Switch min swap quantity to execution price bounds (#11)

package.json

@@ -7,7 +7,7 @@
   "dependencies": {
     "react-async-hook": "^3.6.2",
     "@project-serum/serum": "^0.13.34",
-    "@project-serum/swap": "^0.1.0-alpha.9",
+    "@project-serum/swap": "^0.1.0-alpha.11",
     "@solana/spl-token": "^0.1.4"
   },
   "peerDependencies": {

src/swap/components/Info.tsx

@@ -11,7 +11,7 @@ import { PublicKey } from "@solana/web3.js";
 import { useTokenMap } from "../context/TokenList";
 import { useSwapContext, useSwapFair } from "../context/Swap";
 import { useMint } from "../context/Token";
-import { useRoute, useMarketName, useFair } from "../context/Dex";
+import { useRoute, useMarketName, useBbo } from "../context/Dex";
 
 const useStyles = makeStyles((theme) => ({
   infoLabel: {
@@ -163,7 +163,7 @@ function InfoDetails() {
 
 function MarketRoute({ market }: { market: PublicKey }) {
   const marketName = useMarketName(market);
-  const fair = useFair(market);
+  const bbo = useBbo(market);
   return (
     <div
       style={{
@@ -179,7 +179,9 @@ function MarketRoute({ market }: { market: PublicKey }) {
       >
         {marketName}
       </Link>
-      <code style={{ marginLeft: "10px" }}>{fair ? fair.toFixed(6) : "-"}</code>
+      <code style={{ marginLeft: "10px" }}>
+        {bbo && bbo.mid ? bbo.mid.toFixed(6) : "-"}
+      </code>
     </div>
   );
 }

src/swap/components/Settings.tsx

@@ -73,6 +73,11 @@ function SettingsDetails() {
   const [showSettingsDialog, setShowSettingsDialog] = useState(false);
   const fair = useSwapFair();
   const { swapClient } = useDexContext();
+
+  const setSlippageHandler = (value?: number) => {
+    setSlippage(!value || value < 0 ? 0 : value);
+  };
+
   return (
     <div style={{ padding: "15px", width: "305px" }}>
       <Typography color="textSecondary" style={{ fontWeight: "bold" }}>
@@ -85,7 +90,7 @@ function SettingsDetails() {
             type="number"
             placeholder="Error tolerance percentage"
             value={slippage}
-            onChange={(e) => setSlippage(parseFloat(e.target.value))}
+            onChange={(e) => setSlippageHandler(parseFloat(e.target.value))}
             style={{
               display: "flex",
               justifyContent: "center",

src/swap/components/Swap.tsx

@@ -10,12 +10,13 @@ import {
   TextField,
 } from "@material-ui/core";
 import { ExpandMore } from "@material-ui/icons";
-import { useSwapContext } from "../context/Swap";
+import { useSwapContext, useSwapFair } from "../context/Swap";
 import {
   useDexContext,
   useOpenOrders,
   useRouteVerbose,
   useMarket,
+  BASE_TAKER_FEE_BPS,
 } from "../context/Dex";
 import { useTokenMap } from "../context/TokenList";
 import { useMint, useOwnedTokenAccount } from "../context/Token";
@@ -229,14 +230,8 @@ function TokenName({ mint }: { mint: PublicKey }) {
 
 function SwapButton() {
   const styles = useStyles();
-  const {
+  const { fromMint, toMint, fromAmount, slippage, isClosingNewAccounts } =
-    fromMint,
+    useSwapContext();
-    toMint,
-    fromAmount,
-    toAmount,
-    slippage,
-    isClosingNewAccounts,
-  } = useSwapContext();
   const { swapClient } = useDexContext();
   const fromMintInfo = useMint(fromMint);
   const toMintInfo = useMint(toMint);
@@ -250,19 +245,26 @@ function SwapButton() {
   );
   const canSwap = useCanSwap();
   const referral = useReferral(fromMarket);
+  const fair = useSwapFair();
 
   // Click handler.
   const sendSwapTransaction = async () => {
     if (!fromMintInfo || !toMintInfo) {
       throw new Error("Unable to calculate mint decimals");
     }
+    if (!fair) {
+      throw new Error("Invalid fair");
+    }
     const amount = new BN(fromAmount).mul(
       new BN(10).pow(new BN(fromMintInfo.decimals))
     );
-    const minExpectedSwapAmount = new BN(toAmount)
+    const minExchangeRate = {
-      .mul(new BN(10).pow(new BN(toMintInfo.decimals)))
+      rate: new BN(10 ** toMintInfo.decimals * (1 - BASE_TAKER_FEE_BPS))
-      .muln(100 - slippage)
+        .divn(fair)
-      .divn(100);
+        .muln(100 - slippage)
+        .divn(100),
+      decimals: fromMintInfo.decimals,
+    };
     const fromOpenOrders = fromMarket
       ? openOrders.get(fromMarket?.address.toString())
       : undefined;
@@ -273,7 +275,7 @@ function SwapButton() {
       fromMint,
       toMint,
       amount,
-      minExpectedSwapAmount,
+      minExchangeRate,
       referral,
       // Pass in the below parameters so that the client doesn't perform
       // wasteful network requests when we already have the data.

