Implement liquidity checking w/ testing

5 files changed, 307 insertions, 3 deletions

diff --git a/packages/asset-buyer/package.json b/packages/asset-buyer/package.json
index 401aec120..9ddeb2c60 100644
--- a/packages/asset-buyer/package.json
+++ b/packages/asset-buyer/package.json
@@ -65,6 +65,7 @@
         "shx": "^0.2.2",
         "tslint": "5.11.0",
         "typedoc": "0.13.0",
+        "typemoq": "^2.1.0",
         "typescript": "3.0.1"
     },
     "publishConfig": {
diff --git a/packages/asset-buyer/src/asset_buyer.ts b/packages/asset-buyer/src/asset_buyer.ts
index 934410c55..511c99fb1 100644
--- a/packages/asset-buyer/src/asset_buyer.ts
+++ b/packages/asset-buyer/src/asset_buyer.ts
@@ -16,6 +16,7 @@ import {
     BuyQuote,
     BuyQuoteExecutionOpts,
     BuyQuoteRequestOpts,
+    LiquidityForAssetData,
     OrderProvider,
     OrderProviderResponse,
     OrdersAndFillableAmounts,
@@ -25,12 +26,42 @@ import { assert } from './utils/assert';
 import { assetDataUtils } from './utils/asset_data_utils';
 import { buyQuoteCalculator } from './utils/buy_quote_calculator';
 import { orderProviderResponseProcessor } from './utils/order_provider_response_processor';
+import { orderUtils } from './utils/order_utils';
 
 interface OrdersEntry {
     ordersAndFillableAmounts: OrdersAndFillableAmounts;
     lastRefreshTime: number;
 }
 
+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 {
+                tokensAvailableInUnitAmount: acc.tokensAvailableInUnitAmount.plus(tokensAvailableForCurrentOrder),
+                ethValueAvailableInWei: acc.ethValueAvailableInWei.plus(ethValueAvailableForCurrentOrder),
+            };
+        },
+        {
+            tokensAvailableInUnitAmount: new BigNumber(0),
+            ethValueAvailableInWei: new BigNumber(0),
+        },
+    );
+
+    // Turn into regular numbers
+    return {
+        tokensAvailableInUnitAmount: liquidityInBigNumbers.tokensAvailableInUnitAmount.toNumber(),
+        ethValueAvailableInWei: liquidityInBigNumbers.ethValueAvailableInWei.toNumber(),
+    };
+};
+
 export class AssetBuyer {
     public readonly provider: Provider;
     public readonly orderProvider: OrderProvider;
@@ -138,10 +169,10 @@ 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) {
@@ -177,6 +208,36 @@ export class AssetBuyer {
         const buyQuote = this.getBuyQuoteAsync(assetData, assetBuyAmount, options);
         return buyQuote;
     }
+    public async getLiquidityForAssetDataAsync(
+        assetData: string,
+        options: Partial<BuyQuoteRequestOpts> = {},
+    ): Promise<LiquidityForAssetData> {
+        const { feePercentage, shouldForceOrderRefresh, slippagePercentage } = _.merge(
+            {},
+            constants.DEFAULT_BUY_QUOTE_REQUEST_OPTS,
+            options,
+        );
+        assert.isString('assetData', assetData);
+        assert.isValidPercentage('feePercentage', feePercentage);
+        assert.isBoolean('shouldForceOrderRefresh', shouldForceOrderRefresh);
+        assert.isNumber('slippagePercentage', slippagePercentage);
+
+        const assetPairs = await this.orderProvider.getAvailableMakerAssetDatasAsync(assetData);
+        if (!assetPairs.includes(assetData)) {
+            return {
+                tokensAvailableInUnitAmount: 0,
+                ethValueAvailableInWei: 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.
