Publish

- @0x/asset-swapper@16.50.3

docs/additional/audits.rst

@@ -4,23 +4,28 @@ Audits
 
 Below are links to our third-party audit reports.
 
-+------------------+---------------------------------------------------------------------------------------------------------------+
-| **Release**      | **Reports**                                                                                                   |
-+------------------+---------------------------------------------------------------------------------------------------------------+
-| Exchange V4      | * `Consensys Diligence (December 2020) <https://consensys.net/diligence/audits/2020/12/0x-exchange-v4/>`__    |
-+------------------+---------------------------------------------------------------------------------------------------------------+
-| Exchange V3      | * `Trail of Bits <http://zeips.0x.org.s3-website.us-east-2.amazonaws.com/audits/56/trail-of-bits/audit.pdf>`_ |
-|                  | * `Consensys Diligence (Exchange) <https://diligence.consensys.net/audits/2019/09/0x-v3-exchange/>`__         |
-|                  | * `Consensys Diligence (Staking) <https://diligence.consensys.net/audits/2019/10/0x-v3-staking/>`__           |
-+------------------+---------------------------------------------------------------------------------------------------------------+
-| Exchange V2.1    | * `First <https://docs.google.com/document/d/1jYv6V21MfCSwCS5fxD6ZyaLWGzkpRSUO0lZpST94XsA/edit>`_             |
-|                  | * `Consensys Diligence <https://github.com/ConsenSys/0x_audit_report_2018-07-23>`_                            |
-+------------------+---------------------------------------------------------------------------------------------------------------+
-| MultiAssetProxy  | * `Consensys Diligence <https://github.com/ConsenSys/0x-audit-report-2018-12>`__                              |
-+------------------+---------------------------------------------------------------------------------------------------------------+
-| ERC1155Proxy     | * `Consensys Diligence <https://github.com/ConsenSys/0x-audit-report-2019-05>`__                              |
-+------------------+---------------------------------------------------------------------------------------------------------------+
-| StaticCallProxy  | * No third-party audit.                                                                                       |
-+------------------+---------------------------------------------------------------------------------------------------------------+
-| ERC20BridgeProxy | * No third-party audit.                                                                                       |
-+------------------+---------------------------------------------------------------------------------------------------------------+
++----------------------+---------------------------------------------------------------------------------------------------------------------------+
+| **Release**          | **Reports**                                                                                                               |
++----------------------+---------------------------------------------------------------------------------------------------------------------------+
+| ERC721OrdersFeature  | * `ABDK Consulting <https://s3.us-east-2.amazonaws.com/zeips.0x.org/audits/abdk-consulting/ABDK_0x_Solidity_v_1_0.pdf>`__ |
+|                      |                                                                                                                           |
+|                      |                                                                                                                           |
+| ERC1155OrdersFeature |                                                                                                                           |
++----------------------+---------------------------------------------------------------------------------------------------------------------------+
+| Exchange V4          | * `Consensys Diligence (December 2020) <https://consensys.net/diligence/audits/2020/12/0x-exchange-v4/>`__                |
++----------------------+---------------------------------------------------------------------------------------------------------------------------+
+| Exchange V3          | * `Trail of Bits <http://zeips.0x.org.s3-website.us-east-2.amazonaws.com/audits/56/trail-of-bits/audit.pdf>`__            |
+|                      | * `Consensys Diligence (Exchange) <https://diligence.consensys.net/audits/2019/09/0x-v3-exchange/>`__                     |
+|                      | * `Consensys Diligence (Staking) <https://diligence.consensys.net/audits/2019/10/0x-v3-staking/>`__                       |
++----------------------+---------------------------------------------------------------------------------------------------------------------------+
+| Exchange V2.1        | * `First <https://docs.google.com/document/d/1jYv6V21MfCSwCS5fxD6ZyaLWGzkpRSUO0lZpST94XsA/edit>`_                         |
+|                      | * `Consensys Diligence <https://github.com/ConsenSys/0x_audit_report_2018-07-23>`_                                        |
++----------------------+---------------------------------------------------------------------------------------------------------------------------+
+| MultiAssetProxy      | * `Consensys Diligence <https://github.com/ConsenSys/0x-audit-report-2018-12>`__                                          |
++----------------------+---------------------------------------------------------------------------------------------------------------------------+
+| ERC1155Proxy         | * `Consensys Diligence <https://github.com/ConsenSys/0x-audit-report-2019-05>`__                                          |
++----------------------+---------------------------------------------------------------------------------------------------------------------------+
+| StaticCallProxy      | * No third-party audit.                                                                                                   |
++----------------------+---------------------------------------------------------------------------------------------------------------------------+
+| ERC20BridgeProxy     | * No third-party audit.                                                                                                   |
++----------------------+---------------------------------------------------------------------------------------------------------------------------+