src/swap/context/Dex.tsx

@@ -22,6 +22,8 @@ import {
 import { useTokenMap, useTokenListContext } from "./TokenList";
 import { fetchSolletInfo, requestWormholeSwapMarketIfNeeded } from "./Sollet";
 
+export const BASE_TAKER_FEE_BPS = 0.0022;
+
 type DexContext = {
   // Maps market address to open orders accounts.
   openOrders: Map<string, Array<OpenOrders>>;
@@ -293,7 +295,7 @@ export function useMarketName(market: PublicKey): string | null {
 }
 
 // Fair price for a given market, as defined by the mid.
-export function useFair(market?: PublicKey): number | undefined {
+export function useBbo(market?: PublicKey): Bbo | undefined {
   const orderbook = useOrderbook(market);
   if (orderbook === undefined) {
     return undefined;
@@ -301,13 +303,13 @@ export function useFair(market?: PublicKey): number | undefined {
   const bestBid = orderbook.bids.items(true).next().value;
   const bestOffer = orderbook.asks.items(false).next().value;
   if (!bestBid) {
-    return bestOffer.price;
+    return { bestOffer: bestOffer.price };
   }
   if (!bestOffer) {
-    return bestBid.price;
+    return { bestBid: bestBid.price };
   }
   const mid = (bestBid.price + bestOffer.price) / 2.0;
-  return mid;
+  return { bestBid: bestBid.price, bestOffer: bestOffer.price, mid };
 }
 
 // Fair price for a theoretical toMint/fromMint market. I.e., the number
@@ -318,28 +320,33 @@ export function useFairRoute(
   toMint: PublicKey
 ): number | undefined {
   const route = useRoute(fromMint, toMint);
-  const fromFair = useFair(route ? route[0] : undefined);
+  const fromBbo = useBbo(route ? route[0] : undefined);
   const fromMarket = useMarket(route ? route[0] : undefined);
-  const toFair = useFair(route ? route[1] : undefined);
+  const toBbo = useBbo(route ? route[1] : undefined);
 
   if (route === null) {
     return undefined;
   }
 
-  if (route.length === 1 && fromFair !== undefined) {
+  if (route.length === 1 && fromBbo !== undefined) {
     if (fromMarket === undefined) {
       return undefined;
     }
     if (fromMarket?.baseMintAddress.equals(fromMint)) {
-      return 1.0 / fromFair;
+      return fromBbo.bestBid && 1.0 / fromBbo.bestBid;
     } else {
-      return fromFair;
+      return fromBbo.bestOffer && fromBbo.bestOffer;
     }
   }
-  if (fromFair === undefined || toFair === undefined) {
+  if (
+    fromBbo === undefined ||
+    fromBbo.bestBid === undefined ||
+    toBbo === undefined ||
+    toBbo.bestOffer === undefined
+  ) {
     return undefined;
   }
-  return toFair / fromFair;
+  return toBbo.bestOffer / fromBbo.bestBid;
 }
 
 export function useRoute(
@@ -525,3 +532,9 @@ async function deriveWormholeMarket(
     padToTwo(version);
   return await PublicKey.createWithSeed(WORM_MARKET_BASE, seed, DEX_PID);
 }
+
+type Bbo = {
+  bestBid?: number;
+  bestOffer?: number;
+  mid?: number;
+};

yarn.lock

@@ -1588,10 +1588,10 @@
     bs58 "^4.0.1"
     eventemitter3 "^4.0.4"
 
-"@project-serum/swap@^0.1.0-alpha.9":
+"@project-serum/swap@^0.1.0-alpha.11":
-  version "0.1.0-alpha.9"
+  version "0.1.0-alpha.11"
-  resolved "https://registry.yarnpkg.com/@project-serum/swap/-/swap-0.1.0-alpha.9.tgz#bd3b7a48426a9dbeaea457375b9ffe9b6d0272ee"
+  resolved "https://registry.yarnpkg.com/@project-serum/swap/-/swap-0.1.0-alpha.11.tgz#65c6393bdc511208453c853095eba32e0748191b"
-  integrity sha512-jrKpot+WPNBPTNcDoPD09XLFkr68wDVtob3vVx1eEcgN2xHtfjg0EKh42BM2BYasPsi7VSmS4yGwXui8j84jBw==
+  integrity sha512-cxjxweWrZWcxfazkxSjDXqLquKlCCOoJ7z+cfAky/l29gRet+rLbGjyd+TAcZRDrIfh+kut9svPlL/bXK9vIOw==
   dependencies:
     "@project-serum/anchor" "^0.5.1-beta.2"
     "@project-serum/serum" "^0.13.34"