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plz work multihop buys

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This commit is contained in:
Lawrence Forman
2022-02-07 00:21:52 -05:00
parent 98e9e24b54
commit ec65bf56f9
4 changed files with 173 additions and 160 deletions
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14
packages/asset-swapper/src/quote_consumers/exchange_proxy_swap_quote_consumer.ts
View File

@@ -363,10 +363,13 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
gasOverhead: ZERO_AMOUNT,
};
}
// Sort hops so they always flow taker -> maker
const orderedHops = isBuyQuote(quote) ? quote.hops.slice().reverse() : quote.hops;
if (this.chainId === ChainId.Mainnet && isMultiplexMultiHopFillCompatible(quote, optsWithDefaults)) {
return {
calldataHexString: this._encodeMultiplexMultiHopFillCalldata(
quote.hops,
orderedHops,
optsWithDefaults,
),
ethAmount,
@@ -389,14 +392,12 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
});
}
// Sort hops so they always flow taker -> maker
const orderedHops = isBuyQuote(quote) ? quote.hops.slice().reverse() : quote.hops;
for (const [i, hop] of orderedHops.entries()) {
let fillAmount = !isBuyQuote(quote)
? shouldSellEntireBalance ? MAX_UINT256 : hop.takerAmount
: hop.makerAmount;
let side = !isBuyQuote(quote) ? FillQuoteTransformerSide.Sell : FillQuoteTransformerSide.Buy;
if (quote.hops.length > 1) { // Multi-hop.
if (orderedHops.length > 1) { // Multi-hop.
// Multi-hop is always a sell.
side = FillQuoteTransformerSide.Sell;
// Subsequent multi-hops always sell entire balance.
@@ -550,8 +551,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
if (hop.orders.length !== 1) {
subcalls.push({
id: MultiplexSubcall.BatchSell,
sellAmount: hop.maxTakerAmount,
data: multiplexBatchSellEncoder.encode(this._getMultiplexBatchSellSubcalls(hop.orders)),
data: multiplexBatchSellEncoder.encode({ subcalls: this._getMultiplexBatchSellSubcalls(hop.orders) }),
});
continue;
}
@@ -591,6 +591,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
const tokenPath = getTokenPathFromHops(hops);
const firstHop = hops[0];
const lastHop = hops[hops.length - 1];
console.log(tokenPath, firstHop, lastHop)
if (opts.isFromETH) {
return this._exchangeProxy
.multiplexMultiHopSellEthForToken(tokenPath, subcalls, lastHop.minMakerAmount)
@@ -696,6 +697,7 @@ export class ExchangeProxySwapQuoteConsumer implements SwapQuoteConsumerBase {
break for_loop;
}
}
console.log(subcalls);
return subcalls;
}
}

316
packages/asset-swapper/src/utils/market_operation_utils/index.ts
View File

@@ -131,29 +131,31 @@ export class MarketOperationUtils {
const requestFilters = new SourceFilters().exclude(_opts.excludedSources).include(_opts.includedSources);
const quoteSourceFilters = this._sellSources.merge(requestFilters);
const samplerSourceFilters = quoteSourceFilters.exclude([ERC20BridgeSource.MultiHop, ERC20BridgeSource.Native]);
const feeSourceFilters = this._feeSources.exclude(_opts.excludedFeeSources);
const [multiHopLegs, multiHopAmounts] = quoteSourceFilters.isAllowed(ERC20BridgeSource.MultiHop)
? await this._getMultiHopSampleLegsAndAmountsAsync({
takerToken,
makerToken,
side: MarketOperation.Sell,
sources: quoteSourceFilters.sources,
inputAmount: takerAmount,
})
: [[], []];
const terminalTokens = [...new Set([
takerToken,
