
             dexQuotes,
             targetInput: inputAmount,
             ethToOutputRate,
+            ethToInputRate,
             excludedSources: opts.excludedSources,
             feeSchedule: opts.feeSchedule,
         });

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

@@ -291,5 +291,6 @@ export interface MarketSideLiquidity {
     nativeOrders: SignedOrder[];
     orderFillableAmounts: BigNumber[];
     ethToOutputRate: BigNumber;
+    ethToInputRate: BigNumber;
     rfqtIndicativeQuotes: RFQTIndicativeQuote[];
 }