Simulate Trades in Solver #1960

nlordell · 2023-10-13T10:24:22Z

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

Introduce new simulation helper contract.
Execute simulations for limit orders and use the simulated gas amount for computing accurate solver fees.
TODO: 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

MartinquaXD

Neat!
Will push it over the finish line for you.

MartinquaXD · 2023-10-13T13:27:06Z

crates/solvers/src/tests/dex/partial_fill.rs

@@ -94,7 +94,30 @@ async fn tested_amounts_adjust_depending_on_response() {
    ])
    .await;

-    let engine = tests::SolverEngine::new("balancer", balancer::config(&api.address)).await;
+    let simulation_node = mock::http::setup(vec![mock::http::Expectation::Post {
+        path: mock::http::Path::Any,


I decided to not test the request value because it's pretty huge and not really readable so I think there is no way to check whether that value is correct by reading the test.
If something inside the simulation logic were to change the only way to make the test pass again would be to print the generated request and paste it as the expectation which defeats the purpose of having a hard coded expectation.
LMK in case you disagree.

example request

2023-10-13T13:20:57.122Z ERROR solvers::tests::mock::http: value req=Object {"id": Number(0), "jsonrpc": String("2.0"), "method": String("eth_call"), "params": Array [Object {"data": String("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"), "to": String("0x2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a")}, String("latest"), Object {"0x2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a2a": Object {"code": String("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"0x2c4c28ddbdac9c5e7055b4c863b72ea0149d8afe": Object {"code": String("0x6080604052348015600f57600080fd5b506004361060285760003560e01c806302cc250d14602d575b600080fd5b603e60383660046052565b50600190565b604051901515815260200160405180910390f35b600060208284031215606357600080fd5b813573ffffffffffffffffffffffffffffffffffffffff81168114608657600080fd5b939250505056fea164736f6c6343000811000a")}}]}

I would actually suggest a slightly different mock::node::setup API that is similar to the mock::http::setup with the exception that it is agnostic to the JSON RPC stuff (so changes to the Web3 library with how it chooses IDs do not affect the test).

I'm not entirely sure what this mean, but maybe mocking specifically the from/to/calldata fields would allow some form of verification without having to make sense of the full tx encoding? But I think the proposed solution is also fine.

crates/solvers/src/tests/dex/partial_fill.rs

fleupold

👏

crates/contracts/solidity/Swapper.sol

fleupold · 2023-10-16T11:43:52Z

crates/solvers/src/infra/config/dex/file.rs

@@ -71,7 +79,29 @@ pub async fn load<T: DeserializeOwned>(path: &Path) -> (super::Config, T) {

    let dex: T = unwrap_or_log(config.dex.try_into(), &path);

+    // Take advantage of the fact that deterministic deployment means that all
+    // CoW Protocol contracts have the same address.
+    let contracts = contracts::Contracts::for_chain(eth::ChainId::Mainnet);


This is quite hacky. Given that we already instantiate an rpc three lines below and the method is already async, can't we just get the chain id from the rpc?

Implementing this is trivial for the regular case but making it fit nicely with tests is not simple so I reverted it again.
Since this feature is pretty important I will merge the PR without this suggestion and keep thinking about better solutions in the mean time.

crates/solvers/src/infra/config/dex/mod.rs

crates/solvers/src/infra/dex/simulator.rs

fleupold · 2023-10-16T12:27:40Z

crates/solvers/src/tests/dex/partial_fill.rs

@@ -94,7 +94,30 @@ async fn tested_amounts_adjust_depending_on_response() {
    ])
    .await;

-    let engine = tests::SolverEngine::new("balancer", balancer::config(&api.address)).await;
+    let simulation_node = mock::http::setup(vec![mock::http::Expectation::Post {
+        path: mock::http::Path::Any,


I'm not entirely sure what this mean, but maybe mocking specifically the from/to/calldata fields would allow some form of verification without having to make sense of the full tx encoding? But I think the proposed solution is also fine.

github-actions · 2023-10-17T12:12:35Z

CLA Assistant Lite bot All contributors have signed the CLA ✍️ ✅

MartinquaXD · 2023-10-17T12:51:05Z

cc @nlordell since the CLA bot failed to tag you correctly for your contribution agreement. ☝️

nlordell · 2023-10-17T13:01:03Z

@MartinquaXD - it looks like it's because I unlinked my [email protected] email from my GH account (sorry, didn't know it would have any ramifications :/). Since I don't have email access anymore, I don't think I can do it.

