Publish

- @0x/asset-swapper@16.63.0

CODEOWNERS

@@ -1,18 +1,20 @@
 # See https://help.github.com/articles/about-codeowners/
+
 # for more info about CODEOWNERS file
 
 # It uses the same pattern rule for gitignore file
+
 # https://git-scm.com/docs/gitignore#_pattern_format
 
-# Website
+packages/asset-swapper/ @dekz @mzhu25 @dextracker @kh-chang
-packages/asset-swapper/  @BMillman19 @fragosti @dave4506
-packages/instant/  @BMillman19 @fragosti @dave4506
 
 # Dev tools & setup
-.circleci/ @dorothy-zbornak
+
-packages/contract-addresses/ @abandeali1
+.circleci/ @dekz @mzhu25
-packages/contract-artifacts/ @abandeali1
+packages/contract-addresses/ @dekz @mzhu25 @dextracker @kh-chang
-packages/order-utils/ @dorothy-zbornak 
+packages/contract-artifacts/ @dekz @mzhu25
+packages/protocol-utils/ @dekz @mzhu25
 
 # Protocol/smart contracts
-contracts/ @abandeali1 @hysz @dorothy-zbornak @mzhu25
+
+contracts/ @dekz @mzhu25 @dextracker

packages/asset-swapper/CHANGELOG.json

@@ -1,4 +1,27 @@
 [
+    {
+        "version": "16.63.0",
+        "changes": [
+            {
+                "note": "Remove JS router",
+                "pr": 480
+            },
+            {
+                "note": "Removed Median price in favour of best gas adjusted price",
+                "pr": 480
+            }
+        ],
+        "timestamp": 1656491792
+    },
+    {
+        "version": "16.62.2",
+        "changes": [
+            {
+                "note": "Offboard Smoothy and ComethSwap",
+                "pr": 509
+            }
+        ]
+    },
     {
         "version": "16.62.1",
         "changes": [

packages/asset-swapper/CHANGELOG.md

@@ -5,6 +5,15 @@ Edit the package's CHANGELOG.json file only.
 
 CHANGELOG
 
+## v16.63.0 - _June 29, 2022_
+
+    * Remove JS router (#480)
+    * Removed Median price in favour of best gas adjusted price (#480)
+
+## v16.62.2 - _Invalid date_
+
+    * Offboard Smoothy and ComethSwap (#509)
+
 ## v16.62.1 - _June 15, 2022_
 
     * Remove nUSD from intermediate liquidity to save on sampler gas (#505)

packages/asset-swapper/contracts/src/ERC20BridgeSampler.sol

@@ -39,7 +39,6 @@ import "./MooniswapSampler.sol";
 import "./NativeOrderSampler.sol";
 import "./PlatypusSampler.sol";
 import "./ShellSampler.sol";
-import "./SmoothySampler.sol";
 import "./TwoHopSampler.sol";
 import "./UniswapSampler.sol";
 import "./UniswapV2Sampler.sol";
@@ -68,7 +67,6 @@ contract ERC20BridgeSampler is
     NativeOrderSampler,
     PlatypusSampler,
     ShellSampler,
-    SmoothySampler,
     TwoHopSampler,
     UniswapSampler,
     UniswapV2Sampler,

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

@@ -1,156 +0,0 @@
-// SPDX-License-Identifier: Apache-2.0
-/*
-
-  Copyright 2020 ZeroEx Intl.
-
-  Licensed under the Apache License, Version 2.0 (the "License");
-  you may not use this file except in compliance with the License.
-  You may obtain a copy of the License at
-
-    http://www.apache.org/licenses/LICENSE-2.0
-
-  Unless required by applicable law or agreed to in writing, software
-  distributed under the License is distributed on an "AS IS" BASIS,
-  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-  See the License for the specific language governing permissions and
-  limitations under the License.
-
-*/
-
-pragma solidity ^0.6;
-pragma experimental ABIEncoderV2;
-
-// import "./interfaces/ISmoothy.sol";
-import "./ApproximateBuys.sol";
-import "./SamplerUtils.sol";
-import "./interfaces/ISmoothy.sol";
-
-contract SmoothySampler is
-    SamplerUtils,
-    ApproximateBuys
-{
-    /// @dev Information for sampling from smoothy sources.
-    struct SmoothyInfo {
-        address poolAddress;
-        bytes4 sellQuoteFunctionSelector;
-        bytes4 buyQuoteFunctionSelector;
-    }
-
-    /// @dev Base gas limit for Smoothy calls.
-    uint256 constant private SMOOTHY_CALL_GAS = 600e3;
-
-    /// @dev Sample sell quotes from Smoothy.
-    /// @param smoothyInfo Smoothy information specific to this token pair.
-    /// @param fromTokenIdx Index of the taker token (what to sell).
-    /// @param toTokenIdx Index of the maker token (what to buy).
-    /// @param takerTokenAmounts Taker token sell amount for each sample.
-    /// @return makerTokenAmounts Maker amounts bought at each taker token
-    ///         amount.
-    function sampleSellsFromSmoothy(
-        SmoothyInfo memory smoothyInfo,
-        int128 fromTokenIdx,
-        int128 toTokenIdx,
-        uint256[] memory takerTokenAmounts
-    )
-        public
-        view
-        returns (uint256[] memory makerTokenAmounts)
-    {
-        // Basically a Curve fork
-
-        // Smoothy only keep a percentage of its tokens available in reserve
-        uint256 poolReserveMakerAmount = ISmoothy(smoothyInfo.poolAddress).getBalance(uint256(toTokenIdx)) -
-                                         ISmoothy(smoothyInfo.poolAddress)._yBalances(uint256(toTokenIdx));
-        (, , , uint256 decimals) = ISmoothy(smoothyInfo.poolAddress).getTokenStats(uint256(toTokenIdx));
-        poolReserveMakerAmount = poolReserveMakerAmount/(10**(18-decimals));
-
-        uint256 numSamples = takerTokenAmounts.length;
-        makerTokenAmounts = new uint256[](numSamples);
-        for (uint256 i = 0; i < numSamples; i++) {
-            (bool didSucceed, bytes memory resultData) =
-                smoothyInfo.poolAddress.staticcall.gas(SMOOTHY_CALL_GAS)(
-                    abi.encodeWithSelector(
-                        smoothyInfo.sellQuoteFunctionSelector,
-                        fromTokenIdx,
-                        toTokenIdx,
-                        takerTokenAmounts[i]
-                    ));
-            uint256 buyAmount = 0;
-            if (didSucceed) {
-                buyAmount = abi.decode(resultData, (uint256));
-            }
-
-            // Make sure the quoted buyAmount is available in the pool reserve
-            if (buyAmount >= poolReserveMakerAmount) {
-                // Assign pool reserve amount for all higher samples to break early
-                for (uint256 j = i; j < numSamples; j++) {
-                    makerTokenAmounts[j] = poolReserveMakerAmount;
-                }
-                break;
-            } else {
-                makerTokenAmounts[i] = buyAmount;
-            }
-
-            // Break early if there are 0 amounts
-            if (makerTokenAmounts[i] == 0) {
-                break;
-            }
-        }
-    }
-
-    /// @dev Sample buy quotes from Smoothy.
-    /// @param smoothyInfo Smoothy information specific to this token pair.
-    /// @param fromTokenIdx Index of the taker token (what to sell).
-    /// @param toTokenIdx Index of the maker token (what to buy).
-    /// @param makerTokenAmounts Maker token buy amount for each sample.
-    /// @return takerTokenAmounts Taker amounts sold at each maker token
-    ///         amount.
-    function sampleBuysFromSmoothy(
-        SmoothyInfo memory smoothyInfo,
-        int128 fromTokenIdx,
-        int128 toTokenIdx,
-        uint256[] memory makerTokenAmounts
-    )
-        public
-        view
-        returns (uint256[] memory takerTokenAmounts)
-    {
-        // Buys not supported so approximate it.
-        return _sampleApproximateBuys(
-            ApproximateBuyQuoteOpts({
-                makerTokenData: abi.encode(toTokenIdx, smoothyInfo),
-                takerTokenData: abi.encode(fromTokenIdx, smoothyInfo),
-                getSellQuoteCallback: _sampleSellForApproximateBuyFromSmoothy
-            }),
-            makerTokenAmounts
-        );
-    }
-
-    function _sampleSellForApproximateBuyFromSmoothy(
-        bytes memory takerTokenData,
-        bytes memory makerTokenData,
-        uint256 sellAmount
-    )
-        private
-        view
-        returns (uint256 buyAmount)
-    {
-        (int128 takerTokenIdx, SmoothyInfo memory smoothyInfo) =
-            abi.decode(takerTokenData, (int128, SmoothyInfo));
-        (int128 makerTokenIdx) =
-            abi.decode(makerTokenData, (int128));
-        (bool success, bytes memory resultData) =
-            address(this).staticcall(abi.encodeWithSelector(
-                this.sampleSellsFromSmoothy.selector,
-                smoothyInfo,
-                takerTokenIdx,
-                makerTokenIdx,
-                _toSingleValueArray(sellAmount)
-            ));
-        if (!success) {
-            return 0;
-        }
-        // solhint-disable-next-line indent
-        return abi.decode(resultData, (uint256[]))[0];
-    }
-}

packages/asset-swapper/contracts/src/interfaces/ISmoothy.sol

@@ -1,45 +0,0 @@
-// SPDX-License-Identifier: Apache-2.0
-/*
-
-  Copyright 2021 ZeroEx Intl.
-
-  Licensed under the Apache License, Version 2.0 (the "License");
-  you may not use this file except in compliance with the License.
-  You may obtain a copy of the License at
-
-    http://www.apache.org/licenses/LICENSE-2.0
-
-  Unless required by applicable law or agreed to in writing, software
-  distributed under the License is distributed on an "AS IS" BASIS,
-  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
-  See the License for the specific language governing permissions and
-  limitations under the License.
-
-*/
-
-pragma solidity ^0.6;
-
-
-interface ISmoothy {
-
-    function getBalance (
-        uint256 tid
-    )
-        external
-        view
-        returns (uint256 balance);
-
-    function _yBalances (
-        uint256 tid
-    )
-        external
-        view
-        returns (uint256 balance);
-
-    function getTokenStats (
-        uint256 tid
-    )
-        external
-        view
-        returns (uint256 softWeight, uint256 hardWeight, uint256 balance, uint256 decimals);
-}

packages/asset-swapper/package.json

@@ -1,6 +1,6 @@
 {
     "name": "@0x/asset-swapper",
-    "version": "16.62.1",
+    "version": "16.63.0",
     "engines": {
         "node": ">=6.12"
     },
@@ -40,7 +40,7 @@
     "config": {
         "publicInterfaceContracts": "ERC20BridgeSampler,BalanceChecker,FakeTaker",
         "abis:comment": "This list is auto-generated by contracts-gen. Don't edit manually.",
-        "abis": "./test/generated-artifacts/@(ApproximateBuys|BalanceChecker|BalancerSampler|BalancerV2BatchSampler|BalancerV2Common|BalancerV2Sampler|BancorSampler|BancorV3Sampler|CompoundSampler|CurveSampler|DODOSampler|DODOV2Sampler|ERC20BridgeSampler|FakeTaker|GMXSampler|IBalancer|IBalancerV2Vault|IBancor|IBancorV3|ICurve|IGMX|IMStable|IMooniswap|IMultiBridge|IPlatypus|IShell|ISmoothy|IUniswapExchangeQuotes|IUniswapV2Router01|KyberDmmSampler|LidoSampler|LiquidityProviderSampler|MStableSampler|MakerPSMSampler|MooniswapSampler|NativeOrderSampler|PlatypusSampler|SamplerUtils|ShellSampler|SmoothySampler|TestNativeOrderSampler|TwoHopSampler|UniswapSampler|UniswapV2Sampler|UniswapV3Sampler|UtilitySampler|VelodromeSampler).json",
+        "abis": "./test/generated-artifacts/@(ApproximateBuys|BalanceChecker|BalancerSampler|BalancerV2BatchSampler|BalancerV2Common|BalancerV2Sampler|BancorSampler|BancorV3Sampler|CompoundSampler|CurveSampler|DODOSampler|DODOV2Sampler|ERC20BridgeSampler|FakeTaker|GMXSampler|IBalancer|IBalancerV2Vault|IBancor|IBancorV3|ICurve|IGMX|IMStable|IMooniswap|IMultiBridge|IPlatypus|IShell|IUniswapExchangeQuotes|IUniswapV2Router01|KyberDmmSampler|LidoSampler|LiquidityProviderSampler|MStableSampler|MakerPSMSampler|MooniswapSampler|NativeOrderSampler|PlatypusSampler|SamplerUtils|ShellSampler|TestNativeOrderSampler|TwoHopSampler|UniswapSampler|UniswapV2Sampler|UniswapV3Sampler|UtilitySampler|VelodromeSampler).json",
         "postpublish": {
             "assets": []
         }

packages/asset-swapper/src/index.ts

@@ -4,7 +4,7 @@ export {
     ContractTxFunctionObj,
     SendTransactionOpts,
 } from '@0x/base-contract';
-export { ContractAddresses } from '@0x/contract-addresses';
+export { ContractAddresses, ChainId, getContractAddressesForChainOrThrow } from '@0x/contract-addresses';
 export {
     V4RFQFirmQuote,
     V4RFQIndicativeQuote,
@@ -132,6 +132,7 @@ export {
     BUY_SOURCE_FILTER_BY_CHAIN_ID,
     SELL_SOURCE_FILTER_BY_CHAIN_ID,
     NATIVE_FEE_TOKEN_BY_CHAIN_ID,
+    ZERO_AMOUNT,
 } from './utils/market_operation_utils/constants';
 export {
     Parameters,
@@ -141,7 +142,6 @@ export {
 export {
     BalancerFillData,
     BancorFillData,
-    CollapsedFill,
     CurveFillData,
     CurveFunctionSelectors,
     CurveInfo,
@@ -150,7 +150,9 @@ export {
     ERC20BridgeSource,
     ExchangeProxyOverhead,
     FeeSchedule,
+    GasSchedule,
     Fill,
+    FillAdjustor,
     FillData,
     GetMarketOrdersRfqOpts,
     LiquidityProviderFillData,
@@ -159,7 +161,6 @@ export {
     MarketDepthSide,
     MooniswapFillData,
     MultiHopFillData,
-    NativeCollapsedFill,
     NativeRfqOrderFillData,
     NativeLimitOrderFillData,
     NativeFillData,
@@ -168,6 +169,7 @@ export {
     TokenAdjacencyGraph,
     UniswapV2FillData,
 } from './utils/market_operation_utils/types';
+export { IdentityFillAdjustor } from './utils/market_operation_utils/identity_fill_adjustor';
 export { ProtocolFeeUtils } from './utils/protocol_fee_utils';
 export {
     BridgeQuoteReportEntry,
@@ -191,3 +193,5 @@ export type Native = ERC20BridgeSource.Native;
 export type MultiHop = ERC20BridgeSource.MultiHop;
 
 export { rfqtMocker, RfqtQuoteEndpoint } from './utils/rfqt_mocker';
+
+export { adjustOutput } from './utils/market_operation_utils/fills';

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

@@ -282,7 +282,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
             // ETH buy/sell is supported
             ![sellToken, buyToken].includes(NATIVE_FEE_TOKEN_BY_CHAIN_ID[ChainId.Mainnet])
         ) {
-            const fillData = slippedOrders[0].fills[0].fillData as CurveFillData;
+            const fillData = slippedOrders[0].fillData as CurveFillData;
             return {
                 calldataHexString: this._exchangeProxy
                     .sellToLiquidityProvider(
@@ -311,7 +311,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
             this.chainId === ChainId.Mainnet &&
             isDirectSwapCompatible(quote, optsWithDefaults, [ERC20BridgeSource.Mooniswap])
         ) {
-            const fillData = slippedOrders[0].fills[0].fillData as MooniswapFillData;
+            const fillData = slippedOrders[0].fillData as MooniswapFillData;
             return {
                 calldataHexString: this._exchangeProxy
                     .sellToLiquidityProvider(

packages/asset-swapper/src/swap_quoter.ts

@@ -33,8 +33,8 @@ import { DexOrderSampler } from './utils/market_operation_utils/sampler';
 import { SourceFilters } from './utils/market_operation_utils/source_filters';
 import {
     ERC20BridgeSource,
-    FeeSchedule,
     FillData,
+    GasSchedule,
     GetMarketOrdersOpts,
     MarketDepth,
     MarketDepthSide,
@@ -366,9 +366,11 @@ export class SwapQuoter {
         const calcOpts: GetMarketOrdersOpts = {
             ...cloneOpts,
             gasPrice,
-            feeSchedule: _.mapValues(opts.feeSchedule, gasCost => (fillData: FillData) =>
+            feeSchedule: _.mapValues(opts.gasSchedule, gasCost => (fillData: FillData) => {
-                gasCost === undefined ? 0 : gasPrice.times(gasCost(fillData)),
+                const gas = gasCost ? gasCost(fillData) : 0;
-            ),
+                const fee = gasPrice.times(gas);
+                return { gas, fee };
+            }),
             exchangeProxyOverhead: flags => gasPrice.times(opts.exchangeProxyOverhead(flags)),
         };
         // pass the QuoteRequestor on if rfqt enabled
@@ -502,7 +504,7 @@ function createSwapQuote(
     operation: MarketOperation,
     assetFillAmount: BigNumber,
     gasPrice: BigNumber,
-    gasSchedule: FeeSchedule,
+    gasSchedule: GasSchedule,
     slippage: number,
 ): SwapQuote {
     const {
@@ -562,7 +564,7 @@ function calculateQuoteInfo(
     operation: MarketOperation,
     assetFillAmount: BigNumber,
     gasPrice: BigNumber,
-    gasSchedule: FeeSchedule,
+    gasSchedule: GasSchedule,
     slippage: number,
 ): { bestCaseQuoteInfo: SwapQuoteInfo; worstCaseQuoteInfo: SwapQuoteInfo; sourceBreakdown: SwapQuoteOrdersBreakdown } {
     const bestCaseFillResult = simulateBestCaseFill({
@@ -591,25 +593,23 @@ function calculateQuoteInfo(
 function calculateTwoHopQuoteInfo(
     optimizedOrders: OptimizedMarketOrder[],
     operation: MarketOperation,
-    gasSchedule: FeeSchedule,
+    gasSchedule: GasSchedule,
     slippage: number,
 ): { bestCaseQuoteInfo: SwapQuoteInfo; worstCaseQuoteInfo: SwapQuoteInfo; sourceBreakdown: SwapQuoteOrdersBreakdown } {
     const [firstHopOrder, secondHopOrder] = optimizedOrders;
-    const [firstHopFill] = firstHopOrder.fills;
-    const [secondHopFill] = secondHopOrder.fills;
     const gas = new BigNumber(
         gasSchedule[ERC20BridgeSource.MultiHop]!({
-            firstHopSource: _.pick(firstHopFill, 'source', 'fillData'),
+            firstHopSource: _.pick(firstHopOrder, 'source', 'fillData'),
-            secondHopSource: _.pick(secondHopFill, 'source', 'fillData'),
+            secondHopSource: _.pick(secondHopOrder, 'source', 'fillData'),
         }),
     ).toNumber();
     const isSell = operation === MarketOperation.Sell;
 
     return {
         bestCaseQuoteInfo: {
-            makerAmount: isSell ? secondHopFill.output : secondHopFill.input,
+            makerAmount: isSell ? secondHopOrder.fill.output : secondHopOrder.fill.input,
-            takerAmount: isSell ? firstHopFill.input : firstHopFill.output,
+            takerAmount: isSell ? firstHopOrder.fill.input : firstHopOrder.fill.output,
-            totalTakerAmount: isSell ? firstHopFill.input : firstHopFill.output,
+            totalTakerAmount: isSell ? firstHopOrder.fill.input : firstHopOrder.fill.output,
             feeTakerTokenAmount: constants.ZERO_AMOUNT,
             protocolFeeInWeiAmount: constants.ZERO_AMOUNT,
             gas,
@@ -635,7 +635,7 @@ function calculateTwoHopQuoteInfo(
             [ERC20BridgeSource.MultiHop]: {
                 proportion: new BigNumber(1),
                 intermediateToken: secondHopOrder.takerToken,
-                hops: [firstHopFill.source, secondHopFill.source],
+                hops: [firstHopOrder.source, secondHopOrder.source],
             },
         },
     };

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

@@ -8,7 +8,6 @@ import {
     BELT_BSC_INFOS,
     BISWAP_ROUTER_BY_CHAIN_ID,
     CHEESESWAP_ROUTER_BY_CHAIN_ID,
-    COMETHSWAP_ROUTER_BY_CHAIN_ID,
     COMPONENT_POOLS_BY_CHAIN_ID,
     CRYPTO_COM_ROUTER_BY_CHAIN_ID,
     CURVE_AVALANCHE_INFOS,
@@ -42,8 +41,6 @@ import {
     SADDLE_MAINNET_INFOS,
     SHELL_POOLS_BY_CHAIN_ID,
     SHIBASWAP_ROUTER_BY_CHAIN_ID,
-    SMOOTHY_BSC_INFOS,
-    SMOOTHY_MAINNET_INFOS,
     SPIRITSWAP_ROUTER_BY_CHAIN_ID,
     SPOOKYSWAP_ROUTER_BY_CHAIN_ID,
     SUSHISWAP_ROUTER_BY_CHAIN_ID,
@@ -325,30 +322,6 @@ export function getEllipsisInfosForPair(chainId: ChainId, takerToken: string, ma
     );
 }
 