makerToken,
...multiHopLegs.map(leg => getTakerMakerTokenFromTokenPath(leg)).flat(1)
].map(t => t.toLowerCase()))];
let sampleLegs: Address[][];
let sampleAmounts: BigNumber[];
{
const directLegs = this._getDirectSampleLegs(takerToken, makerToken);
const [multiHopLegs, multiHopAmounts] = quoteSourceFilters.isAllowed(ERC20BridgeSource.MultiHop)
? await this._getMultiHopSampleLegsAndAmountsAsync({
takerToken,
makerToken,
side: MarketOperation.Sell,
sources: samplerSourceFilters.sources,
inputAmount: takerAmount,
})
: [[], []];
sampleLegs = [...directLegs, ...multiHopLegs];
sampleAmounts = [...directLegs.map(_ => takerAmount), ...multiHopAmounts];
}
const terminalTokens = getTerminalTokensFromPaths(sampleLegs);
const [
tokenInfos,
tokenPricesPerEth,
singleHopQuotes,
multiHopQuotes,
samples,
] = await Promise.all([
this._sampler.getTokenInfosAsync(
[makerToken, takerToken],
@@ -162,30 +164,13 @@ export class MarketOperationUtils {
terminalTokens.map(t => [this._nativeFeeToken, t]),
feeSourceFilters.sources,
),
this._sampler.getSellLiquidityAsync(
[takerToken, makerToken],
takerAmount,
quoteSourceFilters.sources,
),
multiHopLegs.length
? Promise.all(multiHopLegs.map((hopPath, i) =>
this._sampler.getSellLiquidityAsync(
hopPath,
multiHopAmounts[i],
quoteSourceFilters.sources,
)
))
: [],
multiHopLegs.length
? this._sampler.getPricesAsync(
multiHopLegs.map(hopPath => [this._nativeFeeToken, hopPath.slice(-1)[0]]),
feeSourceFilters.sources,
) : [],
multiHopLegs.length
? this._sampler.getPricesAsync(
multiHopLegs.map(hopPath => [this._nativeFeeToken, hopPath[0]]),
feeSourceFilters.sources,
) : [],
Promise.all(sampleLegs.map((hopPath, i) =>
this._sampler.getSellLiquidityAsync(
hopPath,
sampleAmounts[i],
samplerSourceFilters.sources,
)
)),
]);
const [{ decimals: makerTokenDecimals }, { decimals: takerTokenDecimals }] = tokenInfos;
@@ -205,21 +190,13 @@ export class MarketOperationUtils {
makerTokenDecimals: makerTokenDecimals,
takerTokenDecimals: takerTokenDecimals,
gasPrice: opts.gasPrice,
quotes: [
{
inputToken: takerToken,
outputToken: makerToken,
dexQuotes: singleHopQuotes,
nativeOrders: [],
},
...multiHopLegs.map((tokenPath, i) => ({
inputToken: tokenPath[0],
outputToken: tokenPath[tokenPath.length - 1],
nativeOrders: [],
rfqtIndicativeQuotes: [],
dexQuotes: multiHopQuotes[i],
})),
],
quotes: sampleLegs.map((tokenPath, i) => ({
tokenPath,
inputToken: tokenPath[0],
outputToken: tokenPath[tokenPath.length - 1],
nativeOrders: [],
dexQuotes: samples[i],
})).filter(doesRawHopQuotesHaveLiquidity),
isRfqSupported,
};
}
@@ -263,7 +240,7 @@ export class MarketOperationUtils {
).flat(1);
const paths = [ ...shortHops, ...deepHops ];
// Prune duplicate paths.
return paths.filter(p => !paths.find(o => p !== o && o.every((_v, i) => p[i] === o[i])));
return paths.filter((p, i) => !paths.find((o, j) => i < j && p.length === o.length && o.every((_v, k) => p[k] === o[k])));
};
const hopTokenPaths = getIntermediateTokenPaths(takerToken, makerToken, 3);
if (!hopTokenPaths.length) {
@@ -273,56 +250,91 @@ export class MarketOperationUtils {
hopTokenPaths,
sources,
);
let bestTwoHopTokenPaths;
let bestTwoHopTokenPrices;
let bestTwoHopTotalPrice = ZERO_AMOUNT;
for (const [firstHopIndex, firstHop] of hopTokenPaths.entries()) {
// Find eligible two-hops and compute their total price.
