aboutsummaryrefslogtreecommitdiffstats
diff options
context:
space:
mode:
authorJacob Evans <jacob@dekz.net>2017-11-22 07:43:38 +0800
committerJacob Evans <jacob@dekz.net>2017-11-22 07:43:38 +0800
commit15628a1206d3d694d6d6852157a4e7f2fa799017 (patch)
tree3bc4002661752b5de5091ad81be8a97774a50fdb
parenta1411e3d52c7692949b9693c0e7a3813e51a4bdb (diff)
downloaddexon-sol-tools-15628a1206d3d694d6d6852157a4e7f2fa799017.tar
dexon-sol-tools-15628a1206d3d694d6d6852157a4e7f2fa799017.tar.gz
dexon-sol-tools-15628a1206d3d694d6d6852157a4e7f2fa799017.tar.bz2
dexon-sol-tools-15628a1206d3d694d6d6852157a4e7f2fa799017.tar.lz
dexon-sol-tools-15628a1206d3d694d6d6852157a4e7f2fa799017.tar.xz
dexon-sol-tools-15628a1206d3d694d6d6852157a4e7f2fa799017.tar.zst
dexon-sol-tools-15628a1206d3d694d6d6852157a4e7f2fa799017.zip
Add a test for when the ratio is < 1
-rw-r--r--packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts98
-rw-r--r--packages/0x.js/test/remaining_fillable_calculator_test.ts58
2 files changed, 104 insertions, 52 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 8141dd73c..b98ef3240 100644
--- a/packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts
+++ b/packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts
@@ -1,71 +1,83 @@
-import {
- SignedOrder,
-} from '../types';
-import { BigNumber } from 'bignumber.js';
+import {SignedOrder} from '../types';
+import {BigNumber} from 'bignumber.js';
+
export class RemainingFillableCalculator {
- private _signedOrder: SignedOrder;
- private _isMakerTokenZRX: boolean;
- private _transferrableMakerTokenAmount: BigNumber;
- private _transferrableMakerFeeTokenAmount: BigNumber;
- private _remainingMakerTokenAmount: BigNumber;
- private _remainingMakerFeeAmount: BigNumber;
+ private signedOrder: SignedOrder;
+ private isMakerTokenZRX: boolean;
+ // Transferrable Amount is the minimum of Approval and Balance
+ private transferrableMakerTokenAmount: BigNumber;
+ private transferrableMakerFeeTokenAmount: BigNumber;
+ private remainingMakerTokenAmount: BigNumber;
+ private remainingMakerFeeAmount: BigNumber;
constructor(signedOrder: SignedOrder,
isMakerTokenZRX: boolean,
transferrableMakerTokenAmount: BigNumber,
transferrableMakerFeeTokenAmount: BigNumber,
remainingMakerTokenAmount: BigNumber) {
- this._signedOrder = signedOrder;
- this._isMakerTokenZRX = isMakerTokenZRX;
- this._transferrableMakerTokenAmount = transferrableMakerTokenAmount;
- this._transferrableMakerFeeTokenAmount = transferrableMakerFeeTokenAmount;
- this._remainingMakerTokenAmount = remainingMakerTokenAmount;
- this._remainingMakerFeeAmount = remainingMakerTokenAmount.times(signedOrder.makerFee)
- .dividedToIntegerBy(signedOrder.makerTokenAmount);
+ this.signedOrder = signedOrder;
+ this.isMakerTokenZRX = isMakerTokenZRX;
+ this.transferrableMakerTokenAmount = transferrableMakerTokenAmount;
+ this.transferrableMakerFeeTokenAmount = transferrableMakerFeeTokenAmount;
+ this.remainingMakerTokenAmount = remainingMakerTokenAmount;
+ this.remainingMakerFeeAmount = remainingMakerTokenAmount.times(signedOrder.makerFee)
+ .dividedToIntegerBy(signedOrder.makerTokenAmount);
}
public computeRemainingMakerFillable(): BigNumber {
if (this.hasSufficientFundsForFeeAndTransferAmount()) {
