Asset-swapper: Fallback orders + refactors

packages/asset-swapper/CHANGELOG.json

@@ -5,6 +5,22 @@
             {
                 "note": "Add support for private liquidity providers",
                 "pr": 2505
+            },
+            {
+                "note": "Big refactor of market operation utils",
+                "pr": 2513
+            },
+            {
+                "note": "Remove `dustFractionThreshold`, `noConflicts` options.",
+                "pr": 2513
+            },
+            {
+                "note": "Revamp fill optimization algorithm",
+                "pr": 2513
+            },
+            {
+                "note": "Add fallback orders to quotes via `allowFallback` option.",
+                "pr": 2513
             }
         ]
     },

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';
@@ -43,7 +42,7 @@ const DEFAULT_SWAP_QUOTER_OPTS: SwapQuoterOpts = {
         orderRefreshIntervalMs: 10000, // 10 seconds
     },
     ...DEFAULT_ORDER_PRUNER_OPTS,
-    samplerGasLimit: 59e6,
+    samplerGasLimit: 250e6,
 };
 
 const DEFAULT_FORWARDER_EXTENSION_CONTRACT_OPTS: ForwarderExtensionContractOpts = {
@@ -59,48 +58,7 @@ const DEFAULT_FORWARDER_SWAP_QUOTE_GET_OPTS: SwapQuoteGetOutputOpts = {
 const DEFAULT_FORWARDER_SWAP_QUOTE_EXECUTE_OPTS: SwapQuoteExecutionOpts = DEFAULT_FORWARDER_SWAP_QUOTE_GET_OPTS;
 
 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',
-        ],
-    },
+    ...DEFAULT_GET_MARKET_ORDERS_OPTS,
 };
 
 export const constants = {
@@ -123,5 +81,4 @@ export const constants = {
     PROTOCOL_FEE_UTILS_POLLING_INTERVAL_IN_MS,
     MARKET_UTILS_AMOUNT_BUFFER_PERCENTAGE,
     BRIDGE_ASSET_DATA_PREFIX: '0xdc1600f3',
-    DEFAULT_CURVE_OPTS,
 };

packages/asset-swapper/src/swap_quoter.ts

@@ -22,7 +22,7 @@ import {
 import { assert } from './utils/assert';
 import { calculateLiquidity } from './utils/calculate_liquidity';
 import { 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 { DexOrderSampler } from './utils/market_operation_utils/sampler';
 import { orderPrunerUtils } from './utils/order_prune_utils';
 import { OrderStateUtils } from './utils/order_state_utils';
@@ -242,11 +242,7 @@ export class SwapQuoter {
     ): Promise<Array<MarketBuySwapQuote | undefined>> {
         makerAssetBuyAmount.map((a, i) => assert.isBigNumber(`makerAssetBuyAmount[${i}]`, a));
         let gasPrice: BigNumber;
-        const { slippagePercentage, ...calculateSwapQuoteOpts } = _.merge(
-            {},
-            constants.DEFAULT_SWAP_QUOTE_REQUEST_OPTS,
-            options,
-        );
+        const calculateSwapQuoteOpts = _.merge({}, constants.DEFAULT_SWAP_QUOTE_REQUEST_OPTS, options);
         if (!!options.gasPrice) {
             gasPrice = options.gasPrice;
             assert.isBigNumber('gasPrice', gasPrice);
@@ -264,7 +260,7 @@ export class SwapQuoter {
             );
             if (prunedOrders.length === 0) {
                 return [
-                    dummyOrderUtils.createDummyOrderForSampler(
+                    createDummyOrderForSampler(
                         makerAssetDatas[i],
                         takerAssetData,
                         this._contractAddresses.uniswapBridge,
@@ -278,7 +274,6 @@ export class SwapQuoter {
         const swapQuotes = await this._swapQuoteCalculator.calculateBatchMarketBuySwapQuoteAsync(
             allPrunedOrders,
             makerAssetBuyAmount,
-            slippagePercentage,
             gasPrice,
             calculateSwapQuoteOpts,
         );
@@ -517,14 +512,9 @@ export class SwapQuoter {
         marketOperation: MarketOperation,
         options: Partial<SwapQuoteRequestOpts>,
     ): Promise<SwapQuote> {
-        const { slippagePercentage, ...calculateSwapQuoteOpts } = _.merge(
-            {},
-            constants.DEFAULT_SWAP_QUOTE_REQUEST_OPTS,
-            options,
-        );
+        const calculateSwapQuoteOpts = _.merge({}, constants.DEFAULT_SWAP_QUOTE_REQUEST_OPTS, options);
         assert.isString('makerAssetData', makerAssetData);
         assert.isString('takerAssetData', takerAssetData);
-        assert.isNumber('slippagePercentage', slippagePercentage);
         let gasPrice: BigNumber;
         if (!!options.gasPrice) {
             gasPrice = options.gasPrice;
@@ -537,11 +527,7 @@ 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(
-                    makerAssetData,
-                    takerAssetData,
-                    this._contractAddresses.uniswapBridge,
-                ),
+                createDummyOrderForSampler(makerAssetData, takerAssetData, this._contractAddresses.uniswapBridge),
             ];
         }
 