@@ -261,7 +322,7 @@ export class AssetBuyer {
     /**
      * Grab orders from the map, if there is a miss or it is time to refresh, fetch and process the orders
      */
-    private async _getOrdersAndFillableAmountsAsync(
+    public async getOrdersAndFillableAmountsAsync(
         assetData: string,
         shouldForceOrderRefresh: boolean,
     ): Promise<OrdersAndFillableAmounts> {
diff --git a/packages/asset-buyer/src/types.ts b/packages/asset-buyer/src/types.ts
index 3b573edca..84434aa7f 100644
--- a/packages/asset-buyer/src/types.ts
+++ b/packages/asset-buyer/src/types.ts
@@ -121,3 +121,11 @@ export interface OrdersAndFillableAmounts {
     orders: SignedOrder[];
     remainingFillableMakerAssetAmounts: BigNumber[];
 }
+
+/**
+ * Represents available liquidity for a given assetData
+ */
+export interface LiquidityForAssetData {
+    tokensAvailableInUnitAmount: number;
+    ethValueAvailableInWei: number;
+}
diff --git a/packages/asset-buyer/test/asset_buyer_test.ts b/packages/asset-buyer/test/asset_buyer_test.ts
new file mode 100644
index 000000000..a109d1ae8
--- /dev/null
+++ b/packages/asset-buyer/test/asset_buyer_test.ts
@@ -0,0 +1,168 @@
+import { orderFactory } from '@0x/order-utils/lib/src/order_factory';
+import { Web3ProviderEngine } from '@0x/subproviders';
+import { SignedOrder } from '@0x/types';
+import { BigNumber } from '@0x/utils';
+import { Web3Wrapper } from '@0x/web3-wrapper';
+import * as chai from 'chai';
+import 'mocha';
+import * as TypeMoq from 'typemoq';
+
+import { AssetBuyer } from '../src';
+import { constants } from '../src/constants';
+import { LiquidityForAssetData, OrderProvider, OrdersAndFillableAmounts } from '../src/types';
+
+import { chaiSetup } from './utils/chai_setup';
+import {
+    mockAvailableAssetDatas,
+    mockedAssetBuyerWithOrdersAndFillableAmounts,
+    orderProviderMock,
+} from './utils/mocks';
+
+chaiSetup.configure();
+const expect = chai.expect;
+
+const FAKE_SRA_URL = 'https://fakeurl.com';
+const FAKE_ASSET_DATA = '0xf47261b00000000000000000000000001dc4c1cefef38a777b15aa20260a54e584b16c48';
+const TOKEN_DECIMALS = 18;
+const WETH_DECIMALS = constants.ETHER_TOKEN_DECIMALS;
+
+const baseUnitAmount = (unitAmount: number, decimals = TOKEN_DECIMALS): BigNumber => {
+    return Web3Wrapper.toBaseUnitAmount(new BigNumber(unitAmount), decimals);
+};
+
+const expectLiquidityResult = async (
+    web3Provider: Web3ProviderEngine,
+    orderProvider: OrderProvider,
+    ordersAndFillableAmounts: OrdersAndFillableAmounts,
+    expectedLiquidityResult: LiquidityForAssetData,
+) => {
+    const mockedAssetBuyer = mockedAssetBuyerWithOrdersAndFillableAmounts(
+        web3Provider,
+        orderProvider,
+        FAKE_ASSET_DATA,
+        ordersAndFillableAmounts,
+    );
+    const liquidityResult = await mockedAssetBuyer.object.getLiquidityForAssetDataAsync(FAKE_ASSET_DATA);
+    expect(liquidityResult).to.deep.equal(expectedLiquidityResult);
+};
+
+describe('AssetBuyer', () => {
+    describe('getLiquidityForAssetDataAsync', () => {
+        const mockWeb3Provider = TypeMoq.Mock.ofType(Web3ProviderEngine);
+        const mockOrderProvider = orderProviderMock();
+
+        beforeEach(() => {
+            mockWeb3Provider.reset();
+            mockOrderProvider.reset();
+        });
+
+        afterEach(() => {
+            mockWeb3Provider.verifyAll();
+            mockOrderProvider.verifyAll();
+        });
+
+        describe('validation', () => {
+            it('should ensure assetData is a string', async () => {
+                const assetBuyer = AssetBuyer.getAssetBuyerForStandardRelayerAPIUrl(
+                    mockWeb3Provider.object,
+                    FAKE_SRA_URL,
+                );
+
