Filter paths by marginalRate < BestAdjustedRate

0xProject · Mar 24, 2021 · 8fbeb3e · 8fbeb3e
1 parent 2f86a73
commit 8fbeb3e
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diff --git a/packages/asset-swapper/src/utils/market_operation_utils/index.ts b/packages/asset-swapper/src/utils/market_operation_utils/index.ts
@@ -535,6 +535,16 @@ export class MarketOperationUtils {
         const _unoptimizedPath = fillsToSortedPaths(fills, side, inputAmount, penaltyOpts)[0];
         const unoptimizedPath = _unoptimizedPath ? _unoptimizedPath.collapse(orderOpts) : undefined;
 
+        console.log(
+            JSON.stringify(
+                dexQuotes
+                    .filter(qs => qs && qs.length > 0)
+                    .map(qs => ({ source: qs[0].source, inputOutputs: qs.map(q => [q.input, q.output]) })),
+                null,
+                2,
+            ),
+        );
+
         // Find the optimal path
         const optimalPath = await findOptimalPathAsync(side, fills, inputAmount, opts.runLimit, penaltyOpts);
         const optimalPathRate = optimalPath ? optimalPath.adjustedRate() : ZERO_AMOUNT;

diff --git a/packages/asset-swapper/src/utils/market_operation_utils/path.ts b/packages/asset-swapper/src/utils/market_operation_utils/path.ts
@@ -39,6 +39,7 @@ export class Path {
     public sourceFlags: number = 0;
     protected _size: PathSize = { input: ZERO_AMOUNT, output: ZERO_AMOUNT };
     protected _adjustedSize: PathSize = { input: ZERO_AMOUNT, output: ZERO_AMOUNT };
+    private _firstFill!: Fill;
 
     public static create(
         side: MarketOperation,
@@ -147,6 +148,10 @@ export class Path {
         return getCompleteRate(this.side, input, output, this.targetInput);
     }
 
+    public marginalRate(): BigNumber {
+        return getRate(this.side, this._firstFill.input, this._firstFill.output);
+    }
+
     public adjustedRate(): BigNumber {
         const { input, output } = this.adjustedSize();
         return getRate(this.side, input, output);
@@ -248,6 +253,9 @@ export class Path {
     }
 
     private _addFillSize(fill: Fill): void {
+        if (!this._firstFill) {
+            this._firstFill = fill;
+        }
         if (this._size.input.plus(fill.input).isGreaterThan(this.targetInput)) {
             const remainingInput = this.targetInput.minus(this._size.input);
             const scaledFillOutput = fill.output.times(remainingInput.div(fill.input));

diff --git a/packages/asset-swapper/src/utils/market_operation_utils/path_optimizer.ts b/packages/asset-swapper/src/utils/market_operation_utils/path_optimizer.ts
@@ -36,6 +36,28 @@ export async function findOptimalPathAsync(
     return optimalPath.isComplete() ? optimalPath : undefined;
 }
 
+export async function findOptimalPath2Async(
+    side: MarketOperation,
+    fills: Fill[][],
+    targetInput: BigNumber,
+    runLimit: number = 2 ** 8,
+    opts: PathPenaltyOpts = DEFAULT_PATH_PENALTY_OPTS,
+): Promise<Path | undefined> {
+    // Sort fill arrays by descending adjusted completed rate.
+    const sortedPaths = fillsToSortedPaths2(fills, side, targetInput, opts);
+    if (sortedPaths.length === 0) {
+        return undefined;
+    }
+    let optimalPath = sortedPaths[0];
+    const rates = rateBySourcePathId(side, fills, targetInput);
+    for (const [i, path] of sortedPaths.slice(1).entries()) {
+        optimalPath = mixPaths(side, optimalPath, path, targetInput, runLimit * RUN_LIMIT_DECAY_FACTOR ** i, rates);
+        // Yield to event loop.
+        await Promise.resolve();
+    }
+    return optimalPath.isComplete() ? optimalPath : undefined;
+}
+
 // Sort fill arrays by descending adjusted completed rate.
 export function fillsToSortedPaths(
     fills: Fill[][],
@@ -48,6 +70,17 @@ export function fillsToSortedPaths(
     return sortedPaths;
 }
 
+export function fillsToSortedPaths2(
+    fills: Fill[][],
+    side: MarketOperation,
+    targetInput: BigNumber,
+    opts: PathPenaltyOpts,
+): Path[] {
+    const paths = fills.map(singleSourceFills => Path.create(side, singleSourceFills, targetInput, opts));
+    const sortedPaths = paths.sort((a, b) => b.adjustedCompleteRate().comparedTo(a.adjustedCompleteRate()));
+    return sortedPaths.filter(p => p.marginalRate().isGreaterThanOrEqualTo(sortedPaths[0].adjustedCompleteRate()));
+}
+
 function mixPaths(
     side: MarketOperation,
     pathA: Path,