Merge branch 'development' of https://github.com/0xProject/0x-monorepo into development

7 files changed, 122 insertions, 28 deletions

diff --git a/packages/asset-buyer/src/asset_buyer.ts b/packages/asset-buyer/src/asset_buyer.ts
index 934410c55..b22b1a122 100644
--- a/packages/asset-buyer/src/asset_buyer.ts
+++ b/packages/asset-buyer/src/asset_buyer.ts
@@ -16,14 +16,16 @@ import {
     BuyQuote,
     BuyQuoteExecutionOpts,
     BuyQuoteRequestOpts,
+    LiquidityForAssetData,
+    LiquidityRequestOpts,
     OrderProvider,
-    OrderProviderResponse,
     OrdersAndFillableAmounts,
 } from './types';
 
 import { assert } from './utils/assert';
 import { assetDataUtils } from './utils/asset_data_utils';
 import { buyQuoteCalculator } from './utils/buy_quote_calculator';
+import { calculateLiquidity } from './utils/calculate_liquidity';
 import { orderProviderResponseProcessor } from './utils/order_provider_response_processor';
 
 interface OrdersEntry {
@@ -138,10 +140,10 @@ export class AssetBuyer {
         // get the relevant orders for the makerAsset and fees
         // if the requested assetData is ZRX, don't get the fee info
         const [ordersAndFillableAmounts, feeOrdersAndFillableAmounts] = await Promise.all([
-            this._getOrdersAndFillableAmountsAsync(assetData, shouldForceOrderRefresh),
+            this.getOrdersAndFillableAmountsAsync(assetData, shouldForceOrderRefresh),
             isMakerAssetZrxToken
                 ? Promise.resolve(constants.EMPTY_ORDERS_AND_FILLABLE_AMOUNTS)
-                : this._getOrdersAndFillableAmountsAsync(zrxTokenAssetData, shouldForceOrderRefresh),
+                : this.getOrdersAndFillableAmountsAsync(zrxTokenAssetData, shouldForceOrderRefresh),
             shouldForceOrderRefresh,
         ]);
         if (ordersAndFillableAmounts.orders.length === 0) {
@@ -178,6 +180,41 @@ export class AssetBuyer {
         return buyQuote;
     }
     /**
+     * Returns information about available liquidity for an asset
+     * Does not factor in slippage or fees
+     * @param   assetData           The assetData of the desired asset to buy (for more info: https://github.com/0xProject/0x-protocol-specification/blob/master/v2/v2-specification.md).
+     * @param   options             Options for the request. See type definition for more information.
+     *
+     * @return  An object that conforms to LiquidityForAssetData that satisfies the request. See type definition for more information.
+     */
+    public async getLiquidityForAssetDataAsync(
+        assetData: string,
+        options: Partial<LiquidityRequestOpts> = {},
+    ): Promise<LiquidityForAssetData> {
+        const shouldForceOrderRefresh =
+            options.shouldForceOrderRefresh !== undefined ? options.shouldForceOrderRefresh : false;
+        assert.isString('assetData', assetData);
+        assetDataUtils.decodeAssetDataOrThrow(assetData);
+        assert.isBoolean('options.shouldForceOrderRefresh', shouldForceOrderRefresh);
+
+        const assetPairs = await this.orderProvider.getAvailableMakerAssetDatasAsync(assetData);
+        const etherTokenAssetData = this._getEtherTokenAssetDataOrThrow();
+        if (!assetPairs.includes(etherTokenAssetData)) {
+            return {
+                tokensAvailableInBaseUnits: new BigNumber(0),
+                ethValueAvailableInWei: new BigNumber(0),
+            };
+        }
+
+        const ordersAndFillableAmounts = await this.getOrdersAndFillableAmountsAsync(
+            assetData,
+            shouldForceOrderRefresh,
+        );
+
+        return calculateLiquidity(ordersAndFillableAmounts);
+    }
+
+    /**
      * Given a BuyQuote and desired rate, attempt to execute the buy.
      * @param   buyQuote        An object that conforms to BuyQuote. See type definition for more information.
      * @param   options         Options for the execution of the BuyQuote. See type definition for more information.
@@ -260,8 +297,10 @@ export class AssetBuyer {
     }
     /**
      * Grab orders from the map, if there is a miss or it is time to refresh, fetch and process the orders
+     * @param assetData                The assetData of the desired asset to buy (for more info: https://github.com/0xProject/0x-protocol-specification/blob/master/v2/v2-specification.md).
+     * @param shouldForceOrderRefresh  If set to true, new orders and state will be fetched instead of waiting for the next orderRefreshIntervalMs.
      */
-    private async _getOrdersAndFillableAmountsAsync(
+    public async getOrdersAndFillableAmountsAsync(
         assetData: string,
         shouldForceOrderRefresh: boolean,
     ): Promise<OrdersAndFillableAmounts> {
diff --git a/packages/asset-buyer/src/index.ts b/packages/asset-buyer/src/index.ts
index a42d7e272..f69cfad69 100644
--- a/packages/asset-buyer/src/index.ts
+++ b/packages/asset-buyer/src/index.ts
@@ -19,6 +19,9 @@ export {
     BuyQuoteExecutionOpts,
     BuyQuoteInfo,
     BuyQuoteRequestOpts,
+    LiquidityForAssetData,
+    LiquidityRequestOpts,
+    OrdersAndFillableAmounts,
     OrderProvider,
     OrderProviderRequest,
     OrderProviderResponse,
diff --git a/packages/asset-buyer/src/types.ts b/packages/asset-buyer/src/types.ts
index d5d6be695..46a2338ce 100644
--- a/packages/asset-buyer/src/types.ts
+++ b/packages/asset-buyer/src/types.ts
@@ -75,6 +75,13 @@ export interface BuyQuoteRequestOpts {
     slippagePercentage: number;
 }
 