packages/asset-swapper/CHANGELOG.json

@@ -1,4 +1,42 @@
 [
+    {
+        "version": "16.50.3",
+        "changes": [
+            {
+                "note": "Routing glue optimization",
+                "pr": 439
+            },
+            {
+                "note": "Move VIP source routing into neon-router & disable fallback orders for native/plp",
+                "pr": 440
+            }
+        ],
+        "timestamp": 1646837959
+    },
+    {
+        "version": "16.50.2",
+        "changes": [
+            {
+                "note": "Update `Uniswap_V3` address on `Ropsten`",
+                "pr": 441
+            }
+        ],
+        "timestamp": 1646617024
+    },
+    {
+        "version": "16.50.1",
+        "changes": [
+            {
+                "note": "Add BTRFLY/WETH Curve pool on mainnet",
+                "pr": 437
+            },
+            {
+                "note": "Lower Uniswap V3 Sampler gas allowance",
+                "pr": 438
+            }
+        ],
+        "timestamp": 1646312638
+    },
     {
         "version": "16.50.0",
         "changes": [

packages/asset-swapper/CHANGELOG.md

@@ -5,6 +5,20 @@ Edit the package's CHANGELOG.json file only.
 
 CHANGELOG
 
+## v16.50.3 - _March 9, 2022_
+
+    * Routing glue optimization (#439)
+    * Move VIP source routing into neon-router & disable fallback orders for native/plp (#440)
+
+## v16.50.2 - _March 7, 2022_
+
+    * Update `Uniswap_V3` address on `Ropsten` (#441)
+
+## v16.50.1 - _March 3, 2022_
+
+    * Add BTRFLY/WETH Curve pool on mainnet (#437)
+    * Lower Uniswap V3 Sampler gas allowance (#438)
+
 ## v16.50.0 - _March 2, 2022_
 
     * Adding support for Geist on `Fantom` (#398)

packages/asset-swapper/contracts/src/UniswapV3Sampler.sol

@@ -77,7 +77,7 @@ interface IUniswapV3Pool {
 contract UniswapV3Sampler
 {
     /// @dev Gas limit for UniswapV3 calls. This is 100% a guess.
-    uint256 constant private QUOTE_GAS = 900e3;
+    uint256 constant private QUOTE_GAS = 700e3;
 
     /// @dev Sample sell quotes from UniswapV3.
     /// @param quoter UniswapV3 Quoter contract.

packages/asset-swapper/package.json

@@ -1,6 +1,6 @@
 {
     "name": "@0x/asset-swapper",
-    "version": "16.50.0",
+    "version": "16.50.3",
     "engines": {
         "node": ">=6.12"
     },
@@ -66,7 +66,7 @@
         "@0x/contracts-zero-ex": "^0.31.1",
         "@0x/dev-utils": "^4.2.11",
         "@0x/json-schemas": "^6.4.1",
-        "@0x/neon-router": "^0.3.3",
+        "@0x/neon-router": "^0.3.5",
         "@0x/protocol-utils": "^1.11.1",
         "@0x/quote-server": "^6.0.6",
         "@0x/types": "^3.3.4",