-export function getSmoothyInfosForPair(chainId: ChainId, takerToken: string, makerToken: string): CurveInfo[] {
-    if (chainId === ChainId.BSC) {
-        return Object.values(SMOOTHY_BSC_INFOS).filter(c =>
-            [makerToken, takerToken].every(
-                t =>
-                    (c.tokens.includes(t) && c.metaTokens === undefined) ||
-                    (c.tokens.includes(t) &&
-                        [makerToken, takerToken].filter(v => c.metaTokens?.includes(v)).length > 0),
-            ),
-        );
-    } else if (chainId === ChainId.Mainnet) {
-        return Object.values(SMOOTHY_MAINNET_INFOS).filter(c =>
-            [makerToken, takerToken].every(
-                t =>
-                    (c.tokens.includes(t) && c.metaTokens === undefined) ||
-                    (c.tokens.includes(t) &&
-                        [makerToken, takerToken].filter(v => c.metaTokens?.includes(v)).length > 0),
-            ),
-        );
-    } else {
-        return [];
-    }
-}
-
 export function getSaddleInfosForPair(chainId: ChainId, takerToken: string, makerToken: string): CurveInfo[] {
     if (chainId !== ChainId.Mainnet) {
         return [];
@@ -456,7 +429,6 @@ export function getCurveLikeInfosForPair(
         | ERC20BridgeSource.Synapse
         | ERC20BridgeSource.Belt
         | ERC20BridgeSource.Ellipsis
-        | ERC20BridgeSource.Smoothy
         | ERC20BridgeSource.Saddle
         | ERC20BridgeSource.IronSwap
         | ERC20BridgeSource.XSigma
@@ -484,9 +456,6 @@ export function getCurveLikeInfosForPair(
         case ERC20BridgeSource.Ellipsis:
             pools = getEllipsisInfosForPair(chainId, takerToken, makerToken);
             break;
-        case ERC20BridgeSource.Smoothy:
-            pools = getSmoothyInfosForPair(chainId, takerToken, makerToken);
-            break;
         case ERC20BridgeSource.Saddle:
             pools = getSaddleInfosForPair(chainId, takerToken, makerToken);
             break;
@@ -527,7 +496,6 @@ export function uniswapV2LikeRouterAddress(
         | ERC20BridgeSource.ApeSwap
         | ERC20BridgeSource.CheeseSwap
         | ERC20BridgeSource.QuickSwap
-        | ERC20BridgeSource.ComethSwap
         | ERC20BridgeSource.Dfyn
         | ERC20BridgeSource.WaultSwap
         | ERC20BridgeSource.ShibaSwap
@@ -562,8 +530,6 @@ export function uniswapV2LikeRouterAddress(
             return CHEESESWAP_ROUTER_BY_CHAIN_ID[chainId];
         case ERC20BridgeSource.QuickSwap:
             return QUICKSWAP_ROUTER_BY_CHAIN_ID[chainId];
-        case ERC20BridgeSource.ComethSwap:
-            return COMETHSWAP_ROUTER_BY_CHAIN_ID[chainId];
         case ERC20BridgeSource.Dfyn:
             return DFYN_ROUTER_BY_CHAIN_ID[chainId];
         case ERC20BridgeSource.WaultSwap:

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

@@ -48,7 +48,7 @@ export function getComparisonPrices(
     } else {
         try {
             const fillFeeInEth = new BigNumber(
-                (feeSchedule[ERC20BridgeSource.Native] as FeeEstimate)({ type: FillQuoteTransformerOrderType.Rfq }),
+                (feeSchedule[ERC20BridgeSource.Native] as FeeEstimate)({ type: FillQuoteTransformerOrderType.Rfq }).fee,
             );
             const exchangeProxyOverheadInEth = new BigNumber(exchangeProxyOverhead(SOURCE_FLAGS.RfqOrder));
             feeInEth = fillFeeInEth.plus(exchangeProxyOverheadInEth);

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

@@ -5,6 +5,7 @@ import { formatBytes32String } from '@ethersproject/strings';
 
 import { TokenAdjacencyGraphBuilder } from '../token_adjacency_graph_builder';
 
+import { IdentityFillAdjustor } from './identity_fill_adjustor';
 import { SourceFilters } from './source_filters';
 import {
     AaveV2FillData,
@@ -19,6 +20,7 @@ import {
     FeeSchedule,
     FillData,
     FinalUniswapV3FillData,
+    GasSchedule,
     GeistFillData,
     GetMarketOrdersOpts,
     isFinalUniswapV3FillData,
@@ -98,7 +100,6 @@ export const SELL_SOURCE_FILTER_BY_CHAIN_ID = valueByChainId<SourceFilters>(
             ERC20BridgeSource.Lido,
             ERC20BridgeSource.MakerPsm,
             ERC20BridgeSource.KyberDmm,
-            ERC20BridgeSource.Smoothy,
             ERC20BridgeSource.Component,
             ERC20BridgeSource.Saddle,
             ERC20BridgeSource.XSigma,
@@ -135,7 +136,6 @@ export const SELL_SOURCE_FILTER_BY_CHAIN_ID = valueByChainId<SourceFilters>(
             ERC20BridgeSource.PancakeSwap,
             ERC20BridgeSource.PancakeSwapV2,
             ERC20BridgeSource.SushiSwap,
-            ERC20BridgeSource.Smoothy,
             ERC20BridgeSource.ApeSwap,
             ERC20BridgeSource.CheeseSwap,
             ERC20BridgeSource.LiquidityProvider,
@@ -150,7 +150,6 @@ export const SELL_SOURCE_FILTER_BY_CHAIN_ID = valueByChainId<SourceFilters>(
         [ChainId.Polygon]: new SourceFilters([
             ERC20BridgeSource.SushiSwap,
             ERC20BridgeSource.QuickSwap,
-            ERC20BridgeSource.ComethSwap,
             ERC20BridgeSource.Dfyn,
             ERC20BridgeSource.MStable,
             ERC20BridgeSource.Curve,
@@ -241,7 +240,6 @@ export const BUY_SOURCE_FILTER_BY_CHAIN_ID = valueByChainId<SourceFilters>(
             ERC20BridgeSource.CryptoCom,
             ERC20BridgeSource.MakerPsm,
             ERC20BridgeSource.KyberDmm,
-            ERC20BridgeSource.Smoothy,
             ERC20BridgeSource.Component,
             ERC20BridgeSource.Saddle,
             ERC20BridgeSource.XSigma,
@@ -278,7 +276,6 @@ export const BUY_SOURCE_FILTER_BY_CHAIN_ID = valueByChainId<SourceFilters>(
             ERC20BridgeSource.PancakeSwap,
             ERC20BridgeSource.PancakeSwapV2,
             ERC20BridgeSource.SushiSwap,
-            ERC20BridgeSource.Smoothy,
             ERC20BridgeSource.ApeSwap,
             ERC20BridgeSource.CheeseSwap,
             ERC20BridgeSource.LiquidityProvider,
@@ -293,7 +290,6 @@ export const BUY_SOURCE_FILTER_BY_CHAIN_ID = valueByChainId<SourceFilters>(
         [ChainId.Polygon]: new SourceFilters([
             ERC20BridgeSource.SushiSwap,
             ERC20BridgeSource.QuickSwap,
-            ERC20BridgeSource.ComethSwap,
             ERC20BridgeSource.Dfyn,
             ERC20BridgeSource.MStable,
             ERC20BridgeSource.Curve,
@@ -744,10 +740,6 @@ export const CURVE_OPTIMISM_POOLS = {
     tri: '0x1337bedc9d22ecbe766df105c9623922a27963ec',
 };
 
-export const SMOOTHY_POOLS = {
-    syUSD: '0xe5859f4efc09027a9b718781dcb2c6910cac6e91',
-};
-
 export const SADDLE_POOLS = {
     stablesV2: '0xaCb83E0633d6605c5001e2Ab59EF3C745547C8C7',
     bitcoinsV2: '0xdf3309771d2BF82cb2B6C56F9f5365C8bD97c4f2',
@@ -1589,39 +1581,6 @@ export const IRONSWAP_POLYGON_INFOS: { [name: string]: CurveInfo } = {
     },
 };
 
-export const SMOOTHY_MAINNET_INFOS: { [name: string]: CurveInfo } = {
-    [SMOOTHY_POOLS.syUSD]: {
-        exchangeFunctionSelector: CurveFunctionSelectors.swap_uint256,
-        sellQuoteFunctionSelector: CurveFunctionSelectors.get_swap_amount,
-        buyQuoteFunctionSelector: CurveFunctionSelectors.None,
-        poolAddress: SMOOTHY_POOLS.syUSD,
-        tokens: [
-            MAINNET_TOKENS.USDT,
-            MAINNET_TOKENS.USDC,
-            MAINNET_TOKENS.DAI,
-            MAINNET_TOKENS.TUSD,
-            MAINNET_TOKENS.sUSD,
-            MAINNET_TOKENS.BUSD,
-            MAINNET_TOKENS.PAX,
-            MAINNET_TOKENS.GUSD,
-        ],
-        metaTokens: undefined,
-        gasSchedule: 190e3,
-    },
-};
-
-export const SMOOTHY_BSC_INFOS: { [name: string]: CurveInfo } = {
-    [SMOOTHY_POOLS.syUSD]: {
-        exchangeFunctionSelector: CurveFunctionSelectors.swap_uint256,
-        sellQuoteFunctionSelector: CurveFunctionSelectors.get_swap_amount,
-        buyQuoteFunctionSelector: CurveFunctionSelectors.None,
-        poolAddress: SMOOTHY_POOLS.syUSD,
-        tokens: [BSC_TOKENS.BUSD, BSC_TOKENS.USDT, BSC_TOKENS.USDC, BSC_TOKENS.DAI, BSC_TOKENS.PAX, BSC_TOKENS.UST],
-        metaTokens: undefined,
-        gasSchedule: 90e3,
-    },
-};
-
 export const NERVE_BSC_INFOS: { [name: string]: CurveInfo } = {
     [NERVE_POOLS.threePool]: {
         exchangeFunctionSelector: CurveFunctionSelectors.swap,
@@ -2276,13 +2235,6 @@ export const QUICKSWAP_ROUTER_BY_CHAIN_ID = valueByChainId<string>(
     NULL_ADDRESS,
 );
 
-export const COMETHSWAP_ROUTER_BY_CHAIN_ID = valueByChainId<string>(
-    {
-        [ChainId.Polygon]: '0x93bcdc45f7e62f89a8e901dc4a0e2c6c427d9f25',
-    },
-    NULL_ADDRESS,
-);
-
 export const DFYN_ROUTER_BY_CHAIN_ID = valueByChainId<string>(
     {
         [ChainId.Polygon]: '0xa102072a4c07f06ec3b4900fdc4c7b80b6c57429',
@@ -2431,7 +2383,7 @@ const uniswapV2CloneGasSchedule = (fillData?: FillData) => {
  * the ethereum transaction cost (21k)
  */
 // tslint:disable:custom-no-magic-numbers
-export const DEFAULT_GAS_SCHEDULE: Required<FeeSchedule> = {
+export const DEFAULT_GAS_SCHEDULE: Required<GasSchedule> = {
     [ERC20BridgeSource.Native]: fillData => {
         // TODO jacob re-order imports so there is no circular rependency with SignedNativeOrder
         const nativeFillData = fillData as { type: FillQuoteTransformerOrderType };
@@ -2450,7 +2402,6 @@ export const DEFAULT_GAS_SCHEDULE: Required<FeeSchedule> = {
     [ERC20BridgeSource.Synapse]: fillData => (fillData as CurveFillData).pool.gasSchedule,
     [ERC20BridgeSource.Belt]: fillData => (fillData as CurveFillData).pool.gasSchedule,
     [ERC20BridgeSource.Ellipsis]: fillData => (fillData as CurveFillData).pool.gasSchedule,
-    [ERC20BridgeSource.Smoothy]: fillData => (fillData as CurveFillData).pool.gasSchedule,
     [ERC20BridgeSource.Saddle]: fillData => (fillData as CurveFillData).pool.gasSchedule,
     [ERC20BridgeSource.IronSwap]: fillData => (fillData as CurveFillData).pool.gasSchedule,
     [ERC20BridgeSource.XSigma]: fillData => (fillData as CurveFillData).pool.gasSchedule,
@@ -2589,7 +2540,6 @@ export const DEFAULT_GAS_SCHEDULE: Required<FeeSchedule> = {
     // Polygon
     //
     [ERC20BridgeSource.QuickSwap]: uniswapV2CloneGasSchedule,
-    [ERC20BridgeSource.ComethSwap]: uniswapV2CloneGasSchedule,
     [ERC20BridgeSource.Dfyn]: uniswapV2CloneGasSchedule,
     [ERC20BridgeSource.MeshSwap]: uniswapV2CloneGasSchedule,
 
@@ -2621,10 +2571,21 @@ export const DEFAULT_GAS_SCHEDULE: Required<FeeSchedule> = {
     [ERC20BridgeSource.Velodrome]: () => 160e3,
 };
 
-export const DEFAULT_FEE_SCHEDULE: Required<FeeSchedule> = { ...DEFAULT_GAS_SCHEDULE };
+export const DEFAULT_FEE_SCHEDULE: Required<FeeSchedule> = Object.keys(DEFAULT_GAS_SCHEDULE).reduce((acc, key) => {
+    acc[key as ERC20BridgeSource] = (fillData: FillData) => {
+        return {
+            gas: DEFAULT_GAS_SCHEDULE[key as ERC20BridgeSource](fillData),
+            fee: ZERO_AMOUNT,
+        };
+    };
+    return acc;
+    // tslint:disable-next-line:no-object-literal-type-assertion
+}, {} as Required<FeeSchedule>);
 
 export const POSITIVE_SLIPPAGE_FEE_TRANSFORMER_GAS = new BigNumber(20000);
 
+export const DEFAULT_FEE_ESTIMATE = { gas: 0, fee: ZERO_AMOUNT };
+
 // tslint:enable:custom-no-magic-numbers
 
 export const DEFAULT_GET_MARKET_ORDERS_OPTS: Omit<GetMarketOrdersOpts, 'gasPrice'> = {
@@ -2645,4 +2606,5 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: Omit<GetMarketOrdersOpts, 'gasPrice
     shouldIncludePriceComparisonsReport: false,
     tokenAdjacencyGraph: { default: [] },
     neonRouterNumSamples: 14,
+    fillAdjustor: new IdentityFillAdjustor(),
 };

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

@@ -3,74 +3,17 @@ import { BigNumber, hexUtils } from '@0x/utils';
 
 import { MarketOperation, NativeOrderWithFillableAmounts } from '../../types';
 
-import { POSITIVE_INF, SOURCE_FLAGS, ZERO_AMOUNT } from './constants';
+import { DEFAULT_FEE_ESTIMATE, POSITIVE_INF, SOURCE_FLAGS } from './constants';
 import { DexSample, ERC20BridgeSource, FeeSchedule, Fill } from './types';
 
 // tslint:disable: prefer-for-of no-bitwise completed-docs
 
 /**
- * Create `Fill` objects from orders and dex quotes.
+ * Converts the ETH value to an amount in output tokens.
+ *
+ * By default this prefers the outputAmountPerEth, but if this value
+ * is zero it will utilize the inputAmountPerEth and input.
  */
-export function createFills(opts: {
-    side: MarketOperation;
-    orders?: NativeOrderWithFillableAmounts[];
-    dexQuotes?: DexSample[][];
-    targetInput?: BigNumber;
-    outputAmountPerEth?: BigNumber;
-    inputAmountPerEth?: BigNumber;
-    excludedSources?: ERC20BridgeSource[];
-    feeSchedule?: FeeSchedule;
-}): Fill[][] {
-    const { side } = opts;
-    const excludedSources = opts.excludedSources || [];
-    const feeSchedule = opts.feeSchedule || {};
-    const orders = opts.orders || [];
-    const dexQuotes = opts.dexQuotes || [];
-    const outputAmountPerEth = opts.outputAmountPerEth || ZERO_AMOUNT;
-    const inputAmountPerEth = opts.inputAmountPerEth || ZERO_AMOUNT;
-    // Create native fills.
-    const nativeFills = nativeOrdersToFills(
-        side,
-        orders.filter(o => o.fillableTakerAmount.isGreaterThan(0)),
-        opts.targetInput,
-        outputAmountPerEth,
-        inputAmountPerEth,
-        feeSchedule,
-    );
-    // Create DEX fills.
-    const dexFills = dexQuotes.map(singleSourceSamples =>
-        dexSamplesToFills(side, singleSourceSamples, outputAmountPerEth, inputAmountPerEth, feeSchedule),
-    );
-    return [...dexFills, nativeFills]
-        .map(p => clipFillsToInput(p, opts.targetInput))
-        .filter(fills => hasLiquidity(fills) && !excludedSources.includes(fills[0].source));
-}
-
-function clipFillsToInput(fills: Fill[], targetInput: BigNumber = POSITIVE_INF): Fill[] {
-    const clipped: Fill[] = [];
-    let input = ZERO_AMOUNT;
-    for (const fill of fills) {
-        if (input.gte(targetInput)) {
-            break;
-        }
-        input = input.plus(fill.input);
-        clipped.push(fill);
-    }
-    return clipped;
-}
-
-function hasLiquidity(fills: Fill[]): boolean {
-    if (fills.length === 0) {
-        return false;
-    }
-    const totalInput = BigNumber.sum(...fills.map(fill => fill.input));
-    const totalOutput = BigNumber.sum(...fills.map(fill => fill.output));
-    if (totalInput.isZero() || totalOutput.isZero()) {
-        return false;
-    }
-    return true;
-}
-
 export function ethToOutputAmount({
     input,
     output,
@@ -85,29 +28,28 @@ export function ethToOutputAmount({
     ethAmount: BigNumber | number;
 }): BigNumber {
     return !outputAmountPerEth.isZero()
-        ? outputAmountPerEth.times(ethAmount)
+        ? outputAmountPerEth.times(ethAmount).integerValue()
         : inputAmountPerEth.times(ethAmount).times(output.dividedToIntegerBy(input));
 }
 
-export function nativeOrdersToFills(
+export function nativeOrderToFill(
     side: MarketOperation,
-    orders: NativeOrderWithFillableAmounts[],
+    order: NativeOrderWithFillableAmounts,
     targetInput: BigNumber = POSITIVE_INF,
     outputAmountPerEth: BigNumber,
     inputAmountPerEth: BigNumber,
     fees: FeeSchedule,
     filterNegativeAdjustedRateOrders: boolean = true,
-): Fill[] {
+): Fill | undefined {
     const sourcePathId = hexUtils.random();
     // Create a single path from all orders.
-    let fills: Array<Fill & { adjustedRate: BigNumber }> = [];
+    const { fillableTakerAmount, fillableTakerFeeAmount, fillableMakerAmount, type } = order;
-    for (const o of orders) {
-        const { fillableTakerAmount, fillableTakerFeeAmount, fillableMakerAmount, type } = o;
     const makerAmount = fillableMakerAmount;
     const takerAmount = fillableTakerAmount.plus(fillableTakerFeeAmount);
     const input = side === MarketOperation.Sell ? takerAmount : makerAmount;
     const output = side === MarketOperation.Sell ? makerAmount : takerAmount;
-        const fee = fees[ERC20BridgeSource.Native] === undefined ? 0 : fees[ERC20BridgeSource.Native]!(o);
+    const { fee, gas } =
+        fees[ERC20BridgeSource.Native] === undefined ? DEFAULT_FEE_ESTIMATE : fees[ERC20BridgeSource.Native]!(order);
     const outputPenalty = ethToOutputAmount({
         input,
         output,
@@ -129,78 +71,63 @@ export function nativeOrdersToFills(
         side === MarketOperation.Sell ? adjustedOutput.div(clippedInput) : clippedInput.div(adjustedOutput);
     // Optionally skip orders with rates that are <= 0.
     if (filterNegativeAdjustedRateOrders && adjustedRate.lte(0)) {
-            continue;
+        return undefined;
     }
-        fills.push({
+
+    return {
         sourcePathId,
-            adjustedRate,
         adjustedOutput,
         input: clippedInput,
         output: clippedOutput,
         flags: SOURCE_FLAGS[type === FillQuoteTransformerOrderType.Rfq ? 'RfqOrder' : 'LimitOrder'],
-            index: 0, // TBD
-            parent: undefined, // TBD
         source: ERC20BridgeSource.Native,
         type,
-            fillData: { ...o },
+        fillData: { ...order },
-        });
+        gas,
-    }
+    };
-    // Sort by descending adjusted rate.
-    fills = fills.sort((a, b) => b.adjustedRate.comparedTo(a.adjustedRate));
-    // Re-index fills.
-    for (let i = 0; i < fills.length; ++i) {
-        fills[i].parent = i === 0 ? undefined : fills[i - 1];
-        fills[i].index = i;
-    }
-    return fills;
 }
 
-export function dexSamplesToFills(
+export function dexSampleToFill(
     side: MarketOperation,
-    samples: DexSample[],
+    sample: DexSample,
     outputAmountPerEth: BigNumber,
     inputAmountPerEth: BigNumber,
     fees: FeeSchedule,
-): Fill[] {
+): Fill {
     const sourcePathId = hexUtils.random();
-    const fills: Fill[] = [];
-    // Drop any non-zero entries. This can occur if the any fills on Kyber were UniswapReserves
-    // We need not worry about Kyber fills going to UniswapReserve as the input amount
-    // we fill is the same as we sampled. I.e we received [0,20,30] output from [1,2,3] input
-    // and we only fill [2,3] on Kyber (as 1 returns 0 output)
-    const nonzeroSamples = samples.filter(q => !q.output.isZero());
-    for (let i = 0; i < nonzeroSamples.length; i++) {
-        const sample = nonzeroSamples[i];
-        const prevSample = i === 0 ? undefined : nonzeroSamples[i - 1];
     const { source, fillData } = sample;
-        const input = sample.input.minus(prevSample ? prevSample.input : 0);
+    const input = sample.input;
-        const output = sample.output.minus(prevSample ? prevSample.output : 0);
+    const output = sample.output;
-        let penalty = ZERO_AMOUNT;
+    const { fee, gas } =
-        if (i === 0) {
+        fees[source] === undefined ? DEFAULT_FEE_ESTIMATE : fees[source]!(sample.fillData) || DEFAULT_FEE_ESTIMATE;
-            const fee = fees[source] === undefined ? 0 : fees[source]!(sample.fillData) || 0;
+
-            // Only the first fill in a DEX path incurs a penalty.
+    const penalty = ethToOutputAmount({
-            penalty = ethToOutputAmount({
         input,
         output,
         inputAmountPerEth,
         outputAmountPerEth,
         ethAmount: fee,
     });
-        }
-        const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
 