- return this._remainingMakerTokenAmount;
+ return this.remainingMakerTokenAmount;
}
- if (this._signedOrder.makerFee.isZero()) {
- return BigNumber.min(this._remainingMakerTokenAmount, this._transferrableMakerTokenAmount);
- } else {
- return this.calculatePartiallyFillableMakerTokenAmount();
+ if (this.signedOrder.makerFee.isZero()) {
+ return BigNumber.min(this.remainingMakerTokenAmount, this.transferrableMakerTokenAmount);
}
+ return this.calculatePartiallyFillableMakerTokenAmount();
}
public computeRemainingTakerFillable(): BigNumber {
- return this.computeRemainingMakerFillable().times(this._signedOrder.takerTokenAmount)
- .dividedToIntegerBy(this._signedOrder.makerTokenAmount);
+ return this.computeRemainingMakerFillable().times(this.signedOrder.takerTokenAmount)
+ .dividedToIntegerBy(this.signedOrder.makerTokenAmount);
}
private hasSufficientFundsForFeeAndTransferAmount(): boolean {
- if (this._isMakerTokenZRX) {
- const totalZRXTransferAmountRequired = this._remainingMakerTokenAmount.plus(this._remainingMakerFeeAmount);
- return this._transferrableMakerTokenAmount.gte(totalZRXTransferAmountRequired);
+ if (this.isMakerTokenZRX) {
+ const totalZRXTransferAmountRequired = this.remainingMakerTokenAmount.plus(this.remainingMakerFeeAmount);
+ const hasSufficientFunds = this.transferrableMakerTokenAmount.greaterThanOrEqualTo(
+ totalZRXTransferAmountRequired);
+ return hasSufficientFunds;
} else {
- const hasSufficientFundsForTransferAmount = this._transferrableMakerTokenAmount.gte(
- this._remainingMakerTokenAmount);
- const hasSufficientFundsForFeeAmount = this._transferrableMakerFeeTokenAmount.gte(
- this._remainingMakerFeeAmount);
- return (hasSufficientFundsForTransferAmount && hasSufficientFundsForFeeAmount);
+ const hasSufficientFundsForTransferAmount = this.transferrableMakerTokenAmount.greaterThanOrEqualTo(
+ this.remainingMakerTokenAmount);
+ const hasSufficientFundsForFeeAmount = this.transferrableMakerFeeTokenAmount.greaterThanOrEqualTo(
+ this.remainingMakerFeeAmount);
+ const hasSufficientFunds = hasSufficientFundsForTransferAmount && hasSufficientFundsForFeeAmount;
+ return hasSufficientFunds;
}
}
-
private calculatePartiallyFillableMakerTokenAmount(): BigNumber {
- const orderToFeeRatio = this._signedOrder.makerTokenAmount.dividedToIntegerBy(this._signedOrder.makerFee);
+ // The number of times the maker can fill the order, if each fill only required the transfer of a single
+ // baseUnit of fee tokens.
+ // Given an order for 200 wei for 2 ZRXwei fee, find 100 wei for 1 ZRXwei. Order ratio is then 100:1
+ const orderToFeeRatio = this.signedOrder.makerTokenAmount.dividedBy(this.signedOrder.makerFee);
// Maximum number of times the Maker can fill the order, given the fees
- const fillableTimesInFeeTokenUnits = BigNumber.min(this._transferrableMakerFeeTokenAmount,
- this._remainingMakerFeeAmount);
+ // Given 2 ZRXwei, the maximum amount of times Maker can fill this order, in terms of fees, is 2
+ const fillableTimesInFeeTokenBaseUnits = 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) {
- const totalZRXTokenPooled = this._transferrableMakerTokenAmount;
+ // Assuming a balance of 150 wei, maker can fill this order 1 time.
