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.

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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 file swapExample.ts 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/swapExample.ts

Environment Variables

Optional config values can be set in the .env file:

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:

PRICE_ERROR_TOLERANCE=0.00001
INFINITESIMAL=0.000001