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

@@ -646,6 +646,7 @@ export const CURVE_POOLS = {
     USDP: '0x42d7025938bec20b69cbae5a77421082407f053a', // usdp
     ib: '0x2dded6da1bf5dbdf597c45fcfaa3194e53ecfeaf', // iron bank
     link: '0xf178c0b5bb7e7abf4e12a4838c7b7c5ba2c623c0', // link
+    btrflyweth: '0xf43b15ab692fde1f9c24a9fce700adcc809d5391', // redacted cartel
     // StableSwap "open pools" (crv.finance)
     TUSD: '0xecd5e75afb02efa118af914515d6521aabd189f1',
     STABLEx: '0x3252efd4ea2d6c78091a1f43982ee2c3659cc3d1',
@@ -1019,6 +1020,16 @@ const createCurveV2MetaTriPool = (info: { tokens: string[]; pool: string; gasSch
     gasSchedule: info.gasSchedule,
 });
 
+const createCurveFactoryCryptoExchangePool = (info: { tokens: string[]; pool: string; gasSchedule: number }) => ({
+    exchangeFunctionSelector: CurveFunctionSelectors.exchange_underlying_uint256,
+    sellQuoteFunctionSelector: CurveFunctionSelectors.get_dy_uint256,
+    buyQuoteFunctionSelector: CurveFunctionSelectors.None,
+    tokens: info.tokens,
+    metaTokens: undefined,
+    poolAddress: info.pool,
+    gasSchedule: info.gasSchedule,
+});
+
 /**
  * Mainnet Curve configuration
  * The tokens are in order of their index, which each curve defines
@@ -1285,6 +1296,11 @@ export const CURVE_MAINNET_INFOS: { [name: string]: CurveInfo } = {
         pool: CURVE_POOLS.ibEURsEUR,
         gasSchedule: 176e3,
     }),
+    [CURVE_POOLS.btrflyweth]: createCurveFactoryCryptoExchangePool({
+        tokens: [MAINNET_TOKENS.WETH, MAINNET_TOKENS.BTRFLY],
+        pool: CURVE_POOLS.btrflyweth,
+        gasSchedule: 250e3,
+    }),
 };
 
 export const CURVE_V2_MAINNET_INFOS: { [name: string]: CurveInfo } = {
@@ -2072,7 +2088,7 @@ export const UNISWAPV3_CONFIG_BY_CHAIN_ID = valueByChainId(
         },
         [ChainId.Ropsten]: {
             quoter: '0x61ffe014ba17989e743c5f6cb21bf9697530b21e',
-            router: '0x03782388516e94fcd4c18666303601a12aa729ea',
+            router: '0xe592427a0aece92de3edee1f18e0157c05861564',
         },
         [ChainId.Polygon]: {
             quoter: '0x61ffe014ba17989e743c5f6cb21bf9697530b21e',

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

@@ -175,9 +175,9 @@ export function dexSamplesToFills(
         const { source, fillData } = sample;
         const input = sample.input.minus(prevSample ? prevSample.input : 0);
         const output = sample.output.minus(prevSample ? prevSample.output : 0);
-        const fee = fees[source] === undefined ? 0 : fees[source]!(sample.fillData) || 0;
         let penalty = ZERO_AMOUNT;
         if (i === 0) {
+            const fee = fees[source] === undefined ? 0 : fees[source]!(sample.fillData) || 0;
             // Only the first fill in a DEX path incurs a penalty.
             penalty = ethToOutputAmount({
                 input,

