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authorAmir Bandeali <abandeali1@gmail.com>2018-10-24 01:31:06 +0800
committerGitHub <noreply@github.com>2018-10-24 01:31:06 +0800
commit104b2ed7592eeccf73d649390b11196462780e20 (patch)
treea93950019bfcf75665b95431c8592ac5c77edad0
parent1f0c7f8fbeba90ac1f65c57ff58782051c751b3d (diff)
parent56953320b30604b051c39374d0abff8456051fd7 (diff)
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Merge pull request #1162 from 0xProject/fix/contracts/forwarderRounding
[WIP] Round up for Market Buys in Forwarding Contract.
-rw-r--r--packages/contracts/contracts/extensions/Forwarder/MixinExchangeWrapper.sol12
-rw-r--r--packages/contracts/test/extensions/forwarder.ts265
-rw-r--r--packages/contracts/test/utils/forwarder_wrapper.ts9
3 files changed, 278 insertions, 8 deletions
diff --git a/packages/contracts/contracts/extensions/Forwarder/MixinExchangeWrapper.sol b/packages/contracts/contracts/extensions/Forwarder/MixinExchangeWrapper.sol
index fea9a53c2..4991c0ea5 100644
--- a/packages/contracts/contracts/extensions/Forwarder/MixinExchangeWrapper.sol
+++ b/packages/contracts/contracts/extensions/Forwarder/MixinExchangeWrapper.sol
@@ -155,8 +155,10 @@ contract MixinExchangeWrapper is
uint256 remainingMakerAssetFillAmount = safeSub(makerAssetFillAmount, totalFillResults.makerAssetFilledAmount);
// Convert the remaining amount of makerAsset to buy into remaining amount
- // of takerAsset to sell, assuming entire amount can be sold in the current order
- uint256 remainingTakerAssetFillAmount = getPartialAmountFloor(
+ // of takerAsset to sell, assuming entire amount can be sold in the current order.
+ // We round up because the exchange rate computed by fillOrder rounds in favor
+ // of the Maker. In this case we want to overestimate the amount of takerAsset.
+ uint256 remainingTakerAssetFillAmount = getPartialAmountCeil(
orders[i].takerAssetAmount,
orders[i].makerAssetAmount,
remainingMakerAssetFillAmount
@@ -224,7 +226,9 @@ contract MixinExchangeWrapper is
// Convert the remaining amount of ZRX to buy into remaining amount
// of WETH to sell, assuming entire amount can be sold in the current order.
- uint256 remainingWethSellAmount = getPartialAmountFloor(
+ // We round up because the exchange rate computed by fillOrder rounds in favor
+ // of the Maker. In this case we want to overestimate the amount of takerAsset.
+ uint256 remainingWethSellAmount = getPartialAmountCeil(
orders[i].takerAssetAmount,
safeSub(orders[i].makerAssetAmount, orders[i].takerFee), // our exchange rate after fees
remainingZrxBuyAmount
@@ -233,7 +237,7 @@ contract MixinExchangeWrapper is
// Attempt to sell the remaining amount of WETH.
FillResults memory singleFillResult = fillOrderNoThrow(
orders[i],
- safeAdd(remainingWethSellAmount, 1), // we add 1 wei to the fill amount to make up for rounding errors
+ remainingWethSellAmount,
signatures[i]
);
diff --git a/packages/contracts/test/extensions/forwarder.ts b/packages/contracts/test/extensions/forwarder.ts
index b76624fa9..c006be0fe 100644
--- a/packages/contracts/test/extensions/forwarder.ts
+++ b/packages/contracts/test/extensions/forwarder.ts
@@ -45,6 +45,7 @@ describe(ContractName.Forwarder, () => {
let weth: DummyERC20TokenContract;
let zrxToken: DummyERC20TokenContract;
+ let erc20TokenA: DummyERC20TokenContract;
let erc721Token: DummyERC721TokenContract;
let forwarderContract: ForwarderContract;
let wethContract: WETH9Contract;
@@ -77,7 +78,6 @@ describe(ContractName.Forwarder, () => {
erc20Wrapper = new ERC20Wrapper(provider, usedAddresses, owner);
const numDummyErc20ToDeploy = 3;
- let erc20TokenA;
[erc20TokenA, zrxToken] = await erc20Wrapper.deployDummyTokensAsync(
numDummyErc20ToDeploy,
constants.DUMMY_TOKEN_DECIMALS,
@@ -902,6 +902,269 @@ describe(ContractName.Forwarder, () => {
);
expect(forwarderEthBalance).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
+ it('Should buy slightly greater MakerAsset when exchange rate is rounded', async () => {
+ // The 0x Protocol contracts round the exchange rate in favor of the Maker.