-        fills.push({
+    return {
         sourcePathId,
         input,
         output,
-            adjustedOutput,
+        adjustedOutput: adjustOutput(side, output, penalty),
         source,
         fillData,
         type: FillQuoteTransformerOrderType.Bridge,
-            index: i,
-            parent: i !== 0 ? fills[fills.length - 1] : undefined,
         flags: SOURCE_FLAGS[source],
-        });
+        gas,
-    }
+    };
-    return fills;
+}
+
+/**
+ *  Adjusts the output depending on whether this is a buy or a sell.
+ *
+ * If it is a sell, than output is lowered by the adjustment.
+ * If it is a buy, than output is increased by adjustment.
+ */
+export function adjustOutput(side: MarketOperation, output: BigNumber, penalty: BigNumber): BigNumber {
+    return side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
 }

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

@@ -0,0 +1,13 @@
+import { BigNumber } from '@0x/utils';
+
+import { MarketOperation } from '../../types';
+
+import { Fill, FillAdjustor } from './types';
+
+// tslint:disable:prefer-function-over-method
+
+export class IdentityFillAdjustor implements FillAdjustor {
+    public adjustFills(side: MarketOperation, fills: Fill[], amount: BigNumber): Fill[] {
+        return fills;
+    }
+}

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

@@ -41,19 +41,17 @@ import {
     SOURCE_FLAGS,
     ZERO_AMOUNT,
 } from './constants';
-import { createFills } from './fills';
+import { IdentityFillAdjustor } from './identity_fill_adjustor';
 import { getBestTwoHopQuote } from './multihop_utils';
 import { createOrdersFromTwoHopSample } from './orders';
 import { Path, PathPenaltyOpts } from './path';
-import { findOptimalPathJSAsync, findOptimalRustPathFromSamples } from './path_optimizer';
+import { findOptimalPathFromSamples } from './path_optimizer';
 import { DexOrderSampler, getSampleAmounts } from './sampler';
 import { SourceFilters } from './source_filters';
 import {
     AggregationError,
-    CollapsedFill,
     DexSample,
     ERC20BridgeSource,
-    Fill,
     GenerateOptimizedOrdersOpts,
     GetMarketOrdersOpts,
     MarketSideLiquidity,
@@ -62,8 +60,6 @@ import {
     OrderDomain,
 } from './types';
 
-const SHOULD_USE_RUST_ROUTER = process.env.RUST_ROUTER === 'true';
-
 // tslint:disable:boolean-naming
 
 export class MarketOperationUtils {
@@ -167,18 +163,20 @@ export class MarketOperationUtils {
             // Get native order fillable amounts.
             this._sampler.getLimitOrderFillableTakerAmounts(nativeOrders, this.contractAddresses.exchangeProxy),
             // Get ETH -> maker token price.
-            this._sampler.getMedianSellRate(
+            this._sampler.getBestNativeTokenSellRate(
                 feeSourceFilters.sources,
                 makerToken,
                 this._nativeFeeToken,
                 this._nativeFeeTokenAmount,
+                _opts.feeSchedule,
             ),
             // Get ETH -> taker token price.
-            this._sampler.getMedianSellRate(
+            this._sampler.getBestNativeTokenSellRate(
                 feeSourceFilters.sources,
                 takerToken,
                 this._nativeFeeToken,
                 this._nativeFeeTokenAmount,
+                _opts.feeSchedule,
             ),
             // Get sell quotes for taker -> maker.
             this._sampler.getSellQuotes(quoteSourceFilters.sources, makerToken, takerToken, sampleAmounts),
@@ -278,18 +276,20 @@ export class MarketOperationUtils {
             // Get native order fillable amounts.
             this._sampler.getLimitOrderFillableMakerAmounts(nativeOrders, this.contractAddresses.exchangeProxy),
             // Get ETH -> makerToken token price.
-            this._sampler.getMedianSellRate(
+            this._sampler.getBestNativeTokenSellRate(
                 feeSourceFilters.sources,
                 makerToken,
                 this._nativeFeeToken,
                 this._nativeFeeTokenAmount,
+                _opts.feeSchedule,
             ),
             // Get ETH -> taker token price.
-            this._sampler.getMedianSellRate(
+            this._sampler.getBestNativeTokenSellRate(
                 feeSourceFilters.sources,
                 takerToken,
                 this._nativeFeeToken,
                 this._nativeFeeTokenAmount,
+                _opts.feeSchedule,
             ),
             // Get buy quotes for taker -> maker.
             this._sampler.getBuyQuotes(quoteSourceFilters.sources, makerToken, takerToken, sampleAmounts),
@@ -384,11 +384,12 @@ export class MarketOperationUtils {
                 this._sampler.getLimitOrderFillableMakerAmounts(orders, this.contractAddresses.exchangeProxy),
             ),
             ...batchNativeOrders.map(orders =>
-                this._sampler.getMedianSellRate(
+                this._sampler.getBestNativeTokenSellRate(
                     feeSourceFilters.sources,
                     orders[0].order.takerToken,
                     this._nativeFeeToken,
                     this._nativeFeeTokenAmount,
+                    _opts.feeSchedule,
                 ),
             ),
             ...batchNativeOrders.map((orders, i) =>
@@ -455,6 +456,7 @@ export class MarketOperationUtils {
                             allowFallback: _opts.allowFallback,
                             gasPrice: _opts.gasPrice,
                             neonRouterNumSamples: _opts.neonRouterNumSamples,
+                            fillAdjustor: _opts.fillAdjustor,
                         },
                     );
                     return optimizerResult;
@@ -516,12 +518,9 @@ export class MarketOperationUtils {
         const takerAmountPerEth = side === MarketOperation.Sell ? inputAmountPerEth : outputAmountPerEth;
         const makerAmountPerEth = side === MarketOperation.Sell ? outputAmountPerEth : inputAmountPerEth;
 
-        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) {
+        optimalPath = findOptimalPathFromSamples(
-            fills = [[]];
-            optimalPath = findOptimalRustPathFromSamples(
             side,
             dexQuotes,
             [...nativeOrders, ...augmentedRfqtIndicativeQuotes],
@@ -530,46 +529,27 @@ export class MarketOperationUtils {
             opts.feeSchedule,
             this._sampler.chainId,
             opts.neonRouterNumSamples,
+            opts.fillAdjustor,
             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(
+        const optimalPathAdjustedRate = optimalPath ? optimalPath.adjustedRate() : ZERO_AMOUNT;
-                side,
-                fills,
-                inputAmount,
-                opts.runLimit,
-                opts.samplerMetrics,
-                penaltyOpts,
-            );
-        }
 
-        const optimalPathRate = optimalPath ? optimalPath.adjustedRate() : ZERO_AMOUNT;
+        const { adjustedRate: bestTwoHopAdjustedRate, quote: bestTwoHopQuote } = getBestTwoHopQuote(
-
-        const { adjustedRate: bestTwoHopRate, quote: bestTwoHopQuote } = getBestTwoHopQuote(
             marketSideLiquidity,
             opts.feeSchedule,
             opts.exchangeProxyOverhead,
+            opts.fillAdjustor,
         );
-        if (bestTwoHopQuote && bestTwoHopRate.isGreaterThan(optimalPathRate)) {
+
+        if (bestTwoHopQuote && bestTwoHopAdjustedRate.isGreaterThan(optimalPathAdjustedRate)) {
             const twoHopOrders = createOrdersFromTwoHopSample(bestTwoHopQuote, orderOpts);
             return {
                 optimizedOrders: twoHopOrders,
                 liquidityDelivered: bestTwoHopQuote,
                 sourceFlags: SOURCE_FLAGS[ERC20BridgeSource.MultiHop],
                 marketSideLiquidity,
-                adjustedRate: bestTwoHopRate,
+                adjustedRate: bestTwoHopAdjustedRate,
                 takerAmountPerEth,
                 makerAmountPerEth,
             };
@@ -580,19 +560,14 @@ export class MarketOperationUtils {
             throw new Error(AggregationError.NoOptimalPath);
         }
 
-        // Generate a fallback path if required
+        const finalizedPath = optimalPath.finalize(orderOpts);
-        // 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 {
-            optimizedOrders: collapsedPath.orders,
+            optimizedOrders: finalizedPath.orders,
-            liquidityDelivered: collapsedPath.collapsedFills as CollapsedFill[],
+            liquidityDelivered: finalizedPath.fills,
-            sourceFlags: collapsedPath.sourceFlags,
+            sourceFlags: finalizedPath.sourceFlags,
             marketSideLiquidity,
-            adjustedRate: optimalPathRate,
+            adjustedRate: optimalPathAdjustedRate,
             takerAmountPerEth,
             makerAmountPerEth,
         };
@@ -618,6 +593,7 @@ export class MarketOperationUtils {
             gasPrice: _opts.gasPrice,
             neonRouterNumSamples: _opts.neonRouterNumSamples,
             samplerMetrics: _opts.samplerMetrics,
+            fillAdjustor: _opts.fillAdjustor,
         };
 
         if (nativeOrders.length === 0) {
@@ -630,9 +606,15 @@ export class MarketOperationUtils {
                 ? this.getMarketSellLiquidityAsync.bind(this)
                 : this.getMarketBuyLiquidityAsync.bind(this);
         const marketSideLiquidity: MarketSideLiquidity = await marketLiquidityFnAsync(nativeOrders, amount, _opts);
+
+        // Phase 1 Routing
+        // We find an optimized path for ALL the DEX and open-orderbook liquidity
         let optimizerResult: OptimizerResult | undefined;
         try {
-            optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, optimizerOpts);
+            optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, {
+                ...optimizerOpts,
+                fillAdjustor: new IdentityFillAdjustor(),
+            });
         } catch (e) {
             // If no on-chain or off-chain Open Orderbook orders are present, a `NoOptimalPath` will be thrown.
             // If this happens at this stage, there is still a chance that an RFQ order is fillable, therefore
@@ -656,6 +638,17 @@ export class MarketOperationUtils {
         }
 
         // If RFQ liquidity is enabled, make a request to check RFQ liquidity against the first optimizer result
+
+        // Phase 2 Routing
+        // Mix in any off-chain RFQ quotes
+        // Apply any fill adjustments i
+        const phaseTwoOptimizerOpts = {
+            ...optimizerOpts,
+            // Pass in the FillAdjustor for Phase 2 adjustment, in the future we may perform this adjustment
+            // in Phase 1.
+            fillAdjustor: _opts.fillAdjustor,
+        };
+
         const { rfqt } = _opts;
         if (
             marketSideLiquidity.isRfqSupported &&
@@ -716,8 +709,28 @@ export class MarketOperationUtils {
                 });
                 // Re-run optimizer with the new indicative quote
                 if (indicativeQuotes.length > 0) {
+                    // Attach the indicative quotes to the market side liquidity
                     marketSideLiquidity.quotes.rfqtIndicativeQuotes = indicativeQuotes;
-                    optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, optimizerOpts);
+
+                    // Phase 2 Routing
+                    const phase1OptimalSources = optimizerResult
+                        ? optimizerResult.optimizedOrders.map(o => o.source)
+                        : [];
+                    const phase2MarketSideLiquidity: MarketSideLiquidity = {
+                        ...marketSideLiquidity,
+                        quotes: {
+                            ...marketSideLiquidity.quotes,
+                            // Select only the quotes that were chosen in Phase 1
+                            dexQuotes: marketSideLiquidity.quotes.dexQuotes.filter(
+                                q => q.length > 0 && phase1OptimalSources.includes(q[0].source),
+                            ),
+                        },
+                    };
+
+                    optimizerResult = await this._generateOptimizedOrdersAsync(
+                        phase2MarketSideLiquidity,
+                        phaseTwoOptimizerOpts,
+                    );
                 }
             } else {
                 // A firm quote is being requested, and firm quotes price-aware enabled.
@@ -775,6 +788,8 @@ export class MarketOperationUtils {
                             fillableTakerFeeAmount: ZERO_AMOUNT,
                         }),
                     );
+
+                    // Attach the firm RFQt quotes to the market side liquidity
                     marketSideLiquidity.quotes.nativeOrders = [
                         ...quotesWithOrderFillableAmounts,
                         ...marketSideLiquidity.quotes.nativeOrders,
@@ -783,7 +798,27 @@ export class MarketOperationUtils {
                     // Re-run optimizer with the new firm quote. This is the second and last time
                     // we run the optimized in a block of code. In this case, we don't catch a potential `NoOptimalPath` exception
                     // and we let it bubble up if it happens.
-                    optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, optimizerOpts);
+
+                    // Phase 2 Routing
+                    // Optimization: Filter by what is already currently in the Phase1 output as it doesn't
+                    // seem possible that inclusion of RFQT could impact the sources chosen from Phase 1.
+                    const phase1OptimalSources = optimizerResult
+                        ? optimizerResult.optimizedOrders.map(o => o.source)
+                        : [];
+                    const phase2MarketSideLiquidity: MarketSideLiquidity = {
+                        ...marketSideLiquidity,
+                        quotes: {
+                            ...marketSideLiquidity.quotes,
+                            // Select only the quotes that were chosen in Phase 1
+                            dexQuotes: marketSideLiquidity.quotes.dexQuotes.filter(
+                                q => q.length > 0 && phase1OptimalSources.includes(q[0].source),
+                            ),
+                        },
+                    };
+                    optimizerResult = await this._generateOptimizedOrdersAsync(
+                        phase2MarketSideLiquidity,
+                        phaseTwoOptimizerOpts,
+                    );
                 }
             }
         }
@@ -836,75 +871,6 @@ 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,
-        inputAmount: BigNumber,
-        optimalPath: Path,
-        dexQuotes: DexSample[][],
-        fills: Fill[][],
-        opts: GenerateOptimizedOrdersOpts,
-        penaltyOpts: PathPenaltyOpts,
-    ): Promise<void> {
-        const maxFallbackSlippage = opts.maxFallbackSlippage || 0;
-        const optimalPathRate = optimalPath ? optimalPath.adjustedRate() : ZERO_AMOUNT;
-        // Generate a fallback path if sources requiring a fallback (fragile) are in the optimal path.
-        // Native is relatively fragile (limit order collision, expiry, or lack of available maker balance)
-        // LiquidityProvider is relatively fragile (collision)
-        const fragileSources = [ERC20BridgeSource.Native, ERC20BridgeSource.LiquidityProvider];
-        const fragileFills = optimalPath.fills.filter(f => fragileSources.includes(f.source));
-        if (opts.allowFallback && fragileFills.length !== 0) {
-            // We create a fallback path that is exclusive of Native liquidity
-            // This is the optimal on-chain path for the entire input amount
-            const sturdyPenaltyOpts = {
-                ...penaltyOpts,
-                exchangeProxyOverhead: (sourceFlags: bigint) =>
-                    // tslint:disable-next-line: no-bitwise
-                    penaltyOpts.exchangeProxyOverhead(sourceFlags | optimalPath.sourceFlags),
-            };
-
-            let sturdyOptimalPath: Path | undefined;
-            if (SHOULD_USE_RUST_ROUTER) {
-                const sturdySamples = dexQuotes.filter(
-                    samples => samples.length > 0 && !fragileSources.includes(samples[0].source),
-                );
-                sturdyOptimalPath = findOptimalRustPathFromSamples(
-                    side,
-                    sturdySamples,
-                    [],
-                    inputAmount,
-                    sturdyPenaltyOpts,
-                    opts.feeSchedule,
-                    this._sampler.chainId,
-                    opts.neonRouterNumSamples,
-                    undefined, // hack: set sampler metrics to undefined to avoid fallback timings
-                );
-            } else {
-                const sturdyFills = fills.filter(p => p.length > 0 && !fragileSources.includes(p[0].source));
-                sturdyOptimalPath = await findOptimalPathJSAsync(
-                    side,
-                    sturdyFills,
-                    inputAmount,
-                    opts.runLimit,
-                    undefined, // hack: set sampler metrics to undefined to avoid fallback timings
-                    sturdyPenaltyOpts,
-                );
-            }
-            // Calculate the slippage of on-chain sources compared to the most optimal path
-            // if within an acceptable threshold we enable a fallback to prevent reverts
-            if (
-                sturdyOptimalPath !== undefined &&
-                (fragileFills.length === optimalPath.fills.length ||
-                    sturdyOptimalPath.adjustedSlippage(optimalPathRate) <= maxFallbackSlippage)
-            ) {
-                optimalPath.addFallback(sturdyOptimalPath);
-            }
-        }
-    }
-    */
 }
 
 // tslint:disable: max-file-line-count

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

@@ -9,6 +9,7 @@ import {
     DexSample,
     ExchangeProxyOverhead,
     FeeSchedule,
+    FillAdjustor,
     MarketSideLiquidity,
     MultiHopFillData,
     TokenAdjacencyGraph,
@@ -38,6 +39,7 @@ export function getBestTwoHopQuote(
     marketSideLiquidity: Omit<MarketSideLiquidity, 'makerTokenDecimals' | 'takerTokenDecimals'>,
     feeSchedule?: FeeSchedule,
     exchangeProxyOverhead?: ExchangeProxyOverhead,
+    fillAdjustor?: FillAdjustor,
 ): { quote: DexSample<MultiHopFillData> | undefined; adjustedRate: BigNumber } {
     const { side, inputAmount, outputAmountPerEth, quotes } = marketSideLiquidity;
     const { twoHopQuotes } = quotes;
@@ -57,7 +59,15 @@ export function getBestTwoHopQuote(
     }
     const best = filteredQuotes
         .map(quote =>
-            getTwoHopAdjustedRate(side, quote, inputAmount, outputAmountPerEth, feeSchedule, exchangeProxyOverhead),
+            getTwoHopAdjustedRate(
+                side,
+                quote,
+                inputAmount,
+                outputAmountPerEth,
+                feeSchedule,
+                exchangeProxyOverhead,
+                fillAdjustor,
+            ),
         )
         .reduce(
             (prev, curr, i) =>
@@ -70,6 +80,7 @@ export function getBestTwoHopQuote(
                     outputAmountPerEth,
                     feeSchedule,
                     exchangeProxyOverhead,
+                    fillAdjustor,
                 ),
                 quote: filteredQuotes[0],
             },

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

@@ -1,5 +1,6 @@
 import { BridgeProtocol, encodeBridgeSourceId, FillQuoteTransformerOrderType } from '@0x/protocol-utils';
 import { AbiEncoder, BigNumber } from '@0x/utils';
+import _ = require('lodash');
 
 import { AssetSwapperContractAddresses, MarketOperation } from '../../types';
 
@@ -11,12 +12,12 @@ import {
     BalancerV2BatchSwapFillData,
     BalancerV2FillData,
     BancorFillData,
-    CollapsedFill,
     CompoundFillData,
     CurveFillData,
     DexSample,
     DODOFillData,
     ERC20BridgeSource,
+    Fill,
     FillData,
     FinalUniswapV3FillData,
     GeistFillData,
@@ -28,7 +29,7 @@ import {
     MakerPsmFillData,
     MooniswapFillData,
     MultiHopFillData,
-    NativeCollapsedFill,
+    NativeFillData,
     NativeLimitOrderFillData,
     NativeRfqOrderFillData,
     OptimizedMarketBridgeOrder,
@@ -60,23 +61,27 @@ export function createOrdersFromTwoHopSample(
 ): OptimizedMarketOrder[] {
     const [makerToken, takerToken] = getMakerTakerTokens(opts);
     const { firstHopSource, secondHopSource, intermediateToken } = sample.fillData;
-    const firstHopFill: CollapsedFill = {
+    const firstHopFill: Fill = {
         sourcePathId: '',
         source: firstHopSource.source,
         type: FillQuoteTransformerOrderType.Bridge,
         input: opts.side === MarketOperation.Sell ? sample.input : ZERO_AMOUNT,
         output: opts.side === MarketOperation.Sell ? ZERO_AMOUNT : sample.output,
-        subFills: [],
+        adjustedOutput: opts.side === MarketOperation.Sell ? ZERO_AMOUNT : sample.output,
         fillData: firstHopSource.fillData,
+        flags: BigInt(0),
+        gas: 1,
     };
-    const secondHopFill: CollapsedFill = {
+    const secondHopFill: Fill = {
         sourcePathId: '',
         source: secondHopSource.source,
         type: FillQuoteTransformerOrderType.Bridge,
         input: opts.side === MarketOperation.Sell ? MAX_UINT256 : sample.input,
         output: opts.side === MarketOperation.Sell ? sample.output : MAX_UINT256,
-        subFills: [],
+        adjustedOutput: opts.side === MarketOperation.Sell ? sample.output : MAX_UINT256,
         fillData: secondHopSource.fillData,
+        flags: BigInt(0),
+        gas: 1,
     };
     return [
         createBridgeOrder(firstHopFill, intermediateToken, takerToken, opts.side),
@@ -135,8 +140,6 @@ export function getErc20BridgeSourceToBridgeSource(source: ERC20BridgeSource): s
             return encodeBridgeSourceId(BridgeProtocol.Curve, 'Ellipsis');
         case ERC20BridgeSource.Component:
             return encodeBridgeSourceId(BridgeProtocol.Shell, 'Component');
-        case ERC20BridgeSource.Smoothy:
-            return encodeBridgeSourceId(BridgeProtocol.Curve, 'Smoothy');
         case ERC20BridgeSource.Saddle:
             return encodeBridgeSourceId(BridgeProtocol.Nerve, 'Saddle');
         case ERC20BridgeSource.XSigma:
@@ -151,8 +154,6 @@ export function getErc20BridgeSourceToBridgeSource(source: ERC20BridgeSource): s
             return encodeBridgeSourceId(BridgeProtocol.KyberDmm, 'KyberDmm');
         case ERC20BridgeSource.QuickSwap:
             return encodeBridgeSourceId(BridgeProtocol.UniswapV2, 'QuickSwap');
-        case ERC20BridgeSource.ComethSwap:
-            return encodeBridgeSourceId(BridgeProtocol.UniswapV2, 'ComethSwap');
         case ERC20BridgeSource.Dfyn:
             return encodeBridgeSourceId(BridgeProtocol.UniswapV2, 'Dfyn');
         case ERC20BridgeSource.CurveV2:
@@ -236,7 +237,6 @@ export function createBridgeDataForBridgeOrder(order: OptimizedMarketBridgeOrder
         case ERC20BridgeSource.Synapse:
         case ERC20BridgeSource.Belt:
         case ERC20BridgeSource.Ellipsis:
-        case ERC20BridgeSource.Smoothy:
         case ERC20BridgeSource.Saddle:
         case ERC20BridgeSource.XSigma:
         case ERC20BridgeSource.FirebirdOneSwap:
@@ -284,7 +284,6 @@ export function createBridgeDataForBridgeOrder(order: OptimizedMarketBridgeOrder
         case ERC20BridgeSource.ApeSwap:
         case ERC20BridgeSource.CheeseSwap:
         case ERC20BridgeSource.QuickSwap:
-        case ERC20BridgeSource.ComethSwap:
         case ERC20BridgeSource.Dfyn:
         case ERC20BridgeSource.WaultSwap:
         case ERC20BridgeSource.ShibaSwap:
@@ -398,68 +397,6 @@ export function createBridgeDataForBridgeOrder(order: OptimizedMarketBridgeOrder
     return bridgeData;
 }
 
