Calculate min and max rates in buy quote

1 files changed, 43 insertions, 19 deletions

diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
index e05ab1e55..52cecf8ad 100644
--- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -1,5 +1,6 @@
 import { marketUtils } from '@0xproject/order-utils';
 import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
 
 import { constants } from '../constants';
 import { AssetBuyerError, AssetBuyerOrdersAndFillableAmounts, BuyQuote } from '../types';
@@ -18,41 +19,64 @@ export const buyQuoteCalculator = {
             remainingFillableFeeAmounts,
         } = ordersAndFillableAmounts;
         const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
-        const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
-            orders,
-            assetBuyAmount,
-            {
-                remainingFillableMakerAssetAmounts,
-                slippageBufferAmount,
-            },
-        );
+        const {
+            resultOrders,
+            remainingFillAmount,
+            ordersRemainingFillableMakerAssetAmounts,
+        } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(orders, assetBuyAmount, {
+            remainingFillableMakerAssetAmounts,
+            slippageBufferAmount,
+        });
         if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
             throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
         }
         // TODO: optimization
         // update this logic to find the minimum amount of feeOrders to cover the worst case as opposed to
         // finding order that cover all fees, this will help with estimating ETH and minimizing gas usage
-        const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
-            resultOrders,
-            feeOrders,
-            {
-                remainingFillableMakerAssetAmounts,
-                remainingFillableFeeAmounts,
-            },
-        );
+        const {
+            resultFeeOrders,
+            remainingFeeAmount,
+            feeOrdersRemainingFillableMakerAssetAmounts,
+        } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(resultOrders, feeOrders, {
+            remainingFillableMakerAssetAmounts,
+            remainingFillableFeeAmounts,
+        });
         if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
             throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
         }
         const assetData = orders[0].makerAssetData;
-        // TODO: critical
+
         // calculate minRate and maxRate by calculating min and max eth usage and then dividing into
         // assetBuyAmount to get assetData / WETH, needs to take into account feePercentage as well
+        // minEthAmount = (sum(takerAssetAmount[i]) until sum(makerAssetAmount[i]) >= assetBuyAmount ) * (1 + feePercentage)
+        // maxEthAmount = (sum(takerAssetAmount[i]) until i == orders.length) * (1 + feePercentage)
+        const allOrders = _.concat(resultOrders, resultFeeOrders);
+        const allRemainingAmounts = _.concat(
+            ordersRemainingFillableMakerAssetAmounts,
+            feeOrdersRemainingFillableMakerAssetAmounts,
+        );
+        let minEthAmount = constants.ZERO_AMOUNT;
+        let maxEthAmount = constants.ZERO_AMOUNT;
+        let cumulativeMakerAmount = constants.ZERO_AMOUNT;
+        _.forEach(allOrders, (order, index) => {
+            const remainingFillableMakerAssetAmount = allRemainingAmounts[index];
+            const orderRate = order.takerAssetAmount.div(order.makerAssetAmount);
+            const claimableTakerAssetAmount = orderRate.mul(remainingFillableMakerAssetAmount);
+            // taker asset is always assumed to be WETH
+            maxEthAmount = maxEthAmount.plus(claimableTakerAssetAmount);
+            if (cumulativeMakerAmount.lessThan(assetBuyAmount)) {
+                minEthAmount = minEthAmount.plus(claimableTakerAssetAmount);
+            }
+            cumulativeMakerAmount = cumulativeMakerAmount.plus(remainingFillableMakerAssetAmount);
+        });
+        const feeAdjustedMinRate = minEthAmount.mul(feePercentage + 1).div(assetBuyAmount);
+        const feeAdjustedMaxRate = minEthAmount.mul(feePercentage + 1).div(assetBuyAmount);
         return {
             assetData,
             orders: resultOrders,
             feeOrders: resultFeeOrders,
-            minRate: constants.ZERO_AMOUNT,
-            maxRate: constants.ZERO_AMOUNT,
+            minRate: feeAdjustedMinRate,
+            maxRate: feeAdjustedMaxRate,
             assetBuyAmount,
             feePercentage,
         };