Simulate Trades in Solver (#1960)

# Description Supersedes #1531 #1469 introduced simulations to the single order solvers so that we can produce accurate fees when solving for partially fillable limit orders. This PR ports some of that logic to our solvers binary for the DEX aggregator solvers in the co-located world. In particular, it introduces a new `Swapper` helper contract for setting up simulations on-chain for DEX aggregator swaps. We also only do the simulation for limit orders (to avoid additional roudtrips for market orders, which don't use this gas information anyway, so the heuristic value is more than good enough). # Changes - [x] Introduce new simulation helper contract. - [x] Execute simulations for limit orders and use the simulated gas amount for computing accurate solver fees. - [x] : Mock node request/responses for executing the simulation in the `partial_fill` tests. ## How to test Adjusted some existing tests to work. ## Related Issues Fixes #1959 --------- Co-authored-by: Martin Beckmann <[email protected]> Co-authored-by: Martin Beckmann <[email protected]>
cowprotocol · Oct 18, 2023 · 7aeb32b · 7aeb32b
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diff --git a/crates/autopilot/src/on_settlement_event_updater.rs b/crates/autopilot/src/on_settlement_event_updater.rs
@@ -195,7 +195,7 @@ impl OnSettlementEventUpdater {
                             .collect(),
                     });
                 }
-                Err(err) if matches!(err, DecodingError::InvalidSelector) => {
+                Err(DecodingError::InvalidSelector) => {
                     // we indexed a transaction initiated by solver, that was not a settlement
                     // for this case we want to have the entry in observations table but with zeros
                     update.auction_data = Some(Default::default());

diff --git a/crates/contracts/artifacts/AnyoneAuthenticator.json b/crates/contracts/artifacts/AnyoneAuthenticator.json
@@ -0,0 +1 @@
+{"abi":[{"inputs":[{"internalType":"address","name":"","type":"address"}],"name":"isSolver","outputs":[{"internalType":"bool","name":"","type":"bool"}],"stateMutability":"pure","type":"function"}],"bytecode":"0x608060405234801561001057600080fd5b50609a8061001f6000396000f3fe6080604052348015600f57600080fd5b506004361060285760003560e01c806302cc250d14602d575b600080fd5b603e60383660046052565b50600190565b604051901515815260200160405180910390f35b600060208284031215606357600080fd5b813573ffffffffffffffffffffffffffffffffffffffff81168114608657600080fd5b939250505056fea164736f6c6343000811000a","deployedBytecode":"0x6080604052348015600f57600080fd5b506004361060285760003560e01c806302cc250d14602d575b600080fd5b603e60383660046052565b50600190565b604051901515815260200160405180910390f35b600060208284031215606357600080fd5b813573ffffffffffffffffffffffffffffffffffffffff81168114608657600080fd5b939250505056fea164736f6c6343000811000a","devdoc":{"methods":{}},"userdoc":{"methods":{}}}
diff --git a/crates/contracts/artifacts/Swapper.json b/crates/contracts/artifacts/Swapper.json
diff --git a/crates/contracts/build.rs b/crates/contracts/build.rs
@@ -529,6 +529,10 @@ fn main() {
     generate_contract("Signatures");
     generate_contract("SimulateCode");
 
+    // Support contract used for solver fee simulations.
+    generate_contract("AnyoneAuthenticator");
+    generate_contract("Swapper");
+
     // Support contract used for global block stream.
     generate_contract("FetchBlock");
 

diff --git a/crates/contracts/solidity/AnyoneAuthenticator.sol b/crates/contracts/solidity/AnyoneAuthenticator.sol
@@ -0,0 +1,8 @@
+// SPDX-License-Identifier: MIT
+pragma solidity ^0.8.17;
+
+contract AnyoneAuthenticator {
+    function isSolver(address) external pure returns (bool) {
+        return true;
+    }
+}
diff --git a/crates/contracts/solidity/Makefile b/crates/contracts/solidity/Makefile
@@ -8,12 +8,14 @@ TARGETDIR   := ../../../target/solidity
 ARTIFACTDIR := ../artifacts
 
