aboutsummaryrefslogtreecommitdiffstats
path: root/packages/asset-buyer/src/utils
diff options
context:
space:
mode:
authorBrandon Millman <brandon.millman@gmail.com>2018-10-04 04:23:48 +0800
committerBrandon Millman <brandon.millman@gmail.com>2018-10-04 05:51:24 +0800
commit57b4396193b731d97f73f4e3648a8dbdc1f589ac (patch)
tree43bc84a69dab3b8d37a2cce345bbf5f52911a334 /packages/asset-buyer/src/utils
parenta21cf0ad830f7232e6323a99ad81f89e0886d0ba (diff)
downloaddexon-sol-tools-57b4396193b731d97f73f4e3648a8dbdc1f589ac.tar
dexon-sol-tools-57b4396193b731d97f73f4e3648a8dbdc1f589ac.tar.gz
dexon-sol-tools-57b4396193b731d97f73f4e3648a8dbdc1f589ac.tar.bz2
dexon-sol-tools-57b4396193b731d97f73f4e3648a8dbdc1f589ac.tar.lz
dexon-sol-tools-57b4396193b731d97f73f4e3648a8dbdc1f589ac.tar.xz
dexon-sol-tools-57b4396193b731d97f73f4e3648a8dbdc1f589ac.tar.zst
dexon-sol-tools-57b4396193b731d97f73f4e3648a8dbdc1f589ac.zip
Add buy_quote_calculator_test
Diffstat (limited to 'packages/asset-buyer/src/utils')
-rw-r--r--packages/asset-buyer/src/utils/buy_quote_calculator.ts147
1 files changed, 116 insertions, 31 deletions
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
index b706ea143..53f2228e9 100644
--- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -1,4 +1,4 @@
-import { marketUtils } from '@0xproject/order-utils';
+import { marketUtils, rateUtils } from '@0xproject/order-utils';
import { BigNumber } from '@0xproject/utils';
import * as _ from 'lodash';
@@ -21,6 +21,7 @@ export const buyQuoteCalculator = {
const feeOrders = feeOrdersAndFillableAmounts.orders;
const remainingFillableFeeAmounts = feeOrdersAndFillableAmounts.remainingFillableMakerAssetAmounts;
const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
+ // find the orders that cover the desired assetBuyAmount (with slippage)
const {
resultOrders,
remainingFillAmount,
@@ -29,9 +30,11 @@ export const buyQuoteCalculator = {
remainingFillableMakerAssetAmounts,
slippageBufferAmount,
});
+ // if we do not have enough orders to cover the desired assetBuyAmount, throw
if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
}
+ // given the orders calculated above, find the fee-orders that cover the desired assetBuyAmount (with slippage)
// TODO(bmillman): 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
@@ -40,49 +43,131 @@ export const buyQuoteCalculator = {
remainingFeeAmount,
feeOrdersRemainingFillableMakerAssetAmounts,
} = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(resultOrders, feeOrders, {
- remainingFillableMakerAssetAmounts,
+ remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts,
remainingFillableFeeAmounts,
});
+ // if we do not have enough feeOrders to cover the fees, throw
if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
}
+ // assetData information for the result
const assetData = orders[0].makerAssetData;
-
- // 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,
+ // compile the resulting trimmed set of orders for makerAsset and feeOrders that are needed for assetBuyAmount
+ const trimmedOrdersAndFillableAmounts: OrdersAndFillableAmounts = {
+ orders: resultOrders,
+ remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts,
+ };
+ const trimmedFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts = {
+ orders: resultFeeOrders,
+ remainingFillableMakerAssetAmounts: feeOrdersRemainingFillableMakerAssetAmounts,
+ };
+ const minRate = calculateRate(
+ trimmedOrdersAndFillableAmounts,
+ trimmedFeeOrdersAndFillableAmounts,
+ assetBuyAmount,
+ feePercentage,
+ );
+ // in order to calculate the maxRate, reverse the ordersAndFillableAmounts such that they are sorted from worst rate to best rate
+ const maxRate = calculateRate(
+ reverseOrdersAndFillableAmounts(trimmedOrdersAndFillableAmounts),
+ reverseOrdersAndFillableAmounts(trimmedFeeOrdersAndFillableAmounts),
+ assetBuyAmount,
+ feePercentage,
);
- let minEthAmount = constants.ZERO_AMOUNT;
- let maxEthAmount = constants.ZERO_AMOUNT;