-export function createBridgeOrder(
-    fill: CollapsedFill,
-    makerToken: string,
-    takerToken: string,
-    side: MarketOperation,
-): OptimizedMarketBridgeOrder {
-    const [makerAmount, takerAmount] = getFillTokenAmounts(fill, side);
-    return {
-        makerToken,
-        takerToken,
-        makerAmount,
-        takerAmount,
-        fillData: createFinalBridgeOrderFillDataFromCollapsedFill(fill),
-        source: fill.source,
-        sourcePathId: fill.sourcePathId,
-        type: FillQuoteTransformerOrderType.Bridge,
-        fills: [fill],
-    };
-}
-
-function createFinalBridgeOrderFillDataFromCollapsedFill(fill: CollapsedFill): FillData {
-    switch (fill.source) {
-        case ERC20BridgeSource.UniswapV3: {
-            const fd = fill.fillData as UniswapV3FillData;
-            const { uniswapPath, gasUsed } = getBestUniswapV3PathAmountForInputAmount(fd, fill.input);
-            const finalFillData: FinalUniswapV3FillData = {
-                router: fd.router,
-                tokenAddressPath: fd.tokenAddressPath,
-                uniswapPath,
-                gasUsed,
-            };
-            return finalFillData;
-        }
-        default:
-            break;
-    }
-    return fill.fillData;
-}
-
-function getBestUniswapV3PathAmountForInputAmount(
-    fillData: UniswapV3FillData,
-    inputAmount: BigNumber,
-): UniswapV3PathAmount {
-    if (fillData.pathAmounts.length === 0) {
-        throw new Error(`No Uniswap V3 paths`);
-    }
-    // Find the best path that can satisfy `inputAmount`.
-    // Assumes `fillData.pathAmounts` is sorted ascending.
-    for (const pathAmount of fillData.pathAmounts) {
-        if (pathAmount.inputAmount.gte(inputAmount)) {
-            return pathAmount;
-        }
-    }
-    return fillData.pathAmounts[fillData.pathAmounts.length - 1];
-}
-
-export function getMakerTakerTokens(opts: CreateOrderFromPathOpts): [string, string] {
-    const makerToken = opts.side === MarketOperation.Sell ? opts.outputToken : opts.inputToken;
-    const takerToken = opts.side === MarketOperation.Sell ? opts.inputToken : opts.outputToken;
-    return [makerToken, takerToken];
-}
-
 export const poolEncoder = AbiEncoder.create([{ name: 'poolAddress', type: 'address' }]);
 const curveEncoder = AbiEncoder.create([
     { name: 'curveAddress', type: 'address' },
@@ -506,7 +443,6 @@ export const BRIDGE_ENCODERS: {
     [ERC20BridgeSource.Synapse]: curveEncoder,
     [ERC20BridgeSource.Belt]: curveEncoder,
     [ERC20BridgeSource.Ellipsis]: curveEncoder,
-    [ERC20BridgeSource.Smoothy]: curveEncoder,
     [ERC20BridgeSource.Saddle]: curveEncoder,
     [ERC20BridgeSource.XSigma]: curveEncoder,
     [ERC20BridgeSource.FirebirdOneSwap]: curveEncoder,
@@ -544,7 +480,6 @@ export const BRIDGE_ENCODERS: {
     [ERC20BridgeSource.WaultSwap]: routerAddressPathEncoder,
     // Polygon
     [ERC20BridgeSource.QuickSwap]: routerAddressPathEncoder,
-    [ERC20BridgeSource.ComethSwap]: routerAddressPathEncoder,
     [ERC20BridgeSource.Dfyn]: routerAddressPathEncoder,
     // Generic pools
     [ERC20BridgeSource.Shell]: poolEncoder,
@@ -584,7 +519,7 @@ export const BRIDGE_ENCODERS: {
     [ERC20BridgeSource.Velodrome]: AbiEncoder.create('(address,bool)'),
 };
 
-function getFillTokenAmounts(fill: CollapsedFill, side: MarketOperation): [BigNumber, BigNumber] {
+function getFillTokenAmounts(fill: Fill, side: MarketOperation): [BigNumber, BigNumber] {
     return [
         // Maker asset amount.
         side === MarketOperation.Sell ? fill.output.integerValue(BigNumber.ROUND_DOWN) : fill.input,
@@ -594,7 +529,7 @@ function getFillTokenAmounts(fill: CollapsedFill, side: MarketOperation): [BigNu
 }
 
 export function createNativeOptimizedOrder(
-    fill: NativeCollapsedFill,
+    fill: Fill<NativeFillData>,
     side: MarketOperation,
 ): OptimizedMarketOrderBase<NativeLimitOrderFillData> | OptimizedMarketOrderBase<NativeRfqOrderFillData> {
     const fillData = fill.fillData;
@@ -606,10 +541,76 @@ export function createNativeOptimizedOrder(
         takerToken: fillData.order.takerToken,
         makerAmount,
         takerAmount,
-        fills: [fill],
         fillData,
+        fill: cleanFillForExport(fill),
     };
     return fill.type === FillQuoteTransformerOrderType.Rfq
         ? { ...base, type: FillQuoteTransformerOrderType.Rfq, fillData: fillData as NativeRfqOrderFillData }
         : { ...base, type: FillQuoteTransformerOrderType.Limit, fillData: fillData as NativeLimitOrderFillData };
 }
+
+export function createBridgeOrder(
+    fill: Fill,
+    makerToken: string,
+    takerToken: string,
+    side: MarketOperation,
+): OptimizedMarketBridgeOrder {
+    const [makerAmount, takerAmount] = getFillTokenAmounts(fill, side);
+    return {
+        type: FillQuoteTransformerOrderType.Bridge,
+        source: fill.source,
+        makerToken,
+        takerToken,
+        makerAmount,
+        takerAmount,
+        fillData: createFinalBridgeOrderFillDataFromCollapsedFill(fill),
+        fill: cleanFillForExport(fill),
+        sourcePathId: fill.sourcePathId,
+    };
+}
+
+function cleanFillForExport(fill: Fill): Fill {
+    return _.omit(fill, ['flags', 'fillData', 'sourcePathId', 'source', 'type']) as Fill;
+}
+
+function createFinalBridgeOrderFillDataFromCollapsedFill(fill: Fill): FillData {
+    switch (fill.source) {
+        case ERC20BridgeSource.UniswapV3: {
+            const fd = fill.fillData as UniswapV3FillData;
+            const { uniswapPath, gasUsed } = getBestUniswapV3PathAmountForInputAmount(fd, fill.input);
+            const finalFillData: FinalUniswapV3FillData = {
+                router: fd.router,
+                tokenAddressPath: fd.tokenAddressPath,
+                uniswapPath,
+                gasUsed,
+            };
+            return finalFillData;
+        }
+        default:
+            break;
+    }
+    return fill.fillData;
+}
+
+function getBestUniswapV3PathAmountForInputAmount(
+    fillData: UniswapV3FillData,
+    inputAmount: BigNumber,
+): UniswapV3PathAmount {
+    if (fillData.pathAmounts.length === 0) {
+        throw new Error(`No Uniswap V3 paths`);
+    }
+    // Find the best path that can satisfy `inputAmount`.
+    // Assumes `fillData.pathAmounts` is sorted ascending.
+    for (const pathAmount of fillData.pathAmounts) {
+        if (pathAmount.inputAmount.gte(inputAmount)) {
+            return pathAmount;
+        }
+    }
+    return fillData.pathAmounts[fillData.pathAmounts.length - 1];
+}
+
+export function getMakerTakerTokens(opts: CreateOrderFromPathOpts): [string, string] {
+    const makerToken = opts.side === MarketOperation.Sell ? opts.outputToken : opts.inputToken;
+    const takerToken = opts.side === MarketOperation.Sell ? opts.inputToken : opts.outputToken;
+    return [makerToken, takerToken];
+}

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

@@ -1,4 +1,5 @@
 import { BigNumber } from '@0x/utils';
+import _ = require('lodash');
 
 import { MarketOperation } from '../../types';
 
@@ -6,14 +7,7 @@ import { POSITIVE_INF, ZERO_AMOUNT } from './constants';
 import { ethToOutputAmount } from './fills';
 import { createBridgeOrder, createNativeOptimizedOrder, CreateOrderFromPathOpts, getMakerTakerTokens } from './orders';
 import { getCompleteRate, getRate } from './rate_utils';
-import {
+import { ERC20BridgeSource, ExchangeProxyOverhead, Fill, NativeFillData, OptimizedMarketOrder } from './types';
-    CollapsedFill,
-    ERC20BridgeSource,
-    ExchangeProxyOverhead,
-    Fill,
-    NativeCollapsedFill,
-    OptimizedMarketOrder,
-} from './types';
 
 // tslint:disable: prefer-for-of no-bitwise completed-docs
 
@@ -37,7 +31,6 @@ export const DEFAULT_PATH_PENALTY_OPTS: PathPenaltyOpts = {
 };
 
 export class Path {
-    public collapsedFills?: ReadonlyArray<CollapsedFill>;
     public orders?: OptimizedMarketOrder[];
     public sourceFlags: bigint = BigInt(0);
     protected _size: PathSize = { input: ZERO_AMOUNT, output: ZERO_AMOUNT };
@@ -57,16 +50,6 @@ export class Path {
         return path;
     }
 
-    public static clone(base: Path): Path {
-        const clonedPath = new Path(base.side, base.fills.slice(), base.targetInput, base.pathPenaltyOpts);
-        clonedPath.sourceFlags = base.sourceFlags;
-        clonedPath._size = { ...base._size };
-        clonedPath._adjustedSize = { ...base._adjustedSize };
-        clonedPath.collapsedFills = base.collapsedFills === undefined ? undefined : base.collapsedFills.slice();
-        clonedPath.orders = base.orders === undefined ? undefined : base.orders.slice();
-        return clonedPath;
-    }
-
     protected constructor(
         protected readonly side: MarketOperation,
         public fills: ReadonlyArray<Fill>,
@@ -74,68 +57,33 @@ export class Path {
         public readonly pathPenaltyOpts: PathPenaltyOpts,
     ) {}
 
-    public append(fill: Fill): this {
-        (this.fills as Fill[]).push(fill);
-        this.sourceFlags |= fill.flags;
-        this._addFillSize(fill);
-        return this;
-    }
-
     /**
-     * Add a fallback path to the current path
+     * Finalizes this path, creating fillable orders with the information required
-     * Fallback must contain exclusive fills that are
+     * for settlement
-     * not present in this path
      */
-    public addFallback(fallback: Path): this {
+    public finalize(opts: CreateOrderFromPathOpts): FinalizedPath {
-        // We pre-pend the sources which have a higher probability of failure
-        // This allows us to continue on to the remaining fills
-        // If the "flakey" sources like Native were at the end, we may have a failure
-        // as the last fill and then either revert, or go back to a source we previously
-        // filled against
-        const nativeFills = this.fills.filter(f => f.source === ERC20BridgeSource.Native);
-        const otherFills = this.fills.filter(f => f.source !== ERC20BridgeSource.Native);
-
-        // Map to the unique source id and the index to represent a unique fill
-        const fillToFillId = (fill: Fill) => `${fill.sourcePathId}${fill.index}`;
-        const otherFillIds = otherFills.map(f => fillToFillId(f));
-
-        this.fills = [
-            // Append all of the native fills first
-            ...nativeFills,
-            // Add the other fills that are not native in the optimal path
-            ...otherFills,
-            // Add the fills to the end that aren't already included
-            ...fallback.fills.filter(f => !otherFillIds.includes(fillToFillId(f))),
-        ];
-        // Recompute the source flags
-        this.sourceFlags = this.fills.reduce((flags, fill) => flags | fill.flags, BigInt(0));
-        return this;
-    }
-
-    public collapse(opts: CreateOrderFromPathOpts): CollapsedPath {
         const [makerToken, takerToken] = getMakerTakerTokens(opts);
-        const collapsedFills = this.collapsedFills === undefined ? this._collapseFills() : this.collapsedFills;
         this.orders = [];
-        for (let i = 0; i < collapsedFills.length; ) {
+        for (const fill of this.fills) {
-            if (collapsedFills[i].source === ERC20BridgeSource.Native) {
+            // internal BigInt flag field is not supported JSON and is tricky
-                this.orders.push(createNativeOptimizedOrder(collapsedFills[i] as NativeCollapsedFill, opts.side));
+            // to remove upstream. Since it's not needed in a FinalizedPath we just drop it.
-                ++i;
+            const normalizedFill = _.omit(fill, 'flags') as Fill;
-                continue;
+            if (fill.source === ERC20BridgeSource.Native) {
+                this.orders.push(createNativeOptimizedOrder(normalizedFill as Fill<NativeFillData>, opts.side));
+            } else {
+                this.orders.push(createBridgeOrder(normalizedFill, makerToken, takerToken, opts.side));
             }
-
-            this.orders.push(createBridgeOrder(collapsedFills[i], makerToken, takerToken, opts.side));
-            i += 1;
         }
-        return this as CollapsedPath;
+        return this as FinalizedPath;
-    }
-
-    public size(): PathSize {
-        return this._size;
     }
 
     public adjustedSize(): PathSize {
+        // Adjusted input/output has been adjusted by the cost of the DEX, but not by any
+        // overhead added by the exchange proxy.
         const { input, output } = this._adjustedSize;
         const { exchangeProxyOverhead, outputAmountPerEth, inputAmountPerEth } = this.pathPenaltyOpts;
+        // Calculate the additional penalty from the ways this path can be filled
+        // by the exchange proxy, e.g VIPs (small) or FillQuoteTransformer (large)
         const gasOverhead = exchangeProxyOverhead(this.sourceFlags);
         const pathPenalty = ethToOutputAmount({
             input,
@@ -155,6 +103,10 @@ export class Path {
         return getCompleteRate(this.side, input, output, this.targetInput);
     }
 
+    /**
+     * Calculates the rate of this path, where the output has been
+     * adjusted for penalties (e.g cost)
+     */
     public adjustedRate(): BigNumber {
         const { input, output } = this.adjustedSize();
         return getRate(this.side, input, output);
@@ -171,16 +123,11 @@ export class Path {
         return best;
     }
 
-    public adjustedSlippage(maxRate: BigNumber): number {
+    /**
-        if (maxRate.eq(0)) {
+     * Compares two paths returning if this adjusted path
-            return 0;
+     * is better than the other adjusted path
-        }
+     */
-        const totalRate = this.adjustedRate();
+    public isAdjustedBetterThan(other: Path): boolean {
-        const rateChange = maxRate.minus(totalRate);
-        return rateChange.div(maxRate).toNumber();
-    }
-
-    public isBetterThan(other: Path): boolean {
         if (!this.targetInput.isEqualTo(other.targetInput)) {
             throw new Error(`Target input mismatch: ${this.targetInput} !== ${other.targetInput}`);
         }
@@ -192,78 +139,6 @@ export class Path {
         } else {
             return this.adjustedCompleteRate().isGreaterThan(other.adjustedCompleteRate());
         }
-        // if (otherInput.isLessThan(targetInput)) {
-        //     return input.isGreaterThan(otherInput);
-        // } else if (input.isGreaterThanOrEqualTo(targetInput)) {
-        //     return this.adjustedCompleteRate().isGreaterThan(other.adjustedCompleteRate());
-        // }
-        // return false;
-    }
-
-    public isComplete(): boolean {
-        const { input } = this._size;
-        return input.gte(this.targetInput);
-    }
-
-    public isValid(skipDuplicateCheck: boolean = false): boolean {
-        for (let i = 0; i < this.fills.length; ++i) {
-            // Fill must immediately follow its parent.
-            if (this.fills[i].parent) {
-                if (i === 0 || this.fills[i - 1] !== this.fills[i].parent) {
-                    return false;
-                }
-            }
-            if (!skipDuplicateCheck) {
-                // Fill must not be duplicated.
-                for (let j = 0; j < i; ++j) {
-                    if (this.fills[i] === this.fills[j]) {
-                        return false;
-                    }
-                }
-            }
-        }
-        return true;
-    }
-
-    public isValidNextFill(fill: Fill): boolean {
-        if (this.fills.length === 0) {
-            return !fill.parent;
-        }
-        if (this.fills[this.fills.length - 1] === fill.parent) {
-            return true;
-        }
-        if (fill.parent) {
-            return false;
-        }
-        return true;
-    }
-
-    private _collapseFills(): ReadonlyArray<CollapsedFill> {
-        this.collapsedFills = [];
-        for (const fill of this.fills) {
-            const source = fill.source;
-            if (this.collapsedFills.length !== 0 && source !== ERC20BridgeSource.Native) {
-                const prevFill = this.collapsedFills[this.collapsedFills.length - 1];
-                // If the last fill is from the same source, merge them.
-                if (prevFill.sourcePathId === fill.sourcePathId) {
-                    prevFill.input = prevFill.input.plus(fill.input);
-                    prevFill.output = prevFill.output.plus(fill.output);
-                    prevFill.fillData = fill.fillData;
-                    prevFill.subFills.push(fill);
-                    continue;
-                }
-            }
-            (this.collapsedFills as CollapsedFill[]).push({
-                sourcePathId: fill.sourcePathId,
-                source: fill.source,
-                type: fill.type,
-                fillData: fill.fillData,
-                input: fill.input,
-                output: fill.output,
-                subFills: [fill],
-            });
-        }
-        return this.collapsedFills;
     }
 
     private _addFillSize(fill: Fill): void {
@@ -285,7 +160,6 @@ export class Path {
     }
 }
 
-export interface CollapsedPath extends Path {
+export interface FinalizedPath extends Path {
-    readonly collapsedFills: ReadonlyArray<CollapsedFill>;
     readonly orders: OptimizedMarketOrder[];
 }

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

@@ -1,6 +1,7 @@
 import { assert } from '@0x/assert';
 import { ChainId } from '@0x/contract-addresses';
 import { OptimizerCapture, route, SerializedPath } from '@0x/neon-router';
+import { FillQuoteTransformerOrderType } from '@0x/protocol-utils';
 import { BigNumber, hexUtils } from '@0x/utils';
 import * as _ from 'lodash';
 import { performance } from 'perf_hooks';
@@ -9,13 +10,12 @@ import { DEFAULT_WARNING_LOGGER } from '../../constants';
 import { MarketOperation, NativeOrderWithFillableAmounts } from '../../types';
 
 import { VIP_ERC20_BRIDGE_SOURCES_BY_CHAIN_ID, ZERO_AMOUNT } from './constants';
-import { dexSamplesToFills, ethToOutputAmount, nativeOrdersToFills } from './fills';
+import { dexSampleToFill, ethToOutputAmount, nativeOrderToFill } from './fills';
-import { DEFAULT_PATH_PENALTY_OPTS, Path, PathPenaltyOpts } from './path';
+import { Path, PathPenaltyOpts } from './path';
-import { DexSample, ERC20BridgeSource, FeeSchedule, Fill, FillData, SamplerMetrics } from './types';
+import { DexSample, ERC20BridgeSource, FeeSchedule, Fill, FillAdjustor, FillData, SamplerMetrics } from './types';
 
 // tslint:disable: prefer-for-of custom-no-magic-numbers completed-docs no-bitwise
 
-const RUN_LIMIT_DECAY_FACTOR = 0.5;
 // NOTE: The Rust router will panic with less than 3 samples
 const MIN_NUM_SAMPLE_INPUTS = 3;
 
@@ -45,7 +45,7 @@ function calculateOuputFee(
 ): BigNumber {
     if (isDexSample(sampleOrNativeOrder)) {
         const { input, output, source, fillData } = sampleOrNativeOrder;
-        const fee = fees[source]?.(fillData) || 0;
+        const fee = fees[source]?.(fillData).fee || ZERO_AMOUNT;
         const outputFee = ethToOutputAmount({
             input,
             output,
@@ -56,7 +56,7 @@ function calculateOuputFee(
         return outputFee;
     } else {
         const { input, output } = nativeOrderToNormalizedAmounts(side, sampleOrNativeOrder);
-        const fee = fees[ERC20BridgeSource.Native]?.(sampleOrNativeOrder) || 0;
+        const fee = fees[ERC20BridgeSource.Native]?.(sampleOrNativeOrder).fee || ZERO_AMOUNT;
         const outputFee = ethToOutputAmount({
             input,
             output,
@@ -77,6 +77,7 @@ function findRoutesAndCreateOptimalPath(
     fees: FeeSchedule,
     neonRouterNumSamples: number,
     vipSourcesSet: Set<ERC20BridgeSource>,
+    fillAdjustor: FillAdjustor,
 ): { 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
@@ -85,31 +86,44 @@ function findRoutesAndCreateOptimalPath(
         return undefined;
     }
 