+ // In this case, the taker must round up how much they're going to spend, which
+ // in turn increases the amount of MakerAsset being purchased.
+ // Example:
+ // The taker wants to buy 5 units of the MakerAsset at a rate of 3M/2T.
+ // For every 2 units of TakerAsset, the taker will receive 3 units of MakerAsset.
+ // To purchase 5 units, the taker must spend 10/3 = 3.33 units of TakerAssset.
+ // However, the Taker can only spend whole units.
+ // Spending floor(10/3) = 3 units will yield a profit of Floor(3*3/2) = Floor(4.5) = 4 units of MakerAsset.
+ // Spending ceil(10/3) = 4 units will yield a profit of Floor(4*3/2) = 6 units of MakerAsset.
+ //
+ // The forwarding contract will opt for the second option, which overbuys, to ensure the taker
+ // receives at least the amount of MakerAsset they requested.
+ //
+ // Construct test case using values from example above
+ orderWithoutFee = await orderFactory.newSignedOrderAsync({
+ makerAssetAmount: new BigNumber('30'),
+ takerAssetAmount: new BigNumber('20'),
+ makerAssetData: assetDataUtils.encodeERC20AssetData(erc20TokenA.address),
+ takerAssetData: assetDataUtils.encodeERC20AssetData(weth.address),
+ makerFee: new BigNumber(0),
+ takerFee: new BigNumber(0),
+ });
+ const ordersWithoutFee = [orderWithoutFee];
+ const feeOrders: SignedOrder[] = [];
+ const desiredMakerAssetFillAmount = new BigNumber('5');
+ const makerAssetFillAmount = new BigNumber('6');
+ const ethValue = new BigNumber('4');
+ // Execute test case
+ tx = await forwarderWrapper.marketBuyOrdersWithEthAsync(
+ ordersWithoutFee,
+ feeOrders,
+ desiredMakerAssetFillAmount,
+ {
+ value: ethValue,
+ from: takerAddress,
+ },
+ );
+ // Fetch end balances and construct expected outputs
+ const takerEthBalanceAfter = await web3Wrapper.getBalanceInWeiAsync(takerAddress);
+ const forwarderEthBalance = await web3Wrapper.getBalanceInWeiAsync(forwarderContract.address);
+ const newBalances = await erc20Wrapper.getBalancesAsync();
+ const primaryTakerAssetFillAmount = ethValue;
+ const totalEthSpent = primaryTakerAssetFillAmount.plus(gasPrice.times(tx.gasUsed));
+ // Validate test case
+ expect(makerAssetFillAmount).to.be.bignumber.greaterThan(desiredMakerAssetFillAmount);
+ expect(takerEthBalanceAfter).to.be.bignumber.equal(takerEthBalanceBefore.minus(totalEthSpent));
+ expect(newBalances[makerAddress][defaultMakerAssetAddress]).to.be.bignumber.equal(
+ erc20Balances[makerAddress][defaultMakerAssetAddress].minus(makerAssetFillAmount),
+ );
+ expect(newBalances[takerAddress][defaultMakerAssetAddress]).to.be.bignumber.equal(
+ erc20Balances[takerAddress][defaultMakerAssetAddress].plus(makerAssetFillAmount),
+ );
+ expect(newBalances[makerAddress][weth.address]).to.be.bignumber.equal(
+ erc20Balances[makerAddress][weth.address].plus(primaryTakerAssetFillAmount),
+ );
+ expect(newBalances[forwarderContract.address][weth.address]).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+ expect(newBalances[forwarderContract.address][defaultMakerAssetAddress]).to.be.bignumber.equal(
+ constants.ZERO_AMOUNT,
+ );
+ expect(forwarderEthBalance).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+ });
+ it('Should buy slightly greater MakerAsset when exchange rate is rounded, and MakerAsset is ZRX', async () => {
+ // See the test case above for a detailed description of this case.
+ // The difference here is that the MakerAsset is ZRX. We expect the same result as above,
+ // but this tests a different code path.
