@0x/asset-swapper: Reeeeeefactor + fallback orders.

0xProject · Mar 6, 2020 · 4b54365 · 4b54365
1 parent b4d7f95
commit 4b54365
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Showing 24 changed files with 949 additions and 1,300 deletions.
diff --git a/packages/asset-swapper/CHANGELOG.json b/packages/asset-swapper/CHANGELOG.json
@@ -1,4 +1,21 @@
 [
+    {
+        "version": "4.5.0",
+        "changes": [
+            {
+                "note": "Big refactor of market operation utils",
+                "pr": 2513
+            },
+            {
+                "note": "Revamp fill optimization algorithm",
+                "pr": 2513
+            },
+            {
+                "note": "Add fallback orders to quotes",
+                "pr": 2513
+            }
+        ]
+    },
     {
         "version": "4.4.0",
         "changes": [

diff --git a/packages/asset-swapper/src/constants.ts b/packages/asset-swapper/src/constants.ts
@@ -11,8 +11,7 @@ import {
     SwapQuoterOpts,
 } from './types';
 
-import { constants as marketOperationUtilConstants } from './utils/market_operation_utils/constants';
-import { ERC20BridgeSource } from './utils/market_operation_utils/types';
+import { DEFAULT_GET_MARKET_ORDERS_OPTS } from './utils/market_operation_utils/constants';
 
 const ETH_GAS_STATION_API_BASE_URL = 'https://ethgasstation.info';
 const NULL_BYTES = '0x';
@@ -60,47 +59,9 @@ const DEFAULT_FORWARDER_SWAP_QUOTE_EXECUTE_OPTS: SwapQuoteExecutionOpts = DEFAUL
 
 const DEFAULT_SWAP_QUOTE_REQUEST_OPTS: SwapQuoteRequestOpts = {
     ...{
-        slippagePercentage: 0.2, // 20% slippage protection,
-    },
-    ...marketOperationUtilConstants.DEFAULT_GET_MARKET_ORDERS_OPTS,
-};
-
-// Mainnet Curve configuration
-const DEFAULT_CURVE_OPTS: { [source: string]: { version: number; curveAddress: string; tokens: string[] } } = {
-    [ERC20BridgeSource.CurveUsdcDai]: {
-        version: 1,
-        curveAddress: '0xa2b47e3d5c44877cca798226b7b8118f9bfb7a56',
-        tokens: ['0x6b175474e89094c44da98b954eedeac495271d0f', '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48'],
-    },
-    [ERC20BridgeSource.CurveUsdcDaiUsdt]: {
-        version: 1,
-        curveAddress: '0x52ea46506b9cc5ef470c5bf89f17dc28bb35d85c',
-        tokens: [
-            '0x6b175474e89094c44da98b954eedeac495271d0f',
-            '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
-            '0xdac17f958d2ee523a2206206994597c13d831ec7',
-        ],
-    },
-    [ERC20BridgeSource.CurveUsdcDaiUsdtTusd]: {
-        version: 1,
-        curveAddress: '0x45f783cce6b7ff23b2ab2d70e416cdb7d6055f51',
-        tokens: [
-            '0x6b175474e89094c44da98b954eedeac495271d0f',
-            '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
-            '0xdac17f958d2ee523a2206206994597c13d831ec7',
-            '0x0000000000085d4780b73119b644ae5ecd22b376',
-        ],
-    },
-    [ERC20BridgeSource.CurveUsdcDaiUsdtBusd]: {
-        version: 1,
-        curveAddress: '0x79a8c46dea5ada233abaffd40f3a0a2b1e5a4f27',
-        tokens: [
-            '0x6b175474e89094c44da98b954eedeac495271d0f',
-            '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
-            '0xdac17f958d2ee523a2206206994597c13d831ec7',
-            '0x4fabb145d64652a948d72533023f6e7a623c7c53',
-        ],
+        slippagePercentage: 0.05, // 5% slippage protection,
     },
+    ...DEFAULT_GET_MARKET_ORDERS_OPTS,
 };
 