-    const createFill = (sample: DexSample): Fill | undefined => {
+    // Create a `Fill` from a dex sample and adjust it with any passed in
-        const fills = dexSamplesToFills(side, [sample], opts.outputAmountPerEth, opts.inputAmountPerEth, fees);
+    // adjustor
-        // NOTE: If the sample has 0 output dexSamplesToFills will return [] because no fill can be created
+    const createFillFromDexSample = (sample: DexSample): Fill => {
-        if (fills.length === 0) {
+        const fill = dexSampleToFill(side, sample, opts.outputAmountPerEth, opts.inputAmountPerEth, fees);
-            return undefined;
+        const adjustedFills = fillAdjustor.adjustFills(side, [fill], input);
-        }
+        return adjustedFills[0];
-
-        return fills[0];
     };
 
-    const createPathFromStrategy = (sourcesRustRoute: Float64Array, sourcesOutputAmounts: Float64Array) => {
+    const createPathFromStrategy = (optimalRouteInputs: Float64Array, optimalRouteOutputs: Float64Array) => {
+        /**
+         * inputs are the amounts to fill at each source index
+         * e.g fill 2076 at index 4
+         *  [ 0, 0, 0, 0, 2076, 464, 230,
+         *    230, 0, 0, 0 ]
+         *  the sum represents the total input amount
+         *
+         *  outputs are the amounts we expect out at each source index
+         *  [ 0, 0, 0, 0, 42216, 9359, 4677,
+         *    4674, 0, 0, 0 ]
+         *  the sum represents the total expected output amount
+         */
+
         const routesAndSamplesAndOutputs = _.zip(
-            sourcesRustRoute,
+            optimalRouteInputs,
+            optimalRouteOutputs,
             samplesAndNativeOrdersWithResults,
-            sourcesOutputAmounts,
             sampleSourcePathIds,
         );
         const adjustedFills: Fill[] = [];
-        const totalRoutedAmount = BigNumber.sum(...sourcesRustRoute);
+        const totalRoutedAmount = BigNumber.sum(...optimalRouteInputs);
+
+        // Due to precision errors we can end up with a totalRoutedAmount that is not exactly equal to the input
+        const precisionErrorScalar = input.dividedBy(totalRoutedAmount);
 
-        const scale = input.dividedBy(totalRoutedAmount);
         for (const [
             routeInput,
-            routeSamplesAndNativeOrders,
             outputAmount,
+            routeSamplesAndNativeOrders,
             sourcePathId,
         ] of routesAndSamplesAndOutputs) {
             if (!Number.isFinite(outputAmount)) {
@@ -119,26 +133,27 @@ function findRoutesAndCreateOptimalPath(
             if (!routeInput || !routeSamplesAndNativeOrders || !outputAmount) {
                 continue;
             }
-            // TODO(kimpers): [TKR-241] amounts are sometimes clipped in the router due to precision loss for number/f64
+            // TODO: [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(
+            const routeInputCorrected = BigNumber.min(
-                new BigNumber(routeInput).multipliedBy(scale).integerValue(BigNumber.ROUND_CEIL),
+                precisionErrorScalar.multipliedBy(routeInput).integerValue(BigNumber.ROUND_CEIL),
                 input,
             );
 
             const current = routeSamplesAndNativeOrders[routeSamplesAndNativeOrders.length - 1];
+            // If it is a native single order we only have one Input/output
+            // we want to convert this to an array of samples
             if (!isDexSample(current)) {
-                const nativeFill = nativeOrdersToFills(
+                const nativeFill = nativeOrderToFill(
                     side,
-                    [current],
+                    current,
-                    rustInputAdjusted,
+                    routeInputCorrected,
                     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
+                // Note: If the order has an adjusted rate of less than or equal to 0 it will be undefined
-                // 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() });
@@ -147,62 +162,54 @@ function findRoutesAndCreateOptimalPath(
             }
 
             // NOTE: For DexSamples only
-            let fill = createFill(current);
+            let fill = createFillFromDexSample(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
 
+            // From the output of the router, find the closest Sample in terms of input.
+            // The Router may have chosen an amount to fill that we do not have a measured sample of
+            // Choosing this accurately is required in some sources where the `FillData` may change depending
+            // on the size of the trade. For example, UniswapV3 has variable gas cost
+            // which increases with input.
             assert.assert(routeSamples.length >= 1, 'Found no sample to use for source');
             for (let k = routeSamples.length - 1; k >= 0; k--) {
+                // If we're at the last remaining sample that's all we have left to use
                 if (k === 0) {
-                    fill = createFill(routeSamples[0]) ?? fill;
+                    fill = createFillFromDexSample(routeSamples[0]) ?? fill;
                 }
-                if (rustInputAdjusted.isGreaterThan(routeSamples[k].input)) {
+                if (routeInputCorrected.isGreaterThan(routeSamples[k].input)) {
                     const left = routeSamples[k];
                     const right = routeSamples[k + 1];
                     if (left && right) {
                         fill =
-                            createFill({
+                            createFillFromDexSample({
                                 ...right, // default to the greater (for gas used)
-                                input: rustInputAdjusted,
+                                input: routeInputCorrected,
-                                output: new BigNumber(outputAmount),
+                                output: new BigNumber(outputAmount).integerValue(),
                             }) ?? fill;
                     } else {
                         assert.assert(Boolean(left || right), 'No valid sample to use');
-                        fill = createFill(left || right) ?? fill;
+                        fill = createFillFromDexSample(left || right) ?? fill;
                     }
                     break;
                 }
             }
 
-            // TODO(kimpers): remove once we have solved the rounding/precision loss issues in the Rust router
+            // TODO: remove once we have solved the rounding/precision loss issues in the Rust router
-            const maxSampledOutput = BigNumber.max(...routeSamples.map(s => s.output));
+            const maxSampledOutput = BigNumber.max(...routeSamples.map(s => s.output)).integerValue();
             // 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
+                const capped = BigNumber.min(output.integerValue(), maxSampledOutput);
-                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,
+                input: routeInputCorrected,
                 output: scaleOutput(fill.output),
                 adjustedOutput: scaleOutput(fill.adjustedOutput),
-                index: 0,
-                parent: undefined,
                 sourcePathId: sourcePathId ?? hexUtils.random(),
             });
         }
@@ -224,7 +231,6 @@ function findRoutesAndCreateOptimalPath(
             continue;
         }
 
-        const sourcePathId = hexUtils.random();
         const singleSourceSamplesWithOutput = [...singleSourceSamples];
         for (let i = singleSourceSamples.length - 1; i >= 0; i--) {
             const currentOutput = singleSourceSamples[i].output;
@@ -240,17 +246,23 @@ function findRoutesAndCreateOptimalPath(
             continue;
         }
 
-        // TODO(kimpers): Do we need to handle 0 entries, from eg Kyber?
+        // TODO: Do we need to handle 0 entries, from eg Kyber?
         const serializedPath = singleSourceSamplesWithOutput.reduce<SerializedPath>(
             (memo, sample, sampleIdx) => {
-                memo.ids.push(`${sample.source}-${serializedPaths.length}-${sampleIdx}`);
+                // Use the fill from createFillFromDexSample to apply
-                memo.inputs.push(sample.input.integerValue().toNumber());
+                // any user supplied adjustments
-                memo.outputs.push(sample.output.integerValue().toNumber());
+                const f = createFillFromDexSample(sample);
-                memo.outputFees.push(
+                memo.ids.push(`${f.source}-${serializedPaths.length}-${sampleIdx}`);
-                    calculateOuputFee(side, sample, opts.outputAmountPerEth, opts.inputAmountPerEth, fees)
+                memo.inputs.push(f.input.integerValue().toNumber());
+                memo.outputs.push(f.output.integerValue().toNumber());
+                // Calculate the penalty of this sample as the diff between the
+                // output and the adjusted output
+                const outputFee = f.output
+                    .minus(f.adjustedOutput)
+                    .absoluteValue()
                     .integerValue()
-                        .toNumber(),
+                    .toNumber();
-                );
+                memo.outputFees.push(outputFee);
 
                 return memo;
             },
@@ -265,6 +277,8 @@ function findRoutesAndCreateOptimalPath(
 
         samplesAndNativeOrdersWithResults.push(singleSourceSamplesWithOutput);
         serializedPaths.push(serializedPath);
+
+        const sourcePathId = hexUtils.random();
         sampleSourcePathIds.push(sourcePathId);
     }
 
@@ -306,19 +320,22 @@ function findRoutesAndCreateOptimalPath(
                 normalizedOrderOutput.times(scaleToInput).times(fraction),
                 normalizedOrderOutput,
             );
-            const id = `${ERC20BridgeSource.Native}-${serializedPaths.length}-${idx}-${i}`;
+            const id = `${ERC20BridgeSource.Native}-${nativeOrder.type}-${serializedPaths.length}-${idx}-${i}`;
             inputs.push(currentInput.integerValue().toNumber());
             outputs.push(currentOutput.integerValue().toNumber());
             outputFees.push(fee);
             ids.push(id);
         }
 
+        // We have a VIP for the Rfq order type, Limit order currently goes through FQT
+        const isVip = nativeOrder.type !== FillQuoteTransformerOrderType.Limit;
+
         const serializedPath: SerializedPath = {
             ids,
             inputs,
             outputs,
             outputFees,
-            isVip: true,
+            isVip,
         };
 
         samplesAndNativeOrdersWithResults.push([nativeOrder]);
@@ -375,7 +392,7 @@ function findRoutesAndCreateOptimalPath(
     };
 }
 
-export function findOptimalRustPathFromSamples(
+export function findOptimalPathFromSamples(
     side: MarketOperation,
     samples: DexSample[][],
     nativeOrders: NativeOrderWithFillableAmounts[],
@@ -384,6 +401,7 @@ export function findOptimalRustPathFromSamples(
     fees: FeeSchedule,
     chainId: ChainId,
     neonRouterNumSamples: number,
+    fillAdjustor: FillAdjustor,
     samplerMetrics?: SamplerMetrics,
 ): Path | undefined {
     const beforeTimeMs = performance.now();
@@ -406,6 +424,7 @@ export function findOptimalRustPathFromSamples(
         fees,
         neonRouterNumSamples,
         vipSourcesSet,
+        fillAdjustor,
     );
 
     if (!paths) {
@@ -415,7 +434,7 @@ export function findOptimalRustPathFromSamples(
 
     const { allSourcesPath, vipSourcesPath } = paths;
 
-    if (!allSourcesPath || vipSourcesPath?.isBetterThan(allSourcesPath)) {
+    if (!allSourcesPath || vipSourcesPath?.isAdjustedBetterThan(allSourcesPath)) {
         sendMetrics();
         return vipSourcesPath;
     }
@@ -423,143 +442,3 @@ export function findOptimalRustPathFromSamples(
     sendMetrics();
     return allSourcesPath;
 }
-
-/**
- * Find the optimal mixture of fills that maximizes (for sells) or minimizes
- * (for buys) output, while meeting the input requirement.
- */
-export async function findOptimalPathJSAsync(
-    side: MarketOperation,
-    fills: Fill[][],
-    targetInput: BigNumber,
-    runLimit: number = 2 ** 8,
-    samplerMetrics?: SamplerMetrics,
-    opts: PathPenaltyOpts = DEFAULT_PATH_PENALTY_OPTS,
-): Promise<Path | undefined> {
-    const beforeTimeMs = performance.now();
-    // Sort fill arrays by descending adjusted completed rate.
-    // Remove any paths which cannot impact the optimal path
-    const sortedPaths = reducePaths(fillsToSortedPaths(fills, side, targetInput, opts), side);
-    if (sortedPaths.length === 0) {
-        return undefined;
-    }
-    const rates = rateBySourcePathId(sortedPaths);
-    let optimalPath = sortedPaths[0];
-    for (const [i, path] of sortedPaths.slice(1).entries()) {
-        optimalPath = mixPaths(side, optimalPath, path, targetInput, runLimit * RUN_LIMIT_DECAY_FACTOR ** i, rates);
-        // Yield to event loop.
-        await Promise.resolve();
-    }
-    const finalPath = optimalPath.isComplete() ? optimalPath : undefined;
-    // tslint:disable-next-line: no-unused-expression
-    samplerMetrics &&
-        samplerMetrics.logRouterDetails({
-            router: 'js',
-            type: 'total',
-            timingMs: performance.now() - beforeTimeMs,
-        });
-    return finalPath;
-}
-
-// Sort fill arrays by descending adjusted completed rate.
-export function fillsToSortedPaths(
-    fills: Fill[][],
-    side: MarketOperation,
-    targetInput: BigNumber,
-    opts: PathPenaltyOpts,
-): Path[] {
-    const paths = fills.map(singleSourceFills => Path.create(side, singleSourceFills, targetInput, opts));
-    const sortedPaths = paths.sort((a, b) => {
-        const aRate = a.adjustedCompleteRate();
-        const bRate = b.adjustedCompleteRate();
-        // There is a case where the adjusted completed rate isn't sufficient for the desired amount
-        // resulting in a NaN div by 0 (output)
-        if (bRate.isNaN()) {
-            return -1;
-        }
-        if (aRate.isNaN()) {
-            return 1;
-        }
-        return bRate.comparedTo(aRate);
-    });
-    return sortedPaths;
-}
-
-// Remove paths which have no impact on the optimal path
-export function reducePaths(sortedPaths: Path[], side: MarketOperation): Path[] {
-    // Any path which has a min rate that is less than the best adjusted completed rate has no chance of improving
-    // the overall route.
-    const bestNonNativeCompletePath = sortedPaths.filter(
-        p => p.isComplete() && p.fills[0].source !== ERC20BridgeSource.Native,
-    )[0];
-
-    // If there is no complete path then just go ahead with the sorted paths
-    // I.e if the token only exists on sources which cannot sell to infinity
-    // or buys where X is greater than all the tokens available in the pools
-    if (!bestNonNativeCompletePath) {
-        return sortedPaths;
-    }
-    const bestNonNativeCompletePathAdjustedRate = bestNonNativeCompletePath.adjustedCompleteRate();
-    if (!bestNonNativeCompletePathAdjustedRate.isGreaterThan(0)) {
-        return sortedPaths;
-    }
-
-    const filteredPaths = sortedPaths.filter(p =>
-        p.bestRate().isGreaterThanOrEqualTo(bestNonNativeCompletePathAdjustedRate),
-    );
-    return filteredPaths;
-}
-
-function mixPaths(
-    side: MarketOperation,
-    pathA: Path,
-    pathB: Path,
-    targetInput: BigNumber,
-    maxSteps: number,
-    rates: { [id: string]: BigNumber },
-): Path {
-    const _maxSteps = Math.max(maxSteps, 32);
-    let steps = 0;
-    // We assume pathA is the better of the two initially.
-    let bestPath: Path = pathA;
-
-    const _walk = (path: Path, remainingFills: Fill[]) => {
-        steps += 1;
-        if (path.isBetterThan(bestPath)) {
-            bestPath = path;
-        }
-        const remainingInput = targetInput.minus(path.size().input);
-        if (remainingInput.isGreaterThan(0)) {
-            for (let i = 0; i < remainingFills.length && steps < _maxSteps; ++i) {
-                const fill = remainingFills[i];
-                // Only walk valid paths.
-                if (!path.isValidNextFill(fill)) {
-                    continue;
-                }
-                // Remove this fill from the next list of candidate fills.
-                const nextRemainingFills = remainingFills.slice();
-                nextRemainingFills.splice(i, 1);
-                // Recurse.
-                _walk(Path.clone(path).append(fill), nextRemainingFills);
-            }
-        }
-    };
-    const allFills = [...pathA.fills, ...pathB.fills];
-    // Sort subpaths by rate and keep fills contiguous to improve our
-    // chances of walking ideal, valid paths first.
-    const sortedFills = allFills.sort((a, b) => {
-        if (a.sourcePathId !== b.sourcePathId) {
-            return rates[b.sourcePathId].comparedTo(rates[a.sourcePathId]);
-        }
-        return a.index - b.index;
-    });
-    _walk(Path.create(side, [], targetInput, pathA.pathPenaltyOpts), sortedFills);
-    if (!bestPath.isValid()) {
-        throw new Error('nooope');
-    }
-    return bestPath;
-}
-
-function rateBySourcePathId(paths: Path[]): { [id: string]: BigNumber } {
-    return _.fromPairs(paths.map(p => [p.fills[0].sourcePathId, p.adjustedRate()]));
-}

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

@@ -1,9 +1,20 @@
+import { FillQuoteTransformerOrderType } from '@0x/protocol-utils';
 import { BigNumber } from '@0x/utils';
 
 import { MarketOperation } from '../../types';
 
 import { SOURCE_FLAGS, ZERO_AMOUNT } from './constants';
-import { DexSample, ERC20BridgeSource, ExchangeProxyOverhead, FeeSchedule, MultiHopFillData } from './types';
+import { adjustOutput } from './fills';
+import { IdentityFillAdjustor } from './identity_fill_adjustor';
+import {
+    DexSample,
+    ERC20BridgeSource,
+    ExchangeProxyOverhead,
+    FeeSchedule,
+    Fill,
+    FillAdjustor,
+    MultiHopFillData,
+} from './types';
 
 // tslint:disable:no-bitwise
 
@@ -18,20 +29,55 @@ export function getTwoHopAdjustedRate(
     outputAmountPerEth: BigNumber,
     fees: FeeSchedule = {},
     exchangeProxyOverhead: ExchangeProxyOverhead = () => ZERO_AMOUNT,
+    fillAdjustor: FillAdjustor = new IdentityFillAdjustor(),
 ): BigNumber {
     const { output, input, fillData } = twoHopQuote;
     if (input.isLessThan(targetInput) || output.isZero()) {
         return ZERO_AMOUNT;
     }
-    const penalty = outputAmountPerEth.times(
+
-        exchangeProxyOverhead(
+    // Flags to indicate which sources are used
+    const flags =
         SOURCE_FLAGS.MultiHop |
         SOURCE_FLAGS[fillData.firstHopSource.source] |
-                SOURCE_FLAGS[fillData.secondHopSource.source],
+        SOURCE_FLAGS[fillData.secondHopSource.source];
-        ).plus(fees[ERC20BridgeSource.MultiHop]!(fillData)),
+
-    );
+    // Penalty of going to those sources in terms of output
-    const adjustedOutput = side === MarketOperation.Sell ? output.minus(penalty) : output.plus(penalty);
+    const sourcePenalty = outputAmountPerEth.times(fees[ERC20BridgeSource.MultiHop]!(fillData).fee).integerValue();
-    return side === MarketOperation.Sell ? adjustedOutput.div(input) : input.div(adjustedOutput);
+
+    // Create a Fill so it can be adjusted by the `FillAdjustor`
+    const fill: Fill = {
+        ...twoHopQuote,
+        flags,
+        type: FillQuoteTransformerOrderType.Bridge,
+        adjustedOutput: adjustOutput(side, twoHopQuote.output, sourcePenalty),
+        sourcePathId: `${ERC20BridgeSource.MultiHop}-${fillData.firstHopSource.source}-${fillData.secondHopSource.source}`,
+        // We don't have this information at this stage
+        gas: 0,
+    };
+    // Adjust the individual Fill
+    // HACK: Chose the worst of slippage between the two sources in multihop
+    const adjustedOutputLeft = fillAdjustor.adjustFills(
+        side,
+        [{ ...fill, source: fillData.firstHopSource.source }],
+        targetInput,
+    )[0].adjustedOutput;
+    const adjustedOutputRight = fillAdjustor.adjustFills(
+        side,
+        [{ ...fill, source: fillData.secondHopSource.source }],
+        targetInput,
+    )[0].adjustedOutput;
+    // In Sells, output smaller is worse (you're getting less out)
+    // In Buys, output larger is worse (it's costing you more)
+    const fillAdjustedOutput =
+        side === MarketOperation.Sell
+            ? BigNumber.min(adjustedOutputLeft, adjustedOutputRight)
+            : BigNumber.max(adjustedOutputLeft, adjustedOutputRight);
+
+    const pathPenalty = outputAmountPerEth.times(exchangeProxyOverhead(flags)).integerValue();
+    const pathAdjustedOutput = adjustOutput(side, fillAdjustedOutput, pathPenalty);
+
+    return getRate(side, input, pathAdjustedOutput);
 }
 
 /**
@@ -59,6 +105,8 @@ export function getCompleteRate(
 
 /**
  * Computes the rate given the input/output of a path.
+ *
+ * If it is a sell, output/input. If it is a buy, input/output.
  */
 export function getRate(side: MarketOperation, input: BigNumber, output: BigNumber): BigNumber {
     if (input.eq(0) || output.eq(0)) {

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

@@ -75,6 +75,7 @@ import {
     DexSample,
     DODOFillData,
     ERC20BridgeSource,
+    FeeSchedule,
     GeistFillData,
     GeistInfo,
     GenericRouterFillData,
@@ -475,62 +476,6 @@ export class SamplerOperations {
         });
     }
 
-    public getSmoothySellQuotes(
-        pool: CurveInfo,
-        fromTokenIdx: number,
-        toTokenIdx: number,
-        takerFillAmounts: BigNumber[],
-    ): SourceQuoteOperation<CurveFillData> {
-        return new SamplerContractOperation({
-            source: ERC20BridgeSource.Smoothy,
-            fillData: {
-                pool,
-                fromTokenIdx,
-                toTokenIdx,
-            },
-            contract: this._samplerContract,
-            function: this._samplerContract.sampleSellsFromSmoothy,
-            params: [
-                {
-                    poolAddress: pool.poolAddress,
-                    sellQuoteFunctionSelector: pool.sellQuoteFunctionSelector,
-                    buyQuoteFunctionSelector: pool.buyQuoteFunctionSelector,
-                },
-                new BigNumber(fromTokenIdx),
-                new BigNumber(toTokenIdx),
-                takerFillAmounts,
-            ],
-        });
-    }
-
-    public getSmoothyBuyQuotes(
-        pool: CurveInfo,
-        fromTokenIdx: number,
-        toTokenIdx: number,
-        makerFillAmounts: BigNumber[],
-    ): SourceQuoteOperation<CurveFillData> {
-        return new SamplerContractOperation({
-            source: ERC20BridgeSource.Smoothy,
-            fillData: {
-                pool,
-                fromTokenIdx,
-                toTokenIdx,
-            },
-            contract: this._samplerContract,
-            function: this._samplerContract.sampleBuysFromSmoothy,
-            params: [
-                {
-                    poolAddress: pool.poolAddress,
-                    sellQuoteFunctionSelector: pool.sellQuoteFunctionSelector,
-                    buyQuoteFunctionSelector: pool.buyQuoteFunctionSelector,
-                },
-                new BigNumber(fromTokenIdx),
-                new BigNumber(toTokenIdx),
-                makerFillAmounts,
-            ],
-        });
-    }
-
     public getBalancerV2MultihopSellQuotes(
         vault: string,
         quoteSwaps: BalancerSwapInfo, // Should always be sell swap steps.
@@ -1365,16 +1310,22 @@ export class SamplerOperations {
         });
     }
 
