Fix quoteAdjustedForGas values for low liq pools (#195)

* Fix build errors * Refactor buildGasModel to calculate synthetic gas cost in quote token * fix token0 issue w/ new inputNativePool calc * take #190 * fixed swapOptions missing (#190) Co-authored-by: jmmshn <[email protected]> * Pass all integ tests * Change calculations - use execution.quote(gasCostInTermsOfInput) and compare to original * fix unit tests, unskip integ * pass eslint checks * Resolve comments * prettier * clean up comments * Change amountToken from tokenIn to amount.currency.wrapped * move executionPrice into if statement * remove excess comment Co-authored-by: Jimmy Shen <[email protected]> Co-authored-by: jmmshn <[email protected]>
Uniswap · Jan 23, 2023 · 4db0b29 · 4db0b29
1 parent 3ebd768
commit 4db0b29
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Showing 19 changed files with 210 additions and 85 deletions.
diff --git a/cli/base-command.ts b/cli/base-command.ts
@@ -346,7 +346,7 @@ export abstract class BaseCommand extends Command {
     blockNumber: BigNumber,
     estimatedGasUsed: BigNumber,
     gasPriceWei: BigNumber,
-    simulationStatus: SimulationStatus | undefined
+    simulationStatus?: SimulationStatus
   ) {
     this.logger.info(`Best Route:`);
     this.logger.info(`${routeAmountsToString(routeAmounts)}`);

diff --git a/cli/commands/quote-to-ratio.ts b/cli/commands/quote-to-ratio.ts
@@ -8,6 +8,7 @@ import {
   parseAmount,
   SwapToRatioResponse,
   SwapToRatioStatus,
+  SwapType,
 } from '../../src';
 import { BaseCommand } from '../base-command';
 
@@ -118,6 +119,7 @@ export class QuoteToRatio extends BaseCommand {
           recipient: '0x0000000000000000000000000000000000000001',
         },
         swapOptions: {
+          type: SwapType.SWAP_ROUTER_02,
           deadline: 100,
           recipient,
           slippageTolerance: new Percent(5, 10_000),

diff --git a/src/providers/caching-token-provider.ts b/src/providers/caching-token-provider.ts
@@ -25,8 +25,8 @@ import {
   TokenAccessor,
   UNI_ARBITRUM_RINKEBY,
   USDC_ARBITRUM,
-  USDC_ARBITRUM_RINKEBY,
   USDC_ARBITRUM_GOERLI,
+  USDC_ARBITRUM_RINKEBY,
   USDC_ETHEREUM_GNOSIS,
   USDC_MAINNET,
   USDC_MOONBEAM,

diff --git a/src/providers/multicall-uniswap-provider.ts b/src/providers/multicall-uniswap-provider.ts
@@ -3,8 +3,8 @@ import { BaseProvider } from '@ethersproject/providers';
 import _ from 'lodash';
 import stats from 'stats-lite';
 
-import { UniswapInterfaceMulticall__factory } from '../types/v3/factories/UniswapInterfaceMulticall__factory';
 import { UniswapInterfaceMulticall } from '../types/v3/UniswapInterfaceMulticall';
+import { UniswapInterfaceMulticall__factory } from '../types/v3/factories/UniswapInterfaceMulticall__factory';
 import { ChainId } from '../util';
 import { UNISWAP_MULTICALL_ADDRESSES } from '../util/addresses';
 import { log } from '../util/log';

diff --git a/src/providers/on-chain-quote-provider.ts b/src/providers/on-chain-quote-provider.ts
@@ -21,6 +21,7 @@ import {
 import { CurrencyAmount } from '../util/amounts';
 import { log } from '../util/log';
 import { routeToString } from '../util/routes';
+
 import { Result } from './multicall-provider';
 import { UniswapMulticallProvider } from './multicall-uniswap-provider';
 import { ProviderConfig } from './provider';

diff --git a/src/providers/token-provider.ts b/src/providers/token-provider.ts
@@ -297,6 +297,14 @@ export const DAI_ARBITRUM_RINKEBY = new Token(
   'Dai Stablecoin'
 );
 
+export const DAI_ARBITRUM_GOERLI = new Token(
+  ChainId.ARBITRUM_GOERLI,
+  '0x0000000000000000000000000000000000000000', // TODO: add address
+  18,
+  'DAI',
+  'Dai Stablecoin'
+);
+
 export const USDT_ARBITRUM_RINKEBY = new Token(
   ChainId.ARBITRUM_RINKEBY,
   '0x920b9301c2de92186299cd2abc7199e25b9728b3',
@@ -321,7 +329,7 @@ export const UNI_ARBITRUM_RINKEBY = new Token(
   'Uni token'
 );
 
-// Bridged version of official Goerli USDC 
+// Bridged version of official Goerli USDC
 export const USDC_ARBITRUM_GOERLI = new Token(
   ChainId.ARBITRUM_GOERLI,
   '0x8FB1E3fC51F3b789dED7557E680551d93Ea9d892',
@@ -635,6 +643,8 @@ export const DAI_ON = (chainId: ChainId): Token => {
       return DAI_ARBITRUM;
     case ChainId.ARBITRUM_RINKEBY:
       return DAI_ARBITRUM_RINKEBY;
+    case ChainId.ARBITRUM_GOERLI:
+      return DAI_ARBITRUM_GOERLI;
     case ChainId.POLYGON:
       return DAI_POLYGON;
     case ChainId.POLYGON_MUMBAI:

