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authorJacob Evans <jacob@dekz.net>2017-11-21 11:51:19 +0800
committerJacob Evans <jacob@dekz.net>2017-11-21 11:51:19 +0800
commitda03331015b810505cfaae1445424f61ce05c656 (patch)
treecd8cb4796882b5a76da176f2419a30cf3037cafa
parent43128234bbb9715094c24c99b6a001a5290fcefd (diff)
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Unit test edge case for ZRX and ZRX partial fill
-rw-r--r--packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts23
-rw-r--r--packages/0x.js/src/utils/order_state_utils.ts3
-rw-r--r--packages/0x.js/test/remaining_fillable_calculator_test.ts77
3 files changed, 59 insertions, 44 deletions
diff --git a/packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts b/packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts
index fe373eae4..45f60ada3 100644
--- a/packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts
+++ b/packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts
@@ -10,12 +10,12 @@ export class RemainingFillableCalculator {
private _remainingMakerTokenAmount: BigNumber;
private _remainingMakerFeeAmount: BigNumber;
constructor(signedOrder: SignedOrder,
- zrxAddress: string,
+ isMakerTokenZRX: boolean,
transferrableMakerTokenAmount: BigNumber,
transferrableMakerFeeTokenAmount: BigNumber,
remainingMakerTokenAmount: BigNumber) {
this._signedOrder = signedOrder;
- this._isMakerTokenZRX = signedOrder.makerTokenAddress === zrxAddress;
+ this._isMakerTokenZRX = isMakerTokenZRX;
this._transferrableMakerTokenAmount = transferrableMakerTokenAmount;
this._transferrableMakerFeeTokenAmount = transferrableMakerFeeTokenAmount;
this._remainingMakerTokenAmount = remainingMakerTokenAmount;
@@ -51,18 +51,21 @@ export class RemainingFillableCalculator {
private calculatePartiallyFillableMakerTokenAmount(): BigNumber {
const orderToFeeRatio = this._signedOrder.makerTokenAmount.dividedToIntegerBy(this._signedOrder.makerFee);
- const fillableTimesInFeeToken = BigNumber.min(this._transferrableMakerFeeTokenAmount,
- this._remainingMakerFeeAmount);
- let fillableTimesInMakerToken = this._transferrableMakerTokenAmount.dividedToIntegerBy(orderToFeeRatio);
+ // Maximum number of times the Maker can fill the order, given the fees
+ const fillableTimesInFeeTokenUnits = BigNumber.min(this._transferrableMakerFeeTokenAmount,
+ this._remainingMakerFeeAmount);
+ // Maximum number of times the Maker can fill the order, given the Maker Token Balance
+ let fillableTimesInMakerTokenUnits = this._transferrableMakerTokenAmount.dividedToIntegerBy(orderToFeeRatio);
if (this._isMakerTokenZRX) {
- // when zrx == maker token transferrable maker == transfer
const totalZRXTokenPooled = this._transferrableMakerTokenAmount;
- fillableTimesInMakerToken = totalZRXTokenPooled.dividedToIntegerBy(
- orderToFeeRatio.plus(new BigNumber(1)));
+ // The purchasing power here is less as the tokens are taken from the same Pool
+ // For every one number of fills, we have to take an extra ZRX out of the pool
+ fillableTimesInMakerTokenUnits = totalZRXTokenPooled.dividedToIntegerBy(
+ orderToFeeRatio.plus(new BigNumber(1)));
}
- const partiallyFillableMakerTokenAmount = fillableTimesInMakerToken.times(orderToFeeRatio);
- const partiallyFillableFeeTokenAmount = fillableTimesInFeeToken.times(orderToFeeRatio);
+ const partiallyFillableMakerTokenAmount = fillableTimesInMakerTokenUnits.times(orderToFeeRatio);
+ const partiallyFillableFeeTokenAmount = fillableTimesInFeeTokenUnits.times(orderToFeeRatio);
return BigNumber.min(partiallyFillableMakerTokenAmount, partiallyFillableFeeTokenAmount);
}
}
diff --git a/packages/0x.js/src/utils/order_state_utils.ts b/packages/0x.js/src/utils/order_state_utils.ts
index 9ff26a7f1..1d8f02a18 100644
--- a/packages/0x.js/src/utils/order_state_utils.ts
+++ b/packages/0x.js/src/utils/order_state_utils.ts
