Merge branch 'development' into feat/RedactedCurvePool

- @0x/asset-swapper@16.49.9

packages/asset-swapper/CHANGELOG.json

@@ -1,4 +1,14 @@
 [
+    {
+        "version": "16.49.9",
+        "changes": [
+            {
+                "note": "Fix native order scaling & filter out 1 wei quotes",
+                "pr": "430"
+            }
+        ],
+        "timestamp": 1645696356
+    },
     {
         "timestamp": 1645569128,
         "version": "16.49.8",
@@ -25,6 +35,7 @@
                 "note": "Fixed btrfly routing to include the ohmV2/dai, ohmV2/btfly, and ohmV2/weth pools",
                 "pr": 427
             }
+
         ],
         "timestamp": 1645113751
     },

packages/asset-swapper/CHANGELOG.md

@@ -5,6 +5,10 @@ Edit the package's CHANGELOG.json file only.
 
 CHANGELOG
 
+## v16.49.9 - _February 24, 2022_
+
+    * Fix native order scaling & filter out 1 wei quotes (#430)
+
 ## v16.49.8 - _February 22, 2022_
 
     * Dependencies updated

packages/asset-swapper/package.json

@@ -1,6 +1,6 @@
 {
     "name": "@0x/asset-swapper",
-    "version": "16.49.8",
+    "version": "16.49.9",
     "engines": {
         "node": ">=6.12"
     },
@@ -66,7 +66,7 @@
         "@0x/contracts-zero-ex": "^0.31.0",
         "@0x/dev-utils": "^4.2.11",
         "@0x/json-schemas": "^6.4.1",
-        "@0x/neon-router": "^0.3.2",
+        "@0x/neon-router": "^0.3.3",
         "@0x/protocol-utils": "^1.11.0",
         "@0x/quote-server": "^6.0.6",
         "@0x/types": "^3.3.4",

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

@@ -631,6 +631,7 @@ export const CURVE_POOLS = {
     USDP: '0x42d7025938bec20b69cbae5a77421082407f053a', // usdp
     ib: '0x2dded6da1bf5dbdf597c45fcfaa3194e53ecfeaf', // iron bank
     link: '0xf178c0b5bb7e7abf4e12a4838c7b7c5ba2c623c0', // link
+    btrflyweth: '0xf43b15ab692fde1f9c24a9fce700adcc809d5391',
     // StableSwap "open pools" (crv.finance)
     TUSD: '0xecd5e75afb02efa118af914515d6521aabd189f1',
     STABLEx: '0x3252efd4ea2d6c78091a1f43982ee2c3659cc3d1',
@@ -1004,12 +1005,27 @@ const createCurveV2MetaTriPool = (info: { tokens: string[]; pool: string; gasSch
     gasSchedule: info.gasSchedule,
 });
 
+const createCurveFactoryCryptoExchangePool = (info: { tokens: string[]; pool: string; gasSchedule: number }) => ({
+    exchangeFunctionSelector: CurveFunctionSelectors.exchange_underlying_uint256,
+    sellQuoteFunctionSelector: CurveFunctionSelectors.get_dy_uint256,
+    buyQuoteFunctionSelector: CurveFunctionSelectors.None,
+    tokens: info.tokens,
+    metaTokens: undefined,
+    poolAddress: info.pool,
+    gasSchedule: info.gasSchedule,
+});
+
 /**
  * Mainnet Curve configuration
  * The tokens are in order of their index, which each curve defines
  * I.e DaiUsdc curve has DAI as index 0 and USDC as index 1
  */
 export const CURVE_MAINNET_INFOS: { [name: string]: CurveInfo } = {
+    [CURVE_POOLS.btrflyweth]: createCurveFactoryCryptoExchangePool({
+        tokens: [MAINNET_TOKENS.WETH, MAINNET_TOKENS.BTRFLY],
+        pool: CURVE_POOLS.btrflyweth,
+        gasSchedule: 411e3,
+    }),
     [CURVE_POOLS.compound]: createCurveExchangeUnderlyingPool({
         tokens: [MAINNET_TOKENS.DAI, MAINNET_TOKENS.USDC],
         pool: CURVE_POOLS.compound,

