dex: Extend arbitrage routing

crates/core/component/dex/src/component/action_handler/swap.rs

@@ -1,3 +1,5 @@
+use std::sync::Arc;
+
 use anyhow::{ensure, Result};
 use async_trait::async_trait;
 use cnidarium::StateWrite;
@@ -7,7 +9,9 @@ use penumbra_proto::StateWriteProto;
 use penumbra_sct::component::source::SourceContext;
 
 use crate::{
-    component::{metrics, StateReadExt, StateWriteExt, SwapManager},
+    component::{
+        metrics, position_manager::PositionManager as _, StateReadExt, StateWriteExt, SwapManager,
+    },
     event,
     swap::{proof::SwapProofPublic, Swap},
 };
@@ -65,6 +69,14 @@ impl ActionHandler for Swap {
             .add_swap_payload(self.body.payload.clone(), source)
             .await;
 
+        // Mark the assets for the swap's trading pair as accessed during this block.
+        let fixed_candidates = Arc::new(dex_params.fixed_candidates.clone());
+        state.add_recently_accessed_asset(
+            swap.body.trading_pair.asset_1(),
+            fixed_candidates.clone(),
+        );
+        state.add_recently_accessed_asset(swap.body.trading_pair.asset_2(), fixed_candidates);
+
         metrics::histogram!(crate::component::metrics::DEX_SWAP_DURATION)
             .record(swap_start.elapsed());
         state.record_proto(event::swap(self));

crates/core/component/dex/src/component/dex.rs

@@ -17,7 +17,7 @@ use crate::{
 
 use super::{
     router::{HandleBatchSwaps, RoutingParams},
-    Arbitrage, PositionManager, ValueCircuitBreaker,
+    Arbitrage, PositionManager, PositionRead as _, ValueCircuitBreaker,
 };
 
 pub struct Dex {}
@@ -83,12 +83,22 @@ impl Component for Dex {
         // For arbitrage, we extend the path search by 2 hops to allow a path out of the
         // staking token and back.
 
-        // TODO: Build an extended candidate set with:
-        // - both ends of all trading pairs for which there were swaps in the block
-        // - both ends of all trading pairs for which positions were opened
+        // Extend the fixed candidate set to include recently accessed assets, to have
+        // more arbitrage execution against newly opened positions.
+        let fixed_candidates = Arc::new(
+            routing_params
+                .fixed_candidates
+                .iter()
+                .cloned()
+                // The set of recently accessed assets is already limited to avoid
+                // potentially blowing up routing time.
+                .chain(state.recently_accessed_assets().iter().cloned())
+                .collect::<Vec<_>>(),
+        );
+
         let arb_routing_params = RoutingParams {
             max_hops: routing_params.max_hops + 2,
-            fixed_candidates: routing_params.fixed_candidates.clone(),
+            fixed_candidates,
             price_limit: Some(1u64.into()),
         };
 

crates/core/component/dex/src/component/position_manager.rs

@@ -11,9 +11,12 @@ use penumbra_asset::{asset, Balance};
 use penumbra_proto::DomainType;
 use penumbra_proto::{StateReadProto, StateWriteProto};
 
-use crate::component::position_manager::{
-    base_liquidity_index::AssetByLiquidityIndex, inventory_index::PositionByInventoryIndex,
-    price_index::PositionByPriceIndex,
+use crate::component::{
+    dex::StateReadExt as _,
+    position_manager::{
+        base_liquidity_index::AssetByLiquidityIndex, inventory_index::PositionByInventoryIndex,
+        price_index::PositionByPriceIndex,
+    },
 };
 use crate::lp::Reserves;
 use crate::{
@@ -26,6 +29,7 @@ use crate::{
 use crate::{event, state_key};
 
 const DYNAMIC_ASSET_LIMIT: usize = 10;
+const RECENTLY_ACCESSED_ASSET_LIMIT: usize = 10;
 
 mod base_liquidity_index;
 mod counter;
@@ -142,6 +146,12 @@ pub trait PositionRead: StateRead {
             })
             .boxed()
     }
+
+    /// Fetch the list of assets interacted with during this block.
+    fn recently_accessed_assets(&self) -> im::OrdSet<asset::Id> {
+        self.object_get(state_key::recently_accessed_assets())
+            .unwrap_or_default()
+    }
 }
 impl<T: StateRead + ?Sized> PositionRead for T {}
 
@@ -244,13 +254,53 @@ pub trait PositionManager: StateWrite + PositionRead {
         self.vcb_credit(position.reserves_1()).await?;
         self.vcb_credit(position.reserves_2()).await?;
 
+        // Add the asset IDs from the new position's trading pair
+        // to the candidate set for this block.
+        let routing_params = self.routing_params().await?;
+        self.add_recently_accessed_asset(
+            position.phi.pair.asset_1(),
+            routing_params.fixed_candidates.clone(),
+        );
+        self.add_recently_accessed_asset(
+            position.phi.pair.asset_2(),
+            routing_params.fixed_candidates,
+        );
+
         // Finally, record the new position state.
         self.record_proto(event::position_open(&position));
         self.update_position(None, position).await?;
 
         Ok(())
     }
 
+    /// Adds an asset ID to the list of recently accessed assets,
+    /// making it a candidate for the current block's arbitrage routing.
+    ///
+    /// This ensures that assets associated with recently active positions
+    /// will be eligible for arbitrage if mispriced positions are opened.
+    #[tracing::instrument(level = "debug", skip_all)]
+    fn add_recently_accessed_asset(
+        &mut self,
+        asset_id: asset::Id,
+        fixed_candidates: Arc<Vec<asset::Id>>,
+    ) {
+        let mut assets = self.recently_accessed_assets();
+
+        // Limit the number of recently accessed assets to prevent blowing
+        // up routing time.
+        if assets.len() >= RECENTLY_ACCESSED_ASSET_LIMIT {
+            return;
+        }
+
+        // If the asset is already in the fixed candidate list, don't insert it.
+        if fixed_candidates.contains(&asset_id) {
+            return;
+        }
+
+        assets.insert(asset_id);
+        self.object_put(state_key::recently_accessed_assets(), assets);
+    }
+
     /// Record execution against an opened position.
     ///
     /// IMPORTANT: This method can mutate its input state.

crates/core/component/dex/src/component/router/tests.rs

@@ -61,6 +61,7 @@ async fn path_search_basic() {
 async fn path_extension_basic() {
     let _ = tracing_subscriber::fmt::try_init();
     let mut state = StateDelta::new(());
+    state.put_dex_params(DexParameters::default());
 
     // Write some test positions with a mispriced gn:pusd pair.
     create_test_positions_basic(&mut state, true).await;
@@ -131,6 +132,8 @@ async fn path_extension_basic() {
     // Reset the state.
     let mut state = StateDelta::new(());
 
+    state.put_dex_params(DexParameters::default());
+
     // Write some test positions without the mispriced position.
     create_test_positions_basic(&mut state, false).await;
 

crates/core/component/dex/src/state_key.rs

@@ -67,6 +67,10 @@ pub fn pending_position_closures() -> &'static str {
     "dex/pending_position_closures"
 }
 
+pub fn recently_accessed_assets() -> &'static str {
+    "dex/recently_accessed_assets"
+}
+
 pub fn pending_payloads() -> &'static str {
     "dex/pending_payloads"
 }