+ //
+ // Construct test case using values from example above
+ orderWithoutFee = await orderFactory.newSignedOrderAsync({
+ makerAssetAmount: new BigNumber('30'),
+ takerAssetAmount: new BigNumber('20'),
+ makerAssetData: zrxAssetData,
+ takerAssetData: assetDataUtils.encodeERC20AssetData(weth.address),
+ makerFee: new BigNumber(0),
+ takerFee: new BigNumber(0),
+ });
+ const ordersWithoutFee = [orderWithoutFee];
+ const feeOrders: SignedOrder[] = [];
+ const desiredMakerAssetFillAmount = new BigNumber('5');
+ const makerAssetFillAmount = new BigNumber('6');
+ const ethValue = new BigNumber('4');
+ // Execute test case
+ tx = await forwarderWrapper.marketBuyOrdersWithEthAsync(
+ ordersWithoutFee,
+ feeOrders,
+ desiredMakerAssetFillAmount,
+ {
+ value: ethValue,
+ from: takerAddress,
+ },
+ );
+ // Fetch end balances and construct expected outputs
+ const takerEthBalanceAfter = await web3Wrapper.getBalanceInWeiAsync(takerAddress);
+ const forwarderEthBalance = await web3Wrapper.getBalanceInWeiAsync(forwarderContract.address);
+ const newBalances = await erc20Wrapper.getBalancesAsync();
+ const primaryTakerAssetFillAmount = ethValue;
+ const totalEthSpent = primaryTakerAssetFillAmount.plus(gasPrice.times(tx.gasUsed));
+ // Validate test case
+ expect(makerAssetFillAmount).to.be.bignumber.greaterThan(desiredMakerAssetFillAmount);
+ expect(takerEthBalanceAfter).to.be.bignumber.equal(takerEthBalanceBefore.minus(totalEthSpent));
+ expect(newBalances[makerAddress][zrxToken.address]).to.be.bignumber.equal(
+ erc20Balances[makerAddress][zrxToken.address].minus(makerAssetFillAmount),
+ );
+ expect(newBalances[takerAddress][zrxToken.address]).to.be.bignumber.equal(
+ erc20Balances[takerAddress][zrxToken.address].plus(makerAssetFillAmount),
+ );
+ expect(newBalances[makerAddress][weth.address]).to.be.bignumber.equal(
+ erc20Balances[makerAddress][weth.address].plus(primaryTakerAssetFillAmount),
+ );
+ expect(newBalances[forwarderContract.address][weth.address]).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+ expect(forwarderEthBalance).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+ });
+ it('Should buy slightly greater MakerAsset when exchange rate is rounded (Regression Test)', async () => {
+ // Order taken from a transaction on mainnet that failed due to a rounding error.
+ orderWithoutFee = await orderFactory.newSignedOrderAsync({
+ makerAssetAmount: new BigNumber('268166666666666666666'),
+ takerAssetAmount: new BigNumber('219090625878836371'),
+ makerAssetData: assetDataUtils.encodeERC20AssetData(erc20TokenA.address),
+ takerAssetData: assetDataUtils.encodeERC20AssetData(weth.address),
+ makerFee: new BigNumber(0),
+ takerFee: new BigNumber(0),
+ });
+ const ordersWithoutFee = [orderWithoutFee];
+ const feeOrders: SignedOrder[] = [];
+ // The taker will receive more than the desired amount of makerAsset due to rounding
+ const desiredMakerAssetFillAmount = new BigNumber('5000000000000000000');
+ const ethValue = new BigNumber('4084971271824171');
+ const makerAssetFillAmount = ethValue
+ .times(orderWithoutFee.makerAssetAmount)
+ .dividedToIntegerBy(orderWithoutFee.takerAssetAmount);
+ // Execute test case
+ tx = await forwarderWrapper.marketBuyOrdersWithEthAsync(
+ ordersWithoutFee,
+ feeOrders,
+ desiredMakerAssetFillAmount,
+ {
+ value: ethValue,
+ from: takerAddress,
+ },
+ );
+ // Fetch end balances and construct expected outputs
+ const takerEthBalanceAfter = await web3Wrapper.getBalanceInWeiAsync(takerAddress);
+ const forwarderEthBalance = await web3Wrapper.getBalanceInWeiAsync(forwarderContract.address);
+ const newBalances = await erc20Wrapper.getBalancesAsync();
+ const primaryTakerAssetFillAmount = ethValue;
+ const totalEthSpent = primaryTakerAssetFillAmount.plus(gasPrice.times(tx.gasUsed));
+ // Validate test case