 CONTRACTS := \
+	AnyoneAuthenticator.sol \
 	Balances.sol \
 	FetchBlock.sol \
 	Multicall.sol \
 	Signatures.sol \
 	SimulateCode.sol \
 	Solver.sol \
+	Swapper.sol \
 	Trader.sol
 ARTIFACTS := $(patsubst %.sol,$(ARTIFACTDIR)/%.json,$(CONTRACTS))
 

diff --git a/crates/contracts/solidity/Swapper.sol b/crates/contracts/solidity/Swapper.sol
@@ -0,0 +1,117 @@
+// SPDX-License-Identifier: MIT
+pragma solidity ^0.8.17;
+
+import { IERC20 } from "./interfaces/IERC20.sol";
+import { ISettlement, Interaction, Trade } from "./interfaces/ISettlement.sol";
+import { Caller } from "./libraries/Caller.sol";
+import { SafeERC20 } from "./libraries/SafeERC20.sol";
+
+struct Asset {
+    address token;
+    uint256 amount;
+}
+
+struct Allowance {
+    address spender;
+    uint256 amount;
+}
+
+/// @title A contract for verifying DEX aggregator swaps for solving.
+contract Swapper {
+    using Caller for *;
+    using SafeERC20 for *;
+
+    /// @dev Simulates the execution of a single DEX swap over the CoW Protocol
+    /// settlement contract. This is used for accurately simulating gas costs
+    /// for orders with solver-computed fees.
+    ///
+    /// @param settlement - the CoW Protocol settlement contract.
+    /// @param sell - the asset being sold in the swap.
+    /// @param buy - the asset being bought in the swap.
+    /// @param allowance - the required ERC-20 allowance for the swap; the
+    /// approval will be me made on behalf of the settlement contract.
+    /// @param call - the call for executing the swap.
+    ///
+    /// @return gasUsed - the cumulative gas used for executing the simulated
+    /// settlement.
+    function swap(
+        ISettlement settlement,
+        Asset calldata sell,
+        Asset calldata buy,
+        Allowance calldata allowance,
+        Interaction calldata call
+    ) external returns (
+        uint256 gasUsed
+    ) {
+        if (IERC20(sell.token).balanceOf(address(this)) < sell.amount) {
+            // The swapper does not have sufficient balance. This can happen
+            // when hooks set up required balance for a trade. This is currently
+            // not supported by this simulation, so return "0" to indicate that
+            // no simulation was possible and that heuristic gas estimates
+            // should be used instead.
+            return 0;
+        }
+
+        // We first reset the allowance to 0 because some ERC20 tokens (e.g. USDT)
+        // require that due to this attack:
+        // https://github.com/ethereum/EIPs/issues/20#issuecomment-263524729
+        // Before approving the amount we actually need.
+        IERC20(sell.token).safeApprove(address(settlement.vaultRelayer()), 0);
+        IERC20(sell.token).safeApprove(address(settlement.vaultRelayer()), sell.amount);
+
+        address[] memory tokens = new address[](2);
+        tokens[0] = sell.token;
+        tokens[1] = buy.token;
+
+        uint256[] memory clearingPrices = new uint256[](2);
+        clearingPrices[0] = buy.amount;
+        clearingPrices[1] = sell.amount;
+
+        Trade[] memory trades = new Trade[](1);
+        trades[0] = Trade({
+            sellTokenIndex: 0,
+            buyTokenIndex: 1,
+            receiver: address(0),
+            sellAmount: sell.amount,
+            buyAmount: buy.amount,
+            validTo: type(uint32).max,
+            appData: bytes32(0),
+            feeAmount: 0,
+            flags: 0x40, // EIP-1271
+            // Actual amount is irrelevant because we configure a fill-or-kill
+            // order for which the settlement contract determines the
+            // `executedAmount` automatically.
+            executedAmount: 0,
+            signature: abi.encodePacked(address(this))
+        });
+
+        Interaction[][3] memory interactions;
+        if (
+            IERC20(sell.token).allowance(address(settlement), allowance.spender)
+                < allowance.amount
+        ) {
+            interactions[0] = new Interaction[](1);
+            interactions[0][0].target = sell.token;
+            interactions[0][0].callData = abi.encodeCall(
+                IERC20(sell.token).approve,
+                (allowance.spender, allowance.amount)
+            );
+        }
+        interactions[1] = new Interaction[](1);
+        interactions[1][0] = call;
+
+        gasUsed = address(settlement).doMeteredCallNoReturn(
+            abi.encodeCall(
+                settlement.settle,
+                (tokens, clearingPrices, trades, interactions)
+            )
+        );
+    }
+
+    /// @dev Validate all signature requests. This makes "signing" CoW protocol
+    /// orders trivial.
+    function isValidSignature(bytes32, bytes calldata) external pure returns (bytes4) {
+        return 0x1626ba7e;
+    }
+}
+
diff --git a/crates/contracts/src/lib.rs b/crates/contracts/src/lib.rs
@@ -70,12 +70,14 @@ include_contracts! {
 