+                expect(assetBuyer.getLiquidityForAssetDataAsync(false as any)).to.be.rejectedWith(
+                    'Expected assetData to be of type string, encountered: false',
+                );
+            });
+        });
+
+        it('should return 0s when asset pair not supported', async () => {
+            mockAvailableAssetDatas(mockOrderProvider, FAKE_ASSET_DATA, []);
+
+            const assetBuyer = new AssetBuyer(mockWeb3Provider.object, mockOrderProvider.object);
+            const liquidityResult = await assetBuyer.getLiquidityForAssetDataAsync(FAKE_ASSET_DATA);
+            expect(liquidityResult).to.deep.equal({
+                tokensAvailableInUnitAmount: 0,
+                ethValueAvailableInWei: 0,
+            });
+        });
+
+        describe('assetData is supported', () => {
+            // orders
+            const sellTwoTokensFor1Weth: SignedOrder = orderFactory.createSignedOrderFromPartial({
+                makerAssetAmount: baseUnitAmount(2),
+                takerAssetAmount: baseUnitAmount(1, WETH_DECIMALS),
+            });
+            const sellTenTokensFor10Weth: SignedOrder = orderFactory.createSignedOrderFromPartial({
+                // tslint:disable-next-line:custom-no-magic-numbers
+                makerAssetAmount: baseUnitAmount(10),
+                // tslint:disable-next-line:custom-no-magic-numbers
+                takerAssetAmount: baseUnitAmount(10, WETH_DECIMALS),
+            });
+
+            beforeEach(() => {
+                mockAvailableAssetDatas(mockOrderProvider, FAKE_ASSET_DATA, [FAKE_ASSET_DATA]);
+            });
+
+            it('should return 0s when no orders available', async () => {
+                const ordersAndFillableAmounts: OrdersAndFillableAmounts = {
+                    orders: [],
+                    remainingFillableMakerAssetAmounts: [],
+                };
+                const mockedAssetBuyer = mockedAssetBuyerWithOrdersAndFillableAmounts(
+                    mockWeb3Provider.object,
+                    mockOrderProvider.object,
+                    FAKE_ASSET_DATA,
+                    ordersAndFillableAmounts,
+                );
+
+                const liquidityResult = await mockedAssetBuyer.object.getLiquidityForAssetDataAsync(FAKE_ASSET_DATA);
+                expect(liquidityResult).to.deep.equal({
+                    tokensAvailableInUnitAmount: 0,
+                    ethValueAvailableInWei: 0,
+                });
+            });
+
+            it('should return correct computed value when orders provided with full fillableAmounts', async () => {
+                const orders: SignedOrder[] = [sellTwoTokensFor1Weth, sellTenTokensFor10Weth];
+                const remainingFillableMakerAssetAmounts: BigNumber[] = orders.map(o => o.makerAssetAmount);
+                const mockedAssetBuyer = mockedAssetBuyerWithOrdersAndFillableAmounts(
+                    mockWeb3Provider.object,
+                    mockOrderProvider.object,
+                    FAKE_ASSET_DATA,
+                    {
+                        orders,
+                        remainingFillableMakerAssetAmounts,
+                    },
+                );
+
+                const expectedTokensAvailable = orders[0].makerAssetAmount.plus(orders[1].makerAssetAmount);
+                const expectedEthValueAvailable = orders[0].takerAssetAmount.plus(orders[1].takerAssetAmount);
+
+                const liquidityResult = await mockedAssetBuyer.object.getLiquidityForAssetDataAsync(FAKE_ASSET_DATA);
+                expect(liquidityResult).to.deep.equal({
+                    tokensAvailableInUnitAmount: expectedTokensAvailable.toNumber(),
+                    ethValueAvailableInWei: expectedEthValueAvailable.toNumber(),
+                });
