Publish

- @0x/contracts-integrations@2.7.35
 - @0x/asset-swapper@6.6.0

contracts/integrations/package.json

@@ -1,6 +1,6 @@
 {
     "name": "@0x/contracts-integrations",
-    "version": "2.7.32",
+    "version": "2.7.35",
     "private": true,
     "engines": {
         "node": ">=6.12"
@@ -93,7 +93,7 @@
         "typescript": "4.2.2"
     },
     "dependencies": {
-        "@0x/asset-swapper": "^6.5.1",
+        "@0x/asset-swapper": "^6.6.0",
         "@0x/base-contract": "^6.2.18",
         "@0x/contracts-asset-proxy": "^3.7.9",
         "@0x/contracts-erc1155": "^2.1.27",

docs/basics/protocol_fees.rst

@@ -4,7 +4,7 @@ Protocol Fees
 
 An ETH protocol fee is paid by the Taker each time a `Limit Order <./orders.html#limit-orders>`_ is `filled <./functions.html>`_.
 The fee is proportional to the gas cost of filling an order and scales linearly with gas price. The cost is currently ``70k * tx.gasprice``. 
-Every 10 days, these fees are aggregated and distributed to the makers as a liquidity reward: the reward is proportional to the maker's collected fees and staked ZRX relative to other makers.
+At the end of every Staking Epoch, these fees are aggregated and distributed to the makers as a liquidity reward: the reward is proportional to the maker's collected fees and staked ZRX relative to other makers.
 To learn more about protocol fees and liquidity incentives, see the `Official Spec <https://github.com/0xProject/0x-protocol-specification/blob/master/staking/staking-specification.md>`_.
 
 .. note::

packages/asset-swapper/CHANGELOG.json

@@ -1,4 +1,33 @@
 [
+    {
+        "version": "6.6.0",
+        "changes": [
+            {
+                "note": "Support `Ropsten` network",
+                "pr": 203
+            }
+        ],
+        "timestamp": 1618592834
+    },
+    {
+        "version": "6.5.3",
+        "changes": [
+            {
+                "note": "Apply slippage to bridge orders in consumer",
+                "pr": 198
+            }
+        ],
+        "timestamp": 1618433771
+    },
+    {
+        "timestamp": 1618314654,
+        "version": "6.5.2",
+        "changes": [
+            {
+                "note": "Dependencies updated"
+            }
+        ]
+    },
     {
         "timestamp": 1618259868,
         "version": "6.5.1",

packages/asset-swapper/CHANGELOG.md

@@ -5,6 +5,18 @@ Edit the package's CHANGELOG.json file only.
 
 CHANGELOG
 
+## v6.6.0 - _April 16, 2021_
+
+    * Support `Ropsten` network (#203)
+
+## v6.5.3 - _April 14, 2021_
+
+    * Apply slippage to bridge orders in consumer (#198)
+
+## v6.5.2 - _April 13, 2021_
+
+    * Dependencies updated
+
 ## v6.5.1 - _April 12, 2021_
 
     * Dependencies updated

packages/asset-swapper/package.json

@@ -1,6 +1,6 @@
 {
     "name": "@0x/asset-swapper",
-    "version": "6.5.1",
+    "version": "6.6.0",
     "engines": {
         "node": ">=6.12"
     },

packages/asset-swapper/src/quote_consumers/exchange_proxy_swap_quote_consumer.ts

@@ -23,6 +23,7 @@ import {
     CalldataInfo,
     ExchangeProxyContractOpts,
     MarketBuySwapQuote,
+    MarketOperation,
     MarketSellSwapQuote,
     SwapQuote,
     SwapQuoteConsumerBase,
@@ -43,6 +44,7 @@ import {
     LiquidityProviderFillData,
     MooniswapFillData,
     OptimizedMarketBridgeOrder,
+    OptimizedMarketOrder,
     UniswapV2FillData,
 } from '../utils/market_operation_utils/types';
 
@@ -136,7 +138,10 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
         const buyToken = quote.makerToken;
 