@@ -82,8 +82,9 @@ export class OrderStateUtils {
const transferrableMakerTokenAmount = BigNumber.min([makerProxyAllowance, makerBalance]);
const transferrableFeeTokenAmount = BigNumber.min([makerFeeProxyAllowance, makerFeeBalance]);
+ const isMakerTokenZRX = signedOrder.makerTokenAddress === zrxTokenAddress;
const remainingFillableCalculator = new RemainingFillableCalculator(signedOrder,
- zrxTokenAddress,
+ isMakerTokenZRX,
transferrableMakerTokenAmount,
transferrableFeeTokenAmount,
remainingMakerTokenAmount);
diff --git a/packages/0x.js/test/remaining_fillable_calculator_test.ts b/packages/0x.js/test/remaining_fillable_calculator_test.ts
index 5d7cd9277..5b7fd63f1 100644
--- a/packages/0x.js/test/remaining_fillable_calculator_test.ts
+++ b/packages/0x.js/test/remaining_fillable_calculator_test.ts
@@ -13,26 +13,26 @@ const expect = chai.expect;
describe.only('RemainingFillableCalculator', () => {
let calculator: RemainingFillableCalculator;
let signedOrder: SignedOrder;
- let makerToken: string;
- let takerToken: string;
- let zrxToken: string;
let transferrableMakerTokenAmount: BigNumber;
let transferrableMakerFeeTokenAmount: BigNumber;
let remainingMakerTokenAmount: BigNumber;
let makerAmount: BigNumber;
let takerAmount: BigNumber;
let makerFee: BigNumber;
+ let isMakerTokenZRX: boolean;
+ const makerToken: string = '0x1';
+ const takerToken: string = '0x2';
+ const decimals: number = 4;
const zero: BigNumber = new BigNumber(0);
const zeroAddress = '0x0';
const signature: ECSignature = { v: 27, r: '', s: ''};
beforeEach(async () => {
- [makerToken, takerToken, zrxToken] = ['0x1', '0x2', '0x3'];
- [makerAmount, takerAmount, makerFee] = [ZeroEx.toBaseUnitAmount(new BigNumber(50), 18),
- ZeroEx.toBaseUnitAmount(new BigNumber(5), 18),
- ZeroEx.toBaseUnitAmount(new BigNumber(1), 18)];
+ [makerAmount, takerAmount, makerFee] = [ZeroEx.toBaseUnitAmount(new BigNumber(50), decimals),
+ ZeroEx.toBaseUnitAmount(new BigNumber(5), decimals),
+ ZeroEx.toBaseUnitAmount(new BigNumber(1), decimals)];
[transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount] = [
- ZeroEx.toBaseUnitAmount(new BigNumber(50), 18),
- ZeroEx.toBaseUnitAmount(new BigNumber(5), 18)];
+ ZeroEx.toBaseUnitAmount(new BigNumber(50), decimals),
+ ZeroEx.toBaseUnitAmount(new BigNumber(5), decimals)];
});
function buildSignedOrder(): SignedOrder {
return { ecSignature: signature,
@@ -50,26 +50,20 @@ describe.only('RemainingFillableCalculator', () => {
expirationUnixTimestampSec: zero };
}
describe('Maker token is NOT ZRX', () => {
- it('calculates the correct amount when balance is less than remaining fillable', () => {
- signedOrder = buildSignedOrder();
- const partiallyFilledAmount = ZeroEx.toBaseUnitAmount(new BigNumber(2), 18);
- remainingMakerTokenAmount = signedOrder.makerTokenAmount.minus(partiallyFilledAmount);
- transferrableMakerTokenAmount = remainingMakerTokenAmount.minus(partiallyFilledAmount);
- calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
- transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
- expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(transferrableMakerTokenAmount);
+ before(async () => {
+ isMakerTokenZRX = false;
});
it('calculates the correct amount when unfilled and funds available', () => {
signedOrder = buildSignedOrder();
remainingMakerTokenAmount = signedOrder.makerTokenAmount;
- calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
+ calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(remainingMakerTokenAmount);
});
it('calculates the correct amount when partially filled and funds available', () => {
signedOrder = buildSignedOrder();
- remainingMakerTokenAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), 18);
- calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
+ remainingMakerTokenAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), decimals);
+ calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(remainingMakerTokenAmount);
});
@@ -77,38 +71,37 @@ describe.only('RemainingFillableCalculator', () => {
signedOrder = buildSignedOrder();
transferrableMakerFeeTokenAmount = zero;
remainingMakerTokenAmount = signedOrder.makerTokenAmount;
- calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
+ calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(zero);
});
- });
- describe('Maker Token is ZRX', () => {
- beforeEach(async () => {
- makerToken = zrxToken;
- });
it('calculates the correct amount when balance is less than remaining fillable', () => {
signedOrder = buildSignedOrder();
- const partiallyFilledAmount = ZeroEx.toBaseUnitAmount(new BigNumber(2), 18);
+ const partiallyFilledAmount = ZeroEx.toBaseUnitAmount(new BigNumber(2), decimals);
remainingMakerTokenAmount = signedOrder.makerTokenAmount.minus(partiallyFilledAmount);
transferrableMakerTokenAmount = remainingMakerTokenAmount.minus(partiallyFilledAmount);
- transferrableMakerFeeTokenAmount = transferrableMakerTokenAmount;
- calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
+ calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(transferrableMakerTokenAmount);
});
+ });
+ describe('Maker Token is ZRX', () => {
+ before(async () => {
+ isMakerTokenZRX = true;
+ });
it('calculates the correct amount when unfilled and funds available', () => {
signedOrder = buildSignedOrder();
transferrableMakerTokenAmount = makerAmount.plus(makerFee);
transferrableMakerFeeTokenAmount = transferrableMakerTokenAmount;
remainingMakerTokenAmount = signedOrder.makerTokenAmount;
- calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
+ calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(remainingMakerTokenAmount);
});
it('calculates the correct amount when partially filled and funds available', () => {
signedOrder = buildSignedOrder();
- remainingMakerTokenAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), 18);
- calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
+ remainingMakerTokenAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), decimals);
+ calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(remainingMakerTokenAmount);
});
@@ -117,9 +110,27 @@ describe.only('RemainingFillableCalculator', () => {
transferrableMakerTokenAmount = zero;
transferrableMakerFeeTokenAmount = zero;
remainingMakerTokenAmount = signedOrder.makerTokenAmount;
- calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
+ calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(zero);
});
+ it('calculates the correct amount when balance is less than remaining fillable', () => {
+ signedOrder = buildSignedOrder();
+ const partiallyFilledAmount = ZeroEx.toBaseUnitAmount(new BigNumber(2), decimals);
+ remainingMakerTokenAmount = signedOrder.makerTokenAmount.minus(partiallyFilledAmount);
+ transferrableMakerTokenAmount = remainingMakerTokenAmount.minus(partiallyFilledAmount);
+ transferrableMakerFeeTokenAmount = transferrableMakerTokenAmount;
+
+ const orderToFeeRatio = signedOrder.makerTokenAmount.dividedToIntegerBy(signedOrder.makerFee);
+ const expectedRemainingAmount = new BigNumber(450950);
+ const numberOfFillsInRatio = expectedRemainingAmount.dividedToIntegerBy(orderToFeeRatio);
+ calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
+ transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
+ const calculatedRemainingAmount = calculator.computeRemainingMakerFillable();
+ const calculatedRemainingAmountPlusFees = calculatedRemainingAmount.plus(numberOfFillsInRatio);
+ expect(calculatedRemainingAmount).to.be.bignumber.equal(expectedRemainingAmount);
+ expect(calculatedRemainingAmountPlusFees).to.be.bignumber.lessThan(transferrableMakerTokenAmount);
+ expect(calculatedRemainingAmountPlusFees).to.be.bignumber.lessThan(remainingMakerTokenAmount);
+ });
});
});