Cull paths which cannot improve price

0xProject · Apr 1, 2021 · e232e5e · e232e5e
1 parent 164a5d4
commit e232e5e
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Showing 2 changed files with 20 additions and 1 deletion.
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,
@@ -152,6 +153,16 @@ export class Path {
         return getRate(this.side, input, output);
     }
 
+    /**
+     * Returns the first fill rate. The best possible rate this path can offer, given the fills.
+     */
+    public minRate(): BigNumber {
+        if (!this._firstFill) {
+            throw new Error('Unable to calculate minRate');
+        }
+        return getRate(this.side, this._firstFill.input, this._firstFill.output);
+    }
+
     public adjustedSlippage(maxRate: BigNumber): number {
         if (maxRate.eq(0)) {
             return 0;
@@ -248,6 +259,9 @@ 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
@@ -45,7 +45,12 @@ export function fillsToSortedPaths(
 ): 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;
+    // Any path which has a min rate that is less than the best adjusted completed rate has no chance of improving
+    // the overall route.
+    const possiblePaths = sortedPaths.filter(p =>
+        p.minRate().isGreaterThanOrEqualTo(sortedPaths[0].adjustedCompleteRate()),
+    );
+    return possiblePaths;
 }
 
 function mixPaths(