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fix: start native orders "samples" at 0 & don't skip neg adj orders (#425)

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* fix: start native orders "samples" at 0 & don't skip neg adj orders

* fix: bail on routes with invalid output estimation (no valid route)

* chore: bump neon-router version

* chore: add asset-swapper changelog entry
This commit is contained in:
Kim Persson 2022-02-22 13:31:47 +01:00 committed by GitHub
parent 5f5b951998
commit eb12eac5f3
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GPG Key ID: 4AEE18F83AFDEB23
5 changed files with 29 additions and 11 deletions
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9
packages/asset-swapper/CHANGELOG.json
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@ -1,4 +1,13 @@
[
{
"version": "16.49.7",
"changes": [
{
"note": "Fix native order handling for very small quotes and bump `neon-router` dependency",
"pr": 425
}
]
},
{
"version": "16.49.6",
"changes": [

2
packages/asset-swapper/package.json
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@ -66,7 +66,7 @@
"@0x/contracts-zero-ex": "^0.30.1",
"@0x/dev-utils": "^4.2.9",
"@0x/json-schemas": "^6.3.0",
"@0x/neon-router": "^0.3.1",
"@0x/neon-router": "^0.3.2",
"@0x/protocol-utils": "^1.10.1",
"@0x/quote-server": "^6.0.6",
"@0x/types": "^3.3.4",

5
packages/asset-swapper/src/utils/market_operation_utils/fills.ts
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@ -96,6 +96,7 @@ export function nativeOrdersToFills(
outputAmountPerEth: BigNumber,
inputAmountPerEth: BigNumber,
fees: FeeSchedule,
filterNegativeAdjustedRateOrders: boolean = true,
): Fill[] {
const sourcePathId = hexUtils.random();
// Create a single path from all orders.
@ -126,8 +127,8 @@ export function nativeOrdersToFills(
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.
if (adjustedRate.lte(0)) {
// Optionally skip orders with rates that are <= 0.
if (filterNegativeAdjustedRateOrders && adjustedRate.lte(0)) {
continue;
}
fills.push({

16
packages/asset-swapper/src/utils/market_operation_utils/path_optimizer.ts
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@ -5,9 +5,10 @@ import { BigNumber, hexUtils } from '@0x/utils';
import * as _ from 'lodash';
import { performance } from 'perf_hooks';
import { DEFAULT_WARNING_LOGGER } from '../../constants';
import { MarketOperation, NativeOrderWithFillableAmounts } from '../../types';
import { VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID, ZERO_AMOUNT } from '../market_operation_utils/constants';
import { VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID, ZERO_AMOUNT } from './constants';
import { dexSamplesToFills, ethToOutputAmount, nativeOrdersToFills } from './fills';
import { DEFAULT_PATH_PENALTY_OPTS, Path, PathPenaltyOpts } from './path';
import { DexSample, ERC20BridgeSource, FeeSchedule, Fill, FillData, SamplerMetrics } from './types';
@ -154,8 +155,10 @@ function findRoutesAndCreateOptimalPath(
const inputs = [];
const outputs = [];
const outputFees = [];
for (let i = 1; i <= 13; i++) {
const fraction = i / 13;
// NOTE: We start at 0 here because the native order might be much larger than the amount
// By starting at 0 we make sure we can always use a portion of the native order to fill/partial fill
for (let i = 0; i <= 12; i++) {
const fraction = i / 12;
const currentInput = BigNumber.min(normalizedOrderInput.times(fraction), normalizedOrderInput);
const currentOutput = BigNumber.min(normalizedOrderOutput.times(fraction), normalizedOrderOutput);
const id = `${ERC20BridgeSource.Native}-${serializedPaths.length}-${idx}-${i}`;
@ -210,7 +213,11 @@ function findRoutesAndCreateOptimalPath(
const scale = input.dividedBy(totalRoutedAmount);
for (const [routeInput, routeSamplesAndNativeOrders, outputAmount, sourcePathId] of routesAndSamplesAndOutputs) {
if (!routeInput || !routeSamplesAndNativeOrders || !outputAmount || !Number.isFinite(outputAmount)) {
if (!Number.isFinite(outputAmount)) {
DEFAULT_WARNING_LOGGER(rustArgs, `neon-router: invalid route outputAmount ${outputAmount}`);
return undefined;
}
if (!routeInput || !routeSamplesAndNativeOrders || !outputAmount) {
continue;
}
// TODO(kimpers): [TKR-241] amounts are sometimes clipped in the router due to precision loss for number/f64
@ -229,6 +236,7 @@ function findRoutesAndCreateOptimalPath(
opts.outputAmountPerEth,
opts.inputAmountPerEth,
fees,
false,
)[0] as Fill | undefined;
// Note: If the order has an adjusted rate of less than or equal to 0 it will be skipped
// and nativeFill will be `undefined`

8
yarn.lock
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@ -959,10 +959,10 @@
typedoc "~0.16.11"
yargs "^10.0.3"
"@0x/neon-router@^0.3.1":
version "0.3.1"
resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.3.1.tgz#4ec13e750d1435357c4928d7f2521a2b4376f27e"
integrity sha512-M4ypTov9KyxsGJpYwobrld3Y2JOlR7U0XjR6BEQE2gQ1k3nie/1wNEI2J4ZjKw++RLDxdv/RCqhgA5VnINzjxA==
"@0x/neon-router@^0.3.2":
version "0.3.2"
resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.3.2.tgz#dc68d0a108060d607b48e3d32ce0ff46f8dc0cc2"
integrity sha512-AdSPeCxRcjdpmWDkJI1wg+X4q14tmLE21vM0AixtMQQI5+f22sIeUCrPqU9FFKqMQTOW0/3d8tVXzxdollahbA==
dependencies:
"@mapbox/node-pre-gyp" "^1.0.5"