+ expect(makerAssetFillAmount).to.be.bignumber.greaterThan(desiredMakerAssetFillAmount);
+ expect(takerEthBalanceAfter).to.be.bignumber.equal(takerEthBalanceBefore.minus(totalEthSpent));
+ expect(newBalances[makerAddress][defaultMakerAssetAddress]).to.be.bignumber.equal(
+ erc20Balances[makerAddress][defaultMakerAssetAddress].minus(makerAssetFillAmount),
+ );
+ expect(newBalances[takerAddress][defaultMakerAssetAddress]).to.be.bignumber.equal(
+ erc20Balances[takerAddress][defaultMakerAssetAddress].plus(makerAssetFillAmount),
+ );
+ expect(newBalances[makerAddress][weth.address]).to.be.bignumber.equal(
+ erc20Balances[makerAddress][weth.address].plus(primaryTakerAssetFillAmount),
+ );
+ expect(newBalances[forwarderContract.address][weth.address]).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+ expect(newBalances[forwarderContract.address][defaultMakerAssetAddress]).to.be.bignumber.equal(
+ constants.ZERO_AMOUNT,
+ );
+ expect(forwarderEthBalance).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+ });
+ it('Should buy slightly greater MakerAsset when exchange rate is rounded, and MakerAsset is ZRX (Regression Test)', async () => {
+ // Order taken from a transaction on mainnet that failed due to a rounding error.
+ orderWithoutFee = await orderFactory.newSignedOrderAsync({
+ makerAssetAmount: new BigNumber('268166666666666666666'),
+ takerAssetAmount: new BigNumber('219090625878836371'),
+ makerAssetData: zrxAssetData,
+ takerAssetData: assetDataUtils.encodeERC20AssetData(weth.address),
+ makerFee: new BigNumber(0),
+ takerFee: new BigNumber(0),
+ });
+ const ordersWithoutFee = [orderWithoutFee];
+ const feeOrders: SignedOrder[] = [];
+ // The taker will receive more than the desired amount of makerAsset due to rounding
+ const desiredMakerAssetFillAmount = new BigNumber('5000000000000000000');
+ const ethValue = new BigNumber('4084971271824171');
+ const makerAssetFillAmount = ethValue
+ .times(orderWithoutFee.makerAssetAmount)
+ .dividedToIntegerBy(orderWithoutFee.takerAssetAmount);
+ // Execute test case
+ tx = await forwarderWrapper.marketBuyOrdersWithEthAsync(
+ ordersWithoutFee,
+ feeOrders,
+ desiredMakerAssetFillAmount,
+ {
+ value: ethValue,
+ from: takerAddress,
+ },
+ );
+ // Fetch end balances and construct expected outputs
+ const takerEthBalanceAfter = await web3Wrapper.getBalanceInWeiAsync(takerAddress);
+ const forwarderEthBalance = await web3Wrapper.getBalanceInWeiAsync(forwarderContract.address);
+ const newBalances = await erc20Wrapper.getBalancesAsync();
+ const primaryTakerAssetFillAmount = ethValue;
+ const totalEthSpent = primaryTakerAssetFillAmount.plus(gasPrice.times(tx.gasUsed));
+ // Validate test case
+ expect(makerAssetFillAmount).to.be.bignumber.greaterThan(desiredMakerAssetFillAmount);
+ expect(takerEthBalanceAfter).to.be.bignumber.equal(takerEthBalanceBefore.minus(totalEthSpent));
+ expect(newBalances[makerAddress][zrxToken.address]).to.be.bignumber.equal(
+ erc20Balances[makerAddress][zrxToken.address].minus(makerAssetFillAmount),
+ );
+ expect(newBalances[takerAddress][zrxToken.address]).to.be.bignumber.equal(
+ erc20Balances[takerAddress][zrxToken.address].plus(makerAssetFillAmount),
+ );
+ expect(newBalances[makerAddress][weth.address]).to.be.bignumber.equal(
+ erc20Balances[makerAddress][weth.address].plus(primaryTakerAssetFillAmount),
+ );
+ expect(newBalances[forwarderContract.address][weth.address]).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+ expect(forwarderEthBalance).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+ });
+ it('Should buy correct MakerAsset when exchange rate is NOT rounded, and MakerAsset is ZRX (Regression Test)', async () => {
+ // An extra unit of TakerAsset was sent to the exchange contract to account for rounding errors, in Forwarder v1.