@@ -551,15 +537,13 @@ export class SwapQuoter {
             swapQuote = await this._swapQuoteCalculator.calculateMarketBuySwapQuoteAsync(
                 prunedOrders,
                 assetFillAmount,
-                slippagePercentage,
                 gasPrice,
                 calculateSwapQuoteOpts,
             );
         } else {
             swapQuote = await this._swapQuoteCalculator.calculateMarketSellSwapQuoteAsync(
                 prunedOrders,
                 assetFillAmount,
-                slippagePercentage,
                 gasPrice,
                 calculateSwapQuoteOpts,
             );

packages/asset-swapper/src/types.ts

@@ -169,13 +169,15 @@ export interface MarketBuySwapQuote extends SwapQuoteBase {
  * totalTakerAssetAmount: The total amount of takerAsset required to complete the swap (filling orders, and paying takerFees).
  * makerAssetAmount: The amount of makerAsset that will be acquired through the swap.
  * protocolFeeInWeiAmount: The amount of ETH to pay (in WEI) as protocol fee to perform the swap for desired asset.
+ * gas: Amount of estimated gas needed to fill the quote.
  */
 export interface SwapQuoteInfo {
     feeTakerAssetAmount: BigNumber;
     takerAssetAmount: BigNumber;
     totalTakerAssetAmount: BigNumber;
     makerAssetAmount: BigNumber;
     protocolFeeInWeiAmount: BigNumber;
+    gas: number;
 }
 
 /**
@@ -190,7 +192,6 @@ export interface SwapQuoteOrdersBreakdown {
  * gasPrice: gas price to determine protocolFee amount, default to ethGasStation fast amount
  */
 export interface SwapQuoteRequestOpts extends CalculateSwapQuoteOpts {
-    slippagePercentage: number;
     gasPrice?: BigNumber;
 }
 

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}`,
@@ -72,11 +77,12 @@ 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 ${order.takerAssetData}`,
         );
     },
     isValidSwapQuoteInfo(variableName: string, swapQuoteInfo: SwapQuoteInfo): void {
+        sharedAssert.isNumber(`${variableName}.gas`, swapQuoteInfo.gas);
         sharedAssert.isBigNumber(`${variableName}.feeTakerAssetAmount`, swapQuoteInfo.feeTakerAssetAmount);
         sharedAssert.isBigNumber(`${variableName}.totalTakerAssetAmount`, swapQuoteInfo.totalTakerAssetAmount);
         sharedAssert.isBigNumber(`${variableName}.takerAssetAmount`, swapQuoteInfo.takerAssetAmount);

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 {

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;

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.
@@ -27,26 +27,66 @@ 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,
+    bridgeSlippage: 0.005,
+    numSamples: 20,
     sampleDistributionBase: 1.05,
-    fees: {},
+    feeSchedule: {},
+    gasSchedule: {},
+    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';