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

@@ -42,7 +42,7 @@ import { createFills } from './fills';
 import { getBestTwoHopQuote } from './multihop_utils';
 import { createOrdersFromTwoHopSample } from './orders';
 import { Path, PathPenaltyOpts } from './path';
-import { fillsToSortedPaths, findOptimalPathJSAsync, findOptimalRustPathFromSamples } from './path_optimizer';
+import { findOptimalPathJSAsync, findOptimalRustPathFromSamples } from './path_optimizer';
 import { DexOrderSampler, getSampleAmounts } from './sampler';
 import { SourceFilters } from './source_filters';
 import {
@@ -493,18 +493,6 @@ export class MarketOperationUtils {
                 } as NativeOrderWithFillableAmounts),
         );
 
-        // Convert native orders and dex quotes into `Fill` objects.
-        const fills = createFills({
-            side,
-            orders: [...nativeOrders, ...augmentedRfqtIndicativeQuotes],
-            dexQuotes,
-            targetInput: inputAmount,
-            outputAmountPerEth,
-            inputAmountPerEth,
-            excludedSources: opts.excludedSources,
-            feeSchedule: opts.feeSchedule,
-        });
-
         // Find the optimal path.
         const penaltyOpts: PathPenaltyOpts = {
             outputAmountPerEth,
@@ -517,13 +505,11 @@ export class MarketOperationUtils {
         const takerAmountPerEth = side === MarketOperation.Sell ? inputAmountPerEth : outputAmountPerEth;
         const makerAmountPerEth = side === MarketOperation.Sell ? outputAmountPerEth : inputAmountPerEth;
 
-        // Find the unoptimized best rate to calculate savings from optimizer
-        const _unoptimizedPath = fillsToSortedPaths(fills, side, inputAmount, penaltyOpts)[0];
-        const unoptimizedPath = _unoptimizedPath ? _unoptimizedPath.collapse(orderOpts) : undefined;
-
+        let fills: Fill[][];
         // Find the optimal path using Rust router if enabled, otherwise fallback to JS Router
         let optimalPath: Path | undefined;
         if (SHOULD_USE_RUST_ROUTER) {
+            fills = [[]];
             optimalPath = findOptimalRustPathFromSamples(
                 side,
                 dexQuotes,
@@ -536,6 +522,18 @@ export class MarketOperationUtils {
                 opts.samplerMetrics,
             );
         } else {
+            // Convert native orders and dex quotes into `Fill` objects.
+            fills = createFills({
+                side,
+                orders: [...nativeOrders, ...augmentedRfqtIndicativeQuotes],
+                dexQuotes,
+                targetInput: inputAmount,
+                outputAmountPerEth,
+                inputAmountPerEth,
+                excludedSources: opts.excludedSources,
+                feeSchedule: opts.feeSchedule,
+            });
+
             optimalPath = await findOptimalPathJSAsync(
                 side,
                 fills,
@@ -561,7 +559,6 @@ export class MarketOperationUtils {
                 sourceFlags: SOURCE_FLAGS[ERC20BridgeSource.MultiHop],
                 marketSideLiquidity,
                 adjustedRate: bestTwoHopRate,
-                unoptimizedPath,
                 takerAmountPerEth,
                 makerAmountPerEth,
             };
@@ -573,7 +570,10 @@ export class MarketOperationUtils {
         }
 
         // Generate a fallback path if required
-        await this._addOptionalFallbackAsync(side, inputAmount, optimalPath, dexQuotes, fills, opts, penaltyOpts);
+        // TODO(kimpers): Will experiment with disabling this and see how it affects revert rate
+        // to avoid yet another router roundtrip
+        // TODO: clean this up if we don't need it
+        // await this._addOptionalFallbackAsync(side, inputAmount, optimalPath, dexQuotes, fills, opts, penaltyOpts);
         const collapsedPath = optimalPath.collapse(orderOpts);
 
         return {
@@ -582,7 +582,6 @@ export class MarketOperationUtils {
             sourceFlags: collapsedPath.sourceFlags,
             marketSideLiquidity,
             adjustedRate: optimalPathRate,
-            unoptimizedPath,
             takerAmountPerEth,
             makerAmountPerEth,
         };
@@ -778,6 +777,8 @@ export class MarketOperationUtils {
         );
     }
 