-    public getMedianSellRate(
+    /**
+     * Returns the best price for the native token
+     * Best is calculated according to the fee schedule, so the price of the
+     * best source, fee adjusted, will be returned.
+     */
+    public getBestNativeTokenSellRate(
         sources: ERC20BridgeSource[],
         makerToken: string,
-        takerToken: string,
+        nativeToken: string,
-        takerFillAmount: BigNumber,
+        nativeFillAmount: BigNumber,
+        feeSchedule: FeeSchedule,
     ): BatchedOperation<BigNumber> {
-        if (makerToken.toLowerCase() === takerToken.toLowerCase()) {
+        if (makerToken.toLowerCase() === nativeToken.toLowerCase()) {
             return SamplerOperations.constant(new BigNumber(1));
         }
-        const subOps = this._getSellQuoteOperations(sources, makerToken, takerToken, [takerFillAmount], {
+        const subOps = this._getSellQuoteOperations(sources, makerToken, nativeToken, [nativeFillAmount], {
             default: [],
         });
         return this._createBatch(
@@ -1383,15 +1334,35 @@ export class SamplerOperations {
                 if (samples.length === 0) {
                     return ZERO_AMOUNT;
                 }
-                const flatSortedSamples = samples
+
-                    .reduce((acc, v) => acc.concat(...v))
+                const adjustedPrices = subOps.map((s, i) => {
-                    .filter(v => !v.isZero())
+                    // If the source gave us nothing, skip it and return a default
-                    .sort((a, b) => a.comparedTo(b));
+                    if (samples[i].length === 0 || samples[i][0].isZero()) {
-                if (flatSortedSamples.length === 0) {
+                        return { adjustedPrice: ZERO_AMOUNT, source: s.source, price: ZERO_AMOUNT };
-                    return ZERO_AMOUNT;
                     }
-                const medianSample = flatSortedSamples[Math.floor(flatSortedSamples.length / 2)];
+                    const v = samples[i][0];
-                return medianSample.div(takerFillAmount);
+                    const price = v.dividedBy(nativeFillAmount);
+                    // Create an adjusted price to avoid selecting the following:
+                    // * a source that is too expensive to arbitrage given the gas environment
+                    // * when a number of sources are poorly priced or liquidity is low
+
+                    // Fee is already gas * gasPrice
+                    const fee = feeSchedule[subOps[i].source]
+                        ? feeSchedule[subOps[i].source]!(subOps[i].fillData).fee
+                        : ZERO_AMOUNT;
+                    const adjustedNativeAmount = nativeFillAmount.plus(fee);
+                    const adjustedPrice = v.div(adjustedNativeAmount);
+                    return {
+                        adjustedPrice,
+                        source: subOps[i].source,
+                        price,
+                    };
+                });
+
+                const sortedPrices = adjustedPrices.sort((a, b) => a.adjustedPrice.comparedTo(b.adjustedPrice));
+                const selectedPrice = sortedPrices[sortedPrices.length - 1].price;
+
+                return selectedPrice;
             },
             () => ZERO_AMOUNT,
         );
@@ -1481,7 +1452,6 @@ export class SamplerOperations {
                     case ERC20BridgeSource.ApeSwap:
                     case ERC20BridgeSource.CheeseSwap:
                     case ERC20BridgeSource.QuickSwap:
-                    case ERC20BridgeSource.ComethSwap:
                     case ERC20BridgeSource.Dfyn:
                     case ERC20BridgeSource.WaultSwap:
                     case ERC20BridgeSource.ShibaSwap:
@@ -1531,15 +1501,6 @@ export class SamplerOperations {
                                 source,
                             ),
                         );
-                    case ERC20BridgeSource.Smoothy:
-                        return getCurveLikeInfosForPair(this.chainId, takerToken, makerToken, source).map(pool =>
-                            this.getSmoothySellQuotes(
-                                pool,
-                                pool.tokens.indexOf(takerToken),
-                                pool.tokens.indexOf(makerToken),
-                                takerFillAmounts,
-                            ),
-                        );
                     case ERC20BridgeSource.Shell:
                     case ERC20BridgeSource.Component:
                         return getShellLikeInfosForPair(this.chainId, takerToken, makerToken, source).map(pool =>
@@ -1829,7 +1790,6 @@ export class SamplerOperations {
                     case ERC20BridgeSource.ApeSwap:
                     case ERC20BridgeSource.CheeseSwap:
                     case ERC20BridgeSource.QuickSwap:
-                    case ERC20BridgeSource.ComethSwap:
                     case ERC20BridgeSource.Dfyn:
                     case ERC20BridgeSource.WaultSwap:
                     case ERC20BridgeSource.ShibaSwap:
@@ -1879,15 +1839,6 @@ export class SamplerOperations {
                                 source,
                             ),
                         );
-                    case ERC20BridgeSource.Smoothy:
-                        return getCurveLikeInfosForPair(this.chainId, takerToken, makerToken, source).map(pool =>
-                            this.getSmoothyBuyQuotes(
-                                pool,
-                                pool.tokens.indexOf(takerToken),
-                                pool.tokens.indexOf(makerToken),
-                                makerFillAmounts,
-                            ),
-                        );
                     case ERC20BridgeSource.Shell:
                     case ERC20BridgeSource.Component:
                         return getShellLikeInfosForPair(this.chainId, takerToken, makerToken, source).map(pool =>

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

@@ -55,7 +55,6 @@ export enum ERC20BridgeSource {
     DodoV2 = 'DODO_V2',
     CryptoCom = 'CryptoCom',
     KyberDmm = 'KyberDMM',
-    Smoothy = 'Smoothy',
     Component = 'Component',
     Saddle = 'Saddle',
     XSigma = 'xSigma',
@@ -82,7 +81,6 @@ export enum ERC20BridgeSource {
     ACryptos = 'ACryptoS',
     // Polygon only
     QuickSwap = 'QuickSwap',
-    ComethSwap = 'ComethSwap',
     Dfyn = 'Dfyn',
     WaultSwap = 'WaultSwap',
     FirebirdOneSwap = 'FirebirdOneSwap',
@@ -132,7 +130,7 @@ export enum CurveFunctionSelectors {
     exchange_underlying_v2 = '0x65b2489b',
     get_dy_v2 = '0x556d6e9f',
     get_dy_underlying_v2 = '0x85f11d1e',
-    // Smoothy
+    // Smoothy(deprecated)
     swap_uint256 = '0x5673b02d', // swap(uint256,uint256,uint256,uint256)
     get_swap_amount = '0x45cf2ef6', // getSwapAmount(uint256,uint256,uint256)
     // Nerve BSC, Saddle Mainnet, Synapse
@@ -403,45 +401,10 @@ export interface Fill<TFillData extends FillData = FillData> {
     output: BigNumber;
     // The output fill amount, adjusted by fees.
     adjustedOutput: BigNumber;
-    // Fill that must precede this one. This enforces certain fills to be contiguous.
+    // The expected gas cost of this fill
-    parent?: Fill;
+    gas: number;
-    // The index of the fill in the original path.
-    index: number;
 }
 
-/**
- * Represents continguous fills on a path that have been merged together.
- */
-export interface CollapsedFill<TFillData extends FillData = FillData> {
-    source: ERC20BridgeSource;
-    type: FillQuoteTransformerOrderType; // should correspond with TFillData
-    fillData: TFillData;
-    // Unique ID of the original source path this fill belongs to.
-    // This is generated when the path is generated and is useful to distinguish
-    // paths that have the same `source` IDs but are distinct (e.g., Curves).
-    sourcePathId: string;
-    /**
-     * Total input amount (sum of `subFill`s)
-     */
-    input: BigNumber;
-    /**
-     * Total output amount (sum of `subFill`s)
-     */
-    output: BigNumber;
-    /**
-     * Quantities of all the fills that were collapsed.
-     */
-    subFills: Array<{
-        input: BigNumber;
-        output: BigNumber;
-    }>;
-}
-
-/**
- * A `CollapsedFill` wrapping a native order.
- */
-export interface NativeCollapsedFill extends CollapsedFill<NativeFillData> {}
-
 export interface OptimizedMarketOrderBase<TFillData extends FillData = FillData> {
     source: ERC20BridgeSource;
     fillData: TFillData;
@@ -450,24 +413,21 @@ export interface OptimizedMarketOrderBase<TFillData extends FillData = FillData>
     takerToken: string;
     makerAmount: BigNumber; // The amount we wish to buy from this order, e.g inclusive of any previous partial fill
     takerAmount: BigNumber; // The amount we wish to fill this for, e.g inclusive of any previous partial fill
-    fills: CollapsedFill[];
+    fill: Omit<Fill, 'flags' | 'fillData' | 'sourcePathId' | 'source' | 'type'>; // Remove duplicates which have been brought into the OrderBase interface
 }
 
 export interface OptimizedMarketBridgeOrder<TFillData extends FillData = FillData>
     extends OptimizedMarketOrderBase<TFillData> {
     type: FillQuoteTransformerOrderType.Bridge;
-    fillData: TFillData;
     sourcePathId: string;
 }
 
 export interface OptimizedLimitOrder extends OptimizedMarketOrderBase<NativeLimitOrderFillData> {
     type: FillQuoteTransformerOrderType.Limit;
-    fillData: NativeLimitOrderFillData;
 }
 
 export interface OptimizedRfqOrder extends OptimizedMarketOrderBase<NativeRfqOrderFillData> {
     type: FillQuoteTransformerOrderType.Rfq;
-    fillData: NativeRfqOrderFillData;
 }
 
 /**
@@ -484,8 +444,12 @@ export interface GetMarketOrdersRfqOpts extends RfqRequestOpts {
     firmQuoteValidator?: RfqFirmQuoteValidator;
 }
 
-export type FeeEstimate = (fillData: FillData) => number | BigNumber;
+export type FeeEstimate = (fillData: FillData) => { gas: number; fee: BigNumber };
 export type FeeSchedule = Partial<{ [key in ERC20BridgeSource]: FeeEstimate }>;
+
+export type GasEstimate = (fillData: FillData) => number;
+export type GasSchedule = Partial<{ [key in ERC20BridgeSource]: GasEstimate }>;
+
 export type ExchangeProxyOverhead = (sourceFlags: bigint) => BigNumber;
 
 /**
@@ -549,7 +513,7 @@ export interface GetMarketOrdersOpts {
     /**
      * Estimated gas consumed by each liquidity source.
      */
-    gasSchedule: FeeSchedule;
+    gasSchedule: GasSchedule;
     exchangeProxyOverhead: ExchangeProxyOverhead;
     /**
      * Whether to pad the quote with a redundant fallback quote using different
@@ -584,6 +548,11 @@ export interface GetMarketOrdersOpts {
      * Sampler metrics for recording data on the sampler service and operations
      */
     samplerMetrics?: SamplerMetrics;
+
+    /**
+     * Adjusts fills individual fills based on caller supplied criteria
+     */
+    fillAdjustor: FillAdjustor;
 }
 
 export interface SamplerMetrics {
@@ -629,7 +598,7 @@ export interface SourceQuoteOperation<TFillData extends FillData = FillData> ext
 export interface OptimizerResult {
     optimizedOrders: OptimizedMarketOrder[];
     sourceFlags: bigint;
-    liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>;
+    liquidityDelivered: Readonly<Fill[] | DexSample<MultiHopFillData>>;
     marketSideLiquidity: MarketSideLiquidity;
     adjustedRate: BigNumber;
     takerAmountPerEth: BigNumber;
@@ -697,8 +666,13 @@ export interface GenerateOptimizedOrdersOpts {
     gasPrice: BigNumber;
     neonRouterNumSamples: number;
     samplerMetrics?: SamplerMetrics;
+    fillAdjustor: FillAdjustor;
 }
 
 export interface ComparisonPrice {
     wholeOrder: BigNumber | undefined;
 }
+
+export interface FillAdjustor {
+    adjustFills: (side: MarketOperation, fills: Fill[], amount: BigNumber) => Fill[];
+}

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

@@ -5,12 +5,11 @@ import _ = require('lodash');
 import { MarketOperation, NativeOrderWithFillableAmounts } from '../types';
 
 import {
-    CollapsedFill,
     DexSample,
     ERC20BridgeSource,
+    Fill,
     FillData,
     MultiHopFillData,
-    NativeCollapsedFill,
     NativeFillData,
     NativeLimitOrderFillData,
     NativeRfqOrderFillData,
@@ -123,7 +122,7 @@ export interface PriceComparisonsReport {
 export function generateQuoteReport(
     marketOperation: MarketOperation,
     nativeOrders: NativeOrderWithFillableAmounts[],
-    liquidityDelivered: ReadonlyArray<CollapsedFill> | DexSample<MultiHopFillData>,
+    liquidityDelivered: ReadonlyArray<Fill> | DexSample<MultiHopFillData>,
     comparisonPrice?: BigNumber | undefined,
     quoteRequestor?: QuoteRequestor,
 ): QuoteReport {
@@ -174,7 +173,7 @@ export function generateQuoteReport(
 export function generateExtendedQuoteReportSources(
     marketOperation: MarketOperation,
     quotes: RawQuotes,
-    liquidityDelivered: ReadonlyArray<CollapsedFill> | DexSample<MultiHopFillData>,
+    liquidityDelivered: ReadonlyArray<Fill> | DexSample<MultiHopFillData>,
     amount: BigNumber,
     comparisonPrice?: BigNumber | undefined,
     quoteRequestor?: QuoteRequestor,
@@ -343,7 +342,7 @@ export function multiHopSampleToReportSource(
     }
 }
 
-function _isNativeOrderFromCollapsedFill(cf: CollapsedFill): cf is NativeCollapsedFill {
+function _isNativeOrderFromCollapsedFill(cf: Fill): cf is Fill<NativeFillData> {
     const { type } = cf;
     return type === FillQuoteTransformerOrderType.Limit || type === FillQuoteTransformerOrderType.Rfq;
 }

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

@@ -4,7 +4,7 @@ import { BigNumber } from '@0x/utils';
 import { constants } from '../constants';
 import { MarketOperation } from '../types';
 
-import { FeeSchedule, NativeLimitOrderFillData, OptimizedMarketOrder } from './market_operation_utils/types';
+import { GasSchedule, NativeLimitOrderFillData, OptimizedMarketOrder } from './market_operation_utils/types';
 import { getNativeAdjustedTakerFeeAmount } from './utils';
 
 const { PROTOCOL_FEE_MULTIPLIER, ZERO_AMOUNT } = constants;
@@ -72,7 +72,7 @@ export interface QuoteFillInfo {
 }
 
 export interface QuoteFillInfoOpts {
-    gasSchedule: FeeSchedule;
+    gasSchedule: GasSchedule;
     protocolFeeMultiplier: BigNumber;
     slippage: number;
 }
@@ -140,7 +140,7 @@ export function fillQuoteOrders(
     fillOrders: QuoteFillOrderCall[],
     inputAmount: BigNumber,
     protocolFeePerFillOrder: BigNumber,
-    gasSchedule: FeeSchedule,
+    gasSchedule: GasSchedule,
 ): IntermediateQuoteFillResult {
     const result: IntermediateQuoteFillResult = {
         ...EMPTY_QUOTE_INTERMEDIATE_FILL_RESULT,
@@ -151,28 +151,18 @@ export function fillQuoteOrders(
         if (remainingInput.lte(0)) {
             break;
         }
-        for (const fill of fo.order.fills) {
+        const { source, fillData } = fo.order;
-            if (remainingInput.lte(0)) {
-                break;
-            }
-            const { source, fillData } = fill;
         const gas = gasSchedule[source] === undefined ? 0 : gasSchedule[source]!(fillData);
         result.gas += new BigNumber(gas).toNumber();
         result.inputBySource[source] = result.inputBySource[source] || ZERO_AMOUNT;
 
-            // Actual rates are rarely linear, so fill subfills individually to
-            // get a better approximation of fill size.
-            for (const subFill of fill.subFills) {
-                if (remainingInput.lte(0)) {
-                    break;
-                }
         const filledInput = solveForInputFillAmount(
             remainingInput,
-                    subFill.input,
+            fo.order.fill.input,
             fo.totalOrderInput,
             fo.totalOrderInputFee,
         );
-                const filledOutput = subFill.output.times(filledInput.div(subFill.input));
+        const filledOutput = fo.order.fill.output.times(filledInput.div(fo.order.fill.input));
         const filledInputFee = filledInput.div(fo.totalOrderInput).times(fo.totalOrderInputFee);
         const filledOutputFee = filledOutput.div(fo.totalOrderOutput).times(fo.totalOrderOutputFee);
 
@@ -182,8 +172,6 @@ export function fillQuoteOrders(
         result.inputFee = result.inputFee.plus(filledInputFee);
         result.outputFee = result.outputFee.plus(filledOutputFee);
         remainingInput = remainingInput.minus(filledInput.plus(filledInputFee));
-            }
-        }
         // NOTE: V4 Limit orders have Protocol fees
         const protocolFee = hasProtocolFee(fo.order) ? protocolFeePerFillOrder : ZERO_AMOUNT;
         result.protocolFee = result.protocolFee.plus(protocolFee);
@@ -314,7 +302,7 @@ function fromIntermediateQuoteFillResult(ir: IntermediateQuoteFillResult, quoteI
     };
 }
 
-function getTotalGasUsedByFills(fills: OptimizedMarketOrder[], gasSchedule: FeeSchedule): number {
+function getTotalGasUsedByFills(fills: OptimizedMarketOrder[], gasSchedule: GasSchedule): number {
     let gasUsed = 0;
     for (const f of fills) {
         const fee = gasSchedule[f.source] === undefined ? 0 : gasSchedule[f.source]!(f.fillData);

packages/asset-swapper/test/artifacts.ts

@@ -31,7 +31,6 @@ import * as IMStable from '../test/generated-artifacts/IMStable.json';
 import * as IMultiBridge from '../test/generated-artifacts/IMultiBridge.json';
 import * as IPlatypus from '../test/generated-artifacts/IPlatypus.json';
 import * as IShell from '../test/generated-artifacts/IShell.json';
-import * as ISmoothy from '../test/generated-artifacts/ISmoothy.json';
 import * as IUniswapExchangeQuotes from '../test/generated-artifacts/IUniswapExchangeQuotes.json';
 import * as IUniswapV2Router01 from '../test/generated-artifacts/IUniswapV2Router01.json';
 import * as KyberDmmSampler from '../test/generated-artifacts/KyberDmmSampler.json';
@@ -44,7 +43,6 @@ import * as NativeOrderSampler from '../test/generated-artifacts/NativeOrderSamp
 import * as PlatypusSampler from '../test/generated-artifacts/PlatypusSampler.json';
 import * as SamplerUtils from '../test/generated-artifacts/SamplerUtils.json';
 import * as ShellSampler from '../test/generated-artifacts/ShellSampler.json';
-import * as SmoothySampler from '../test/generated-artifacts/SmoothySampler.json';
 import * as TestNativeOrderSampler from '../test/generated-artifacts/TestNativeOrderSampler.json';
 import * as TwoHopSampler from '../test/generated-artifacts/TwoHopSampler.json';
 import * as UniswapSampler from '../test/generated-artifacts/UniswapSampler.json';
@@ -78,7 +76,6 @@ export const artifacts = {
     PlatypusSampler: PlatypusSampler as ContractArtifact,
     SamplerUtils: SamplerUtils as ContractArtifact,
     ShellSampler: ShellSampler as ContractArtifact,
-    SmoothySampler: SmoothySampler as ContractArtifact,
     TwoHopSampler: TwoHopSampler as ContractArtifact,
     UniswapSampler: UniswapSampler as ContractArtifact,
     UniswapV2Sampler: UniswapV2Sampler as ContractArtifact,
@@ -96,7 +93,6 @@ export const artifacts = {
     IMultiBridge: IMultiBridge as ContractArtifact,
     IPlatypus: IPlatypus as ContractArtifact,
     IShell: IShell as ContractArtifact,
-    ISmoothy: ISmoothy as ContractArtifact,
     IUniswapExchangeQuotes: IUniswapExchangeQuotes as ContractArtifact,
     IUniswapV2Router01: IUniswapV2Router01 as ContractArtifact,
     TestNativeOrderSampler: TestNativeOrderSampler as ContractArtifact,

packages/asset-swapper/test/comparison_price_test.ts

@@ -18,7 +18,7 @@ const expect = chai.expect;
 const DAI_TOKEN = '0x6b175474e89094c44da98b954eedeac495271d0f';
 const ETH_TOKEN = '0xeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeeee';
 const GAS_PRICE = new BigNumber(50e9); // 50 gwei
-const NATIVE_ORDER_FEE = new BigNumber(220e3); // 220K gas
+const NATIVE_ORDER_GAS = 220e3; // 220K gas
 