 export const constants = {
@@ -123,5 +84,4 @@ export const constants = {
     PROTOCOL_FEE_UTILS_POLLING_INTERVAL_IN_MS,
     MARKET_UTILS_AMOUNT_BUFFER_PERCENTAGE,
     BRIDGE_ASSET_DATA_PREFIX: '0xdc1600f3',
-    DEFAULT_CURVE_OPTS,
 };
diff --git a/packages/asset-swapper/src/swap_quoter.ts b/packages/asset-swapper/src/swap_quoter.ts
@@ -22,7 +22,7 @@ import {
 import { assert } from './utils/assert';
 import { calculateLiquidity } from './utils/calculate_liquidity';
 import { DexOrderSampler, MarketOperationUtils } from './utils/market_operation_utils';
-import { dummyOrderUtils } from './utils/market_operation_utils/dummy_order_utils';
+import { createDummyOrderForSampler } from './utils/market_operation_utils/orders';
 import { orderPrunerUtils } from './utils/order_prune_utils';
 import { OrderStateUtils } from './utils/order_state_utils';
 import { ProtocolFeeUtils } from './utils/protocol_fee_utils';
@@ -256,7 +256,7 @@ export class SwapQuoter {
             );
             if (prunedOrders.length === 0) {
                 return [
-                    dummyOrderUtils.createDummyOrderForSampler(
+                    createDummyOrderForSampler(
                         makerAssetDatas[i],
                         takerAssetData,
                         this._contractAddresses.uniswapBridge,
@@ -529,7 +529,7 @@ export class SwapQuoter {
         // if no native orders, pass in a dummy order for the sampler to have required metadata for sampling
         if (prunedOrders.length === 0) {
             prunedOrders = [
-                dummyOrderUtils.createDummyOrderForSampler(
+                createDummyOrderForSampler(
                     makerAssetData,
                     takerAssetData,
                     this._contractAddresses.uniswapBridge,

diff --git a/packages/asset-swapper/src/utils/assert.ts b/packages/asset-swapper/src/utils/assert.ts
@@ -6,7 +6,12 @@ import * as _ from 'lodash';
 
 import { MarketOperation, OrderProviderRequest, SwapQuote, SwapQuoteInfo } from '../types';
 
-import { utils } from './utils';
+import {
+    isAssetDataEquivalent,
+    isExactAssetData,
+    isOrderTakerFeePayableWithMakerAsset,
+    isOrderTakerFeePayableWithTakerAsset,
+} from './utils';
 
 export const assert = {
     ...sharedAssert,
@@ -36,13 +41,13 @@ export const assert = {
     ): void {
         _.every(orders, (order: SignedOrder, index: number) => {
             assert.assert(
-                utils.isAssetDataEquivalent(takerAssetData, order.takerAssetData),
+                isAssetDataEquivalent(takerAssetData, order.takerAssetData),
                 `Expected ${variableName}[${index}].takerAssetData to be ${takerAssetData} but found ${
                     order.takerAssetData
                 }`,
             );
             assert.assert(
-                utils.isAssetDataEquivalent(makerAssetData, order.makerAssetData),
+                isAssetDataEquivalent(makerAssetData, order.makerAssetData),
                 `Expected ${variableName}[${index}].makerAssetData to be ${makerAssetData} but found ${
                     order.makerAssetData
                 }`,
@@ -53,8 +58,8 @@ export const assert = {
         _.every(orders, (order: T, index: number) => {
             assert.assert(
                 order.takerFee.isZero() ||
-                    utils.isOrderTakerFeePayableWithTakerAsset(order) ||
-                    utils.isOrderTakerFeePayableWithMakerAsset(order),
+                    isOrderTakerFeePayableWithTakerAsset(order) ||
+                    isOrderTakerFeePayableWithMakerAsset(order),
                 `Expected ${variableName}[${index}].takerFeeAssetData to be ${order.makerAssetData} or ${
                     order.takerAssetData
                 } but found ${order.takerFeeAssetData}`,
@@ -72,7 +77,7 @@ export const assert = {
     },
     isValidForwarderSignedOrder(variableName: string, order: SignedOrder, wethAssetData: string): void {
         assert.assert(
-            utils.isExactAssetData(order.takerAssetData, wethAssetData),
+            isExactAssetData(order.takerAssetData, wethAssetData),
             `Expected ${variableName} to have takerAssetData set as ${wethAssetData}, but is ${order.takerAssetData}`,
         );
     },