         // Take the bounds from the worst case
-        const sellAmount = quote.worstCaseQuoteInfo.totalTakerAmount;
+        const sellAmount = BigNumber.max(
+            quote.bestCaseQuoteInfo.totalTakerAmount,
+            quote.worstCaseQuoteInfo.totalTakerAmount,
+        );
         let minBuyAmount = quote.worstCaseQuoteInfo.makerAmount;
         let ethAmount = quote.worstCaseQuoteInfo.protocolFeeInWeiAmount;
 
@@ -144,13 +149,15 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
             ethAmount = ethAmount.plus(sellAmount);
         }
 
+        const slippedOrders = slipNonNativeOrders(quote);
+
         // VIP routes.
         if (
             this.chainId === ChainId.Mainnet &&
             isDirectSwapCompatible(quote, optsWithDefaults, [ERC20BridgeSource.UniswapV2, ERC20BridgeSource.SushiSwap])
         ) {
-            const source = quote.orders[0].source;
-            const fillData = (quote.orders[0] as OptimizedMarketBridgeOrder<UniswapV2FillData>).fillData;
+            const source = slippedOrders[0].source;
+            const fillData = (slippedOrders[0] as OptimizedMarketBridgeOrder<UniswapV2FillData>).fillData;
             return {
                 calldataHexString: this._exchangeProxy
                     .sellToUniswap(
@@ -183,8 +190,8 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
                 ERC20BridgeSource.SushiSwap,
             ])
         ) {
-            const source = quote.orders[0].source;
-            const fillData = (quote.orders[0] as OptimizedMarketBridgeOrder<UniswapV2FillData>).fillData;
+            const source = slippedOrders[0].source;
+            const fillData = (slippedOrders[0] as OptimizedMarketBridgeOrder<UniswapV2FillData>).fillData;
             return {
                 calldataHexString: this._exchangeProxy
                     .sellToPancakeSwap(
@@ -213,7 +220,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
             this.chainId === ChainId.Mainnet &&
             isDirectSwapCompatible(quote, optsWithDefaults, [ERC20BridgeSource.LiquidityProvider])
         ) {
-            const fillData = (quote.orders[0] as OptimizedMarketBridgeOrder<LiquidityProviderFillData>).fillData;
+            const fillData = (slippedOrders[0] as OptimizedMarketBridgeOrder<LiquidityProviderFillData>).fillData;
             const target = fillData.poolAddress;
             return {
                 calldataHexString: this._exchangeProxy
@@ -238,7 +245,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
             this.chainId === ChainId.Mainnet &&
             isDirectSwapCompatible(quote, optsWithDefaults, [ERC20BridgeSource.Curve, ERC20BridgeSource.Swerve])
         ) {
-            const fillData = quote.orders[0].fills[0].fillData as CurveFillData;
+            const fillData = slippedOrders[0].fills[0].fillData as CurveFillData;
             return {
                 calldataHexString: this._exchangeProxy
                     .sellToLiquidityProvider(
@@ -267,7 +274,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
             this.chainId === ChainId.Mainnet &&
             isDirectSwapCompatible(quote, optsWithDefaults, [ERC20BridgeSource.Mooniswap])
         ) {
-            const fillData = quote.orders[0].fills[0].fillData as MooniswapFillData;
+            const fillData = slippedOrders[0].fills[0].fillData as MooniswapFillData;
             return {
                 calldataHexString: this._exchangeProxy
                     .sellToLiquidityProvider(
@@ -289,7 +296,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
 
