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perf: use indicative quotes as guesstimates (#1337)
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* perf: only use indicative quotes

* add profiling

* add caching of indicative quotes

* fixup

* fixup

* fixup

* fixup

* add more profiling
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@dohaki
dohaki authored Dec 20, 2024
1 parent 28b6648 commit 1383980
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Showing 3 changed files with 203 additions and 68 deletions.
199 changes: 140 additions & 59 deletions api/_dexes/uniswap/quote-resolver.ts
View file
Original file line number Diff line number Diff line change
Expand Up @@ -34,10 +34,12 @@ import { UniswapQuoteFetchStrategy, addMarkupToAmount } from "./utils";
const indicativeQuoteBuffer = 0.005; // 0.5% buffer for indicative quotes

/**
* Returns Uniswap v3 quote for a swap with min. output amount for route
* BRIDGEABLE input token -> ANY output token, e.g. USDC -> ARB. Required steps:
* Returns Uniswap v3 quote for a swap based on the output amount (exact or minimal) for
* route BRIDGEABLE input token -> ANY output token, e.g. USDC -> ARB. Required steps:
* 1. Get destination swap quote for bridgeable output token -> any token
* 2. Get bridge quote for bridgeable input token -> bridgeable output token
* @param crossSwap - Cross swap params
* @param strategy - Uniswap quote fetch strategy
*/
export async function getUniswapCrossSwapQuotesForOutputB2A(
crossSwap: CrossSwap,
Expand Down Expand Up @@ -86,36 +88,64 @@ export async function getUniswapCrossSwapQuotesForOutputB2A(
slippageTolerance: crossSwap.slippageTolerance,
type: crossSwap.type,
};
// 1. Get destination swap quote for bridgeable output token -> any token
// with exact output amount.
let destinationSwapQuote = await profiler.measureAsync(
// 1. Get INDICATIVE destination swap quote for bridgeable output token -> any token
// with exact output amount. This request is faster but does not contain calldata.
const indicativeDestinationSwapQuote = await profiler.measureAsync(
strategy.fetchFn(
{
...destinationSwap,
amount: crossSwap.amount.toString(),
},
TradeType.EXACT_OUTPUT
TradeType.EXACT_OUTPUT,
{
useIndicativeQuote: true,
}
),
"getDestinationSwapQuote"
"INDICATIVE_getDestinationSwapQuote"
);

// 2. Get bridge quote for bridgeable input token -> bridgeable output token
const bridgeQuote = await profiler.measureAsync(
getBridgeQuoteForMinOutput({
inputToken: crossSwap.inputToken,
outputToken: bridgeableOutputToken,
minOutputAmount: destinationSwapQuote.maximumAmountIn,
recipient: getMultiCallHandlerAddress(destinationSwapChainId),
message: buildDestinationSwapCrossChainMessage({
crossSwap,
destinationSwapQuote,
bridgeableOutputToken,
routerAddress: strategy.getRouterAddress(destinationSwapChainId),
// 2. Fetch REAL destination swap quote and bridge quote in parallel to improve performance.
const [destinationSwapQuote, bridgeQuote] = await profiler.measureAsync(
Promise.all([
// 2.1. REAL destination swap quote for bridgeable output token -> any token.
// Quote contains calldata.
strategy.fetchFn(
{
...destinationSwap,
amount: crossSwap.amount.toString(),
},
TradeType.EXACT_OUTPUT
),
// 2.2. Bridge quote for bridgeable input token -> bridgeable output token based on
// indicative destination swap quote.
getBridgeQuoteForMinOutput({
inputToken: crossSwap.inputToken,
outputToken: bridgeableOutputToken,
minOutputAmount: indicativeDestinationSwapQuote.maximumAmountIn,
recipient: getMultiCallHandlerAddress(destinationSwapChainId),
message: buildDestinationSwapCrossChainMessage({
crossSwap,
destinationSwapQuote: indicativeDestinationSwapQuote,
bridgeableOutputToken,
routerAddress: strategy.getRouterAddress(destinationSwapChainId),
}),
}),
}),
"getBridgeQuote"
]),
"getAllQuotes"
);
assertMinOutputAmount(destinationSwapQuote.minAmountOut, crossSwap.amount);
assertMinOutputAmount(
bridgeQuote.outputAmount,
destinationSwapQuote.maximumAmountIn
);

bridgeQuote.message = buildDestinationSwapCrossChainMessage({
crossSwap,
destinationSwapQuote,
bridgeableOutputToken,
routerAddress: strategy.getRouterAddress(destinationSwapChainId),
});

return {
crossSwap,
bridgeQuote,
Expand Down Expand Up @@ -388,44 +418,52 @@ export async function getUniswapCrossSwapQuotesForOutputA2A(
type: crossSwap.type,
};