diff --git a/packages/asset-swapper/src/utils/calculate_liquidity.ts b/packages/asset-swapper/src/utils/calculate_liquidity.ts
@@ -2,17 +2,17 @@ import { BigNumber } from '@0x/utils';
 
 import { LiquidityForTakerMakerAssetDataPair, SignedOrderWithFillableAmounts } from '../types';
 
-import { utils } from './utils';
+import { isOrderTakerFeePayableWithMakerAsset, isOrderTakerFeePayableWithTakerAsset } from './utils';
 
 export const calculateLiquidity = (
     prunedOrders: SignedOrderWithFillableAmounts[],
 ): LiquidityForTakerMakerAssetDataPair => {
     const liquidityInBigNumbers = prunedOrders.reduce(
         (acc, order) => {
-            const fillableMakerAssetAmount = utils.isOrderTakerFeePayableWithMakerAsset(order)
+            const fillableMakerAssetAmount = isOrderTakerFeePayableWithMakerAsset(order)
                 ? order.fillableMakerAssetAmount.minus(order.fillableTakerFeeAmount)
                 : order.fillableMakerAssetAmount;
-            const fillableTakerAssetAmount = utils.isOrderTakerFeePayableWithTakerAsset(order)
+            const fillableTakerAssetAmount = isOrderTakerFeePayableWithTakerAsset(order)
                 ? order.fillableTakerAssetAmount.plus(order.fillableTakerFeeAmount)
                 : order.fillableTakerAssetAmount;
             return {

diff --git a/packages/asset-swapper/src/utils/fillable_amounts_utils.ts b/packages/asset-swapper/src/utils/fillable_amounts_utils.ts
@@ -3,18 +3,18 @@ import * as _ from 'lodash';
 
 import { SignedOrderWithFillableAmounts } from '../types';
 
-import { utils } from './utils';
+import { isOrderTakerFeePayableWithMakerAsset, isOrderTakerFeePayableWithTakerAsset } from './utils';
 
 export const fillableAmountsUtils = {
     getTakerAssetAmountSwappedAfterOrderFees(order: SignedOrderWithFillableAmounts): BigNumber {
-        if (utils.isOrderTakerFeePayableWithTakerAsset(order)) {
+        if (isOrderTakerFeePayableWithTakerAsset(order)) {
             return order.fillableTakerAssetAmount.plus(order.fillableTakerFeeAmount);
         } else {
             return order.fillableTakerAssetAmount;
         }
     },
     getMakerAssetAmountSwappedAfterOrderFees(order: SignedOrderWithFillableAmounts): BigNumber {
-        if (utils.isOrderTakerFeePayableWithMakerAsset(order)) {
+        if (isOrderTakerFeePayableWithMakerAsset(order)) {
             return order.fillableMakerAssetAmount.minus(order.fillableTakerFeeAmount);
         } else {
             return order.fillableMakerAssetAmount;

diff --git a/packages/asset-swapper/src/utils/market_operation_utils/constants.ts b/packages/asset-swapper/src/utils/market_operation_utils/constants.ts
@@ -2,7 +2,7 @@ import { BigNumber } from '@0x/utils';
 
 import { ERC20BridgeSource, GetMarketOrdersOpts } from './types';
 
-const INFINITE_TIMESTAMP_SEC = new BigNumber(2524604400);
+// tslint:disable: custom-no-magic-numbers
 