         if (this.chainId === ChainId.Mainnet && isMultiplexBatchFillCompatible(quote, optsWithDefaults)) {
             return {
-                calldataHexString: this._encodeMultiplexBatchFillCalldata(quote),
+                calldataHexString: this._encodeMultiplexBatchFillCalldata({ ...quote, orders: slippedOrders }),
                 ethAmount,
                 toAddress: this._exchangeProxy.address,
                 allowanceTarget: this._exchangeProxy.address,
@@ -298,7 +305,10 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
         }
         if (this.chainId === ChainId.Mainnet && isMultiplexMultiHopFillCompatible(quote, optsWithDefaults)) {
             return {
-                calldataHexString: this._encodeMultiplexMultiHopFillCalldata(quote, optsWithDefaults),
+                calldataHexString: this._encodeMultiplexMultiHopFillCalldata(
+                    { ...quote, orders: slippedOrders },
+                    optsWithDefaults,
+                ),
                 ethAmount,
                 toAddress: this._exchangeProxy.address,
                 allowanceTarget: this._exchangeProxy.address,
@@ -321,10 +331,10 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
 
         // If it's two hop we have an intermediate token this is needed to encode the individual FQT
         // and we also want to ensure no dust amount is left in the flash wallet
-        const intermediateToken = quote.isTwoHop ? quote.orders[0].makerToken : NULL_ADDRESS;
+        const intermediateToken = quote.isTwoHop ? slippedOrders[0].makerToken : NULL_ADDRESS;
         // This transformer will fill the quote.
         if (quote.isTwoHop) {
-            const [firstHopOrder, secondHopOrder] = quote.orders;
+            const [firstHopOrder, secondHopOrder] = slippedOrders;
             transforms.push({
                 deploymentNonce: this.transformerNonces.fillQuoteTransformer,
                 data: encodeFillQuoteTransformerData({
@@ -349,14 +359,13 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
             });
         } else {
             const fillAmount = isBuyQuote(quote) ? quote.makerTokenFillAmount : quote.takerTokenFillAmount;
-
             transforms.push({
                 deploymentNonce: this.transformerNonces.fillQuoteTransformer,
                 data: encodeFillQuoteTransformerData({
                     side: isBuyQuote(quote) ? FillQuoteTransformerSide.Buy : FillQuoteTransformerSide.Sell,
                     sellToken,
                     buyToken,
-                    ...getFQTTransformerDataFromOptimizedOrders(quote.orders),
+                    ...getFQTTransformerDataFromOptimizedOrders(slippedOrders),
                     refundReceiver: refundReceiver || NULL_ADDRESS,
                     fillAmount: !isBuyQuote(quote) && shouldSellEntireBalance ? MAX_UINT256 : fillAmount,
                 }),
@@ -598,3 +607,38 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
             .getABIEncodedTransactionData();
     }
 }
+
+function slipNonNativeOrders(quote: MarketSellSwapQuote | MarketBuySwapQuote): OptimizedMarketOrder[] {
+    const slippage = getMaxQuoteSlippageRate(quote);
+    if (!slippage) {
+        return quote.orders;
+    }
+    return quote.orders.map(o => {
+        if (o.source === ERC20BridgeSource.Native) {
+            return o;
+        }
+        return {
+            ...o,
+            ...(quote.type === MarketOperation.Sell
+                ? { makerAmount: o.makerAmount.times(1 - slippage).integerValue(BigNumber.ROUND_DOWN) }
+                : { takerAmount: o.takerAmount.times(1 + slippage).integerValue(BigNumber.ROUND_UP) }),
+        };
+    });
+}
+
+function getMaxQuoteSlippageRate(quote: MarketBuySwapQuote | MarketSellSwapQuote): number {
+    if (quote.type === MarketOperation.Buy) {
+        // (worstCaseTaker - bestCaseTaker) / bestCaseTaker
+        // where worstCaseTaker >= bestCaseTaker
+        return quote.worstCaseQuoteInfo.takerAmount
+            .minus(quote.bestCaseQuoteInfo.takerAmount)
+            .div(quote.bestCaseQuoteInfo.takerAmount)
+            .toNumber();
+    }
+    // (bestCaseMaker - worstCaseMaker) / bestCaseMaker
+    // where bestCaseMaker >= worstCaseMaker
+    return quote.bestCaseQuoteInfo.makerAmount
+        .minus(quote.worstCaseQuoteInfo.makerAmount)
+        .div(quote.bestCaseQuoteInfo.makerAmount)
+        .toNumber();
+}