let twoHopPathDetails = hopTokenPaths.map((firstHop, firstHopIndex) => {
const firstHopPrice = hopTokenPathPrices[firstHopIndex];
const [firstHopTakerToken, firstHopMakerToken] = getTakerMakerTokenFromTokenPath(firstHop);
if (firstHopTakerToken !== takerToken) {
continue;
return;
}
for (const [secondHopIndex, secondHop] of hopTokenPaths.entries()) {
return hopTokenPaths.map((secondHop, secondHopIndex) => {
const secondHopPrice = hopTokenPathPrices[secondHopIndex];
if (firstHop === secondHop) {
continue;
return;
}
const [secondHopTakerToken, secondHopMakerToken] = getTakerMakerTokenFromTokenPath(secondHop);
if (secondHopMakerToken !== makerToken) {
continue;
return;
}
if (firstHopMakerToken !== secondHopTakerToken) {
continue;
return;
}
const tokenPrices = [firstHopPrice, secondHopPrice];
const totalPrice = tokenPrices.reduce((a, v) => a.times(v));
if (bestTwoHopTokenPaths) {
if (totalPrice.lt(bestTwoHopTotalPrice)) {
continue;
}
}
bestTwoHopTokenPaths = [firstHop, secondHop];
bestTwoHopTokenPrices = tokenPrices;
bestTwoHopTotalPrice = totalPrice;
return {
legs: [firstHop, secondHop],
tokenPrices,
totalPrice,
sampleAmounts: [] as BigNumber[],
};
});
}).flat(1).filter(v => !!v).map(v => v!); // TS hack to get around inferred undefined elements.
// Sort two hops by descending total price and take the top 3.
twoHopPathDetails = twoHopPathDetails
.sort((a, b) => -a.totalPrice.comparedTo(b.totalPrice))
.slice(0, 3);
if (side === MarketOperation.Buy) {
// Reverse legs and prices and invert prices for buys.
for (const twoHop of twoHopPathDetails) {
twoHop.legs.reverse();
twoHop.tokenPrices = twoHop.tokenPrices.map(p => new BigNumber(1).dividedBy(p)).reverse();
}
}
if (!bestTwoHopTokenPaths || !bestTwoHopTokenPrices) {
return [[], []];
// Compute the sample amount for each leg of each two hop.
for (const twoHop of twoHopPathDetails) {
const amounts = [inputAmount.integerValue()];
for (let i = 0; i < twoHop.tokenPrices.length - 1; ++i) {
const lastAmount = amounts[amounts.length - 1];
const prevPrice = twoHop.tokenPrices[i];
amounts.push(lastAmount.times(prevPrice).times(hopAmountScaling).integerValue());
}
twoHop.sampleAmounts = amounts;
}
// Flatten the legs of all two hops and remove duplicates.
const twoHopLegs = [] as Address[][];
const twoHopSampleAmounts = [] as BigNumber[];
for (const twoHop of twoHopPathDetails) {
for (const [hopLegIdx, legPath] of twoHop.legs.entries()) {
const sampleAmount = twoHop.sampleAmounts[hopLegIdx];
const existingLegIdx = twoHopLegs.findIndex(existingLegPath => isSameTokenPath(legPath, existingLegPath));
if (existingLegIdx !== -1) {
// We've already seen this leg/token path. Use the greater of
// the sample amounts.
twoHopSampleAmounts[existingLegIdx] =
BigNumber.max(twoHopSampleAmounts[existingLegIdx], sampleAmount);
} else {
twoHopLegs.push(legPath);
twoHopSampleAmounts.push(sampleAmount);
}
}
}
return [twoHopLegs, twoHopSampleAmounts];
}
const amounts = [inputAmount.integerValue()];
if (side === MarketOperation.Buy) {
// Reverse paths list and prices and invert prices for buys.