 /**
  * Valid sources for market sell.
@@ -25,28 +25,66 @@ export const BUY_SOURCES = [ERC20BridgeSource.Uniswap, ERC20BridgeSource.Eth2Dai
 
 export const DEFAULT_GET_MARKET_ORDERS_OPTS: GetMarketOrdersOpts = {
     // tslint:disable-next-line: custom-no-magic-numbers
-    runLimit: 2 ** 15,
     excludedSources: [],
     bridgeSlippage: 0.0005,
-    dustFractionThreshold: 0.0025,
-    numSamples: 13,
-    noConflicts: true,
+    numSamples: 20,
     sampleDistributionBase: 1.05,
     fees: {},
+    allowFallback: true,
 };
 
 /**
  * Sources to poll for ETH fee price estimates.
  */
 export const FEE_QUOTE_SOURCES = SELL_SOURCES;
 
-export const constants = {
-    INFINITE_TIMESTAMP_SEC,
-    SELL_SOURCES,
-    BUY_SOURCES,
-    DEFAULT_GET_MARKET_ORDERS_OPTS,
-    ERC20_PROXY_ID: '0xf47261b0',
-    FEE_QUOTE_SOURCES,
-    WALLET_SIGNATURE: '0x04',
-    ONE_ETHER: new BigNumber(1e18),
+/**
+ * Mainnet Curve configuration
+ */
+export const DEFAULT_CURVE_OPTS: { [source: string]: { version: number; curveAddress: string; tokens: string[] } } = {
+    [ERC20BridgeSource.CurveUsdcDai]: {
+        version: 1,
+        curveAddress: '0xa2b47e3d5c44877cca798226b7b8118f9bfb7a56',
+        tokens: ['0x6b175474e89094c44da98b954eedeac495271d0f', '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48'],
+    },
+    [ERC20BridgeSource.CurveUsdcDaiUsdt]: {
+        version: 1,
+        curveAddress: '0x52ea46506b9cc5ef470c5bf89f17dc28bb35d85c',
+        tokens: [
+            '0x6b175474e89094c44da98b954eedeac495271d0f',
+            '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
+            '0xdac17f958d2ee523a2206206994597c13d831ec7',
+        ],
+    },
+    [ERC20BridgeSource.CurveUsdcDaiUsdtTusd]: {
+        version: 1,
+        curveAddress: '0x45f783cce6b7ff23b2ab2d70e416cdb7d6055f51',
+        tokens: [
+            '0x6b175474e89094c44da98b954eedeac495271d0f',
+            '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
+            '0xdac17f958d2ee523a2206206994597c13d831ec7',
+            '0x0000000000085d4780b73119b644ae5ecd22b376',
+        ],
+    },
+    [ERC20BridgeSource.CurveUsdcDaiUsdtBusd]: {
+        version: 1,
+        curveAddress: '0x79a8c46dea5ada233abaffd40f3a0a2b1e5a4f27',
+        tokens: [
+            '0x6b175474e89094c44da98b954eedeac495271d0f',
+            '0xa0b86991c6218b36c1d19d4a2e9eb0ce3606eb48',
+            '0xdac17f958d2ee523a2206206994597c13d831ec7',
+            '0x4fabb145d64652a948d72533023f6e7a623c7c53',
+        ],
+    },
 };
+
+export const ERC20_PROXY_ID =  '0xf47261b0';
+export const WALLET_SIGNATURE = '0x04';
+export const ONE_ETHER = new BigNumber(1e18);
+export const NEGATIVE_INF = new BigNumber('-Infinity');
+export const POSITIVE_INF = new BigNumber('Infinity');
+export const ZERO_AMOUNT = new BigNumber(0);
+export const ONE_HOUR_IN_SECONDS = 60 * 60;
+export const ONE_SECOND_MS = 1000;
+export const NULL_BYTES = '0x';
+export const NULL_ADDRESS = '0x0000000000000000000000000000000000000000';