I would recommend just rebasing and removing me as an author from the commit (I don't mind at all), something like:

git rebase -r main..simulate-trades-in-solvers \
    --exec 'git commit --amend --no-edit --reset-author'

nlordell · 2023-10-17T13:21:00Z

FWIW, in case there are some legal issues further down the line:

I have read the CLA Document and I hereby re-sign the CLA (I have already signed it in the past).

…dresses" This reverts commit 2d5bc10.

sunce86

LG, just a comment around using gas estimates

sunce86 · 2023-10-18T12:55:54Z

crates/solvers/src/domain/dex/mod.rs

+            // 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
+        };


Sorry I did not review the PR before merging.

Is it possible to move out gas estimation at the callsite so we can use the accurate gas estimate for success_probability calculation also?

sunce86 · 2023-10-18T12:56:41Z

crates/solvers/src/domain/solver/dex/mod.rs

+        let Some(solution) = swap
+            .into_solution(order.clone(), gas_price, sell, score, &self.simulator)
+            .await
+        else {
            tracing::debug!("no solution for swap");


Same here, would like to use simulated gas estimate for success_probability calculation.

nlordell requested a review from a team as a code owner October 13, 2023 10:24

nlordell assigned MartinquaXD Oct 13, 2023

MartinquaXD reviewed Oct 13, 2023

View reviewed changes

nlordell mentioned this pull request Oct 13, 2023

feat: Refactor Liquidity Indexing Into Separate Service #1963

Closed

fleupold approved these changes Oct 16, 2023

View reviewed changes

MartinquaXD added 10 commits October 18, 2023 11:27

Simulate Trades in Solver

6ea3bd2

Allow expecting any POST body

a0f8550

Fix first e2e test

2dbeeb4

Fix second e2e test

4acaf24

Also adjust paraswap relative surplus in example config

044cc2f

Repurpose existing test to verify gas simulation fallback logic

5b8937c

Add comment explaining 2 approvals

ca34d40

Comment for executedAmount

62e2936

Log for falling back to dex API gas estimate

a04a58a

Store contracts in struct

f4a4b88

MartinquaXD force-pushed the simulate-trades-in-solvers branch from 0faba92 to f4a4b88 Compare October 18, 2023 09:28

MartinquaXD and others added 3 commits October 18, 2023 11:28

Merge branch 'main' into simulate-trades-in-solvers

b1a2a91

Unrelated clippy lint

e46bb30

Query chain id using RPC instead of assuming deterministic addresses

2d5bc10

MartinquaXD enabled auto-merge (squash) October 18, 2023 09:54

MartinquaXD disabled auto-merge October 18, 2023 09:54

Revert "Query chain id using RPC instead of assuming deterministic ad…

c507e74

…dresses" This reverts commit 2d5bc10.

MartinquaXD enabled auto-merge (squash) October 18, 2023 11:28

MartinquaXD merged commit 7aeb32b into main Oct 18, 2023
7 checks passed

MartinquaXD deleted the simulate-trades-in-solvers branch October 18, 2023 11:29

github-actions bot locked and limited conversation to collaborators Oct 18, 2023

sunce86 reviewed Oct 18, 2023

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Simulate Trades in Solver #1960

Simulate Trades in Solver #1960

nlordell commented Oct 13, 2023 •

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Simulate Trades in Solver #1960

Simulate Trades in Solver #1960

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nlordell commented Oct 13, 2023 • edited Loading

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How to test

Related Issues

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