+ let fillableTimesInMakerTokenUnits = this.transferrableMakerTokenAmount.dividedBy(orderToFeeRatio);
+ if (this.isMakerTokenZRX) {
+ // If ZRX is the maker token, the Fee and the Maker amount need to be removed from the same pool;
+ // 200 ZRXwei for 2ZRXwei fee can only be filled once (need 202 ZRXwei)
+ const totalZRXTokenPooled = this.transferrableMakerTokenAmount;
// 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(
+ fillableTimesInMakerTokenUnits = totalZRXTokenPooled.dividedBy(
orderToFeeRatio.plus(new BigNumber(1)));
}
- const partiallyFillableMakerTokenAmount = fillableTimesInMakerTokenUnits.times(orderToFeeRatio);
- const partiallyFillableFeeTokenAmount = fillableTimesInFeeTokenUnits.times(orderToFeeRatio);
- return BigNumber.min(partiallyFillableMakerTokenAmount, partiallyFillableFeeTokenAmount);
+ // When Ratio is not fully divisible there can be remainders which cannot be represented, so they are floored.
+ // This can result in a RoundingError being thrown by the Exchange Contract.
+ const partiallyFillableMakerTokenAmount = fillableTimesInMakerTokenUnits.times(orderToFeeRatio).floor();
+ const partiallyFillableFeeTokenAmount = fillableTimesInFeeTokenBaseUnits.times(orderToFeeRatio).floor();
+ const partiallyFillableAmount = BigNumber.min(partiallyFillableMakerTokenAmount,
+ partiallyFillableFeeTokenAmount);
+ return partiallyFillableAmount;
}
}
diff --git a/packages/0x.js/test/remaining_fillable_calculator_test.ts b/packages/0x.js/test/remaining_fillable_calculator_test.ts
index 0b1f517fa..65b65efd8 100644
--- a/packages/0x.js/test/remaining_fillable_calculator_test.ts
+++ b/packages/0x.js/test/remaining_fillable_calculator_test.ts
@@ -18,7 +18,7 @@ describe('RemainingFillableCalculator', () => {
let remainingMakerTokenAmount: BigNumber;
let makerAmount: BigNumber;
let takerAmount: BigNumber;
- let makerFee: BigNumber;
+ let makerFeeAmount: BigNumber;
let isMakerTokenZRX: boolean;
const makerToken: string = '0x1';
const takerToken: string = '0x2';
@@ -27,9 +27,9 @@ describe('RemainingFillableCalculator', () => {
const zeroAddress = '0x0';
const signature: ECSignature = { v: 27, r: '', s: ''};
beforeEach(async () => {
- [makerAmount, takerAmount, makerFee] = [ZeroEx.toBaseUnitAmount(new BigNumber(50), decimals),
- ZeroEx.toBaseUnitAmount(new BigNumber(5), decimals),
- ZeroEx.toBaseUnitAmount(new BigNumber(1), decimals)];
+ [makerAmount, takerAmount, makerFeeAmount] = [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), decimals),
ZeroEx.toBaseUnitAmount(new BigNumber(5), decimals)];
@@ -40,7 +40,7 @@ describe('RemainingFillableCalculator', () => {
feeRecipient: zeroAddress,
maker: zeroAddress,
taker: zeroAddress,
- makerFee: (makerFee || zero),
+ makerFee: makerFeeAmount,
takerFee: zero,
makerTokenAmount: makerAmount,
takerTokenAmount: takerAmount,
@@ -84,6 +84,45 @@ describe('RemainingFillableCalculator', () => {
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(transferrableMakerTokenAmount);
});
+ describe('Order to Fee Ratio is < 1', () => {
+ beforeEach(async () => {
+ [makerAmount, takerAmount, makerFeeAmount] = [ZeroEx.toBaseUnitAmount(new BigNumber(3), decimals),
+ ZeroEx.toBaseUnitAmount(new BigNumber(6), decimals),
+ ZeroEx.toBaseUnitAmount(new BigNumber(6), decimals)];
+ });
+ it('calculates the correct amount when funds unavailable', () => {
+ signedOrder = buildSignedOrder();
+ remainingMakerTokenAmount = signedOrder.makerTokenAmount;