+    /*
+     * TODO(kimpers): Remove this when we know that it's safe to drop the fallbacks on native orders
     // tslint:disable-next-line: prefer-function-over-method
     private async _addOptionalFallbackAsync(
         side: MarketOperation,
@@ -843,6 +844,7 @@ export class MarketOperationUtils {
             }
         }
     }
+    */
 }
 
 // tslint:disable: max-file-line-count

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

@@ -122,17 +122,8 @@ export class Path {
                 ++i;
                 continue;
             }
-            // If there are contiguous bridge orders, we can batch them together.
-            // TODO jacob pretty sure this is from DFB and we can remove
-            const contiguousBridgeFills = [collapsedFills[i]];
-            for (let j = i + 1; j < collapsedFills.length; ++j) {
-                if (collapsedFills[j].source === ERC20BridgeSource.Native) {
-                    break;
-                }
-                contiguousBridgeFills.push(collapsedFills[j]);
-            }
 
-            this.orders.push(createBridgeOrder(contiguousBridgeFills[0], makerToken, takerToken, opts.side));
+            this.orders.push(createBridgeOrder(collapsedFills[i], makerToken, takerToken, opts.side));
             i += 1;
         }
         return this as CollapsedPath;

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

@@ -76,7 +76,8 @@ function findRoutesAndCreateOptimalPath(
     opts: PathPenaltyOpts,
     fees: FeeSchedule,
     neonRouterNumSamples: number,
-): Path | undefined {
+    vipSourcesSet: Set<ERC20BridgeSource>,
+): { allSourcesPath: Path | undefined; vipSourcesPath: Path | undefined } | undefined {
     // Currently the rust router is unable to handle 1 base unit sized quotes and will error out
     // To avoid flooding the logs with these errors we just return an insufficient liquidity error
     // which is how the JS router handles these quotes today
@@ -94,6 +95,127 @@ function findRoutesAndCreateOptimalPath(
         return fills[0];
     };
 
