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

* 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

packages/asset-swapper/CHANGELOG.json

@@ -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": [

packages/asset-swapper/package.json

@@ -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",

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

@@ -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.
+        // Optionally skip orders with rates that are <= 0.
-        if (adjustedRate.lte(0)) {
+        if (filterNegativeAdjustedRateOrders && adjustedRate.lte(0)) {
             continue;
         }
         fills.push({

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

@@ -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++) {
+        // NOTE: We start at 0 here because the native order might be much larger than the amount
-            const fraction = i / 13;
+        // 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`

yarn.lock

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