Return unoptimized quote in SwapQuote

packages/asset-swapper/src/index.ts

@@ -84,7 +84,7 @@ export {
 export { artifacts } from './artifacts';
 export { InsufficientAssetLiquidityError } from './errors';
 export { SwapQuoteConsumer } from './quote_consumers/swap_quote_consumer';
-export { getSwapMinBuyAmount } from './quote_consumers/utils';
+export { getSwapMinBuyAmount, getQuoteInfoMinBuyAmount } from './quote_consumers/utils';
 export { SwapQuoter } from './swap_quoter';
 export {
     AffiliateFee,

packages/asset-swapper/src/quote_consumers/utils.ts

@@ -1,8 +1,8 @@
 import { BigNumber } from '@0x/utils';
 import * as _ from 'lodash';
 
-import { MarketOperation, SwapQuote } from '../types';
-import { ERC20BridgeSource } from '../utils/market_operation_utils/types';
+import { MarketOperation, SwapQuote, SwapQuoteInfo } from '../types';
+import { ERC20BridgeSource, OptimizedMarketOrder } from '../utils/market_operation_utils/types';
 
 /**
  * Compute the minimum buy token amount for market operations by inferring
@@ -31,3 +31,34 @@ export function getSwapMinBuyAmount(quote: SwapQuote): BigNumber {
     }
     return quote.bestCaseQuoteInfo.makerAssetAmount.times(slipRatio).integerValue(BigNumber.ROUND_DOWN);
 }
+
+/**
+ * Same as `getSwapMinBuyAmount` but operates
+ * on a single quote info instead of using best and worst case
+ * Orders must be derived from the same path as the quote info
+ */
+export function getQuoteInfoMinBuyAmount(
+    quoteInfo: SwapQuoteInfo,
+    orders: OptimizedMarketOrder[],
+    marketOperation: MarketOperation,
+): BigNumber {
+    if (marketOperation === MarketOperation.Buy) {
+        return quoteInfo.makerAssetAmount;
+    }
+    let slipRatio = new BigNumber(1);
+    // Infer the allowed maker asset slippage from any non-native order.
+    for (const o of orders) {
+        if (o.fills.length === 0 || o.fills[0].source === ERC20BridgeSource.Native) {
+            // No slippage on native orders.
+            continue;
+        }
+        const totalFillMakerAssetAmount = BigNumber.sum(...o.fills.map(f => f.output));
+        slipRatio = o.fillableMakerAssetAmount.div(totalFillMakerAssetAmount);
+        break;
+    }
+    if (slipRatio.gte(1)) {
+        // No slippage allowed across all orders.
+        return quoteInfo.makerAssetAmount;
+    }
+    return quoteInfo.makerAssetAmount.times(slipRatio).integerValue(BigNumber.ROUND_DOWN);
+}

packages/asset-swapper/src/types.ts

@@ -187,6 +187,8 @@ export interface SwapQuoteBase {
     worstCaseQuoteInfo: SwapQuoteInfo;
     sourceBreakdown: SwapQuoteOrdersBreakdown;
     quoteReport?: QuoteReport;
+    unoptimizedQuoteInfo: SwapQuoteInfo;
+    unoptimizedOrders: OptimizedMarketOrder[];
     isTwoHop: boolean;
     makerTokenDecimals: number;
     takerTokenDecimals: number;

packages/asset-swapper/src/utils/market_operation_utils/index.ts

@@ -26,7 +26,7 @@ import {
     createSignedOrdersWithFillableAmounts,
     getNativeOrderTokens,
 } from './orders';
-import { findOptimalPathAsync } from './path_optimizer';
+import { fillsToSortedPaths, findOptimalPathAsync } from './path_optimizer';
 import { DexOrderSampler, getSampleAmounts } from './sampler';
 import { SourceFilters } from './source_filters';
 import {
@@ -543,6 +543,10 @@ export class MarketOperationUtils {
             exchangeProxyOverhead: opts.exchangeProxyOverhead || (() => ZERO_AMOUNT),
         };
 