// 1. Get destination swap quote for bridgeable output token -> any token
// with exact output amount
let destinationSwapQuote = await profiler.measureAsync(
// Fetch INDICATIVE quotes sequentially:
// 1. Destination swap quote for bridgeable output token -> any token
// 2. Bridge quote for bridgeable input token -> bridgeable output token
// 3. Origin swap quote for any input token -> bridgeable input token
// These requests are faster but do not contain calldata.
const indicativeDestinationSwapQuote = await profiler.measureAsync(
destinationStrategy.fetchFn(
{
...destinationSwap,
amount: crossSwap.amount.toString(),
},
TradeType.EXACT_OUTPUT
TradeType.EXACT_OUTPUT,
{
useIndicativeQuote: true,
}
),
"getDestinationSwapQuote"
"INDICATIVE_getDestinationSwapQuote"
);

// 2. Get bridge quote for bridgeable input token -> bridgeable output token
const bridgeQuote = await profiler.measureAsync(
const indicativeBridgeQuote = await profiler.measureAsync(
getBridgeQuoteForMinOutput({
inputToken: bridgeableInputToken,
outputToken: bridgeableOutputToken,
minOutputAmount: destinationSwapQuote.maximumAmountIn,
minOutputAmount: addMarkupToAmount(
indicativeDestinationSwapQuote.maximumAmountIn,
indicativeQuoteBuffer
),
recipient: getMultiCallHandlerAddress(destinationSwapChainId),
message: buildDestinationSwapCrossChainMessage({
crossSwap,
destinationSwapQuote,
destinationSwapQuote: indicativeDestinationSwapQuote,
bridgeableOutputToken,
routerAddress: destinationStrategy.getRouterAddress(
destinationSwapChainId
),
}),
}),
"getBridgeQuote"
"INDICATIVE_getBridgeQuote"
);

// 3.1. Get origin swap quote for any input token -> bridgeable input token
const originSwapQuote = await profiler.measureAsync(
const indicativeOriginSwapQuote = await profiler.measureAsync(
originStrategy.fetchFn(
{
...originSwap,
amount: bridgeQuote.inputAmount.toString(),
amount: addMarkupToAmount(
indicativeBridgeQuote.inputAmount,
indicativeQuoteBuffer
).toString(),
},
TradeType.EXACT_OUTPUT,
{
Expand All @@ -434,32 +472,65 @@ export async function getUniswapCrossSwapQuotesForOutputA2A(
),
"INDICATIVE_getOriginSwapQuote"
);
// 3.2. Re-fetch origin swap quote with updated input amount and EXACT_INPUT type.
// This prevents leftover tokens in the SwapAndBridge contract.
let adjOriginSwapQuote = await profiler.measureAsync(
originStrategy.fetchFn(
{
...originSwap,
amount: addMarkupToAmount(
originSwapQuote.maximumAmountIn,
indicativeQuoteBuffer
).toString(),
},
TradeType.EXACT_INPUT
),
"getOriginSwapQuote"
);

// Fetch REAL quotes in parallel. These requests are slower but contain calldata.
const [destinationSwapQuote, bridgeQuote, originSwapQuote] =
await profiler.measureAsync(
Promise.all([
destinationStrategy.fetchFn(
{
...destinationSwap,
amount: crossSwap.amount.toString(),
},
TradeType.EXACT_OUTPUT
),
getBridgeQuoteForMinOutput({
inputToken: bridgeableInputToken,
outputToken: bridgeableOutputToken,
minOutputAmount: indicativeDestinationSwapQuote.maximumAmountIn,
recipient: getMultiCallHandlerAddress(destinationSwapChainId),
message: buildDestinationSwapCrossChainMessage({
crossSwap,
destinationSwapQuote: indicativeDestinationSwapQuote,
bridgeableOutputToken,
routerAddress: destinationStrategy.getRouterAddress(
destinationSwapChainId
),
}),
}),
originStrategy.fetchFn(
{
...originSwap,
amount: addMarkupToAmount(
indicativeOriginSwapQuote.maximumAmountIn,
indicativeQuoteBuffer
).toString(),
},
TradeType.EXACT_INPUT
),
]),
"getAllQuotes"
);
assertMinOutputAmount(destinationSwapQuote.minAmountOut, crossSwap.amount);
assertMinOutputAmount(
adjOriginSwapQuote.minAmountOut,
bridgeQuote.inputAmount
bridgeQuote.outputAmount,
destinationSwapQuote.maximumAmountIn
);
assertMinOutputAmount(originSwapQuote.minAmountOut, bridgeQuote.inputAmount);

bridgeQuote.message = buildDestinationSwapCrossChainMessage({
crossSwap,
destinationSwapQuote,
bridgeableOutputToken,
routerAddress: destinationStrategy.getRouterAddress(destinationSwapChainId),
});

return {
crossSwap,
destinationSwapQuote,
bridgeQuote,
originSwapQuote: {
...adjOriginSwapQuote,
...originSwapQuote,
entryPointContract: originSwapEntryPoint,
},
};
Expand All @@ -477,6 +548,10 @@ function buildDestinationSwapCrossChainMessage({
routerAddress: string;
}) {
const destinationSwapChainId = destinationSwapQuote.tokenOut.chainId;
const isIndicativeQuote =
destinationSwapQuote.swapTx.to === "0x0" &&
destinationSwapQuote.swapTx.data === "0x0" &&
destinationSwapQuote.swapTx.value === "0x0";

