Implement rate utils

2 files changed, 45 insertions, 0 deletions

diff --git a/packages/order-utils/src/index.ts b/packages/order-utils/src/index.ts
index 858f500c6..a52f936b6 100644
--- a/packages/order-utils/src/index.ts
+++ b/packages/order-utils/src/index.ts
@@ -33,3 +33,4 @@ export { EIP712Utils } from './eip712_utils';
 export { OrderValidationUtils } from './order_validation_utils';
 export { ExchangeTransferSimulator } from './exchange_transfer_simulator';
 export { marketUtils } from './market_utils';
+export { rateUtils } from './rate_utils';
diff --git a/packages/order-utils/src/rate_utils.ts b/packages/order-utils/src/rate_utils.ts
new file mode 100644
index 000000000..212431e0c
--- /dev/null
+++ b/packages/order-utils/src/rate_utils.ts
@@ -0,0 +1,44 @@
+import { schemas } from '@0xproject/json-schemas';
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+
+import { assert } from './assert';
+import { constants } from './constants';
+
+export const rateUtils = {
+    /**
+     * Takes a signed order and calculates the fee adjusted rate (takerAsset/makerAsset) by calculating how much takerAsset
+     * is required to cover the fees (feeRate * takerFee), adding the takerAssetAmount and dividing by makerAssetAmount
+     * @param   signedOrder     An object that conforms to the signedOrder interface
+     * @param   feeRate         The market rate of ZRX denominated in takerAssetAmount
+     *                          (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
+     * @return  The rate (takerAsset/makerAsset) of the order adjusted for fees
+     */
+    getFeeAdjustedRateOfOrder(signedOrder: SignedOrder, feeRate: BigNumber): BigNumber {
+        assert.doesConformToSchema('signedOrder', signedOrder, schemas.signedOrderSchema);
+        assert.isBigNumber('feeRate', feeRate);
+        assert.assert(feeRate.greaterThan(constants.ZERO_AMOUNT), `Expected feeRate: ${feeRate} to be greater than 0`);
+        const takerAssetAmountNeededToPayForFees = signedOrder.takerFee.mul(feeRate);
+        const totalTakerAssetAmount = takerAssetAmountNeededToPayForFees.plus(signedOrder.takerAssetAmount);
+        const rate = totalTakerAssetAmount.div(signedOrder.makerAssetAmount);
+        return rate;
+    },
+    /**
+     * Takes a signed fee order (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH) and calculates
+     * the fee adjusted rate (WETH/ZRX) by dividing the takerAssetAmount by the makerAmount minus the takerFee
+     * @param   signedFeeOrder    An object that conforms to the signedOrder interface
+     * @return  The rate (WETH/ZRX) of the fee order adjusted for fees
+     */
+    getFeeAdjustedRateOfFeeOrder(signedFeeOrder: SignedOrder): BigNumber {
+        assert.doesConformToSchema('signedFeeOrder', signedFeeOrder, schemas.signedOrderSchema);
+        const zrxAmountAfterFees = signedFeeOrder.makerAssetAmount.sub(signedFeeOrder.takerFee);
+        assert.assert(
+            zrxAmountAfterFees.greaterThan(constants.ZERO_AMOUNT),
+            `Expected takerFee: ${JSON.stringify(
+                signedFeeOrder.takerFee,
+            )} to be less than makerAssetAmount: ${JSON.stringify(signedFeeOrder.makerAssetAmount)}`,
+        );
+        const rate = signedFeeOrder.takerAssetAmount.div(zrxAmountAfterFees);
+        return rate;
+    },
+};