Smart Order Router (SOR)
Smart Order Router, or SOR, is an off-chain linear optimization of routing orders across pools for best price execution.
SOR exists in the Bronze release as a way to aggregate liquidity across all Balancer pools. Future releases of Balancer will accomplish this on-chain and allow aggregate contract fillable liquidity.
Liquidity aggregators are free to use the SOR npm package or create their own order routing across pools.
Environment Variables
Optional config values can be set in the .env file:
ALLOW_ADD_REMOVE: true/false - we add the BPT address as well as we can join/exit as part of the multihop. Defaults false.
PRICE_ERROR_TOLERANCE - how close we expect prices after swap to be in SOR suggested paths. Defaults 0.00001.
INFINITESIMAL - Infinitesimal is an amount that's used to initialize swap amounts so they are not zero or the path's limit. Defaults 0.000001.
Example:
ALLOW_ADD_REMOVE=true
PRICE_ERROR_TOLERANCE=0.00001
INFINITESIMAL=0.000001
Overview Of Use And Example
There are two types of swap available:
swapExactIn - i.e. You want to swap exactly 1 ETH as input and SOR will calculate X amount of BAL you receive in return.
or
swapExactOut - i.e. You want to receive exactly 1 BAL and SOR will calculate X amount of ETH you must input.
The SOR will return totalReturn/totalInput as well as a list swaps to achieve the total. Swaps can be through direct pools, i.e. A > POOL1 > B, or via a multihop pool, i.e. A > POOL1 > C > POOL2 > B. The swaps are returned in a format that can be directly to the Vault to execute the trade.
The example files in: ./testScripts, demonstrates full examples with comments.
To Run:
Create a .env file in root dir with your infura provider key: INFURA=your_key
Install dependencies: $ yarn install
Run example: $ ts-node ./test/testScripts/swapExactInSubgraph.ts