chore: FillAdjustor and clean up JS router and unused functions [TKR-403] (#480)

* Remove old JS router and add a FillAdjustor

Clean up JS router and unused functions

Remove more unused functions, add adjustment of fills

Comment on why we use fill over sample

update CODEOWNERS

lint

Clean up Fill removing unused properties

Remove CollapsedFills, omit flags bigint

Create GasSchedule vs FeeSchedule, return Fill and gas on OptimizedOrder

Use Fill Adjustment in Phase2 of routing

Fix Limit orders being treated as VIP

* Fix case where dex liquidity is empty

* Use best gas adjusted pricing for fee sources

* CHANGELOG

Author: dekz

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/  @BMillman19 @fragosti @dave4506
-packages/instant/  @BMillman19 @fragosti @dave4506
+packages/asset-swapper/ @dekz @mzhu25 @dextracker @kh-chang
 
 # Dev tools & setup
-.circleci/ @dorothy-zbornak
-packages/contract-addresses/ @abandeali1
-packages/contract-artifacts/ @abandeali1
-packages/order-utils/ @dorothy-zbornak 
+
+.circleci/ @dekz @mzhu25
+packages/contract-addresses/ @dekz @mzhu25 @dextracker @kh-chang
+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 +1,17 @@
 [
+    {
+        "version": "16.63.0",
+        "changes": [
+            {
+                "note": "Remove JS router",
+                "pr": 480
+            },
+            {
+                "note": "Removed Median price in favour of best gas adjusted price",
+                "pr": 480
+            }
+        ]
+    },
     {
         "version": "16.62.2",
         "changes": [

packages/asset-swapper/package.json

@@ -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|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) =>
-                gasCost === undefined ? 0 : gasPrice.times(gasCost(fillData)),
-            ),
+            feeSchedule: _.mapValues(opts.gasSchedule, gasCost => (fillData: 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'),
-            secondHopSource: _.pick(secondHopFill, 'source', 'fillData'),
+            firstHopSource: _.pick(firstHopOrder, 'source', 'fillData'),
+            secondHopSource: _.pick(secondHopOrder, 'source', 'fillData'),
         }),
     ).toNumber();
     const isSell = operation === MarketOperation.Sell;
 
     return {
         bestCaseQuoteInfo: {
-            makerAmount: isSell ? secondHopFill.output : secondHopFill.input,
-            takerAmount: isSell ? firstHopFill.input : firstHopFill.output,
-            totalTakerAmount: isSell ? firstHopFill.input : firstHopFill.output,
+            makerAmount: isSell ? secondHopOrder.fill.output : secondHopOrder.fill.input,
+            takerAmount: isSell ? firstHopOrder.fill.input : firstHopOrder.fill.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/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,
@@ -2381,7 +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 };
@@ -2569,10 +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'> = {
@@ -2593,4 +2606,5 @@ export const DEFAULT_GET_MARKET_ORDERS_OPTS: Omit<GetMarketOrdersOpts, 'gasPrice
     shouldIncludePriceComparisonsReport: false,
     tokenAdjacencyGraph: { default: [] },
     neonRouterNumSamples: 14,
+    fillAdjustor: new IdentityFillAdjustor(),
 };