packages/asset-swapper/src/swap_quoter.ts

@@ -591,9 +591,10 @@ function calculateTwoHopQuoteInfo(
                 : secondHopOrder.makerAmount,
             takerAmount: MarketOperation.Sell
                 ? firstHopOrder.takerAmount
-                : // tslint:disable-next-line: binary-expression-operand-order
-                  firstHopOrder.takerAmount.times(1 + slippage).integerValue(),
-            totalTakerAmount: firstHopOrder.takerAmount,
+                : firstHopOrder.takerAmount.times(1 + slippage).integerValue(),
+            totalTakerAmount: MarketOperation.Sell
+                ? firstHopOrder.takerAmount
+                : firstHopOrder.takerAmount.times(1 + slippage).integerValue(),
             feeTakerTokenAmount: constants.ZERO_AMOUNT,
             protocolFeeInWeiAmount: constants.ZERO_AMOUNT,
             gas,

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

@@ -1,4 +1,4 @@
-import { ChainId } from '@0x/contract-addresses';
+import { ChainId, getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
 import { FillQuoteTransformerOrderType } from '@0x/protocol-utils';
 import { BigNumber } from '@0x/utils';
 import { formatBytes32String } from '@ethersproject/strings';
@@ -87,7 +87,13 @@ export const SELL_SOURCE_FILTER_BY_CHAIN_ID = valueByChainId<SourceFilters>(
             ERC20BridgeSource.Component,
             ERC20BridgeSource.Saddle,
         ]),
-        [ChainId.Ropsten]: new SourceFilters([ERC20BridgeSource.Native]),
+        [ChainId.Ropsten]: new SourceFilters([
+            ERC20BridgeSource.Kyber,
+            ERC20BridgeSource.Native,
+            ERC20BridgeSource.SushiSwap,
+            ERC20BridgeSource.Uniswap,
+            ERC20BridgeSource.UniswapV2,
+        ]),
         [ChainId.Rinkeby]: new SourceFilters([ERC20BridgeSource.Native]),
         [ChainId.Kovan]: new SourceFilters([ERC20BridgeSource.Native]),
         [ChainId.Ganache]: new SourceFilters([ERC20BridgeSource.Native]),
@@ -142,7 +148,13 @@ export const BUY_SOURCE_FILTER_BY_CHAIN_ID = valueByChainId<SourceFilters>(
             ERC20BridgeSource.Component,
             ERC20BridgeSource.Saddle,
         ]),
-        [ChainId.Ropsten]: new SourceFilters([ERC20BridgeSource.Native]),
+        [ChainId.Ropsten]: new SourceFilters([
+            ERC20BridgeSource.Kyber,
+            ERC20BridgeSource.Native,
+            ERC20BridgeSource.SushiSwap,
+            ERC20BridgeSource.Uniswap,
+            ERC20BridgeSource.UniswapV2,
+        ]),
         [ChainId.Rinkeby]: new SourceFilters([ERC20BridgeSource.Native]),
         [ChainId.Kovan]: new SourceFilters([ERC20BridgeSource.Native]),
         [ChainId.Ganache]: new SourceFilters([ERC20BridgeSource.Native]),
@@ -175,6 +187,7 @@ export const FEE_QUOTE_SOURCES_BY_CHAIN_ID = valueByChainId<ERC20BridgeSource[]>
     {
         [ChainId.Mainnet]: [ERC20BridgeSource.UniswapV2, ERC20BridgeSource.SushiSwap],
         [ChainId.BSC]: [ERC20BridgeSource.PancakeSwap, ERC20BridgeSource.Mooniswap, ERC20BridgeSource.SushiSwap],
+        [ChainId.Ropsten]: [ERC20BridgeSource.UniswapV2, ERC20BridgeSource.SushiSwap],
     },
     [],
 );
@@ -369,6 +382,7 @@ export const DEFAULT_INTERMEDIATE_TOKENS_BY_CHAIN_ID = valueByChainId<string[]>(
             '0x2170ed0880ac9a755fd29b2688956bd959f933f8', // ETH
             '0x55d398326f99059ff775485246999027b3197955', // BUSD-T
         ],
+        [ChainId.Ropsten]: [getContractAddressesForChainOrThrow(ChainId.Ropsten).etherToken],
     },
     [],
 );
@@ -397,8 +411,12 @@ export const DEFAULT_TOKEN_ADJACENCY_GRAPH_BY_CHAIN_ID = valueByChainId<TokenAdj
 