+    const createPathFromStrategy = (sourcesRustRoute: Float64Array, sourcesOutputAmounts: Float64Array) => {
+        const routesAndSamplesAndOutputs = _.zip(
+            sourcesRustRoute,
+            samplesAndNativeOrdersWithResults,
+            sourcesOutputAmounts,
+            sampleSourcePathIds,
+        );
+        const adjustedFills: Fill[] = [];
+        const totalRoutedAmount = BigNumber.sum(...sourcesRustRoute);
+
+        const scale = input.dividedBy(totalRoutedAmount);
+        for (const [
+            routeInput,
+            routeSamplesAndNativeOrders,
+            outputAmount,
+            sourcePathId,
+        ] of routesAndSamplesAndOutputs) {
+            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
+            // 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,
+                    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`
+                if (nativeFill) {
+                    // NOTE: For Limit/RFQ orders we are done here. No need to scale output
+                    adjustedFills.push({ ...nativeFill, sourcePathId: sourcePathId ?? hexUtils.random() });
+                }
+                continue;
+            }
+
+            // NOTE: For DexSamples only
+            let fill = createFill(current);
+            if (!fill) {
+                continue;
+            }
+            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]) ?? fill;
+                }
+                if (rustInputAdjusted.isGreaterThan(routeSamples[k].input)) {
+                    const left = routeSamples[k];
+                    const right = routeSamples[k + 1];
+                    if (left && right) {
+                        fill =
+                            createFill({
+                                ...right, // default to the greater (for gas used)
+                                input: rustInputAdjusted,
+                                output: new BigNumber(outputAmount),
+                            }) ?? fill;
+                    } else {
+                        assert.assert(Boolean(left || right), 'No valid sample to use');
+                        fill = createFill(left || right) ?? fill;
+                    }
+                    break;
+                }
+            }
+
+            // TODO(kimpers): remove once we have solved the rounding/precision loss issues in the Rust router
+            const maxSampledOutput = BigNumber.max(...routeSamples.map(s => s.output));
+            // Scale output by scale factor but never go above the largest sample in sell quotes (unknown liquidity)  or below 1 base unit (unfillable)
+            const scaleOutput = (output: BigNumber) => {
+                // Don't try to scale 0 output as it will be clamped to 1
+                if (output.eq(ZERO_AMOUNT)) {
+                    return output;
+                }
+
+                const scaled = output
+                    .times(scale)
+                    .decimalPlaces(0, side === MarketOperation.Sell ? BigNumber.ROUND_FLOOR : BigNumber.ROUND_CEIL);
+                const capped = MarketOperation.Sell ? BigNumber.min(scaled, maxSampledOutput) : scaled;
+
+                return BigNumber.max(capped, 1);
+            };
+
+            adjustedFills.push({
+                ...fill,
+                input: rustInputAdjusted,
+                output: scaleOutput(fill.output),
+                adjustedOutput: scaleOutput(fill.adjustedOutput),
+                index: 0,
+                parent: undefined,
+                sourcePathId: sourcePathId ?? hexUtils.random(),
+            });
+        }
+
+        if (adjustedFills.length === 0) {
+            return undefined;
+        }
+
+        const pathFromRustInputs = Path.create(side, adjustedFills, input, opts);
+
+        return pathFromRustInputs;
+    };
+
     const samplesAndNativeOrdersWithResults: Array<DexSample[] | NativeOrderWithFillableAmounts[]> = [];
     const serializedPaths: SerializedPath[] = [];
     const sampleSourcePathIds: string[] = [];
@@ -136,6 +258,7 @@ function findRoutesAndCreateOptimalPath(
                 inputs: [],
                 outputs: [],
                 outputFees: [],
+                isVip: vipSourcesSet.has(singleSourceSamplesWithOutput[0]?.source),
             },
         );
 
@@ -194,6 +317,7 @@ function findRoutesAndCreateOptimalPath(
             inputs,
             outputs,
             outputFees,
+            isVip: true,
         };
 
         samplesAndNativeOrdersWithResults.push([nativeOrder]);
@@ -212,129 +336,42 @@ function findRoutesAndCreateOptimalPath(
     };
 
     const allSourcesRustRoute = new Float64Array(rustArgs.pathsIn.length);
-    const strategySourcesOutputAmounts = new Float64Array(rustArgs.pathsIn.length);
-    route(rustArgs, allSourcesRustRoute, strategySourcesOutputAmounts, neonRouterNumSamples);
+    const allSourcesOutputAmounts = new Float64Array(rustArgs.pathsIn.length);
+    const vipSourcesRustRoute = new Float64Array(rustArgs.pathsIn.length);
+    const vipSourcesOutputAmounts = new Float64Array(rustArgs.pathsIn.length);
+
+    route(
+        rustArgs,
+        allSourcesRustRoute,
+        allSourcesOutputAmounts,
+        vipSourcesRustRoute,
+        vipSourcesOutputAmounts,
+        neonRouterNumSamples,
+    );
     assert.assert(
         rustArgs.pathsIn.length === allSourcesRustRoute.length,
         'different number of sources in the Router output than the input',
     );
     assert.assert(
-        rustArgs.pathsIn.length === strategySourcesOutputAmounts.length,
+        rustArgs.pathsIn.length === allSourcesOutputAmounts.length,
+        'different number of sources in the Router output amounts results than the input',
+    );
+    assert.assert(
+        rustArgs.pathsIn.length === vipSourcesRustRoute.length,
+        'different number of sources in the Router output than the input',
+    );
+    assert.assert(
+        rustArgs.pathsIn.length === vipSourcesOutputAmounts.length,
         'different number of sources in the Router output amounts results than the input',
     );
 