diff --git a/src/routers/alpha-router/alpha-router.ts b/src/routers/alpha-router/alpha-router.ts
@@ -884,15 +884,17 @@ export class AlphaRouter
         chainId: this.chainId,
         gasPriceWei,
         v3poolProvider: this.v3PoolProvider,
-        token: quoteToken,
+        amountToken: amount.currency.wrapped,
+        quoteToken,
         v2poolProvider: this.v2PoolProvider,
         l2GasDataProvider: this.l2GasDataProvider,
       }),
       this.mixedRouteGasModelFactory.buildGasModel({
         chainId: this.chainId,
         gasPriceWei,
         v3poolProvider: this.v3PoolProvider,
-        token: quoteToken,
+        amountToken: amount.currency.wrapped,
+        quoteToken,
         v2poolProvider: this.v2PoolProvider,
       }),
     ]);

diff --git a/src/routers/alpha-router/functions/compute-all-routes.ts b/src/routers/alpha-router/functions/compute-all-routes.ts
@@ -1,6 +1,7 @@
 import { Token } from '@uniswap/sdk-core';
 import { Pair } from '@uniswap/v2-sdk';
 import { Pool } from '@uniswap/v3-sdk';
+
 import { log } from '../../../util/log';
 import { poolToString, routeToString } from '../../../util/routes';
 import { MixedRoute, V2Route, V3Route } from '../../router';

diff --git a/src/routers/alpha-router/functions/get-candidate-pools.ts b/src/routers/alpha-router/functions/get-candidate-pools.ts
@@ -1029,7 +1029,7 @@ export async function getMixedRouteCandidatePools({
     ].map((poolId) => poolId.id)
   );
 
-  let V2topByTVLSortedPools = _(V2subgraphPools)
+  const V2topByTVLSortedPools = _(V2subgraphPools)
     .filter((pool) => V2topByTVLPoolIds.has(pool.id))
     .sortBy((pool) => -pool.reserveUSD)
     .value();

diff --git a/src/routers/alpha-router/gas-models/gas-model.ts b/src/routers/alpha-router/gas-models/gas-model.ts
@@ -85,7 +85,8 @@ export type BuildOnChainGasModelFactoryType = {
   chainId: ChainId;
   gasPriceWei: BigNumber;
   v3poolProvider: IV3PoolProvider;
-  token: Token;
+  amountToken: Token;
+  quoteToken: Token;
   v2poolProvider: IV2PoolProvider;
   l2GasDataProvider?:
     | IL2GasDataProvider<OptimismGasData>
@@ -160,7 +161,8 @@ export abstract class IOnChainGasModelFactory {
     chainId,
     gasPriceWei,
     v3poolProvider: V3poolProvider,
-    token,
+    amountToken,
+    quoteToken,
     v2poolProvider: V2poolProvider,
     l2GasDataProvider,
   }: BuildOnChainGasModelFactoryType): Promise<

diff --git a/src/routers/alpha-router/gas-models/mixedRoute/mixed-route-heuristic-gas-model.ts b/src/routers/alpha-router/gas-models/mixedRoute/mixed-route-heuristic-gas-model.ts
@@ -56,7 +56,7 @@ export class MixedRouteHeuristicGasModelFactory extends IOnChainGasModelFactory
     chainId,
     gasPriceWei,
     v3poolProvider: V3poolProvider,
-    token,
+    quoteToken,
     v2poolProvider: V2poolProvider,
   }: BuildOnChainGasModelFactoryType): Promise<
     IGasModel<MixedRouteWithValidQuote>
@@ -70,7 +70,7 @@ export class MixedRouteHeuristicGasModelFactory extends IOnChainGasModelFactory
     // of the quote token in order to produce a gas adjusted amount.
     // We do return a gas use in USD however, so we still convert to usd.
     const nativeCurrency = WRAPPED_NATIVE_CURRENCY[chainId]!;
-    if (token.equals(nativeCurrency)) {
+    if (quoteToken.equals(nativeCurrency)) {
       const estimateGasCost = (
         routeWithValidQuote: MixedRouteWithValidQuote
       ): {
@@ -109,14 +109,14 @@ export class MixedRouteHeuristicGasModelFactory extends IOnChainGasModelFactory
     // If the quote token is not in the native currency, we convert the gas cost to be in terms of the quote token.
     // We do this by getting the highest liquidity <quoteToken>/<nativeCurrency> pool. eg. <quoteToken>/ETH pool.
     const nativeV3Pool: Pool | null = await getHighestLiquidityV3NativePool(
-      token,
+      quoteToken,
       V3poolProvider
     );
 
     let nativeV2Pool: Pair | null;
     if (V2poolProvider) {
       /// MixedRoutes
-      nativeV2Pool = await getV2NativePool(token, V2poolProvider);
+      nativeV2Pool = await getV2NativePool(quoteToken, V2poolProvider);
     }
 
     const usdToken =
@@ -139,11 +139,11 @@ export class MixedRouteHeuristicGasModelFactory extends IOnChainGasModelFactory
 
       if (!nativeV3Pool && !nativeV2Pool) {
         log.info(
-          `Unable to find ${nativeCurrency.symbol} pool with the quote token, ${token.symbol} to produce gas adjusted costs. Route will not account for gas.`
+          `Unable to find ${nativeCurrency.symbol} pool with the quote token, ${quoteToken.symbol} to produce gas adjusted costs. Route will not account for gas.`
         );
         return {
           gasEstimate: baseGasUse,
-          gasCostInToken: CurrencyAmount.fromRawAmount(token, 0),
+          gasCostInToken: CurrencyAmount.fromRawAmount(quoteToken, 0),
           gasCostInUSD: CurrencyAmount.fromRawAmount(usdToken, 0),
         };
       }