bestTwoHopTokenPaths.reverse();
bestTwoHopTokenPrices =
bestTwoHopTokenPrices.map(p => new BigNumber(1).dividedBy(p)).reverse();
}
for (let i = 0; i < bestTwoHopTokenPrices.length - 1; ++i) {
const lastAmount = amounts[amounts.length - 1];
const prevPrice = bestTwoHopTokenPrices[i];
amounts.push(lastAmount.times(prevPrice).times(hopAmountScaling).integerValue());
}
return [bestTwoHopTokenPaths, amounts];
private _getDirectSampleLegs(
takerToken: Address,
makerToken: Address,
): Address[][] {
const hopTokens = getIntermediateTokens(
makerToken,
takerToken,
DEFAULT_TOKEN_ADJACENCY_GRAPH_BY_CHAIN_ID[this._sampler.chainId],
);
const directHop = [takerToken, makerToken];
const hiddenHops = hopTokens.map(t => [takerToken, t, makerToken]);
return [ directHop, ...hiddenHops ];
}
/**
@@ -346,30 +358,32 @@ export class MarketOperationUtils {
const requestFilters = new SourceFilters().exclude(_opts.excludedSources).include(_opts.includedSources);
const quoteSourceFilters = this._buySources.merge(requestFilters);
const samplerSourceFilters = quoteSourceFilters.exclude([ERC20BridgeSource.MultiHop, ERC20BridgeSource.Native]);
const feeSourceFilters = this._feeSources.exclude(_opts.excludedFeeSources);
const [multiHopLegs, multiHopAmounts] = quoteSourceFilters.isAllowed(ERC20BridgeSource.MultiHop)
? await this._getMultiHopSampleLegsAndAmountsAsync({
takerToken,
makerToken,
side: MarketOperation.Buy,
sources: quoteSourceFilters.sources,
inputAmount: makerAmount,
})
: [[], []];
const terminalTokens = [...new Set([
takerToken,
makerToken,
...multiHopLegs.map(leg => getTakerMakerTokenFromTokenPath(leg)).flat(1)
].map(t => t.toLowerCase()))];
let sampleLegs: Address[][];
let sampleAmounts: BigNumber[];
{
const directLegs = this._getDirectSampleLegs(takerToken, makerToken);
const [multiHopLegs, multiHopAmounts] = quoteSourceFilters.isAllowed(ERC20BridgeSource.MultiHop)
? await this._getMultiHopSampleLegsAndAmountsAsync({
takerToken,
makerToken,
side: MarketOperation.Buy,
sources: samplerSourceFilters.sources,
inputAmount: makerAmount,
})
: [[], []];
sampleLegs = [...directLegs, ...multiHopLegs];
sampleAmounts = [...directLegs.map(_ => makerAmount), ...multiHopAmounts];
}
const terminalTokens = getTerminalTokensFromPaths(sampleLegs);
console.log(sampleLegs, sampleAmounts, terminalTokens);
const [
tokenInfos,
tokenPricesPerEth,
singleHopQuotes,
multiHopQuotes,
samples,
] = await Promise.all([
this._sampler.getTokenInfosAsync(
[makerToken, takerToken],
@@ -378,30 +392,13 @@ export class MarketOperationUtils {
terminalTokens.map(t => [this._nativeFeeToken, t]),
feeSourceFilters.sources,
),
this._sampler.getBuyLiquidityAsync(
[takerToken, makerToken],
makerAmount,
quoteSourceFilters.sources,
),
multiHopLegs.length
? Promise.all(multiHopLegs.map((hopPath, i) =>
this._sampler.getBuyLiquidityAsync(
hopPath,
multiHopAmounts[i],
quoteSourceFilters.sources,
)
))
: [],
multiHopLegs.length
? this._sampler.getPricesAsync(
multiHopLegs.map(hopPath => [this._nativeFeeToken, hopPath.slice(-1)[0]]),
feeSourceFilters.sources,
) : [],
multiHopLegs.length
? this._sampler.getPricesAsync(
multiHopLegs.map(hopPath => [this._nativeFeeToken, hopPath[0]]),
feeSourceFilters.sources,
) : [],
Promise.all(sampleLegs.map((hopPath, i) =>
this._sampler.getBuyLiquidityAsync(
hopPath,
sampleAmounts[i],
samplerSourceFilters.sources,
)
)),
]);
const [{ decimals: makerTokenDecimals }, { decimals: takerTokenDecimals }] = tokenInfos;
@@ -421,21 +418,13 @@ export class MarketOperationUtils {
makerTokenDecimals: makerTokenDecimals,
takerTokenDecimals: takerTokenDecimals,
gasPrice: opts.gasPrice,
quotes: [