- let cumulativeMakerAmount = constants.ZERO_AMOUNT;
- _.forEach(allOrders, (order, index) => {
- const remainingFillableMakerAssetAmount = allRemainingAmounts[index];
- const claimableTakerAssetAmount = orderUtils.calculateRemainingTakerAssetAmount(
- order,
- 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: feeAdjustedMinRate,
- maxRate: feeAdjustedMaxRate,
+ minRate,
+ maxRate,
assetBuyAmount,
feePercentage,
};
},
};
+
+function calculateRate(
+ ordersAndFillableAmounts: OrdersAndFillableAmounts,
+ feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
+ assetBuyAmount: BigNumber,
+ feePercentage: number,
+): BigNumber {
+ // find the total eth and zrx needed to buy assetAmount from the resultOrders from left to right (best rate to worst rate)
+ const [minEthAmountToBuyAsset, minZrxAmountToBuyAsset] = findEthAndZrxAmountNeededToBuyAsset(
+ ordersAndFillableAmounts,
+ assetBuyAmount,
+ );
+ // find the total eth needed to buy fees
+ const minEthAmountToBuyFees = findEthAmountNeededToBuyFees(feeOrdersAndFillableAmounts, minZrxAmountToBuyAsset);
+ const finalMinEthAmount = minEthAmountToBuyAsset.plus(minEthAmountToBuyFees).mul(feePercentage + 1);
+ // divide into the assetBuyAmount in order to find rate of makerAsset / WETH
+ const result = assetBuyAmount.div(finalMinEthAmount);
+ return result;
+}
+
+// given an OrdersAndFillableAmounts, reverse the orders and remainingFillableMakerAssetAmounts properties
+function reverseOrdersAndFillableAmounts(ordersAndFillableAmounts: OrdersAndFillableAmounts): OrdersAndFillableAmounts {
+ const ordersCopy = _.clone(ordersAndFillableAmounts.orders);
+ const remainingFillableMakerAssetAmountsCopy = _.clone(ordersAndFillableAmounts.remainingFillableMakerAssetAmounts);
+ return {
+ orders: ordersCopy.reverse(),
+ remainingFillableMakerAssetAmounts: remainingFillableMakerAssetAmountsCopy.reverse(),
+ };
+}
+
+function findEthAmountNeededToBuyFees(
+ feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
+ feeAmount: BigNumber,
+): BigNumber {
+ const { orders, remainingFillableMakerAssetAmounts } = feeOrdersAndFillableAmounts;
+ const result = _.reduce(
+ orders,
+ (acc, order, index) => {
+ const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
+ const amountToFill = BigNumber.min(acc.remainingFeeAmount, remainingFillableMakerAssetAmount);
+ const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfFeeOrder(order);
+ const ethAmountForThisOrder = feeAdjustedRate.mul(amountToFill);
+ return {
+ ethAmount: acc.ethAmount.plus(ethAmountForThisOrder),
+ remainingFeeAmount: BigNumber.max(constants.ZERO_AMOUNT, acc.remainingFeeAmount.minus(amountToFill)),
+ };
+ },
+ {
+ ethAmount: constants.ZERO_AMOUNT,
+ remainingFeeAmount: feeAmount,
+ },
+ );
+ return result.ethAmount;
+}
+
+function findEthAndZrxAmountNeededToBuyAsset(
+ ordersAndFillableAmounts: OrdersAndFillableAmounts,
+ assetBuyAmount: BigNumber,
+): [BigNumber, BigNumber] {
+ const { orders, remainingFillableMakerAssetAmounts } = ordersAndFillableAmounts;
+ const result = _.reduce(
+ orders,
+ (acc, order, index) => {
+ const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
+ const amountToFill = BigNumber.min(acc.remainingAssetBuyAmount, remainingFillableMakerAssetAmount);
+ const ethAmountForThisOrder = amountToFill
+ .mul(order.takerAssetAmount)
+ .dividedToIntegerBy(order.makerAssetAmount);
+ const zrxAmountForThisOrder = amountToFill.mul(order.takerFee).dividedToIntegerBy(order.makerAssetAmount);
+ return {
+ ethAmount: acc.ethAmount.plus(ethAmountForThisOrder),
+ zrxAmount: acc.ethAmount.plus(zrxAmountForThisOrder),
+ remainingAssetBuyAmount: BigNumber.max(
+ constants.ZERO_AMOUNT,
+ acc.remainingAssetBuyAmount.minus(amountToFill),
+ ),
+ };
+ },
+ {
+ ethAmount: constants.ZERO_AMOUNT,
+ zrxAmount: constants.ZERO_AMOUNT,
+ remainingAssetBuyAmount: assetBuyAmount,
+ },
+ );
+ return [result.ethAmount, result.zrxAmount];
+}