 // DEX samples to fill in MarketSideLiquidity
 const curveSample: DexSample = {
@@ -36,7 +36,10 @@ const uniswapSample1: DexSample = {
 const dexQuotes: DexSample[] = [curveSample, uniswapSample1];
 
 const feeSchedule = {
-    [ERC20BridgeSource.Native]: _.constant(GAS_PRICE.times(NATIVE_ORDER_FEE)),
+    [ERC20BridgeSource.Native]: _.constant({
+        gas: NATIVE_ORDER_GAS,
+        fee: GAS_PRICE.times(NATIVE_ORDER_GAS),
+    }),
 };
 
 const exchangeProxyOverhead = (sourceFlags: bigint) => {

packages/asset-swapper/test/exchange_proxy_swap_quote_consumer_test.ts

@@ -23,6 +23,8 @@ import { ExchangeProxySwapQuoteConsumer } from '../src/quote_consumers/exchange_
 import { AffiliateFeeType, MarketBuySwapQuote, MarketOperation, MarketSellSwapQuote } from '../src/types';
 import {
     ERC20BridgeSource,
+    Fill,
+    NativeFillData,
     OptimizedLimitOrder,
     OptimizedMarketOrder,
 } from '../src/utils/market_operation_utils/types';
@@ -100,7 +102,8 @@ describe('ExchangeProxySwapQuoteConsumer', () => {
             takerToken: order.takerToken,
             makerAmount: order.makerAmount,
             takerAmount: order.takerAmount,
-            fills: [],
+            // tslint:disable-next-line:no-object-literal-type-assertion
+            fill: {} as Fill<NativeFillData>,
             ...optimizerFields,
         };
     }

packages/asset-swapper/test/market_operation_utils_test.ts

@@ -16,16 +16,14 @@ import * as _ from 'lodash';
 import * as TypeMoq from 'typemoq';
 
 import { MarketOperation, QuoteRequestor, RfqRequestOpts, SignedNativeOrder } from '../src';
-import { Integrator, NativeOrderWithFillableAmounts } from '../src/types';
+import { Integrator } from '../src/types';
 import { MarketOperationUtils } from '../src/utils/market_operation_utils/';
 import {
     BUY_SOURCE_FILTER_BY_CHAIN_ID,
-    POSITIVE_INF,
     SELL_SOURCE_FILTER_BY_CHAIN_ID,
     SOURCE_FLAGS,
     ZERO_AMOUNT,
 } from '../src/utils/market_operation_utils/constants';
-import { createFills } from '../src/utils/market_operation_utils/fills';
 import { PoolsCache } from '../src/utils/market_operation_utils/pools_cache';
 import { DexOrderSampler } from '../src/utils/market_operation_utils/sampler';
 import { BATCH_SOURCE_FILTERS } from '../src/utils/market_operation_utils/sampler_operations';
@@ -39,7 +37,6 @@ import {
     GetMarketOrdersOpts,
     LiquidityProviderFillData,
     MarketSideLiquidity,
-    NativeFillData,
     OptimizedMarketBridgeOrder,
     OptimizerResultWithReport,
     TokenAdjacencyGraph,
@@ -272,7 +269,7 @@ describe('MarketOperationUtils tests', () => {
         };
     }
 
-    type GetMedianRateOperation = (
+    type GetBestNativeTokenSellRateOperation = (
         sources: ERC20BridgeSource[],
         makerToken: string,
         takerToken: string,
@@ -281,7 +278,7 @@ describe('MarketOperationUtils tests', () => {
         liquidityProviderAddress?: string,
     ) => BigNumber;
 
-    function createGetMedianSellRate(rate: Numberish): GetMedianRateOperation {
+    function createGetBestNativeSellRate(rate: Numberish): GetBestNativeTokenSellRateOperation {
         return (
             _sources: ERC20BridgeSource[],
             _makerToken: string,
@@ -348,17 +345,6 @@ describe('MarketOperationUtils tests', () => {
             fromTokenIdx: 0,
             toTokenIdx: 1,
         },
-        [ERC20BridgeSource.Smoothy]: {
-            pool: {
-                poolAddress: randomAddress(),
-                tokens: [TAKER_TOKEN, MAKER_TOKEN],
-                exchangeFunctionSelector: hexUtils.random(4),
-                sellQuoteFunctionSelector: hexUtils.random(4),
-                buyQuoteFunctionSelector: hexUtils.random(4),
-            },
-            fromTokenIdx: 0,
-            toTokenIdx: 1,
-        },
         [ERC20BridgeSource.Saddle]: {
             pool: {
                 poolAddress: randomAddress(),
@@ -399,7 +385,7 @@ describe('MarketOperationUtils tests', () => {
         },
         getSellQuotes: createGetMultipleSellQuotesOperationFromRates(DEFAULT_RATES),
         getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(DEFAULT_RATES),
-        getMedianSellRate: createGetMedianSellRate(1),
+        getBestNativeTokenSellRate: createGetBestNativeSellRate(1),
         getTwoHopSellQuotes: (..._params: any[]) => [],
         getTwoHopBuyQuotes: (..._params: any[]) => [],
         isAddressContract: (..._params: any[]) => false,
@@ -632,7 +618,7 @@ describe('MarketOperationUtils tests', () => {
 
                 // to get a comparisonPrice, you need a feeschedule for a native order
                 const feeSchedule = {
-                    [ERC20BridgeSource.Native]: _.constant(new BigNumber(1)),
+                    [ERC20BridgeSource.Native]: _.constant({ gas: 1, fee: new BigNumber(1) }),
                 };
                 mockedQuoteRequestor
                     .setup(mqr => mqr.getMakerUriForSignature(TypeMoq.It.isValue(SIGNATURE)))
@@ -1022,7 +1008,7 @@ describe('MarketOperationUtils tests', () => {
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
                 expect(improvedOrders).to.not.be.length(0);
                 for (const order of improvedOrders) {
-                    const expectedMakerAmount = order.fills[0].output;
+                    const expectedMakerAmount = order.fill.output;
                     const slippage = new BigNumber(1).minus(order.makerAmount.div(expectedMakerAmount.plus(1)));
                     assertRoughlyEquals(slippage, bridgeSlippage, 1);
                 }
@@ -1044,7 +1030,7 @@ describe('MarketOperationUtils tests', () => {
                     { ...DEFAULT_OPTS, numSamples: 4 },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const expectedSources = [
                     ERC20BridgeSource.SushiSwap,
                     ERC20BridgeSource.Uniswap,
@@ -1067,15 +1053,16 @@ describe('MarketOperationUtils tests', () => {
                     [ERC20BridgeSource.SushiSwap]: [0.95, 0.1, 0.1, 0.1],
                 };
                 const feeSchedule = {
-                    [ERC20BridgeSource.Native]: _.constant(
+                    [ERC20BridgeSource.Native]: _.constant({
-                        FILL_AMOUNT.div(4)
+                        gas: 1,
+                        fee: FILL_AMOUNT.div(4)
                             .times(nativeFeeRate)
                             .dividedToIntegerBy(ETH_TO_MAKER_RATE),
-                    ),
+                    }),
                 };
                 replaceSamplerOps({
                     getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
-                    getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
+                    getBestNativeTokenSellRate: createGetBestNativeSellRate(ETH_TO_MAKER_RATE),
                 });
                 const improvedOrdersResponse = await getMarketSellOrdersAsync(
                     marketOperationUtils,
@@ -1084,7 +1071,7 @@ describe('MarketOperationUtils tests', () => {
                     { ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const expectedSources = [
                     ERC20BridgeSource.Native,
                     ERC20BridgeSource.Uniswap,
@@ -1104,15 +1091,16 @@ describe('MarketOperationUtils tests', () => {
                     [ERC20BridgeSource.Uniswap]: [1, 0.7, 0.2, 0.2],
                 };
                 const feeSchedule = {
-                    [ERC20BridgeSource.Uniswap]: _.constant(
+                    [ERC20BridgeSource.Uniswap]: _.constant({
-                        FILL_AMOUNT.div(4)
+                        gas: 1,
+                        fee: FILL_AMOUNT.div(4)
                             .times(uniswapFeeRate)
                             .dividedToIntegerBy(ETH_TO_MAKER_RATE),
-                    ),
+                    }),
                 };
                 replaceSamplerOps({
                     getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
-                    getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
+                    getBestNativeTokenSellRate: createGetBestNativeSellRate(ETH_TO_MAKER_RATE),
                 });
                 const improvedOrdersResponse = await getMarketSellOrdersAsync(
                     marketOperationUtils,
@@ -1121,7 +1109,7 @@ describe('MarketOperationUtils tests', () => {
                     { ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const expectedSources = [
                     ERC20BridgeSource.Native,
                     ERC20BridgeSource.SushiSwap,
@@ -1139,7 +1127,7 @@ describe('MarketOperationUtils tests', () => {
                 };
                 replaceSamplerOps({
                     getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
-                    getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
+                    getBestNativeTokenSellRate: createGetBestNativeSellRate(ETH_TO_MAKER_RATE),
                 });
                 const improvedOrdersResponse = await getMarketSellOrdersAsync(
                     marketOperationUtils,
@@ -1148,7 +1136,7 @@ describe('MarketOperationUtils tests', () => {
                     { ...DEFAULT_OPTS, numSamples: 4 },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const expectedSources = [
                     ERC20BridgeSource.SushiSwap,
                     ERC20BridgeSource.Uniswap,
@@ -1175,7 +1163,7 @@ describe('MarketOperationUtils tests', () => {
                     { ...DEFAULT_OPTS, numSamples: 4, allowFallback: true, maxFallbackSlippage: 0.25 },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const firstSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Native, ERC20BridgeSource.Uniswap];
                 const secondSources: ERC20BridgeSource[] = [];
                 expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
@@ -1248,7 +1236,7 @@ describe('MarketOperationUtils tests', () => {
                 };
                 replaceSamplerOps({
                     getSellQuotes: createGetMultipleSellQuotesOperationFromRates(rates),
-                    getMedianSellRate: createGetMedianSellRate(ETH_TO_MAKER_RATE),
+                    getBestNativeTokenSellRate: createGetBestNativeSellRate(ETH_TO_MAKER_RATE),
                 });
                 const optimizer = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
                 const gasPrice = 100e9; // 100 gwei
@@ -1273,7 +1261,7 @@ describe('MarketOperationUtils tests', () => {
                     },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const expectedSources = [ERC20BridgeSource.LiquidityProvider];
                 expect(orderSources).to.deep.eq(expectedSources);
             });
@@ -1469,7 +1457,7 @@ describe('MarketOperationUtils tests', () => {
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
                 expect(improvedOrders).to.not.be.length(0);
                 for (const order of improvedOrders) {
-                    const expectedTakerAmount = order.fills[0].output;
+                    const expectedTakerAmount = order.fill.output;
                     const slippage = order.takerAmount.div(expectedTakerAmount.plus(1)).minus(1);
                     assertRoughlyEquals(slippage, bridgeSlippage, 1);
                 }
@@ -1491,7 +1479,7 @@ describe('MarketOperationUtils tests', () => {
                     { ...DEFAULT_OPTS, numSamples: 4 },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const expectedSources = [
                     ERC20BridgeSource.SushiSwap,
                     ERC20BridgeSource.Uniswap,
@@ -1516,15 +1504,16 @@ describe('MarketOperationUtils tests', () => {
                     [ERC20BridgeSource.Curve]: [0.1, 0.1, 0.1, 0.1],
                 };
                 const feeSchedule = {
-                    [ERC20BridgeSource.Native]: _.constant(
+                    [ERC20BridgeSource.Native]: _.constant({
-                        FILL_AMOUNT.div(4)
+                        gas: 1,
+                        fee: FILL_AMOUNT.div(4)
                             .times(nativeFeeRate)
                             .dividedToIntegerBy(ETH_TO_TAKER_RATE),
-                    ),
+                    }),
                 };
                 replaceSamplerOps({
                     getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
-                    getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
+                    getBestNativeTokenSellRate: createGetBestNativeSellRate(ETH_TO_TAKER_RATE),
                 });
                 const improvedOrdersResponse = await getMarketBuyOrdersAsync(
                     marketOperationUtils,
@@ -1533,7 +1522,7 @@ describe('MarketOperationUtils tests', () => {
                     { ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const expectedSources = [
                     ERC20BridgeSource.Uniswap,
                     ERC20BridgeSource.SushiSwap,
@@ -1555,15 +1544,16 @@ describe('MarketOperationUtils tests', () => {
                     [ERC20BridgeSource.SushiSwap]: [0.92, 0.1, 0.1, 0.1],
                 };
                 const feeSchedule = {
-                    [ERC20BridgeSource.Uniswap]: _.constant(
+                    [ERC20BridgeSource.Uniswap]: _.constant({
-                        FILL_AMOUNT.div(4)
+                        gas: 1,
+                        fee: FILL_AMOUNT.div(4)
                             .times(uniswapFeeRate)
                             .dividedToIntegerBy(ETH_TO_TAKER_RATE),
-                    ),
+                    }),
                 };
                 replaceSamplerOps({
                     getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
-                    getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
+                    getBestNativeTokenSellRate: createGetBestNativeSellRate(ETH_TO_TAKER_RATE),
                 });
                 const improvedOrdersResponse = await getMarketBuyOrdersAsync(
                     marketOperationUtils,
@@ -1572,7 +1562,7 @@ describe('MarketOperationUtils tests', () => {
                     { ...DEFAULT_OPTS, numSamples: 4, feeSchedule },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const expectedSources = [
                     ERC20BridgeSource.Native,
                     ERC20BridgeSource.SushiSwap,
@@ -1598,7 +1588,7 @@ describe('MarketOperationUtils tests', () => {
                     { ...DEFAULT_OPTS, numSamples: 4, allowFallback: true, maxFallbackSlippage: 0.25 },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const firstSources = [ERC20BridgeSource.Native, ERC20BridgeSource.Native, ERC20BridgeSource.Uniswap];
                 const secondSources: ERC20BridgeSource[] = [];
                 expect(orderSources.slice(0, firstSources.length).sort()).to.deep.eq(firstSources.sort());
@@ -1619,7 +1609,7 @@ describe('MarketOperationUtils tests', () => {
                 };
                 replaceSamplerOps({
                     getBuyQuotes: createGetMultipleBuyQuotesOperationFromRates(rates),
-                    getMedianSellRate: createGetMedianSellRate(ETH_TO_TAKER_RATE),
+                    getBestNativeTokenSellRate: createGetBestNativeSellRate(ETH_TO_TAKER_RATE),
                 });
                 const optimizer = new MarketOperationUtils(MOCK_SAMPLER, contractAddresses, ORDER_DOMAIN);
                 const exchangeProxyOverhead = (sourceFlags: bigint) =>
@@ -1643,77 +1633,11 @@ describe('MarketOperationUtils tests', () => {
                     },
                 );
                 const improvedOrders = improvedOrdersResponse.optimizedOrders;
-                const orderSources = improvedOrders.map(o => o.fills[0].source);
+                const orderSources = improvedOrders.map(o => o.source);
                 const expectedSources = [ERC20BridgeSource.LiquidityProvider];
                 expect(orderSources).to.deep.eq(expectedSources);
             });
         });
     });
-
-    describe('createFills', () => {
-        const takerAmount = new BigNumber(5000000);
-        const outputAmountPerEth = new BigNumber(0.5);
-        // tslint:disable-next-line:no-object-literal-type-assertion
-        const smallOrder: NativeOrderWithFillableAmounts = {
-            order: {
-                ...new LimitOrder({
-                    chainId: 1,
-                    maker: 'SMALL_ORDER',
-                    takerAmount,
-                    makerAmount: takerAmount.times(2),
-                }),
-            },
-            fillableMakerAmount: takerAmount.times(2),
-            fillableTakerAmount: takerAmount,
-            fillableTakerFeeAmount: new BigNumber(0),
-            type: FillQuoteTransformerOrderType.Limit,
-            signature: SIGNATURE,
-        };
-        const largeOrder: NativeOrderWithFillableAmounts = {
-            order: {
-                ...new LimitOrder({
-                    chainId: 1,
-                    maker: 'LARGE_ORDER',
-                    takerAmount: smallOrder.order.takerAmount.times(2),
-                    makerAmount: smallOrder.order.makerAmount.times(2),
-                }),
-            },
-            fillableTakerAmount: smallOrder.fillableTakerAmount.times(2),
-            fillableMakerAmount: smallOrder.fillableMakerAmount.times(2),
-            fillableTakerFeeAmount: new BigNumber(0),
-            type: FillQuoteTransformerOrderType.Limit,
-            signature: SIGNATURE,
-        };
-        const orders = [smallOrder, largeOrder];
-        const feeSchedule = {
-            [ERC20BridgeSource.Native]: _.constant(2e5),
-        };
-
-        it('penalizes native fill based on target amount when target is smaller', () => {
-            const path = createFills({
-                side: MarketOperation.Sell,
-                orders,
-                dexQuotes: [],
-                targetInput: takerAmount.minus(1),
-                outputAmountPerEth,
-                feeSchedule,
-            });
-            expect((path[0][0].fillData as NativeFillData).order.maker).to.eq(smallOrder.order.maker);
-            expect(path[0][0].input).to.be.bignumber.eq(takerAmount.minus(1));
-        });
-
-        it('penalizes native fill based on available amount when target is larger', () => {
-            const path = createFills({
-                side: MarketOperation.Sell,
-                orders,
-                dexQuotes: [],
-                targetInput: POSITIVE_INF,
-                outputAmountPerEth,
-                feeSchedule,
-            });
-            expect((path[0][0].fillData as NativeFillData).order.maker).to.eq(largeOrder.order.maker);
-            expect((path[0][1].fillData as NativeFillData).order.maker).to.eq(smallOrder.order.maker);
-        });
-    });
 });
 // tslint:disable-next-line: max-file-line-count

packages/asset-swapper/test/path_test.ts

@@ -1,90 +0,0 @@
-import { expect } from '@0x/contracts-test-utils';
-import { BigNumber } from '@0x/utils';
-
-import { MarketOperation } from '../src/types';
-import { Path } from '../src/utils/market_operation_utils/path';
-import { ERC20BridgeSource, Fill } from '../src/utils/market_operation_utils/types';
-
-const createFill = (
-    source: ERC20BridgeSource,
-    index: number = 0,
-    input: BigNumber = new BigNumber(100),
-    output: BigNumber = new BigNumber(100),
-): Fill =>
-    // tslint:disable-next-line: no-object-literal-type-assertion
-    ({
-        source,
-        input,
-        output,
-        adjustedOutput: output,
-        flags: BigInt(0),
-        sourcePathId: source,
-        index,
-    } as Fill);
-
-describe('Path', () => {
-    it('Adds a fallback', () => {
-        const targetInput = new BigNumber(100);
-        const path = Path.create(
-            MarketOperation.Sell,
-            [createFill(ERC20BridgeSource.Native), createFill(ERC20BridgeSource.Native)],
-            targetInput,
-        );
-        const fallback = Path.create(MarketOperation.Sell, [createFill(ERC20BridgeSource.Uniswap)], targetInput);
-        path.addFallback(fallback);
-        const sources = path.fills.map(f => f.source);
-        expect(sources).to.deep.eq([ERC20BridgeSource.Native, ERC20BridgeSource.Native, ERC20BridgeSource.Uniswap]);
-    });
-
-    it('Adds a fallback with LiquidityProvider', () => {
-        const targetInput = new BigNumber(100);
-        const path = Path.create(
-            MarketOperation.Sell,
-            [createFill(ERC20BridgeSource.Native), createFill(ERC20BridgeSource.LiquidityProvider)],
-            targetInput,
-        );
-        const fallback = Path.create(MarketOperation.Sell, [createFill(ERC20BridgeSource.Uniswap)], targetInput);
-        path.addFallback(fallback);
-        const sources = path.fills.map(f => f.source);
-        expect(sources).to.deep.eq([
-            ERC20BridgeSource.Native,
-            ERC20BridgeSource.LiquidityProvider,
-            ERC20BridgeSource.Uniswap,
-        ]);
-    });
-
-    it('Handles duplicates', () => {
-        const targetInput = new BigNumber(100);
-        const path = Path.create(
-            MarketOperation.Sell,
-            [createFill(ERC20BridgeSource.Uniswap), createFill(ERC20BridgeSource.LiquidityProvider)],
-            targetInput,
-        );
-        const fallback = Path.create(MarketOperation.Sell, [createFill(ERC20BridgeSource.Uniswap)], targetInput);
-        path.addFallback(fallback);
-        const sources = path.fills.map(f => f.source);
-        expect(sources).to.deep.eq([ERC20BridgeSource.Uniswap, ERC20BridgeSource.LiquidityProvider]);
-    });
-    it('Moves Native orders to the front and appends with unused fills', () => {
-        const targetInput = new BigNumber(100);
-        const path = Path.create(
-            MarketOperation.Sell,
-            [
-                createFill(ERC20BridgeSource.Uniswap, 0, new BigNumber(50)),
-                createFill(ERC20BridgeSource.Native, 0, new BigNumber(50)),
-            ],
-            targetInput,
-        );
-        const fallback = Path.create(
-            MarketOperation.Sell,
-            [
-                createFill(ERC20BridgeSource.Uniswap, 0, new BigNumber(50)),
-                createFill(ERC20BridgeSource.Uniswap, 1, new BigNumber(50)),
-            ],
-            targetInput,
-        );
-        path.addFallback(fallback);
-        const sources = path.fills.map(f => f.source);
-        expect(sources).to.deep.eq([ERC20BridgeSource.Native, ERC20BridgeSource.Uniswap, ERC20BridgeSource.Uniswap]);
-    });
-});

packages/asset-swapper/test/quote_report_generator_test.ts

@@ -9,11 +9,10 @@ import * as TypeMoq from 'typemoq';
 
 import { MarketOperation, NativeOrderWithFillableAmounts } from '../src/types';
 import {
-    CollapsedFill,
     DexSample,
     ERC20BridgeSource,
+    Fill,
     MultiHopFillData,
-    NativeCollapsedFill,
     NativeFillData,
     NativeLimitOrderFillData,
     NativeRfqOrderFillData,
@@ -34,7 +33,7 @@ import { getRandomAmount, getRandomSignature } from './utils/utils';
 chaiSetup.configure();
 const expect = chai.expect;
 
-function collapsedFillFromNativeOrder(order: NativeOrderWithFillableAmounts): NativeCollapsedFill {
+function fillFromNativeOrder(order: NativeOrderWithFillableAmounts): Fill<NativeFillData> {
     const fillData = {
         order: order.order,
         signature: order.signature,
@@ -50,7 +49,9 @@ function collapsedFillFromNativeOrder(order: NativeOrderWithFillableAmounts): Na
             order.type === FillQuoteTransformerOrderType.Limit
                 ? (fillData as NativeLimitOrderFillData)
                 : (fillData as NativeRfqOrderFillData),
-        subFills: [],
+        adjustedOutput: order.order.makerAmount,
+        flags: BigInt(0),
+        gas: 1,
     };
 }
 
@@ -111,21 +112,25 @@ describe('generateQuoteReport', async () => {
         ];
 