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

@@ -21,6 +21,8 @@ const MIN_NUM_SAMPLE_INPUTS = 3;
 
 const isDexSample = (obj: DexSample | NativeOrderWithFillableAmounts): obj is DexSample => !!(obj as DexSample).source;
 
+const ONE_BASE_UNIT = new BigNumber(1);
+
 function nativeOrderToNormalizedAmounts(
     side: MarketOperation,
     nativeOrder: NativeOrderWithFillableAmounts,
@@ -75,6 +77,13 @@ function findRoutesAndCreateOptimalPath(
     fees: FeeSchedule,
     neonRouterNumSamples: number,
 ): Path | 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
+    // which is how the JS router handles these quotes today
+    if (input.eq(ONE_BASE_UNIT)) {
+        return undefined;
+    }
+
     const createFill = (sample: DexSample): Fill | undefined => {
         const fills = dexSamplesToFills(side, [sample], opts.outputAmountPerEth, opts.inputAmountPerEth, fees);
         // NOTE: If the sample has 0 output dexSamplesToFills will return [] because no fill can be created
@@ -155,12 +164,24 @@ function findRoutesAndCreateOptimalPath(
         const inputs = [];
         const outputs = [];
         const outputFees = [];
-        // NOTE: We start at 0 here because the native order might be much larger than the amount
-        // By starting at 0 we make sure we can always use a portion of the native order to fill/partial fill
-        for (let i = 0; i <= 12; i++) {
-            const fraction = i / 12;
-            const currentInput = BigNumber.min(normalizedOrderInput.times(fraction), normalizedOrderInput);
-            const currentOutput = BigNumber.min(normalizedOrderOutput.times(fraction), normalizedOrderOutput);
+
+        // NOTE: Limit orders can be both larger or smaller than the input amount
+        // If the order is larger than the input we can scale the order to the size of
+        // the quote input (order pricing is constant) and then create 13 "samples" up to
+        // and including the full quote input amount.
+        // If the order is smaller we don't need to scale anything, we will just end up
+        // with trailing duplicate samples for the order input as we cannot go higher
+        const scaleToInput = BigNumber.min(input.dividedBy(normalizedOrderInput), 1);
+        for (let i = 1; i <= 13; i++) {
+            const fraction = i / 13;
+            const currentInput = BigNumber.min(
+                normalizedOrderInput.times(scaleToInput).times(fraction),
+                normalizedOrderInput,
+            );
+            const currentOutput = BigNumber.min(
+                normalizedOrderOutput.times(scaleToInput).times(fraction),
+                normalizedOrderOutput,
+            );
             const id = `${ERC20BridgeSource.Native}-${serializedPaths.length}-${idx}-${i}`;
             inputs.push(currentInput.integerValue().toNumber());
             outputs.push(currentOutput.integerValue().toNumber());

yarn.lock

@@ -959,10 +959,10 @@
     typedoc "~0.16.11"
     yargs "^10.0.3"
 
-"@0x/neon-router@^0.3.2":
-  version "0.3.2"
-  resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.3.2.tgz#dc68d0a108060d607b48e3d32ce0ff46f8dc0cc2"
-  integrity sha512-AdSPeCxRcjdpmWDkJI1wg+X4q14tmLE21vM0AixtMQQI5+f22sIeUCrPqU9FFKqMQTOW0/3d8tVXzxdollahbA==
+"@0x/neon-router@^0.3.3":
+  version "0.3.3"
+  resolved "https://registry.yarnpkg.com/@0x/neon-router/-/neon-router-0.3.3.tgz#dab540f4cd2aea6441ba29cbc35c28ca3f7a2b4f"
+  integrity sha512-xRIpRJ+gStLfDQI9mVdeugoLHQAp/bZfX7dycEQdStZlF6kcZk5kRe/iXCFoxoEY42fMaQW0/7JMFiB1C18t6Q==
   dependencies:
     "@mapbox/node-pre-gyp" "^1.0.5"