 pub mod support {
     include_contracts! {
+        AnyoneAuthenticator;
         Balances;
         FetchBlock;
         Multicall;
         Signatures;
         SimulateCode;
         Solver;
+        Swapper;
         Trader;
     }
 }

diff --git a/crates/solvers/config/example.balancer.toml b/crates/solvers/config/example.balancer.toml
@@ -1,5 +1,6 @@
+node-url = "http://localhost:8545"
 absolute-slippage = "40000000000000000" # Denominated in wei, optional
-relative-slippage = "0.1" # Percentage in the [0, 1] range
+relative-slippage = "0.001" # Percentage in the [0, 1] range
 risk-parameters = [0,0,0,0]
 
 [dex]

diff --git a/crates/solvers/config/example.oneinch.toml b/crates/solvers/config/example.oneinch.toml
@@ -1,5 +1,7 @@
+node-url = "http://localhost:8545"
 absolute-slippage = "40000000000000000" # Denominated in wei, optional
-relative-slippage = "0.1" # Percentage in the [0, 1] range
+relative-slippage = "0.001" # Percentage in the [0, 1] range
 risk-parameters = [0,0,0,0]
+
 [dex]
 chain-id = "1"
diff --git a/crates/solvers/config/example.paraswap.toml b/crates/solvers/config/example.paraswap.toml
@@ -1,6 +1,8 @@
+node-url = "http://localhost:8545"
 absolute-slippage = "40000000000000000" # Denominated in wei, optional
-relative-slippage = "0.1" # Percentage in the [0, 1] range
+relative-slippage = "0.001" # Percentage in the [0, 1] range
 risk-parameters = [0,0,0,0]
+
 [dex]
 exclude-dexs = [] # which dexs to ignore as liquidity sources
 address = "0xdd2e786980CD58ACc5F64807b354c981f4094936" # public address of the solver

diff --git a/crates/solvers/config/example.zeroex.toml b/crates/solvers/config/example.zeroex.toml
@@ -1,5 +1,6 @@
+node-url = "http://localhost:8545"
 absolute-slippage = "40000000000000000" # Denominated in wei, optional
-relative-slippage = "0.1" # Percentage in the [0, 1] range
+relative-slippage = "0.001" # Percentage in the [0, 1] range
 risk-parameters = [0,0,0,0]
 
 [dex]

diff --git a/crates/solvers/src/domain/dex/mod.rs b/crates/solvers/src/domain/dex/mod.rs
@@ -5,6 +5,7 @@
 use {
     crate::{
         domain::{auction, eth, order, solution},
+        infra,
         util,
     },
     ethereum_types::U256,
@@ -101,13 +102,28 @@ impl Swap {
 
     /// Constructs a single order `solution::Solution` for this swap. Returns
     /// `None` if the swap is not valid for the specified order.
-    pub fn into_solution(
+    pub async fn into_solution(
         self,
         order: order::Order,
         gas_price: auction::GasPrice,
         sell_token: Option<auction::Price>,
         score: solution::Score,
+        simulator: &infra::dex::Simulator,
     ) -> Option<solution::Solution> {
+        let gas = if order.class == order::Class::Limit {
+            match simulator.gas(order.owner(), &self).await {
+                Ok(value) => value,
+                Err(err) => {
+                    tracing::warn!(?err, "gas simulation failed");
+                    return None;
+                }
+            }
+        } else {
+            // We are fine with just using heuristic gas for market orders,
+            // since it doesn't really play a role in the final solution.
+            self.gas
+        };
+
         let allowance = self.allowance();
         let interactions = vec![solution::Interaction::Custom(solution::CustomInteraction {
             target: self.call.to.0,
@@ -124,7 +140,7 @@ impl Swap {
             input: self.input,
             output: self.output,
             interactions,
-            gas: self.gas,
+            gas,
         }
         .into_solution(gas_price, sell_token, score)
     }

diff --git a/crates/solvers/src/domain/order.rs b/crates/solvers/src/domain/order.rs
@@ -19,6 +19,13 @@ pub struct Order {
 }
 
 impl Order {
+    /// Returns the order's owner address.
+    pub fn owner(&self) -> Address {
+        let mut bytes = [0_u8; 20];
+        bytes.copy_from_slice(&self.uid.0[32..52]);
+        bytes.into()
+    }
+
     /// Returns the order's fee amount as an asset.
     pub fn fee(&self) -> eth::Asset {
         eth::Asset {

diff --git a/crates/solvers/src/domain/solver/dex/mod.rs b/crates/solvers/src/domain/solver/dex/mod.rs
@@ -18,6 +18,9 @@ pub struct Dex {
     /// The DEX API client.
     dex: infra::dex::Dex,
 
