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import { BigNumber } from '@0xproject/utils';
import * as chai from 'chai';
import 'mocha';
import { constants, marketUtils } from '../src';
import { chaiSetup } from './utils/chai_setup';
import { testOrderFactory } from './utils/test_order_factory';
chaiSetup.configure();
const expect = chai.expect;
// tslint:disable: no-unused-expression
describe('marketUtils', () => {
describe('#findOrdersThatCoverMakerAssetFillAmount', () => {
describe('no orders', () => {
it('returns empty and unchanged remainingFillAmount', async () => {
const fillAmount = new BigNumber(10);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
[],
[],
fillAmount,
);
expect(resultOrders).to.be.empty;
expect(remainingFillAmount).to.be.bignumber.equal(fillAmount);
});
});
describe('orders are completely fillable', () => {
// generate three signed orders each with 10 units of makerAsset, 30 total
const makerAssetAmount = new BigNumber(10);
const inputOrders = testOrderFactory.generateTestSignedOrders(
{
makerAssetAmount,
},
3,
);
// generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
it('returns input orders and zero remainingFillAmount when input exactly matches requested fill amount', async () => {
// try to fill 20 units of makerAsset
// include 10 units of slippageBufferAmount
const fillAmount = new BigNumber(20);
const slippageBufferAmount = new BigNumber(10);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
remainingFillableMakerAssetAmounts,
fillAmount,
slippageBufferAmount,
);
expect(resultOrders).to.be.deep.equal(inputOrders);
expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
it('returns input orders and zero remainingFillAmount when input has more than requested fill amount', async () => {
// try to fill 15 units of makerAsset
// include 10 units of slippageBufferAmount
const fillAmount = new BigNumber(15);
const slippageBufferAmount = new BigNumber(10);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
remainingFillableMakerAssetAmounts,
fillAmount,
slippageBufferAmount,
);
expect(resultOrders).to.be.deep.equal(inputOrders);
expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
it('returns input orders and non-zero remainingFillAmount when input has less than requested fill amount', async () => {
// try to fill 30 units of makerAsset
// include 5 units of slippageBufferAmount
const fillAmount = new BigNumber(30);
const slippageBufferAmount = new BigNumber(5);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
remainingFillableMakerAssetAmounts,
fillAmount,
slippageBufferAmount,
);
expect(resultOrders).to.be.deep.equal(inputOrders);
expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(5));
});
it('returns first order and zero remainingFillAmount when requested fill amount is exactly covered by the first order', async () => {
// try to fill 10 units of makerAsset
const fillAmount = new BigNumber(10);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal([inputOrders[0]]);
expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
it('returns first two orders and zero remainingFillAmount when requested fill amount is over covered by the first two order', async () => {
// try to fill 15 units of makerAsset
const fillAmount = new BigNumber(15);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal([inputOrders[0], inputOrders[1]]);
expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
describe('orders are partially fillable', () => {
// generate three signed orders each with 10 units of makerAsset, 30 total
const makerAssetAmount = new BigNumber(10);
const inputOrders = testOrderFactory.generateTestSignedOrders(
{
makerAssetAmount,
},
3,
);
// generate remainingFillableMakerAssetAmounts that cover different partial fill scenarios
// 1. order is completely filled already
// 2. order is partially fillable
// 3. order is completely fillable
const remainingFillableMakerAssetAmounts = [constants.ZERO_AMOUNT, new BigNumber(5), makerAssetAmount];
it('returns last two orders and non-zero remainingFillAmount when trying to fill original makerAssetAmounts', async () => {
// try to fill 30 units of makerAsset
const fillAmount = new BigNumber(30);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal([inputOrders[1], inputOrders[2]]);
expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(15));
});
});
});
describe('#findFeeOrdersThatCoverFeesForTargetOrders', () => {
// generate three signed fee orders each with 10 units of ZRX, 30 total
const zrxAmount = new BigNumber(10);
const inputFeeOrders = testOrderFactory.generateTestSignedOrders(
{
makerAssetAmount: zrxAmount,
},
3,
);
// generate remainingFillableFeeAmounts that equal the zrxAmount
const remainingFillableFeeAmounts = [zrxAmount, zrxAmount, zrxAmount];
describe('no target orders', () => {
it('returns empty and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
[],
[],
inputFeeOrders,
remainingFillableFeeAmounts,
);
expect(resultOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
describe('no fee orders', () => {
// generate three signed orders each with 10 units of makerAsset, 30 total
// each signed order requires 10 units of takerFee
const makerAssetAmount = new BigNumber(10);
const takerFee = new BigNumber(10);
const inputOrders = testOrderFactory.generateTestSignedOrders(
{
makerAssetAmount,
takerFee,
},
3,
);
// generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
it('returns empty and non-zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
remainingFillableMakerAssetAmounts,
[],
[],
);
expect(resultOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
});
});
describe('target orders have no fees', () => {
// generate three signed orders each with 10 units of makerAsset, 30 total
const makerAssetAmount = new BigNumber(10);
const inputOrders = testOrderFactory.generateTestSignedOrders(
{
makerAssetAmount,
},
3,
);
// generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
it('returns empty and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
remainingFillableMakerAssetAmounts,
inputFeeOrders,
remainingFillableFeeAmounts,
);
expect(resultOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
describe('target orders require fees and are completely fillable', () => {
// generate three signed orders each with 10 units of makerAsset, 30 total
// each signed order requires 10 units of takerFee
const makerAssetAmount = new BigNumber(10);
const takerFee = new BigNumber(10);
const inputOrders = testOrderFactory.generateTestSignedOrders(
{
makerAssetAmount,
takerFee,
},
3,
);
// generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
it('returns input fee orders and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
remainingFillableMakerAssetAmounts,
inputFeeOrders,
remainingFillableFeeAmounts,
);
expect(resultOrders).to.be.deep.equal(inputFeeOrders);
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
describe('target orders require fees and are partially fillable', () => {
// generate three signed orders each with 10 units of makerAsset, 30 total
// each signed order requires 10 units of takerFee
const makerAssetAmount = new BigNumber(10);
const takerFee = new BigNumber(10);
const inputOrders = testOrderFactory.generateTestSignedOrders(
{
makerAssetAmount,
takerFee,
},
3,
);
// generate remainingFillableMakerAssetAmounts that cover different partial fill scenarios
// 1. order is completely filled already
// 2. order is partially fillable
// 3. order is completely fillable
const remainingFillableMakerAssetAmounts = [constants.ZERO_AMOUNT, new BigNumber(5), makerAssetAmount];
it('returns first two input fee orders and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
remainingFillableMakerAssetAmounts,
inputFeeOrders,
remainingFillableFeeAmounts,
);
expect(resultOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]);
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
describe('target orders require more fees than available', () => {
// generate three signed orders each with 10 units of makerAsset, 30 total
// each signed order requires 20 units of takerFee
const makerAssetAmount = new BigNumber(10);
const takerFee = new BigNumber(20);
const inputOrders = testOrderFactory.generateTestSignedOrders(
{
makerAssetAmount,
takerFee,
},
3,
);
// generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
it('returns input fee orders and non-zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
remainingFillableMakerAssetAmounts,
inputFeeOrders,
remainingFillableFeeAmounts,
);
expect(resultOrders).to.be.deep.equal(inputFeeOrders);
expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
});
});
});
});
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