+            });
+
+            it('should return correct computed value with one partial fillableAmounts', async () => {
+                const ordersAndFillableAmounts = {
+                    orders: [sellTwoTokensFor1Weth],
+                    remainingFillableMakerAssetAmounts: [baseUnitAmount(1)],
+                };
+
+                const expectedResult = {
+                    tokensAvailableInUnitAmount: baseUnitAmount(1).toNumber(),
+                    // tslint:disable-next-line:custom-no-magic-numbers
+                    ethValueAvailableInWei: baseUnitAmount(0.5, WETH_DECIMALS).toNumber(),
+                };
+
+                await expectLiquidityResult(
+                    mockWeb3Provider.object,
+                    mockOrderProvider.object,
+                    ordersAndFillableAmounts,
+                    expectedResult,
+                );
+            });
+        });
+    });
+});
diff --git a/packages/asset-buyer/test/utils/mocks.ts b/packages/asset-buyer/test/utils/mocks.ts
new file mode 100644
index 000000000..fe0d0cbf4
--- /dev/null
+++ b/packages/asset-buyer/test/utils/mocks.ts
@@ -0,0 +1,66 @@
+import { Web3ProviderEngine } from '@0x/subproviders';
+import * as TypeMoq from 'typemoq';
+
+import { AssetBuyer } from '../../src/asset_buyer';
+import { OrderProvider, OrderProviderResponse, OrdersAndFillableAmounts } from '../../src/types';
+
+// Implementing dummy class for using in mocks, see https://github.com/florinn/typemoq/issues/3
+class OrderProviderClass implements OrderProvider {
+    // tslint:disable-next-line:prefer-function-over-method
+    public async getOrdersAsync(): Promise<OrderProviderResponse> {
+        return Promise.resolve({ orders: [] });
+    }
+    // tslint:disable-next-line:prefer-function-over-method
+    public async getAvailableMakerAssetDatasAsync(takerAssetData: string): Promise<string[]> {
+        return Promise.resolve([]);
+    }
+}
+
+export const orderProviderMock = () => {
+    return TypeMoq.Mock.ofType(OrderProviderClass, TypeMoq.MockBehavior.Strict);
+};
+
+export const mockAvailableAssetDatas = (
+    mockOrderProvider: TypeMoq.IMock<OrderProviderClass>,
+    assetData: string,
+    availableAssetDatas: string[],
+) => {
+    mockOrderProvider
+        .setup(op => op.getAvailableMakerAssetDatasAsync(TypeMoq.It.isValue(assetData)))
+        .returns(() => {
+            return Promise.resolve(availableAssetDatas);
+        })
+        .verifiable(TypeMoq.Times.once());
+};
+
+const partiallyMockedAssetBuyer = (
+    provider: Web3ProviderEngine,
+    orderProvider: OrderProvider,
+): TypeMoq.IMock<AssetBuyer> => {
+    const rawAssetBuyer = new AssetBuyer(provider, orderProvider);
+    const mockedAssetBuyer = TypeMoq.Mock.ofInstance(rawAssetBuyer, TypeMoq.MockBehavior.Loose, false);
+    mockedAssetBuyer.callBase = true;
+    return mockedAssetBuyer;
+};
+
+const mockGetOrdersAndAvailableAmounts = (
+    mockedAssetBuyer: TypeMoq.IMock<AssetBuyer>,
+    assetData: string,
+    ordersAndFillableAmounts: OrdersAndFillableAmounts,
+): void => {
+    mockedAssetBuyer
+        .setup(a => a.getOrdersAndFillableAmountsAsync(assetData, false))
+        .returns(() => Promise.resolve(ordersAndFillableAmounts))
+        .verifiable(TypeMoq.Times.once());
+};
+
+export const mockedAssetBuyerWithOrdersAndFillableAmounts = (
+    provider: Web3ProviderEngine,
+    orderProvider: OrderProvider,
+    assetData: string,
+    ordersAndFillableAmounts: OrdersAndFillableAmounts,
+): TypeMoq.IMock<AssetBuyer> => {
+    const mockedAssetBuyer = partiallyMockedAssetBuyer(provider, orderProvider);
+    mockGetOrdersAndAvailableAmounts(mockedAssetBuyer, assetData, ordersAndFillableAmounts);
+    return mockedAssetBuyer;
+};