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authorSteve Klebanoff <steve.klebanoff@gmail.com>2018-12-14 07:16:51 +0800
committerSteve Klebanoff <steve.klebanoff@gmail.com>2018-12-15 07:34:45 +0800
commitc6c45095a8511814db6aa33e39794ae60debad8b (patch)
tree708189f5ec03707c2954725db150788026fc3b1f
parent6d45beccad44e86ddd692d0cf54c09c29c5d9daf (diff)
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feat(asset-buyer): Custom InsufficientAssetLiquidityError error
BREAKING CHANGE: A custom InsufficientAssetLiquidityError error is now raised when there is insufficient liquidity
-rw-r--r--packages/asset-buyer/src/types.ts10
-rw-r--r--packages/asset-buyer/src/utils/buy_quote_calculator.ts11
-rw-r--r--packages/asset-buyer/test/buy_quote_calculator_test.ts73
-rw-r--r--packages/asset-buyer/test/utils/test_helpers.ts22
4 files changed, 107 insertions, 9 deletions
diff --git a/packages/asset-buyer/src/types.ts b/packages/asset-buyer/src/types.ts
index 3b573edca..dfa17a22d 100644
--- a/packages/asset-buyer/src/types.ts
+++ b/packages/asset-buyer/src/types.ts
@@ -117,6 +117,16 @@ export enum AssetBuyerError {
TransactionValueTooLow = 'TRANSACTION_VALUE_TOO_LOW',
}
+export class InsufficientAssetLiquidityError extends Error {
+ public numAssetsAvailable: BigNumber;
+ constructor(numAssetsAvailable: BigNumber) {
+ super(AssetBuyerError.InsufficientAssetLiquidity);
+ this.numAssetsAvailable = numAssetsAvailable;
+ // Setting prototype so instanceof works. See https://github.com/Microsoft/TypeScript/wiki/Breaking-Changes#extending-built-ins-like-error-array-and-map-may-no-longer-work
+ Object.setPrototypeOf(this, InsufficientAssetLiquidityError.prototype);
+ }
+}
+
export interface OrdersAndFillableAmounts {
orders: SignedOrder[];
remainingFillableMakerAssetAmounts: BigNumber[];
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
index b15b880c2..e52c9c5bf 100644
--- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -3,7 +3,13 @@ import { BigNumber } from '@0x/utils';
import * as _ from 'lodash';
import { constants } from '../constants';
-import { AssetBuyerError, BuyQuote, BuyQuoteInfo, OrdersAndFillableAmounts } from '../types';
+import {
+ AssetBuyerError,
+ BuyQuote,
+ BuyQuoteInfo,
+ InsufficientAssetLiquidityError,
+ OrdersAndFillableAmounts,
+} from '../types';
import { orderUtils } from './order_utils';
@@ -33,7 +39,8 @@ export const buyQuoteCalculator = {
});
// if we do not have enough orders to cover the desired assetBuyAmount, throw
if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
- throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
+ const amountRemaining = assetBuyAmount.minus(remainingFillAmount);
+ throw new InsufficientAssetLiquidityError(amountRemaining);
}
// if we are not buying ZRX:
// given the orders calculated above, find the fee-orders that cover the desired assetBuyAmount (with slippage)
diff --git a/packages/asset-buyer/test/buy_quote_calculator_test.ts b/packages/asset-buyer/test/buy_quote_calculator_test.ts
index a30017b72..1dd829a0f 100644
--- a/packages/asset-buyer/test/buy_quote_calculator_test.ts
+++ b/packages/asset-buyer/test/buy_quote_calculator_test.ts
@@ -1,4 +1,5 @@
import { orderFactory } from '@0x/order-utils/lib/src/order_factory';
+import { SignedOrder } from '@0x/types';
import { BigNumber } from '@0x/utils';
import * as chai from 'chai';
import * as _ from 'lodash';
@@ -8,6 +9,7 @@ import { AssetBuyerError, OrdersAndFillableAmounts } from '../src/types';
import { buyQuoteCalculator } from '../src/utils/buy_quote_calculator';
import { chaiSetup } from './utils/chai_setup';
+import { testHelpers } from './utils/test_helpers';
chaiSetup.configure();
const expect = chai.expect;
@@ -15,6 +17,10 @@ const expect = chai.expect;
// tslint:disable:custom-no-magic-numbers
describe('buyQuoteCalculator', () => {
describe('#calculate', () => {
+ let firstOrder: SignedOrder;
+ let firstRemainingFillAmount: BigNumber;
+ let secondOrder: SignedOrder;
+ let secondRemainingFillAmount: BigNumber;
let ordersAndFillableAmounts: OrdersAndFillableAmounts;
let smallFeeOrderAndFillableAmount: OrdersAndFillableAmounts;
let allFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts;
@@ -24,18 +30,18 @@ describe('buyQuoteCalculator', () => {