+/*
+ * Options for checking liquidity
+ *
+ * shouldForceOrderRefresh: If set to true, new orders and state will be fetched instead of waiting for the next orderRefreshIntervalMs. Defaults to false.
+ */
+export type LiquidityRequestOpts = Pick<BuyQuoteRequestOpts, 'shouldForceOrderRefresh'>;
+
 /**
  * ethAmount: The desired amount of eth to spend. Defaults to buyQuote.worstCaseQuoteInfo.totalEthAmount.
  * takerAddress: The address to perform the buy. Defaults to the first available address from the provider.
@@ -117,7 +124,19 @@ export enum AssetBuyerError {
     TransactionValueTooLow = 'TRANSACTION_VALUE_TOO_LOW',
 }
 
+/**
+ * orders: An array of signed orders
+ * remainingFillableMakerAssetAmounts: A list of fillable amounts for the signed orders. The index of an item in the array associates the amount with the corresponding order.
+ */
 export interface OrdersAndFillableAmounts {
     orders: SignedOrder[];
     remainingFillableMakerAssetAmounts: BigNumber[];
 }
+
+/**
+ * Represents available liquidity for a given assetData
+ */
+export interface LiquidityForAssetData {
+    tokensAvailableInBaseUnits: BigNumber;
+    ethValueAvailableInWei: BigNumber;
+}
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
index fcded6ab1..125841094 100644
--- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -22,7 +22,7 @@ export const buyQuoteCalculator = {
         const remainingFillableMakerAssetAmounts = ordersAndFillableAmounts.remainingFillableMakerAssetAmounts;
         const feeOrders = feeOrdersAndFillableAmounts.orders;
         const remainingFillableFeeAmounts = feeOrdersAndFillableAmounts.remainingFillableMakerAssetAmounts;
-        const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
+        const slippageBufferAmount = assetBuyAmount.multipliedBy(slippagePercentage).integerValue();
         // find the orders that cover the desired assetBuyAmount (with slippage)
         const {
             resultOrders,
@@ -43,7 +43,9 @@ export const buyQuoteCalculator = {
             const multiplierNeededWithSlippage = new BigNumber(1).plus(slippagePercentage);
             // Given amountAvailableToFillConsideringSlippage * multiplierNeededWithSlippage = amountAbleToFill
             // We divide amountUnableToFill by multiplierNeededWithSlippage to determine amountAvailableToFillConsideringSlippage
-            const amountAvailableToFillConsideringSlippage = amountAbleToFill.div(multiplierNeededWithSlippage).floor();
+            const amountAvailableToFillConsideringSlippage = amountAbleToFill
+                .div(multiplierNeededWithSlippage)
+                .integerValue(BigNumber.ROUND_FLOOR);
 