         // generate path
-        const uniswap2Fill: CollapsedFill = {
+        const uniswap2Fill: Fill = {
             ...uniswapSample2,
-            subFills: [],
             sourcePathId: hexUtils.random(),
             type: FillQuoteTransformerOrderType.Bridge,
+            adjustedOutput: uniswapSample2.output,
+            flags: BigInt(0),
+            gas: 1,
         };
-        const balancer2Fill: CollapsedFill = {
+        const balancer2Fill: Fill = {
             ...balancerSample2,
-            subFills: [],
             sourcePathId: hexUtils.random(),
             type: FillQuoteTransformerOrderType.Bridge,
+            adjustedOutput: balancerSample2.output,
+            flags: BigInt(0),
+            gas: 1,
         };
-        const orderbookOrder2Fill: CollapsedFill = collapsedFillFromNativeOrder(orderbookOrder2);
+        const orderbookOrder2Fill: Fill = fillFromNativeOrder(orderbookOrder2);
-        const rfqtOrder2Fill: CollapsedFill = collapsedFillFromNativeOrder(rfqtOrder2);
+        const rfqtOrder2Fill: Fill = fillFromNativeOrder(rfqtOrder2);
-        const pathGenerated: CollapsedFill[] = [rfqtOrder2Fill, orderbookOrder2Fill, uniswap2Fill, balancer2Fill];
+        const pathGenerated: Fill[] = [rfqtOrder2Fill, orderbookOrder2Fill, uniswap2Fill, balancer2Fill];
 
         // quote generator mock
         const quoteRequestor = TypeMoq.Mock.ofType<QuoteRequestor>();
@@ -241,20 +246,24 @@ describe('generateQuoteReport', async () => {
         const nativeOrders = [orderbookOrder1, orderbookOrder2];
 
         // generate path
-        const orderbookOrder1Fill: CollapsedFill = collapsedFillFromNativeOrder(orderbookOrder1);
+        const orderbookOrder1Fill: Fill = fillFromNativeOrder(orderbookOrder1);
-        const uniswap1Fill: CollapsedFill = {
+        const uniswap1Fill: Fill = {
             ...uniswapSample1,
-            subFills: [],
             sourcePathId: hexUtils.random(),
             type: FillQuoteTransformerOrderType.Bridge,
+            adjustedOutput: uniswapSample1.output,
+            flags: BigInt(0),
+            gas: 1,
         };
-        const balancer1Fill: CollapsedFill = {
+        const balancer1Fill: Fill = {
             ...balancerSample1,
-            subFills: [],
             sourcePathId: hexUtils.random(),
             type: FillQuoteTransformerOrderType.Bridge,
+            adjustedOutput: balancerSample1.output,
+            flags: BigInt(0),
+            gas: 1,
         };
-        const pathGenerated: CollapsedFill[] = [orderbookOrder1Fill, uniswap1Fill, balancer1Fill];
+        const pathGenerated: Fill[] = [orderbookOrder1Fill, uniswap1Fill, balancer1Fill];
 
         const orderReport = generateQuoteReport(marketOperation, nativeOrders, pathGenerated);
 

packages/asset-swapper/test/quote_simulation_test.ts

@@ -5,8 +5,8 @@ import * as _ from 'lodash';
 
 import { MarketOperation } from '../src/types';
 import {
-    CollapsedFill,
     ERC20BridgeSource,
+    Fill,
     NativeLimitOrderFillData,
     OptimizedMarketOrder,
     OptimizedMarketOrderBase,
@@ -45,18 +45,16 @@ describe('quote_simulation tests', async () => {
             inputFeeRate: number;
             outputFeeRate: number;
             count: number;
-            fillsCount: number;
             side: MarketOperation;
             type?: FillQuoteTransformerOrderType;
         }> = {},
     ): QuoteFillOrderCall[] {
-        const { fillableInput, fillableOutput, inputFeeRate, outputFeeRate, count, fillsCount, side, type } = {
+        const { fillableInput, fillableOutput, inputFeeRate, outputFeeRate, count, side, type } = {
             fillableInput: getRandomOrderSize(),
             fillableOutput: getRandomOrderSize(),
             inputFeeRate: 0,
             outputFeeRate: 0,
             count: 3,
-            fillsCount: 3,
             side: MarketOperation.Sell,
             ...opts,
         };
@@ -83,7 +81,6 @@ describe('quote_simulation tests', async () => {
             return {
                 order: createQuoteFillOrderOrder(totalInputs[i], totalOutputs[i], {
                     side,
-                    fillsCount,
                     filledInput: filledInputs[i],
                     takerInputFee: inputFees[i].abs(),
                     takerOutputFee: outputFees[i].abs(),
@@ -102,19 +99,17 @@ describe('quote_simulation tests', async () => {
         output: BigNumber,
         opts: Partial<{
             filledInput: BigNumber;
-            fillsCount: number;
             side: MarketOperation;
             takerInputFee: BigNumber;
             takerOutputFee: BigNumber;
             type: FillQuoteTransformerOrderType;
         }> = {},
     ): OptimizedMarketOrderBase<NativeLimitOrderFillData> {
-        const { filledInput, fillsCount, side, takerInputFee, takerOutputFee, type } = _.merge(
+        const { filledInput, side, takerInputFee, takerOutputFee, type } = _.merge(
             {},
             {
                 side: MarketOperation.Sell,
                 filledInput: ZERO,
-                fillsCount: 3,
                 takerInputFee: ZERO,
                 takerOutputFee: ZERO,
                 type: FillQuoteTransformerOrderType.Limit,
@@ -160,46 +155,23 @@ describe('quote_simulation tests', async () => {
                 maxTakerTokenFillAmount: fillableTakerAmount,
             },
             type,
-            fills: createOrderCollapsedFills(fillableInput, fillableOutput, fillsCount),
+            fill: createOrderFill(fillableInput, fillableOutput),
         };
         return order;
     }
     const nativeSourcePathId = hexUtils.random();
-    function createOrderCollapsedFills(input: BigNumber, output: BigNumber, count: number): CollapsedFill[] {
+    function createOrderFill(input: BigNumber, output: BigNumber): Fill {
-        const inputs = subdivideAmount(input, count);
-        const outputs = subdivideAmount(output, count);
-        return _.times(count, i => {
-            const subFillInputs = subdivideAmount(inputs[i], count);
-            const subFillOutputs = subdivideAmount(outputs[i], count);
         return {
             type: FillQuoteTransformerOrderType.Bridge,
             sourcePathId: nativeSourcePathId,
             source: ERC20BridgeSource.Uniswap,
             fillData: {},
-                input: inputs[i],
+            input,
-                output: outputs[i],
+            output,
-                subFills: _.times(count, j => ({
+            flags: BigInt(0),
-                    input: subFillInputs[j],
+            adjustedOutput: output,
-                    output: subFillOutputs[j],
+            gas: 1,
-                })),
         };
-        });
-    }
-
-    function countCollapsedFills(fillOrders: QuoteFillOrderCall[] | OptimizedMarketOrder[]): number {
-        let count = 0;
-        if ((fillOrders as any)[0].fills) {
-            const orders = (fillOrders as any) as OptimizedMarketOrder[];
-            for (const o of orders) {
-                count += o.fills.length;
-            }
-        } else {
-            const orders = (fillOrders as any) as QuoteFillOrderCall[];
-            for (const fo of orders) {
-                count += fo.order.fills.length;
-            }
-        }
-        return count;
     }
 
     function randomSide(): MarketOperation {
@@ -237,14 +209,12 @@ describe('quote_simulation tests', async () => {
         describe('single order', () => {
             it('can exactly fill one order', () => {
                 const side = randomSide();
-                const fillsCount = _.random(1, 3);
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const fillOrders = createQuoteFillOrders({
                     fillableInput,
                     fillableOutput,
                     side,
-                    fillsCount,
                     count: 1,
                 });
                 const result = fillQuoteOrders(fillOrders, fillableInput, ONE, GAS_SCHEDULE);
@@ -253,19 +223,16 @@ describe('quote_simulation tests', async () => {
                 expect(totalFilledInput).to.bignumber.eq(fillableInput);
                 assertRoughlyEquals(totalFilledOutput, fillableOutput);
                 expect(result.protocolFee).to.bignumber.eq(1);
-                expect(result.gas).to.eq(fillsCount);
             });
 
             it('can partially fill one simple order', () => {
                 const side = randomSide();
-                const fillsCount = 1;
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const fillOrders = createQuoteFillOrders({
                     fillableInput,
                     fillableOutput,
                     side,
-                    fillsCount,
                     count: 1,
                 });
                 const inputFillAmount = fillableInput.times(2 / 3).integerValue();
@@ -279,19 +246,16 @@ describe('quote_simulation tests', async () => {
                     .integerValue();
                 assertRoughlyEquals(totalFilledOutput, expectedOutputFilledAmount);
                 expect(result.protocolFee).to.bignumber.eq(1);
-                expect(result.gas).to.eq(1);
             });
 
             it('can partially fill one batched order', () => {
                 const side = randomSide();
-                const fillsCount = 3;
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const fillOrders = createQuoteFillOrders({
                     fillableInput,
                     fillableOutput,
                     side,
-                    fillsCount,
                     count: 1,
                 });
                 const inputFillAmount = fillableInput.times(2 / 3).integerValue();
@@ -301,20 +265,16 @@ describe('quote_simulation tests', async () => {
                 expect(totalFilledInput).to.bignumber.eq(inputFillAmount);
                 expect(totalFilledOutput).to.bignumber.lt(fillableOutput);
                 expect(result.protocolFee).to.bignumber.eq(1);
-                expect(result.gas).to.gte(1);
-                expect(result.gas).to.lte(fillsCount);
             });
 
             it('does not over fill one order', () => {
                 const side = randomSide();
-                const fillsCount = _.random(1, 3);
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const fillOrders = createQuoteFillOrders({
                     fillableInput,
                     fillableOutput,
                     side,
-                    fillsCount,
                     count: 1,
                 });
                 const inputFillAmount = fillableInput.times(3 / 2).integerValue();
@@ -324,12 +284,10 @@ describe('quote_simulation tests', async () => {
                 expect(totalFilledInput).to.bignumber.eq(fillableInput);
                 assertRoughlyEquals(totalFilledOutput, fillableOutput);
                 expect(result.protocolFee).to.bignumber.eq(1);
-                expect(result.gas).to.eq(fillsCount);
             });
 
             it('can exactly fill one order with input fees', () => {
                 const side = randomSide();
-                const fillsCount = _.random(1, 3);
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const inputFeeRate = getRandomFeeRate();
@@ -338,7 +296,6 @@ describe('quote_simulation tests', async () => {
                     fillableOutput,
                     inputFeeRate,
                     side,
-                    fillsCount,
                     count: 1,
                 });
                 const signedInputFeeRate = side === MarketOperation.Sell ? inputFeeRate : -inputFeeRate;
@@ -350,12 +307,10 @@ describe('quote_simulation tests', async () => {
                 assertRoughlyEquals(totalFilledOutput, fillableOutput);
                 assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
                 expect(result.protocolFee).to.bignumber.eq(1);
-                expect(result.gas).to.eq(fillsCount);
             });
 
             it('can partially fill one order with input fees', () => {
                 const side = randomSide();
-                const fillsCount = _.random(1, 3);
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const inputFeeRate = getRandomFeeRate();
@@ -364,7 +319,6 @@ describe('quote_simulation tests', async () => {
                     fillableOutput,
                     inputFeeRate,
                     side,
-                    fillsCount,
                     count: 1,
                 });
                 const signedInputFeeRate = side === MarketOperation.Sell ? inputFeeRate : -inputFeeRate;
@@ -377,12 +331,10 @@ describe('quote_simulation tests', async () => {
                 expect(totalFilledOutput).to.bignumber.lt(fillableOutput);
                 assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
                 expect(result.protocolFee).to.bignumber.eq(1);
-                expect(result.gas).to.lte(fillsCount);
             });
 
             it('does not over fill one order with input fees', () => {
                 const side = randomSide();
-                const fillsCount = _.random(1, 3);
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const inputFeeRate = getRandomFeeRate();
@@ -391,7 +343,6 @@ describe('quote_simulation tests', async () => {
                     fillableOutput,
                     inputFeeRate,
                     side,
-                    fillsCount,
                     count: 1,
                 });
                 const signedInputFeeRate = side === MarketOperation.Sell ? inputFeeRate : -inputFeeRate;
@@ -404,12 +355,10 @@ describe('quote_simulation tests', async () => {
                 assertRoughlyEquals(totalFilledOutput, fillableOutput);
                 assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
                 expect(result.protocolFee).to.bignumber.eq(1);
-                expect(result.gas).to.eq(fillsCount);
             });
 
             it('can exactly fill one order with output fees', () => {
                 const side = randomSide();
-                const fillsCount = _.random(1, 3);
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const outputFeeRate = getRandomFeeRate();
@@ -418,7 +367,6 @@ describe('quote_simulation tests', async () => {
                     fillableOutput,
                     outputFeeRate,
                     side,
-                    fillsCount,
                     count: 1,
                 });
                 const signedOutputFeeRate = side === MarketOperation.Sell ? -outputFeeRate : outputFeeRate;
@@ -430,12 +378,10 @@ describe('quote_simulation tests', async () => {
                 assertRoughlyEquals(totalFilledOutput, totalFillableOutput);
                 assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
                 expect(result.protocolFee).to.bignumber.eq(1);
-                expect(result.gas).to.eq(fillsCount);
             });
 
             it('can partial fill one order with output fees', () => {
                 const side = randomSide();
-                const fillsCount = _.random(1, 3);
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const outputFeeRate = getRandomFeeRate();
@@ -444,7 +390,6 @@ describe('quote_simulation tests', async () => {
                     fillableOutput,
                     outputFeeRate,
                     side,
-                    fillsCount,
                     count: 1,
                 });
                 const signedOutputFeeRate = side === MarketOperation.Sell ? -outputFeeRate : outputFeeRate;
@@ -457,12 +402,10 @@ describe('quote_simulation tests', async () => {
                 expect(totalFilledOutput).to.bignumber.lt(totalFillableOutput);
                 assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
                 expect(result.protocolFee).to.bignumber.eq(1);
-                expect(result.gas).to.lte(fillsCount);
             });
 
             it('does not over fill one order with output fees', () => {
                 const side = randomSide();
-                const fillsCount = _.random(1, 3);
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const outputFeeRate = getRandomFeeRate();
@@ -471,7 +414,6 @@ describe('quote_simulation tests', async () => {
                     fillableOutput,
                     outputFeeRate,
                     side,
-                    fillsCount,
                     count: 1,
                 });
                 const signedOutputFeeRate = side === MarketOperation.Sell ? -outputFeeRate : outputFeeRate;
@@ -484,19 +426,16 @@ describe('quote_simulation tests', async () => {
                 assertRoughlyEquals(totalFilledOutput, totalFillableOutput);
                 assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
                 expect(result.protocolFee).to.bignumber.eq(1);
-                expect(result.gas).to.eq(fillsCount);
             });
 
             it('does not charge a protocol fee for rfq orders', () => {
                 const side = randomSide();
-                const fillsCount = _.random(1, 3);
                 const fillableInput = getRandomOrderSize();
                 const fillableOutput = getRandomOrderSize();
                 const fillOrders = createQuoteFillOrders({
                     fillableInput,
                     fillableOutput,
                     side,
-                    fillsCount,
                     count: 1,
                     type: FillQuoteTransformerOrderType.Rfq,
                 });
@@ -506,7 +445,6 @@ describe('quote_simulation tests', async () => {
                 expect(totalFilledInput).to.bignumber.eq(fillableInput);
                 assertRoughlyEquals(totalFilledOutput, fillableOutput);
                 expect(result.protocolFee).to.bignumber.eq(0);
-                expect(result.gas).to.eq(fillsCount);
             });
         });
 
@@ -522,7 +460,6 @@ describe('quote_simulation tests', async () => {
                 expect(totalFilledInput).to.bignumber.eq(fillableInput);
                 expect(totalFilledOutput).to.bignumber.eq(fillableOutput);
                 expect(result.protocolFee).to.bignumber.eq(fillOrders.length);
-                expect(result.gas).to.eq(countCollapsedFills(fillOrders));
             });
 
             it('can partial fill orders', () => {
@@ -551,7 +488,6 @@ describe('quote_simulation tests', async () => {
                 expect(totalFilledInput).to.bignumber.eq(fillableInput);
                 expect(totalFilledOutput).to.bignumber.eq(fillableOutput);
                 expect(result.protocolFee).to.bignumber.eq(fillOrders.length);
-                expect(result.gas).to.eq(countCollapsedFills(fillOrders));
             });
 
             it('can exactly fill orders with input fees', () => {
@@ -574,7 +510,6 @@ describe('quote_simulation tests', async () => {
                 assertRoughlyEquals(totalFilledOutput, fillableOutput);
                 assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
                 expect(result.protocolFee).to.bignumber.eq(fillOrders.length);
-                expect(result.gas).to.eq(countCollapsedFills(fillOrders));
             });
 
             it('can partial fill orders with input fees', () => {
@@ -598,7 +533,6 @@ describe('quote_simulation tests', async () => {
                 expect(totalFilledOutput).to.bignumber.lt(fillableOutput);
                 assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
                 expect(result.protocolFee).to.bignumber.lte(fillOrders.length);
-                expect(result.gas).to.lte(countCollapsedFills(fillOrders));
             });
 
             it('does not over fill orders with input fees', () => {
@@ -622,7 +556,6 @@ describe('quote_simulation tests', async () => {
                 assertRoughlyEquals(totalFilledOutput, fillableOutput);
                 assertEqualRates(result.inputFee.div(result.input), signedInputFeeRate);
                 expect(result.protocolFee).to.bignumber.eq(fillOrders.length);
-                expect(result.gas).to.eq(countCollapsedFills(fillOrders));
             });
 
             it('can exactly fill orders with output fees', () => {
@@ -645,7 +578,6 @@ describe('quote_simulation tests', async () => {
                 assertRoughlyEquals(totalFilledOutput, totalFillableOutput);
                 assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
                 expect(result.protocolFee).to.bignumber.eq(fillOrders.length);
-                expect(result.gas).to.eq(countCollapsedFills(fillOrders));
             });
 
             it('can partial fill orders with output fees', () => {
@@ -669,7 +601,6 @@ describe('quote_simulation tests', async () => {
                 expect(totalFilledOutput).to.bignumber.lt(totalFillableOutput);
                 assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
                 expect(result.protocolFee).to.bignumber.lte(fillOrders.length);
-                expect(result.gas).to.lte(countCollapsedFills(fillOrders));
             });
 
             it('does not over fill orders with output fees', () => {
@@ -693,7 +624,6 @@ describe('quote_simulation tests', async () => {
                 assertRoughlyEquals(totalFilledOutput, totalFillableOutput);
                 assertEqualRates(result.outputFee.div(result.output), signedOutputFeeRate);
                 expect(result.protocolFee).to.bignumber.eq(fillOrders.length);
-                expect(result.gas).to.eq(countCollapsedFills(fillOrders));
             });
         });
     });
@@ -771,7 +701,6 @@ describe('quote_simulation tests', async () => {
                 gasPrice: ONE,
                 opts: { gasSchedule: GAS_SCHEDULE, protocolFeeMultiplier: ONE },
             });
-            expect(result.gas).to.eq(countCollapsedFills(orders));
             expect(result.protocolFeeAmount).to.bignumber.eq(orders.length);
             expect(result.takerFeeTakerAssetAmount).to.bignumber.eq(0);
             expect(result.takerFeeMakerAssetAmount).to.bignumber.eq(0);
@@ -895,7 +824,6 @@ describe('quote_simulation tests', async () => {
                 gasPrice: ONE,
                 opts: { gasSchedule: GAS_SCHEDULE, protocolFeeMultiplier: ONE },
             });
-            expect(result.gas).to.eq(countCollapsedFills(orders));
             expect(result.protocolFeeAmount).to.bignumber.eq(orders.length);
 
             assertRoughlyEquals(result.makerAssetAmount, fillableInput);

packages/asset-swapper/test/wrappers.ts

@@ -28,7 +28,6 @@ export * from '../test/generated-wrappers/i_mooniswap';
 export * from '../test/generated-wrappers/i_multi_bridge';
 export * from '../test/generated-wrappers/i_platypus';
 export * from '../test/generated-wrappers/i_shell';
-export * from '../test/generated-wrappers/i_smoothy';
 export * from '../test/generated-wrappers/i_uniswap_exchange_quotes';
 export * from '../test/generated-wrappers/i_uniswap_v2_router01';
 export * from '../test/generated-wrappers/igmx';
@@ -42,7 +41,6 @@ export * from '../test/generated-wrappers/native_order_sampler';
 export * from '../test/generated-wrappers/platypus_sampler';
 export * from '../test/generated-wrappers/sampler_utils';
 export * from '../test/generated-wrappers/shell_sampler';
-export * from '../test/generated-wrappers/smoothy_sampler';
 export * from '../test/generated-wrappers/test_native_order_sampler';
 export * from '../test/generated-wrappers/two_hop_sampler';
 export * from '../test/generated-wrappers/uniswap_sampler';

packages/asset-swapper/tsconfig.json

@@ -32,7 +32,6 @@
         "test/generated-artifacts/IMultiBridge.json",
         "test/generated-artifacts/IPlatypus.json",
         "test/generated-artifacts/IShell.json",
-        "test/generated-artifacts/ISmoothy.json",
         "test/generated-artifacts/IUniswapExchangeQuotes.json",
         "test/generated-artifacts/IUniswapV2Router01.json",
         "test/generated-artifacts/KyberDmmSampler.json",
@@ -45,7 +44,6 @@
         "test/generated-artifacts/PlatypusSampler.json",
         "test/generated-artifacts/SamplerUtils.json",
         "test/generated-artifacts/ShellSampler.json",
-        "test/generated-artifacts/SmoothySampler.json",
         "test/generated-artifacts/TestNativeOrderSampler.json",
         "test/generated-artifacts/TwoHopSampler.json",
         "test/generated-artifacts/UniswapSampler.json",