-    const routesAndSamplesAndOutputs = _.zip(
-        allSourcesRustRoute,
-        samplesAndNativeOrdersWithResults,
-        strategySourcesOutputAmounts,
-        sampleSourcePathIds,
-    );
-    const adjustedFills: Fill[] = [];
-    const totalRoutedAmount = BigNumber.sum(...allSourcesRustRoute);
+    const allSourcesPath = createPathFromStrategy(allSourcesRustRoute, allSourcesOutputAmounts);
+    const vipSourcesPath = createPathFromStrategy(vipSourcesRustRoute, vipSourcesOutputAmounts);
 
-    const scale = input.dividedBy(totalRoutedAmount);
-    for (const [routeInput, routeSamplesAndNativeOrders, outputAmount, sourcePathId] of routesAndSamplesAndOutputs) {
-        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
-        // 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,
-                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`
-            if (nativeFill) {
-                // NOTE: For Limit/RFQ orders we are done here. No need to scale output
-                adjustedFills.push({ ...nativeFill, sourcePathId: sourcePathId ?? hexUtils.random() });
-            }
-            continue;
-        }
-
-        // NOTE: For DexSamples only
-        let fill = createFill(current);
-        if (!fill) {
-            continue;
-        }
-        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]) ?? fill;
-            }
-            if (rustInputAdjusted.isGreaterThan(routeSamples[k].input)) {
-                const left = routeSamples[k];
-                const right = routeSamples[k + 1];
-                if (left && right) {
-                    fill =
-                        createFill({
-                            ...right, // default to the greater (for gas used)
-                            input: rustInputAdjusted,
-                            output: new BigNumber(outputAmount),
-                        }) ?? fill;
-                } else {
-                    assert.assert(Boolean(left || right), 'No valid sample to use');
-                    fill = createFill(left || right) ?? fill;
-                }
-                break;
-            }
-        }
-
-        // TODO(kimpers): remove once we have solved the rounding/precision loss issues in the Rust router
-        const maxSampledOutput = BigNumber.max(...routeSamples.map(s => s.output));
-        // Scale output by scale factor but never go above the largest sample (unknown liquidity) or below 1 base unit (unfillable)
-        const scaleOutput = (output: BigNumber) => {
-            // Don't try to scale 0 output as it will be clamped to 1
-            if (output.eq(ZERO_AMOUNT)) {
-                return output;
-            }
-
-            const scaled = output
-                .times(scale)
-                .decimalPlaces(0, side === MarketOperation.Sell ? BigNumber.ROUND_FLOOR : BigNumber.ROUND_CEIL);
-
-            return BigNumber.max(BigNumber.min(scaled, maxSampledOutput), 1);
-        };
-
-        adjustedFills.push({
-            ...fill,
-            input: rustInputAdjusted,
-            output: scaleOutput(fill.output),
-            adjustedOutput: scaleOutput(fill.adjustedOutput),
-            index: 0,
-            parent: undefined,
-            sourcePathId: sourcePathId ?? hexUtils.random(),
-        });
-    }
-
-    if (adjustedFills.length === 0) {
-        return undefined;
-    }
-
-    const pathFromRustInputs = Path.create(side, adjustedFills, input, opts);
-
-    return pathFromRustInputs;
+    return {
+        allSourcesPath,
+        vipSourcesPath,
+    };
 }
 