+ // Specifically, the takerFillAmount was calculated using Floor(desiredMakerAmount * exchangeRate) + 1
+ // We have since changed this to be Ceil(desiredMakerAmount * exchangeRate)
+ // These calculations produce different results when `desiredMakerAmount * exchangeRate` is an integer.
+ //
+ // This test verifies that `ceil` is sufficient:
+ // Let TakerAssetAmount = MakerAssetAmount * 2
+ // -> exchangeRate = TakerAssetAmount / MakerAssetAmount = (2*MakerAssetAmount)/MakerAssetAmount = 2
+ // .: desiredMakerAmount * exchangeRate is an integer.
+ //
+ // Construct test case using values from example above
+ orderWithoutFee = await orderFactory.newSignedOrderAsync({
+ makerAssetAmount: new BigNumber('30'),
+ takerAssetAmount: new BigNumber('60'),
+ makerAssetData: zrxAssetData,
+ takerAssetData: assetDataUtils.encodeERC20AssetData(weth.address),
+ makerFee: new BigNumber(0),
+ takerFee: new BigNumber(0),
+ });
+ const ordersWithoutFee = [orderWithoutFee];
+ const feeOrders: SignedOrder[] = [];
+ const makerAssetFillAmount = new BigNumber('5');
+ const ethValue = new BigNumber('10');
+ // Execute test case
+ tx = await forwarderWrapper.marketBuyOrdersWithEthAsync(ordersWithoutFee, feeOrders, makerAssetFillAmount, {
+ value: ethValue,
+ from: takerAddress,
+ });
+ // Fetch end balances and construct expected outputs
+ const takerEthBalanceAfter = await web3Wrapper.getBalanceInWeiAsync(takerAddress);
+ const forwarderEthBalance = await web3Wrapper.getBalanceInWeiAsync(forwarderContract.address);
+ const newBalances = await erc20Wrapper.getBalancesAsync();
+ const primaryTakerAssetFillAmount = ethValue;
+ const totalEthSpent = primaryTakerAssetFillAmount.plus(gasPrice.times(tx.gasUsed));
+ // Validate test case
+ expect(takerEthBalanceAfter).to.be.bignumber.equal(takerEthBalanceBefore.minus(totalEthSpent));
+ expect(newBalances[makerAddress][zrxToken.address]).to.be.bignumber.equal(
+ erc20Balances[makerAddress][zrxToken.address].minus(makerAssetFillAmount),
+ );
+ expect(newBalances[takerAddress][zrxToken.address]).to.be.bignumber.equal(
+ erc20Balances[takerAddress][zrxToken.address].plus(makerAssetFillAmount),
+ );
+ expect(newBalances[makerAddress][weth.address]).to.be.bignumber.equal(
+ erc20Balances[makerAddress][weth.address].plus(primaryTakerAssetFillAmount),
+ );
+ expect(newBalances[forwarderContract.address][weth.address]).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+ expect(forwarderEthBalance).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+ });
});
describe('marketBuyOrdersWithEth with extra fees', () => {
it('should buy an asset and send fee to feeRecipient', async () => {
diff --git a/packages/contracts/test/utils/forwarder_wrapper.ts b/packages/contracts/test/utils/forwarder_wrapper.ts
index f1a64d47d..a0bfcfe1d 100644
--- a/packages/contracts/test/utils/forwarder_wrapper.ts
+++ b/packages/contracts/test/utils/forwarder_wrapper.ts
@@ -26,9 +26,12 @@ export class ForwarderWrapper {
_.forEach(feeOrders, feeOrder => {
const feeAvailable = feeOrder.makerAssetAmount.minus(feeOrder.takerFee);
if (!remainingFeeAmount.isZero() && feeAvailable.gt(remainingFeeAmount)) {
- wethAmount = wethAmount
- .plus(feeOrder.takerAssetAmount.times(remainingFeeAmount).dividedToIntegerBy(feeAvailable))
- .plus(1);
+ wethAmount = wethAmount.plus(
+ feeOrder.takerAssetAmount
+ .times(remainingFeeAmount)
+ .dividedBy(feeAvailable)
+ .ceil(),
+ );
remainingFeeAmount = new BigNumber(0);
} else if (!remainingFeeAmount.isZero()) {
wethAmount = wethAmount.plus(feeOrder.takerAssetAmount);