fix: estimated execution price #5308
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alfetopito
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| let sellAmount: string | ||
| let partiallyFillable = isPartiallyFillable | ||
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| if (order) { |
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Here we handle the case when the order exists
| // Check what's left to sell, discounting the surplus, if any | ||
| sellAmount = getRemainderAmountsWithoutSurplus(order).sellAmount | ||
| partiallyFillable = order.partiallyFillable | ||
| } else { |
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Here is the case when we have the order parameters only
| return new Price(order.inputToken, order.outputToken, '0', '0') | ||
| let feasibleExecutionPrice: Price<Currency, Currency> | undefined = undefined | ||
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| if (partiallyFillable) { |
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Here we apply the fee multiplier strategy for a fixed estimated fill price
| // Regular case, when the order is fill or kill OR the fill amount is smaller than the threshold set | ||
| if (feasibleExecutionPrice === undefined) { |
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Here's the case for fill or kills, or small partial fill amounts
| */ | ||
| feasibleExecutionPrice = new Price(inputToken, outputToken, denominator.quotient, numerator.quotient) | ||
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| console.log(`getEstimatedExecutionPrice: fill or kill`, { |
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TODO: remove logs before merging
| // // Make the fill price a bit worse to account for the fee | ||
| const newFillPrice = | ||
| extrapolatePriceBasedOnFeeAmount(feeAmount, remainingSellAmount, fillPrice, inputToken, outputToken) || fillPrice |
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And here we make the fill price slightly worse to account for the fee
| newSellAmount.subtract(feeAmount).quotient, // TODO: should we use the fee with margin here? | ||
| buyAmount.quotient, | ||
| ) | ||
| console.log(`getEstimatedExecutionPrice: partially fillable`, { |
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TODO: remove before merging
| useSafeEffect(() => { | ||
| updateLimitRateState({ feeAmount }) | ||
| }, [feeAmount, updateLimitRateState]) |
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We need to have the fee stored in the state for the estimated execution price calculation
Note: this fee is volume aware! In the future or as follow up, we could quote a fixed USD amount for partial fills.
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this fee is volume aware
I think it worth it to reflect this fact in the value name.
feeAmount -> feeAmountFromQuote or smth else
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Hey @alfetopito , thank you!
- But the app is crashed in this PR:
- I connected to this account on Ethereum 0x9FA3c00a92Ec5f96B1Ad2527ab41B3932EFEDa58
- Swap container was prefilled with selling 456 WETH per USDC
- Then I opened Limit orders page and it crashed
Also, I can catch a crash when pick a different token pair (COW/WETH as an example), and start edititng the sell amount.
- Also, is this OK that a price stays unchanged when I specify orders to sell different amounts for fill-or kill orders?
while SWAP container shows a liquidity-dependent price?
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apps/cowswap-frontend/src/modules/ordersTable/pure/OrdersTableContainer/OrderRow/index.tsx
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* fix: memoize and error handle market price calculation on ExecutionPriceUpdater * fix: error handling SpotPriceUpdater * fix: avoid division by 0 * fix: don't be stupid and create invalid fractions * fix: use console.error for errors instead of debug * fix: numerator and denominator are inverted in the price constructor * fix: skip est. exec. price display when it's 0 * fix: use est. exec. price calculated locally
| * Limit price: 182000 / 100 = 1820 USDC per 1 WETH | ||
| * | ||
| * Fee with margin: 0.002 + 5% = 0.0021 WETH | ||
| * Executes at: 182000 / (100 - 0.0021) = 1820.038 USDC per 1 WETH |
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Thanks for the example!
It makes it clear!
Summary
Overhaul estimated fill price in the form (and a bit in the table)
Overloaded
getEstimatedExecutionPriceto be used in theExecutionPriceUpdaterIt now can also take order parameters without having an existing order
partially fillableNow it'll use a fixed sell amount to make estimation stable regardless of order size
The amount is currently set to
50x1000xfeeAmountFrom there, we use the chosen limit price (already discounted for potential fees) to derive the buy amount
Lastly, the
feeAmountis deduced from the calculated sell amount, to give us the new estimated priceIf the order is fill or kill OR the amount calculated above is bigger than actual sell amount, use the old way considering the whole sell amount
One last adjustment, is to use the same method above to add the fee to the market price as well
We know we cannot execute exactly at the spot price because we need to take fees into account
So the same
50x1000x the fee strategy is applied to the spot price in case the limit price is below market.To Test
fill or killand partially fillableTODO