             throw new InsufficientAssetLiquidityError(amountAvailableToFillConsideringSlippage);
         }
@@ -131,7 +133,7 @@ function calculateQuoteInfo(
         zrxEthAmount = findEthAmountNeededToBuyZrx(feeOrdersAndFillableAmounts, zrxAmountToBuyAsset);
     }
     // eth amount needed to buy the affiliate fee
-    const affiliateFeeEthAmount = assetEthAmount.mul(feePercentage).ceil();
+    const affiliateFeeEthAmount = assetEthAmount.multipliedBy(feePercentage).integerValue(BigNumber.ROUND_CEIL);
     // eth amount needed for fees is the sum of affiliate fee and zrx fee
     const feeEthAmount = affiliateFeeEthAmount.plus(zrxEthAmount);
     // eth amount needed in total is the sum of the amount needed for the asset and the amount needed for fees
@@ -168,9 +170,9 @@ function findEthAmountNeededToBuyZrx(
                 order,
                 makerFillAmount,
             );
-            const extraFeeAmount = remainingFillableMakerAssetAmount.greaterThanOrEqualTo(adjustedMakerFillAmount)
+            const extraFeeAmount = remainingFillableMakerAssetAmount.isGreaterThanOrEqualTo(adjustedMakerFillAmount)
                 ? constants.ZERO_AMOUNT
-                : adjustedMakerFillAmount.sub(makerFillAmount);
+                : adjustedMakerFillAmount.minus(makerFillAmount);
             return {
                 totalEthAmount: totalEthAmount.plus(takerFillAmount),
                 remainingZrxBuyAmount: BigNumber.max(
diff --git a/packages/asset-buyer/src/utils/calculate_liquidity.ts b/packages/asset-buyer/src/utils/calculate_liquidity.ts
new file mode 100644
index 000000000..a8d165b4b
--- /dev/null
+++ b/packages/asset-buyer/src/utils/calculate_liquidity.ts
@@ -0,0 +1,34 @@
+import { BigNumber } from '@0x/utils';
+
+import { LiquidityForAssetData, OrdersAndFillableAmounts } from '../types';
+
+import { orderUtils } from './order_utils';
+
+export const calculateLiquidity = (ordersAndFillableAmounts: OrdersAndFillableAmounts): LiquidityForAssetData => {
+    const { orders, remainingFillableMakerAssetAmounts } = ordersAndFillableAmounts;
+    const liquidityInBigNumbers = orders.reduce(
+        (acc, order, curIndex) => {
+            const availableMakerAssetAmount = remainingFillableMakerAssetAmounts[curIndex];
+            if (availableMakerAssetAmount === undefined) {
+                throw new Error(`No corresponding fillableMakerAssetAmounts at index ${curIndex}`);
+            }
+
+            const tokensAvailableForCurrentOrder = availableMakerAssetAmount;
+            const ethValueAvailableForCurrentOrder = orderUtils.getTakerFillAmount(order, availableMakerAssetAmount);
+            return {
+                tokensAvailableInBaseUnits: acc.tokensAvailableInBaseUnits.plus(tokensAvailableForCurrentOrder),
+                ethValueAvailableInWei: acc.ethValueAvailableInWei.plus(ethValueAvailableForCurrentOrder),
+            };
+        },
+        {
+            tokensAvailableInBaseUnits: new BigNumber(0),
+            ethValueAvailableInWei: new BigNumber(0),
+        },
+    );
+
+    // Turn into regular numbers
+    return {
+        tokensAvailableInBaseUnits: liquidityInBigNumbers.tokensAvailableInBaseUnits,
+        ethValueAvailableInWei: liquidityInBigNumbers.ethValueAvailableInWei,
+    };
+};
diff --git a/packages/asset-buyer/src/utils/order_provider_response_processor.ts b/packages/asset-buyer/src/utils/order_provider_response_processor.ts
index 4244d196c..f08cd6150 100644
--- a/packages/asset-buyer/src/utils/order_provider_response_processor.ts
+++ b/packages/asset-buyer/src/utils/order_provider_response_processor.ts
@@ -109,11 +109,8 @@ function getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
                 return accOrders;
             }
             // if the order IS fillable, add the order and calculate the remaining fillable amount
-            const transferrableAssetAmount = BigNumber.min([traderInfo.makerAllowance, traderInfo.makerBalance]);
-            const transferrableFeeAssetAmount = BigNumber.min([
-                traderInfo.makerZrxAllowance,
-                traderInfo.makerZrxBalance,
-            ]);
+            const transferrableAssetAmount = BigNumber.min(traderInfo.makerAllowance, traderInfo.makerBalance);
+            const transferrableFeeAssetAmount = BigNumber.min(traderInfo.makerZrxAllowance, traderInfo.makerZrxBalance);
             const remainingTakerAssetAmount = order.takerAssetAmount.minus(orderInfo.orderTakerAssetFilledAmount);