{
inputToken: makerToken,
outputToken: takerToken,
dexQuotes: singleHopQuotes,
nativeOrders: [],
},
...multiHopLegs.map((tokenPath, i) => ({
inputToken: tokenPath[tokenPath.length - 1],
outputToken: tokenPath[0],
nativeOrders: [],
rfqtIndicativeQuotes: [],
dexQuotes: multiHopQuotes[i],
})),
],
quotes: sampleLegs.map((tokenPath, i) => ({
tokenPath,
inputToken: tokenPath[tokenPath.length - 1],
outputToken: tokenPath[0],
nativeOrders: [],
dexQuotes: samples[i],
})).filter(doesRawHopQuotesHaveLiquidity),
isRfqSupported,
};
}
@@ -535,6 +524,7 @@ export class MarketOperationUtils {
? this.getMarketSellLiquidityAsync.bind(this)
: this.getMarketBuyLiquidityAsync.bind(this);
const marketSideLiquidity: MarketSideLiquidity = await marketLiquidityFnAsync(nativeOrders, amount, _opts);
console.log(marketSideLiquidity.quotes);
let optimizerResult: OptimizerResult | undefined;
try {
optimizerResult = await this._generateOptimizedOrdersAsync(marketSideLiquidity, optimizerOpts);
@@ -861,7 +851,7 @@ export class MarketOperationUtils {
let hopInputAmount = inputAmount;
const hops = [];
// const _route = side === MarketOperation.Sell ? route : route.slice().reverse();
for (const hopQuotes of route) {
for (const currentHop of route) {
const hop = await this._createOptimizedHopAsync({
side,
slippage,
@@ -870,12 +860,12 @@ export class MarketOperationUtils {
runLimit,
maxFallbackSlippage,
inputAmount: hopInputAmount,
dexQuotes: hopQuotes.dexQuotes,
nativeOrders: hopQuotes.nativeOrders,
inputToken: hopQuotes.inputToken,
outputToken: hopQuotes.outputToken,
inputAmountPerEth: tokenAmountPerEth[hopQuotes.inputToken] || ZERO_AMOUNT,
outputAmountPerEth: tokenAmountPerEth[hopQuotes.outputToken] || ZERO_AMOUNT,
dexQuotes: currentHop.dexQuotes,
nativeOrders: currentHop.nativeOrders,
inputToken: currentHop.inputToken,
outputToken: currentHop.outputToken,
inputAmountPerEth: tokenAmountPerEth[currentHop.inputToken] || ZERO_AMOUNT,
outputAmountPerEth: tokenAmountPerEth[currentHop.outputToken] || ZERO_AMOUNT,
});
if (!hop) {
// This hop could not satisfy the input amount so the
@@ -981,6 +971,7 @@ function injectRfqLiquidity(
quotes.push({
inputToken,
outputToken,
tokenPath: [takerToken, makerToken],
dexQuotes: [],
nativeOrders: fullOrders,
});
@@ -998,3 +989,22 @@ function getNativeOrderMakerFillAmount(order: CommonOrderFields, takerFillAmount
.div(order.takerAmount)
.integerValue(BigNumber.ROUND_DOWN);
}
function getTerminalTokensFromPaths(paths: Address[][]): Address[] {
return [
...new Set(
paths
.map(leg => getTakerMakerTokenFromTokenPath(leg))
.flat(1)
.map(t => t.toLowerCase()),
),
];
}
function doesRawHopQuotesHaveLiquidity(hopQuotes: RawHopQuotes): boolean {
return hopQuotes.dexQuotes.length > 0 || hopQuotes.nativeOrders.length > 0;
}
function isSameTokenPath(a: Address[], b: Address[]): boolean {
return a.length === b.length && a.every((v, idx) => v === b[idx]);
}

1
packages/asset-swapper/src/utils/market_operation_utils/types.ts
View File

@@ -478,6 +478,7 @@ export interface MarketSideLiquidity {
}
export interface RawHopQuotes {
tokenPath: Address[];
inputToken: Address;
outputToken: Address;
nativeOrders: NativeOrderWithFillableAmounts[];

2
packages/asset-swapper/src/utils/rfqt_mocker.ts
View File

@@ -23,7 +23,7 @@ export const rfqtMocker = {
afterResponseCallback: () => Promise<void>,
axiosClient: AxiosInstance = axios,
): Promise<void> => {
const mockedAxios = new AxiosMockAdapter(axiosClient);
const mockedAxios = new AxiosMockAdapter(axiosClient as any); // TODO (lawrence): why ts?
try {
// Mock out RFQT responses
for (const mockedResponse of mockedResponses) {