 export const NATIVE_FEE_TOKEN_BY_CHAIN_ID = valueByChainId<string>(
     {
-        [ChainId.Mainnet]: MAINNET_TOKENS.WETH,
-        [ChainId.BSC]: '0xbb4cdb9cbd36b01bd1cbaebf2de08d9173bc095c', // WBNB
+        [ChainId.Mainnet]: getContractAddressesForChainOrThrow(ChainId.Mainnet).etherToken,
+        [ChainId.BSC]: getContractAddressesForChainOrThrow(ChainId.BSC).etherToken,
+        [ChainId.Ganache]: getContractAddressesForChainOrThrow(ChainId.Ganache).etherToken,
+        [ChainId.Ropsten]: getContractAddressesForChainOrThrow(ChainId.Ropsten).etherToken,
+        [ChainId.Rinkeby]: getContractAddressesForChainOrThrow(ChainId.Rinkeby).etherToken,
+        [ChainId.Kovan]: getContractAddressesForChainOrThrow(ChainId.Kovan).etherToken,
     },
     NULL_ADDRESS,
 );
@@ -732,6 +750,11 @@ export const KYBER_CONFIG_BY_CHAIN_ID = valueByChainId<KyberSamplerOpts>(
             hintHandler: '0xa1C0Fa73c39CFBcC11ec9Eb1Afc665aba9996E2C',
             weth: MAINNET_TOKENS.WETH,
         },
+        [ChainId.Ropsten]: {
+            networkProxy: '0x818e6fecd516ecc3849daf6845e3ec868087b755',
+            hintHandler: '0x63f773c026093eef988e803bdd5772dd235a8e71',
+            weth: getContractAddressesForChainOrThrow(ChainId.Ropsten).etherToken,
+        },
     },
     {
         networkProxy: NULL_ADDRESS,
@@ -768,6 +791,7 @@ export const LIQUIDITY_PROVIDER_REGISTRY_BY_CHAIN_ID = valueByChainId<LiquidityP
 export const UNISWAPV1_ROUTER_BY_CHAIN_ID = valueByChainId<string>(
     {
         [ChainId.Mainnet]: '0xc0a47dfe034b400b47bdad5fecda2621de6c4d95',
+        [ChainId.Ropsten]: '0x9c83dce8ca20e9aaf9d3efc003b2ea62abc08351',
     },
     NULL_ADDRESS,
 );
@@ -775,6 +799,7 @@ export const UNISWAPV1_ROUTER_BY_CHAIN_ID = valueByChainId<string>(
 export const UNISWAPV2_ROUTER_BY_CHAIN_ID = valueByChainId<string>(
     {
         [ChainId.Mainnet]: '0xf164fc0ec4e93095b804a4795bbe1e041497b92a',
+        [ChainId.Ropsten]: '0xf164fc0ec4e93095b804a4795bbe1e041497b92a',
     },
     NULL_ADDRESS,
 );
@@ -783,6 +808,7 @@ export const SUSHISWAP_ROUTER_BY_CHAIN_ID = valueByChainId<string>(
     {
         [ChainId.Mainnet]: '0xd9e1ce17f2641f24ae83637ab66a2cca9c378b9f',
         [ChainId.BSC]: '0x1b02da8cb0d097eb8d57a175b88c7d8b47997506',
+        [ChainId.Ropsten]: '0x1b02da8cb0d097eb8d57a175b88c7d8b47997506',
     },
     NULL_ADDRESS,
 );