let transferActions: {
target: string;
Expand Down Expand Up @@ -535,6 +610,16 @@ function buildDestinationSwapCrossChainMessage({
];
}

const swapActions = isIndicativeQuote
? []
: [
{
target: destinationSwapQuote.swapTx.to,
callData: destinationSwapQuote.swapTx.data,
value: destinationSwapQuote.swapTx.value,
},
];

return buildMulticallHandlerMessage({
fallbackRecipient: getFallbackRecipient(crossSwap),
actions: [
Expand All @@ -548,11 +633,7 @@ function buildDestinationSwapCrossChainMessage({
value: "0",
},
// swap bridgeable output token -> cross swap output token
{
target: destinationSwapQuote.swapTx.to,
callData: destinationSwapQuote.swapTx.data,
value: destinationSwapQuote.swapTx.value,
},
...swapActions,
// transfer output tokens to recipient
...transferActions,
// drain remaining bridgeable output tokens from MultiCallHandler contract
Expand Down
68 changes: 59 additions & 9 deletions api/_dexes/uniswap/swap-router-02.ts
View file
Original file line number Diff line number Diff line change
@@ -1,4 +1,4 @@
import { BigNumber } from "ethers";
import { BigNumber, ethers } from "ethers";
import { TradeType } from "@uniswap/sdk-core";
import { SwapRouter } from "@uniswap/router-sdk";

Expand All @@ -19,6 +19,7 @@ import {
} from "./trading-api";
import { RouterTradeAdapter } from "./adapter";
import { getUniversalSwapAndBridgeAddress } from "../utils";
import { buildCacheKey, makeCacheGetterAndSetter } from "../../_cache";

// Taken from here: https://docs.uniswap.org/contracts/v3/reference/deployments/
export const SWAP_ROUTER_02_ADDRESS = {
Expand Down Expand Up @@ -94,17 +95,39 @@ export function getSwapRouter02Strategy(
swapTx,
};
} else {
const { input, output } = await getUniswapClassicIndicativeQuoteFromApi(
{ ...swap, swapper: swap.recipient },
const indicativeQuotePricePerTokenOut = await indicativeQuotePriceCache(
swap,
tradeType
);
).get();
const inputAmount =
tradeType === TradeType.EXACT_INPUT
? swap.amount
: ethers.utils.parseUnits(
(
Number(
ethers.utils.formatUnits(swap.amount, swap.tokenOut.decimals)
) * indicativeQuotePricePerTokenOut
).toFixed(swap.tokenIn.decimals),
swap.tokenIn.decimals
);
const outputAmount =
tradeType === TradeType.EXACT_INPUT
? ethers.utils.parseUnits(
(
Number(
ethers.utils.formatUnits(swap.amount, swap.tokenIn.decimals)
) / indicativeQuotePricePerTokenOut
).toFixed(swap.tokenOut.decimals),
swap.tokenOut.decimals
)
: swap.amount;

const expectedAmountIn = BigNumber.from(input.amount);
const expectedAmountIn = BigNumber.from(inputAmount);
const maxAmountIn =
tradeType === TradeType.EXACT_INPUT
? expectedAmountIn
: addMarkupToAmount(expectedAmountIn, swap.slippageTolerance / 100);
const expectedAmountOut = BigNumber.from(output.amount);
const expectedAmountOut = BigNumber.from(outputAmount);
const minAmountOut =
tradeType === TradeType.EXACT_OUTPUT
? expectedAmountOut
Expand All @@ -119,9 +142,9 @@ export function getSwapRouter02Strategy(
expectedAmountIn,
slippageTolerance: swap.slippageTolerance,
swapTx: {
to: "0x",
data: "0x",
value: "0x",
to: "0x0",
data: "0x0",
value: "0x0",
},
};
}
Expand Down Expand Up @@ -176,3 +199,30 @@ export function buildSwapRouterSwapTx(
to: SWAP_ROUTER_02_ADDRESS[swap.chainId],
};
}

export function indicativeQuotePriceCache(swap: Swap, tradeType: TradeType) {
// TODO: Add price buckets based on USD value, e.g. 100, 1000, 10000
const cacheKey = buildCacheKey(
"uniswap-indicative-quote",
tradeType === TradeType.EXACT_INPUT ? "EXACT_INPUT" : "EXACT_OUTPUT",
swap.chainId,
swap.tokenIn.symbol,
swap.tokenOut.symbol
);
const ttl = 60;
const fetchFn = async () => {
const quote = await getUniswapClassicIndicativeQuoteFromApi(
{ ...swap, swapper: swap.recipient },
tradeType
);
const pricePerTokenOut =
Number(
ethers.utils.formatUnits(quote.input.amount, swap.tokenIn.decimals)
) /
Number(
ethers.utils.formatUnits(quote.output.amount, swap.tokenOut.decimals)
);
return pricePerTokenOut;
};
return makeCacheGetterAndSetter(cacheKey, ttl, fetchFn);
}
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