 export function findOptimalRustPathFromSamples(
@@ -348,9 +385,18 @@ export function findOptimalRustPathFromSamples(
     neonRouterNumSamples: number,
     samplerMetrics?: SamplerMetrics,
 ): Path | undefined {
-    const beforeAllTimeMs = performance.now();
-    let beforeTimeMs = performance.now();
-    const allSourcesPath = findRoutesAndCreateOptimalPath(
+    const beforeTimeMs = performance.now();
+    const sendMetrics = () => {
+        // tslint:disable-next-line: no-unused-expression
+        samplerMetrics &&
+            samplerMetrics.logRouterDetails({
+                router: 'neon-router',
+                type: 'total',
+                timingMs: performance.now() - beforeTimeMs,
+            });
+    };
+    const vipSourcesSet = new Set(VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID[chainId]);
+    const paths = findRoutesAndCreateOptimalPath(
         side,
         samples,
         nativeOrders,
@@ -358,58 +404,22 @@ export function findOptimalRustPathFromSamples(
         opts,
         fees,
         neonRouterNumSamples,
+        vipSourcesSet,
     );
-    // tslint:disable-next-line: no-unused-expression
-    samplerMetrics &&
-        samplerMetrics.logRouterDetails({
-            router: 'neon-router',
-            type: 'all',
-            timingMs: performance.now() - beforeTimeMs,
-        });
-    if (!allSourcesPath) {
+
+    if (!paths) {
+        sendMetrics();
         return undefined;
     }
 
-    const vipSources = VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID[chainId];
+    const { allSourcesPath, vipSourcesPath } = paths;
 
-    // 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) {
-        beforeTimeMs = performance.now();
-        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,
-                neonRouterNumSamples,
-            );
-            // tslint:disable-next-line: no-unused-expression
-            samplerMetrics &&
-                samplerMetrics.logRouterDetails({
-                    router: 'neon-router',
-                    type: 'vip',
-                    timingMs: performance.now() - beforeTimeMs,
-                });
-
-            if (vipSourcesPath?.isBetterThan(allSourcesPath)) {
-                return vipSourcesPath;
-            }
-        }
+    if (!allSourcesPath || vipSourcesPath?.isBetterThan(allSourcesPath)) {
+        sendMetrics();
+        return vipSourcesPath;
     }
-    // tslint:disable-next-line: no-unused-expression
-    samplerMetrics &&
-        samplerMetrics.logRouterDetails({
-            router: 'neon-router',
-            type: 'total',
-            timingMs: performance.now() - beforeAllTimeMs,
-        });
 
+    sendMetrics();
     return allSourcesPath;
 }
 

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

@@ -10,7 +10,6 @@ import { NativeOrderWithFillableAmounts, RfqFirmQuoteValidator, RfqRequestOpts }
 import { QuoteRequestor, V4RFQIndicativeQuoteMM } from '../../utils/quote_requestor';
 import { ExtendedQuoteReportSources, PriceComparisonsReport, QuoteReport } from '../quote_report_generator';
 
-import { CollapsedPath } from './path';
 import { SourceFilters } from './source_filters';
 
 /**
@@ -579,7 +578,6 @@ export interface OptimizerResult {
     liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>;
     marketSideLiquidity: MarketSideLiquidity;
     adjustedRate: BigNumber;
-    unoptimizedPath?: CollapsedPath;
     takerAmountPerEth: BigNumber;
     makerAmountPerEth: BigNumber;
 }

yarn.lock

@@ -952,9 +952,10 @@
     typedoc "~0.16.11"
     yargs "^10.0.3"
 
-"@0x/neon-router@^0.3.3":
-  version "0.3.3"
-  resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.3.3.tgz#dab540f4cd2aea6441ba29cbc35c28ca3f7a2b4f"
+"@0x/neon-router@^0.3.5":
+  version "0.3.5"
+  resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.3.5.tgz#895e7a2dc65d492a413daaea283cbc0ca6df83fa"
+  integrity sha512-8wizP3smc5o4jVg1smZzCCFo4ohOrgDhO4JFjF+/oNHbFImlGHOvmH9HQ2FJXAXiLEOTxrbp3T5XxP5GNATq3w==
   dependencies:
     "@mapbox/node-pre-gyp" "^1.0.5"