+        // Find the unoptimized best rate to calculate savings from optimizer
+        const unoptimizedPath = fillsToSortedPaths(fills, side, inputAmount, optimizerOpts)[0].collapse(orderOpts);
+
+        // Find the optimal path
         const optimalPath = await findOptimalPathAsync(side, fills, inputAmount, opts.runLimit, optimizerOpts);
         const optimalPathRate = optimalPath ? optimalPath.adjustedRate() : ZERO_AMOUNT;
 
@@ -559,6 +563,7 @@ export class MarketOperationUtils {
                 sourceFlags: SOURCE_FLAGS[ERC20BridgeSource.MultiHop],
                 marketSideLiquidity,
                 adjustedRate: bestTwoHopRate,
+                unoptimizedPath,
             };
         }
 
@@ -591,6 +596,7 @@ export class MarketOperationUtils {
             sourceFlags: collapsedPath.sourceFlags,
             marketSideLiquidity,
             adjustedRate: optimalPathRate,
+            unoptimizedPath,
         };
     }
 

packages/asset-swapper/src/utils/market_operation_utils/path_optimizer.ts

@@ -21,14 +21,13 @@ export async function findOptimalPathAsync(
     runLimit: number = 2 ** 8,
     opts: PathPenaltyOpts = DEFAULT_PATH_PENALTY_OPTS,
 ): Promise<Path | undefined> {
-    const rates = rateBySourcePathId(side, fills, targetInput);
-    const paths = fills.map(singleSourceFills => Path.create(side, singleSourceFills, targetInput, opts));
     // Sort fill arrays by descending adjusted completed rate.
-    const sortedPaths = paths.sort((a, b) => b.adjustedCompleteRate().comparedTo(a.adjustedCompleteRate()));
+    const sortedPaths = fillsToSortedPaths(fills, side, targetInput, opts);
     if (sortedPaths.length === 0) {
         return undefined;
     }
     let optimalPath = sortedPaths[0];
+    const rates = rateBySourcePathId(side, fills, targetInput);
     for (const [i, path] of sortedPaths.slice(1).entries()) {
         optimalPath = mixPaths(side, optimalPath, path, targetInput, runLimit * RUN_LIMIT_DECAY_FACTOR ** i, rates);
         // Yield to event loop.
@@ -37,6 +36,18 @@ export async function findOptimalPathAsync(
     return optimalPath.isComplete() ? optimalPath : undefined;
 }
 
+// Sort fill arrays by descending adjusted completed rate.
+export function fillsToSortedPaths(
+    fills: Fill[][],
+    side: MarketOperation,
+    targetInput: BigNumber,
+    opts: PathPenaltyOpts,
+): Path[] {
+    const paths = fills.map(singleSourceFills => Path.create(side, singleSourceFills, targetInput, opts));
+    const sortedPaths = paths.sort((a, b) => b.adjustedCompleteRate().comparedTo(a.adjustedCompleteRate()));
+    return sortedPaths;
+}
+
 function mixPaths(
     side: MarketOperation,
     pathA: Path,

packages/asset-swapper/src/utils/market_operation_utils/types.ts

@@ -6,6 +6,7 @@ import { RfqtFirmQuoteValidator, RfqtRequestOpts, SignedOrderWithFillableAmounts
 import { QuoteRequestor } from '../../utils/quote_requestor';
 import { QuoteReport } from '../quote_report_generator';
 
+import { CollapsedPath } from './path';
 import { SourceFilters } from './source_filters';
 
 /**
@@ -342,6 +343,7 @@ export interface OptimizerResult {
     liquidityDelivered: CollapsedFill[] | DexSample<MultiHopFillData>;
     marketSideLiquidity: MarketSideLiquidity;
     adjustedRate: BigNumber;
+    unoptimizedPath: CollapsedPath;
 }
 
 export interface OptimizerResultWithReport extends OptimizerResult {