+    /// A DEX swap gas simulator for computing limit order fees.
+    simulator: infra::dex::Simulator,
+
     /// The slippage configuration to use for the solver.
     slippage: slippage::Limits,
 
@@ -36,6 +39,11 @@ impl Dex {
     pub fn new(dex: infra::dex::Dex, config: infra::config::dex::Config) -> Self {
         Self {
             dex,
+            simulator: infra::dex::Simulator::new(
+                &config.node_url,
+                config.contracts.settlement,
+                config.contracts.authenticator,
+            ),
             slippage: config.slippage,
             concurrent_requests: config.concurrent_requests,
             fills: Fills::new(config.smallest_partial_fill),
@@ -115,7 +123,10 @@ impl Dex {
         let sell = tokens.reference_price(&order.sell.token);
         let score =
             solution::Score::RiskAdjusted(self.risk.success_probability(swap.gas, gas_price, 1));
-        let Some(solution) = swap.into_solution(order.clone(), gas_price, sell, score) else {
+        let Some(solution) = swap
+            .into_solution(order.clone(), gas_price, sell, score, &self.simulator)
+            .await
+        else {
             tracing::debug!("no solution for swap");
             return None;
         };

diff --git a/crates/solvers/src/infra/blockchain.rs b/crates/solvers/src/infra/blockchain.rs
@@ -0,0 +1,13 @@
+use std::time::Duration;
+
+/// Creates a node RPC instance.
+pub fn rpc(url: &reqwest::Url) -> ethrpc::Web3 {
+    ethrpc::web3(
+        Default::default(),
+        reqwest::ClientBuilder::new()
+            .timeout(Duration::from_secs(10))
+            .user_agent("cowprotocol-solver-engine/1.0.0"),
+        url,
+        "base",
+    )
+}
diff --git a/crates/solvers/src/infra/config/dex/balancer/file.rs b/crates/solvers/src/infra/config/dex/balancer/file.rs
@@ -20,10 +20,6 @@ struct Config {
     /// Optional Balancer V2 Vault contract address. If not specified, the
     /// default Vault contract address will be used.
     vault: Option<H160>,
-
-    /// Optional CoW Protocol Settlement contract address. If not specified,
-    /// the default Settlement contract address will be used.
-    settlement: Option<H160>,
 }
 
 /// Load the driver configuration from a TOML file.
@@ -44,10 +40,7 @@ pub async fn load(path: &Path) -> super::Config {
                 .vault
                 .map(eth::ContractAddress)
                 .unwrap_or(contracts.balancer_vault),
-            settlement: config
-                .settlement
-                .map(eth::ContractAddress)
-                .unwrap_or(contracts.settlement),
+            settlement: base.contracts.settlement,
         },
         base,
     }
Original file line number	Diff line number	Diff line change
		@@ -0,0 +1 @@
		{"abi":[{"inputs":[{"internalType":"address","name":"","type":"address"}],"name":"isSolver","outputs":[{"internalType":"bool","name":"","type":"bool"}],"stateMutability":"pure","type":"function"}],"bytecode":"0x608060405234801561001057600080fd5b50609a8061001f6000396000f3fe6080604052348015600f57600080fd5b506004361060285760003560e01c806302cc250d14602d575b600080fd5b603e60383660046052565b50600190565b604051901515815260200160405180910390f35b600060208284031215606357600080fd5b813573ffffffffffffffffffffffffffffffffffffffff81168114608657600080fd5b939250505056fea164736f6c6343000811000a","deployedBytecode":"0x6080604052348015600f57600080fd5b506004361060285760003560e01c806302cc250d14602d575b600080fd5b603e60383660046052565b50600190565b604051901515815260200160405180910390f35b600060208284031215606357600080fd5b813573ffffffffffffffffffffffffffffffffffffffff81168114608657600080fd5b939250505056fea164736f6c6343000811000a","devdoc":{"methods":{}},"userdoc":{"methods":{}}}