             const remainingMakerAssetAmount = orderUtils.getRemainingMakerAmount(order, remainingTakerAssetAmount);
             const remainingFillableCalculator = new RemainingFillableCalculator(
diff --git a/packages/asset-buyer/src/utils/order_utils.ts b/packages/asset-buyer/src/utils/order_utils.ts
index 1cc2cf95f..3ea3cafd3 100644
--- a/packages/asset-buyer/src/utils/order_utils.ts
+++ b/packages/asset-buyer/src/utils/order_utils.ts
@@ -9,8 +9,8 @@ export const orderUtils = {
     },
     willOrderExpire(order: SignedOrder, secondsFromNow: number): boolean {
         const millisecondsInSecond = 1000;
-        const currentUnixTimestampSec = new BigNumber(Date.now() / millisecondsInSecond).round();
-        return order.expirationTimeSeconds.lessThan(currentUnixTimestampSec.plus(secondsFromNow));
+        const currentUnixTimestampSec = new BigNumber(Date.now() / millisecondsInSecond).integerValue();
+        return order.expirationTimeSeconds.isLessThan(currentUnixTimestampSec.plus(secondsFromNow));
     },
     isOpenOrder(order: SignedOrder): boolean {
         return order.takerAddress === constants.NULL_ADDRESS;
@@ -20,43 +20,43 @@ export const orderUtils = {
         const remainingMakerAmount = remainingTakerAmount
             .times(order.makerAssetAmount)
             .div(order.takerAssetAmount)
-            .floor();
+            .integerValue(BigNumber.ROUND_FLOOR);
         return remainingMakerAmount;
     },
     // given a desired amount of makerAsset, calculate how much takerAsset is required to fill that amount
     getTakerFillAmount(order: SignedOrder, makerFillAmount: BigNumber): BigNumber {
         // Round up because exchange rate favors Maker
         const takerFillAmount = makerFillAmount
-            .mul(order.takerAssetAmount)
+            .multipliedBy(order.takerAssetAmount)
             .div(order.makerAssetAmount)
-            .ceil();
+            .integerValue(BigNumber.ROUND_CEIL);
         return takerFillAmount;
     },
     // given a desired amount of takerAsset to fill, calculate how much fee is required by the taker to fill that amount
     getTakerFeeAmount(order: SignedOrder, takerFillAmount: BigNumber): BigNumber {
         // Round down because Taker fee rate favors Taker
         const takerFeeAmount = takerFillAmount
-            .mul(order.takerFee)
+            .multipliedBy(order.takerFee)
             .div(order.takerAssetAmount)
-            .floor();
+            .integerValue(BigNumber.ROUND_FLOOR);
         return takerFeeAmount;
     },
     // given a desired amount of takerAsset to fill, calculate how much makerAsset will be filled
     getMakerFillAmount(order: SignedOrder, takerFillAmount: BigNumber): BigNumber {
         // Round down because exchange rate favors Maker
         const makerFillAmount = takerFillAmount
-            .mul(order.makerAssetAmount)
+            .multipliedBy(order.makerAssetAmount)
             .div(order.takerAssetAmount)
-            .floor();
+            .integerValue(BigNumber.ROUND_FLOOR);
         return makerFillAmount;
     },
     // given a desired amount of makerAsset, calculate how much fee is required by the maker to fill that amount
     getMakerFeeAmount(order: SignedOrder, makerFillAmount: BigNumber): BigNumber {
         // Round down because Maker fee rate favors Maker
         const makerFeeAmount = makerFillAmount
-            .mul(order.makerFee)
+            .multipliedBy(order.makerFee)
             .div(order.makerAssetAmount)
-            .floor();
+            .integerValue(BigNumber.ROUND_FLOOR);
         return makerFeeAmount;
     },
     // given a desired amount of ZRX from a fee order, calculate how much takerAsset is required to fill that amount
@@ -64,9 +64,9 @@ export const orderUtils = {
     getTakerFillAmountForFeeOrder(order: SignedOrder, makerFillAmount: BigNumber): [BigNumber, BigNumber] {
         // For each unit of TakerAsset we buy (MakerAsset - TakerFee)
         const adjustedTakerFillAmount = makerFillAmount
-            .mul(order.takerAssetAmount)
-            .div(order.makerAssetAmount.sub(order.takerFee))
-            .ceil();
+            .multipliedBy(order.takerAssetAmount)
+            .div(order.makerAssetAmount.minus(order.takerFee))
+            .integerValue(BigNumber.ROUND_CEIL);
         // The amount that we buy will be greater than makerFillAmount, since we buy some amount for fees.
         const adjustedMakerFillAmount = orderUtils.getMakerFillAmount(order, adjustedTakerFillAmount);
         return [adjustedTakerFillAmount, adjustedMakerFillAmount];