// the second order has a rate of 2 makerAsset / WETH with a takerFee of 100 ZRX and has 200 / 200 makerAsset units left to fill (completely fillable)
// generate one order for fees
// the fee order has a rate of 1 ZRX / WETH with no taker fee and has 100 ZRX left to fill (completely fillable)
- const firstOrder = orderFactory.createSignedOrderFromPartial({
+ firstOrder = orderFactory.createSignedOrderFromPartial({
makerAssetAmount: new BigNumber(400),
takerAssetAmount: new BigNumber(100),
takerFee: new BigNumber(200),
});
- const firstRemainingFillAmount = new BigNumber(200);
- const secondOrder = orderFactory.createSignedOrderFromPartial({
+ firstRemainingFillAmount = new BigNumber(200);
+ secondOrder = orderFactory.createSignedOrderFromPartial({
makerAssetAmount: new BigNumber(200),
takerAssetAmount: new BigNumber(100),
takerFee: new BigNumber(100),
});
- const secondRemainingFillAmount = secondOrder.makerAssetAmount;
+ secondRemainingFillAmount = secondOrder.makerAssetAmount;
ordersAndFillableAmounts = {
orders: [firstOrder, secondOrder],
remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount],
@@ -61,9 +67,9 @@ describe('buyQuoteCalculator', () => {
],
};
});
- it('should throw if not enough maker asset liquidity', () => {
+ it('should throw if not enough maker asset liquidity (multiple orders)', () => {
// we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
- expect(() =>
+ const errorFunction = () => {
buyQuoteCalculator.calculate(
ordersAndFillableAmounts,
smallFeeOrderAndFillableAmount,
@@ -71,8 +77,61 @@ describe('buyQuoteCalculator', () => {
0,
0,
false,
+ );
+ };
+ testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(400));
+ });
+ it('should throw if not enough maker asset liquidity (partially filled order)', () => {
+ const firstOrderAndFillableAmount: OrdersAndFillableAmounts = {
+ orders: [firstOrder],
+ remainingFillableMakerAssetAmounts: [firstRemainingFillAmount],
+ };
+
+ const errorFunction = () => {
+ buyQuoteCalculator.calculate(
+ firstOrderAndFillableAmount,
+ smallFeeOrderAndFillableAmount,
+ new BigNumber(201),
+ 0,
+ 0,
+ false,
+ );
+ };
+ testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(200));
+ });
+ it('should throw if not enough maker asset liquidity (completely fillable order)', () => {
+ const completelyFillableOrder = orderFactory.createSignedOrderFromPartial({
+ makerAssetAmount: new BigNumber(123),
+ takerAssetAmount: new BigNumber(100),
+ takerFee: new BigNumber(200),
+ });
+ const completelyFillableOrdersAndFillableAmount: OrdersAndFillableAmounts = {
+ orders: [completelyFillableOrder],
+ remainingFillableMakerAssetAmounts: [completelyFillableOrder.makerAssetAmount],
+ };
+ const errorFunction = () => {
+ buyQuoteCalculator.calculate(
+ completelyFillableOrdersAndFillableAmount,
+ smallFeeOrderAndFillableAmount,
+ new BigNumber(124),
+ 0,
+ 0,
+ false,
+ );
+ };
+ testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(123));
+ });
+ it('should not throw if order is fillable', () => {
+ expect(() =>
+ buyQuoteCalculator.calculate(
+ ordersAndFillableAmounts,
+ allFeeOrdersAndFillableAmounts,
+ new BigNumber(300),
+ 0,
+ 0,
+ false,
),
- ).to.throw(AssetBuyerError.InsufficientAssetLiquidity);
+ ).to.not.throw();
});
it('should throw if not enough ZRX liquidity', () => {
// we request 300 makerAsset units but the ZRX order is only enough to fill the first order, which only has 200 makerAssetUnits available
diff --git a/packages/asset-buyer/test/utils/test_helpers.ts b/packages/asset-buyer/test/utils/test_helpers.ts
new file mode 100644
index 000000000..fd1313ac8
--- /dev/null
+++ b/packages/asset-buyer/test/utils/test_helpers.ts
@@ -0,0 +1,22 @@
+import { BigNumber } from '@0x/utils';
+
+import { InsufficientAssetLiquidityError } from '../../src/types';
+
+export const testHelpers = {
+ expectInsufficientLiquidityError: (
+ expect: Chai.ExpectStatic,
+ functionWhichTriggersError: () => void,
+ expectedNumAvailable: BigNumber,
+ ): void => {
+ let errorThrown = false;
+ try {
+ functionWhichTriggersError();
+ } catch (e) {
+ errorThrown = true;
+ expect(e).to.be.instanceOf(InsufficientAssetLiquidityError);
+ expect(e.numAssetsAvailable).to.be.bignumber.equal(expectedNumAvailable);
+ }
+
+ expect(errorThrown).to.be.true();
+ },
+};