packages/asset-swapper/src/utils/quote_requestor.ts

@@ -83,7 +83,7 @@ export class QuoteRequestor {
         sellTokenAddress: string, // taker token
         assetFillAmount: BigNumber,
         comparisonPrice?: BigNumber,
-        isLastLook: boolean = false,
+        isLastLook?: boolean | undefined,
     ): TakerRequestQueryParams {
         const { buyAmountBaseUnits, sellAmountBaseUnits } =
             marketOperation === MarketOperation.Buy
@@ -111,9 +111,11 @@ export class QuoteRequestor {
             buyTokenAddress,
             sellTokenAddress,
             comparisonPrice: comparisonPrice === undefined ? undefined : comparisonPrice.toString(),
-            isLastLook: isLastLook.toString(),
             protocolVersion: '4',
         };
+        if (isLastLook) {
+            requestParamsWithBigNumbers.isLastLook = isLastLook.toString();
+        }
 
         // convert BigNumbers to strings
         // so they are digestible by axios

packages/asset-swapper/src/utils/quote_simulation.ts

@@ -129,11 +129,10 @@ export function simulateWorstCaseFill(quoteInfo: QuoteFillInfo): QuoteFillResult
     };
     // Adjust the output by 1-slippage for the worst case if it is a sell
     // Adjust the output by 1+slippage for the worst case if it is a buy
-    const outputMultiplier =
+    result.output =
         quoteInfo.side === MarketOperation.Sell
-            ? new BigNumber(1).minus(opts.slippage)
-            : new BigNumber(1).plus(opts.slippage);
-    result.output = result.output.times(outputMultiplier).integerValue();
+            ? result.output.times(1 - opts.slippage).integerValue(BigNumber.ROUND_DOWN)
+            : result.output.times(1 + opts.slippage).integerValue(BigNumber.ROUND_UP);
     return fromIntermediateQuoteFillResult(result, quoteInfo);
 }
 

packages/asset-swapper/test/market_operation_utils_test.ts

@@ -915,6 +915,7 @@ describe('MarketOperationUtils tests', () => {
                             intentOnFilling: true,
                             quoteRequestor: {
                                 requestRfqtIndicativeQuotesAsync: requestor.object.requestRfqtIndicativeQuotesAsync,
+                                getMakerUriForSignature: requestor.object.getMakerUriForSignature,
                             } as any,
                         },
                     },

packages/asset-swapper/test/quote_requestor_test.ts

@@ -272,7 +272,6 @@ describe('QuoteRequestor', async () => {
                 comparisonPrice: undefined,
                 takerAddress,
                 txOrigin,
-                isLastLook: 'false',
                 protocolVersion: '4',
             };
             const mockedDefaults = {
@@ -579,7 +578,6 @@ describe('QuoteRequestor', async () => {
                 comparisonPrice: undefined,
                 takerAddress,
                 txOrigin: takerAddress,
-                isLastLook: 'false',
                 protocolVersion: '4',
             };
             const mockedDefaults = {
@@ -688,7 +686,6 @@ describe('QuoteRequestor', async () => {
                 takerAddress,
                 txOrigin: takerAddress,
                 protocolVersion: '4',
-                isLastLook: 'false',
             };
             const mockedDefaults = {
                 requestApiKey: apiKey,
@@ -773,7 +770,6 @@ describe('QuoteRequestor', async () => {
                 comparisonPrice: undefined,
                 takerAddress,
                 txOrigin: takerAddress,
-                isLastLook: 'false',
                 protocolVersion: '4',
             };
             // Successful response

packages/asset-swapper/tslint.json

@@ -1,7 +1,8 @@
 {
     "extends": ["@0x/tslint-config"],
     "rules": {
-        "max-file-line-count": false
+        "max-file-line-count": false,
+        "binary-expression-operand-order": false
     },
     "linterOptions": {
         "exclude": ["src/artifacts.ts", "test/artifacts.ts"]