+ const transferredAmount = ZeroEx.toBaseUnitAmount(new BigNumber(2), decimals);
+ transferrableMakerTokenAmount = remainingMakerTokenAmount.minus(transferredAmount);
+ calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
+ transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount,
+ remainingMakerTokenAmount);
+ expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(transferrableMakerTokenAmount);
+ });
+ });
+ describe('Ratio is not evenly divisble', () => {
+ beforeEach(async () => {
+ [makerAmount, takerAmount, makerFeeAmount] = [ZeroEx.toBaseUnitAmount(new BigNumber(3), decimals),
+ ZeroEx.toBaseUnitAmount(new BigNumber(7), decimals),
+ ZeroEx.toBaseUnitAmount(new BigNumber(7), decimals)];
+ });
+ it('calculates the correct amount when funds unavailable', () => {
+ signedOrder = buildSignedOrder();
+ remainingMakerTokenAmount = signedOrder.makerTokenAmount;
+ const transferredAmount = ZeroEx.toBaseUnitAmount(new BigNumber(2), decimals);
+ transferrableMakerTokenAmount = remainingMakerTokenAmount.minus(transferredAmount);
+ calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
+ transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount,
+ remainingMakerTokenAmount);
+ const calculatedFillableAmount = calculator.computeRemainingMakerFillable();
+ expect(calculatedFillableAmount.lessThanOrEqualTo(transferrableMakerTokenAmount)).to.be.true();
+ expect(calculatedFillableAmount).to.be.bignumber.greaterThan(new BigNumber(0));
+ const orderToFeeRatio = signedOrder.makerTokenAmount.dividedBy(signedOrder.makerFee);
+ const calculatedFeeAmount = calculatedFillableAmount.dividedBy(orderToFeeRatio);
+ expect(calculatedFeeAmount).to.be.bignumber.lessThan(transferrableMakerFeeTokenAmount);
+ });
+ });
});
describe('Maker Token is ZRX', () => {
before(async () => {
@@ -91,7 +130,7 @@ describe('RemainingFillableCalculator', () => {
});
it('calculates the correct amount when unfilled and funds available', () => {
signedOrder = buildSignedOrder();
- transferrableMakerTokenAmount = makerAmount.plus(makerFee);
+ transferrableMakerTokenAmount = makerAmount.plus(makerFeeAmount);
transferrableMakerFeeTokenAmount = transferrableMakerTokenAmount;
remainingMakerTokenAmount = signedOrder.makerTokenAmount;
calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
@@ -122,15 +161,16 @@ describe('RemainingFillableCalculator', () => {
transferrableMakerFeeTokenAmount = transferrableMakerTokenAmount;
const orderToFeeRatio = signedOrder.makerTokenAmount.dividedToIntegerBy(signedOrder.makerFee);
- const expectedFillableAmount = new BigNumber(450950);
- const numberOfFillsInRatio = expectedFillableAmount.dividedToIntegerBy(orderToFeeRatio);
+ const expectedFillableAmount = new BigNumber(450980);
calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
const calculatedFillableAmount = calculator.computeRemainingMakerFillable();
+ const numberOfFillsInRatio = calculatedFillableAmount.dividedToIntegerBy(orderToFeeRatio);
const calculatedFillableAmountPlusFees = calculatedFillableAmount.plus(numberOfFillsInRatio);
- expect(calculatedFillableAmount).to.be.bignumber.equal(expectedFillableAmount);
expect(calculatedFillableAmountPlusFees).to.be.bignumber.lessThan(transferrableMakerTokenAmount);
expect(calculatedFillableAmountPlusFees).to.be.bignumber.lessThan(remainingMakerTokenAmount);
+ expect(calculatedFillableAmount).to.be.bignumber.equal(expectedFillableAmount);
+ expect(numberOfFillsInRatio.decimalPlaces()).to.be.equal(0);
});
});
});