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fix: [asset-swapper] MultiHop edge cases (#2730)

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* fix: [asset-swapper] MultiHop edge cases

* CHANGELOG
This commit is contained in:
Jacob Evans 2020-10-15 17:31:22 +10:00 committed by GitHub
parent 4d04b72674
commit fb21ca5404
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GPG Key ID: 4AEE18F83AFDEB23
4 changed files with 34 additions and 13 deletions
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4
packages/asset-swapper/CHANGELOG.json
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@ -153,6 +153,10 @@
{
"note": "Added `DODO`",
"pr": 2701
},
{
"note": "Fix for some edge cases with `includedSources` and `MultiHop`",
"pr": 2730
}
]
},

15
packages/asset-swapper/src/utils/market_operation_utils/index.ts
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@ -138,7 +138,9 @@ export class MarketOperationUtils {
const [makerToken, takerToken] = getNativeOrderTokens(nativeOrders[0]);
const sampleAmounts = getSampleAmounts(takerAmount, _opts.numSamples, _opts.sampleDistributionBase);
const requestFilters = new SourceFilters().exclude(_opts.excludedSources).include(_opts.includedSources);
const feeSourceFilters = this._feeSources.merge(requestFilters);
// We don't exclude from the fee sources as we always want to be able to get a price
// of taker to Eth or maker to Eth, especially for MultiHop
const feeSourceFilters = this._feeSources;
const quoteSourceFilters = this._sellSources.merge(requestFilters);
const {
@ -576,11 +578,9 @@ export class MarketOperationUtils {
ethToInputRate,
exchangeProxyOverhead: opts.exchangeProxyOverhead || (() => ZERO_AMOUNT),
};
const optimalPath = await findOptimalPathAsync(side, fills, inputAmount, opts.runLimit, optimizerOpts);
if (optimalPath === undefined) {
throw new Error(AggregationError.NoOptimalPath);
}
const optimalPathRate = optimalPath.adjustedRate();
const optimalPathRate = optimalPath ? optimalPath.adjustedRate() : ZERO_AMOUNT;
const { adjustedRate: bestTwoHopRate, quote: bestTwoHopQuote } = getBestTwoHopQuote(
marketSideLiquidity,
@ -596,6 +596,11 @@ export class MarketOperationUtils {
};
}
// If there is no optimal path AND we didn't return a MultiHop quote, then throw
if (optimalPath === undefined) {
throw new Error(AggregationError.NoOptimalPath);
}
// Generate a fallback path if native orders are in the optimal path.
const nativeFills = optimalPath.fills.filter(f => f.source === ERC20BridgeSource.Native);
if (opts.allowFallback && nativeFills.length !== 0) {

23
packages/asset-swapper/src/utils/market_operation_utils/multihop_utils.ts
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@ -46,26 +46,37 @@ export function getBestTwoHopQuote(
exchangeProxyOverhead?: ExchangeProxyOverhead,
): { quote: DexSample<MultiHopFillData> | undefined; adjustedRate: BigNumber } {
const { side, inputAmount, ethToOutputRate, twoHopQuotes } = marketSideLiquidity;
if (twoHopQuotes.length === 0) {
return { adjustedRate: ZERO_AMOUNT, quote: undefined };
// Ensure the expected data we require exists. In the case where all hops reverted
// or there were no sources included that allowed for multi hop,
// we can end up with empty, but not undefined, fill data
const filteredQuotes = twoHopQuotes.filter(
quote =>
quote &&
quote.fillData &&
quote.fillData.firstHopSource &&
quote.fillData.secondHopSource &&
quote.output.isGreaterThan(ZERO_AMOUNT),
);
if (filteredQuotes.length === 0) {
return { quote: undefined, adjustedRate: ZERO_AMOUNT };
}
const best = twoHopQuotes
const best = filteredQuotes
.map(quote =>
getTwoHopAdjustedRate(side, quote, inputAmount, ethToOutputRate, feeSchedule, exchangeProxyOverhead),
)
.reduce(
(prev, curr, i) =>
curr.isGreaterThan(prev.adjustedRate) ? { adjustedRate: curr, quote: twoHopQuotes[i] } : prev,
curr.isGreaterThan(prev.adjustedRate) ? { adjustedRate: curr, quote: filteredQuotes[i] } : prev,
{
adjustedRate: getTwoHopAdjustedRate(
side,
twoHopQuotes[0],
filteredQuotes[0],
inputAmount,
ethToOutputRate,
feeSchedule,
exchangeProxyOverhead,
),
quote: twoHopQuotes[0],
quote: filteredQuotes[0],
},
);
return best;

5
packages/asset-swapper/src/utils/market_operation_utils/sampler_operations.ts
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@ -600,11 +600,12 @@ export class SamplerOperations {
const [firstHop, secondHop, buyAmount] = this._samplerContract.getABIDecodedReturnData<
[HopInfo, HopInfo, BigNumber]
>('sampleTwoHopSell', callResults);
// Ensure the hop sources are set even when the buy amount is zero
fillData.firstHopSource = firstHopOps[firstHop.sourceIndex.toNumber()];
fillData.secondHopSource = secondHopOps[secondHop.sourceIndex.toNumber()];
if (buyAmount.isZero()) {
return [ZERO_AMOUNT];
}
fillData.firstHopSource = firstHopOps[firstHop.sourceIndex.toNumber()];
fillData.secondHopSource = secondHopOps[secondHop.sourceIndex.toNumber()];
fillData.firstHopSource.handleCallResults(firstHop.returnData);
fillData.secondHopSource.handleCallResults(secondHop.returnData);
return [buyAmount];