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authorFabio Berger <me@fabioberger.com>2018-10-05 01:59:55 +0800
committerFabio Berger <me@fabioberger.com>2018-10-05 01:59:55 +0800
commit3991e66a58f28dbed5e75f74ef4aaaf6bb3a4d3e (patch)
tree87bda5d41b34973960ec230dfb9320e54aea6588 /packages/asset-buyer/src/utils
parente7ab9938ce5bde17600130584fc75bc8a45f6dc5 (diff)
parent2da7626b5356f7b0ec809719f1b9da14b2969a07 (diff)
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merge developmemnt
Diffstat (limited to 'packages/asset-buyer/src/utils')
-rw-r--r--packages/asset-buyer/src/utils/buy_quote_calculator.ts15
-rw-r--r--packages/asset-buyer/src/utils/order_provider_response_processor.ts76
2 files changed, 30 insertions, 61 deletions
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
index 9946924ef..b706ea143 100644
--- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -3,24 +3,23 @@ import { BigNumber } from '@0xproject/utils';
import * as _ from 'lodash';
import { constants } from '../constants';
-import { AssetBuyerError, AssetBuyerOrdersAndFillableAmounts, BuyQuote } from '../types';
+import { AssetBuyerError, BuyQuote, OrdersAndFillableAmounts } from '../types';
import { orderUtils } from './order_utils';
// Calculates a buy quote for orders that have WETH as the takerAsset
export const buyQuoteCalculator = {
calculate(
- ordersAndFillableAmounts: AssetBuyerOrdersAndFillableAmounts,
+ ordersAndFillableAmounts: OrdersAndFillableAmounts,
+ feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
assetBuyAmount: BigNumber,
feePercentage: number,
slippagePercentage: number,
): BuyQuote {
- const {
- orders,
- feeOrders,
- remainingFillableMakerAssetAmounts,
- remainingFillableFeeAmounts,
- } = ordersAndFillableAmounts;
+ const orders = ordersAndFillableAmounts.orders;
+ const remainingFillableMakerAssetAmounts = ordersAndFillableAmounts.remainingFillableMakerAssetAmounts;
+ const feeOrders = feeOrdersAndFillableAmounts.orders;
+ const remainingFillableFeeAmounts = feeOrdersAndFillableAmounts.remainingFillableMakerAssetAmounts;
const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
const {
resultOrders,
diff --git a/packages/asset-buyer/src/utils/order_provider_response_processor.ts b/packages/asset-buyer/src/utils/order_provider_response_processor.ts
index 31fdcc182..74eec162d 100644
--- a/packages/asset-buyer/src/utils/order_provider_response_processor.ts
+++ b/packages/asset-buyer/src/utils/order_provider_response_processor.ts
@@ -8,19 +8,14 @@ import * as _ from 'lodash';
import { constants } from '../constants';
import {
AssetBuyerError,
- AssetBuyerOrdersAndFillableAmounts,
OrderProviderRequest,
OrderProviderResponse,
+ OrdersAndFillableAmounts,
SignedOrderWithRemainingFillableMakerAssetAmount,
} from '../types';
import { orderUtils } from './order_utils';
-interface OrdersAndRemainingFillableMakerAssetAmounts {
- orders: SignedOrder[];
- remainingFillableMakerAssetAmounts: BigNumber[];
-}
-
export const orderProviderResponseProcessor = {
throwIfInvalidResponse(response: OrderProviderResponse, request: OrderProviderRequest): void {
const { makerAssetData, takerAssetData } = request;
@@ -38,65 +33,40 @@ export const orderProviderResponseProcessor = {
* - Sort by rate
*/
async processAsync(
- targetOrderProviderResponse: OrderProviderResponse,
- feeOrderProviderResponse: OrderProviderResponse,
- zrxTokenAssetData: string,
+ orderProviderResponse: OrderProviderResponse,
+ isMakerAssetZrxToken: boolean,
expiryBufferSeconds: number,
orderValidator?: OrderValidatorWrapper,
- ): Promise<AssetBuyerOrdersAndFillableAmounts> {
+ ): Promise<OrdersAndFillableAmounts> {
// drop orders that are expired or not open
- const filteredTargetOrders = filterOutExpiredAndNonOpenOrders(
- targetOrderProviderResponse.orders,
- expiryBufferSeconds,
- );
- const filteredFeeOrders = filterOutExpiredAndNonOpenOrders(
- feeOrderProviderResponse.orders,
- expiryBufferSeconds,
- );
+ const filteredOrders = filterOutExpiredAndNonOpenOrders(orderProviderResponse.orders, expiryBufferSeconds);
// set the orders to be sorted equal to the filtered orders
- let unsortedTargetOrders = filteredTargetOrders;
- let unsortedFeeOrders = filteredFeeOrders;
+ let unsortedOrders = filteredOrders;
// if an orderValidator is provided, use on chain information to calculate remaining fillable makerAsset amounts
if (!_.isUndefined(orderValidator)) {
// TODO(bmillman): improvement
- // try/catch these requests and throw a more domain specific error
- // TODO(bmillman): optimization
- // reduce this to once RPC call buy combining orders into one array and then splitting up the response
- const [targetOrdersAndTradersInfo, feeOrdersAndTradersInfo] = await Promise.all(
- _.map([filteredTargetOrders, filteredFeeOrders], ordersToBeValidated => {
- const takerAddresses = _.map(ordersToBeValidated, () => constants.NULL_ADDRESS);
- return orderValidator.getOrdersAndTradersInfoAsync(ordersToBeValidated, takerAddresses);
- }),
- );
- // take orders + on chain information and find the valid orders and remaining fillable maker asset amounts
- unsortedTargetOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
- filteredTargetOrders,
- targetOrdersAndTradersInfo,
- zrxTokenAssetData,
+ // try/catch this request and throw a more domain specific error
+ const takerAddresses = _.map(filteredOrders, () => constants.NULL_ADDRESS);
+ const ordersAndTradersInfo = await orderValidator.getOrdersAndTradersInfoAsync(
+ filteredOrders,
+ takerAddresses,
);
// take orders + on chain information and find the valid orders and remaining fillable maker asset amounts
- unsortedFeeOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
- filteredFeeOrders,
- feeOrdersAndTradersInfo,
- zrxTokenAssetData,
+ unsortedOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
+ filteredOrders,
+ ordersAndTradersInfo,
+ isMakerAssetZrxToken,
);
}
// sort orders by rate
// TODO(bmillman): optimization
// provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens
- const sortedTargetOrders = sortingUtils.sortOrdersByFeeAdjustedRate(unsortedTargetOrders);
- const sortedFeeOrders = sortingUtils.sortFeeOrdersByFeeAdjustedRate(unsortedFeeOrders);
+ const sortedOrders = isMakerAssetZrxToken
+ ? sortingUtils.sortFeeOrdersByFeeAdjustedRate(unsortedOrders)
+ : sortingUtils.sortOrdersByFeeAdjustedRate(unsortedOrders);
// unbundle orders and fillable amounts and compile final result
- const targetOrdersAndRemainingFillableMakerAssetAmounts = unbundleOrdersWithAmounts(sortedTargetOrders);
- const feeOrdersAndRemainingFillableMakerAssetAmounts = unbundleOrdersWithAmounts(sortedFeeOrders);
- return {
- orders: targetOrdersAndRemainingFillableMakerAssetAmounts.orders,
- feeOrders: feeOrdersAndRemainingFillableMakerAssetAmounts.orders,
- remainingFillableMakerAssetAmounts:
- targetOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts,
- remainingFillableFeeAmounts:
- feeOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts,
- };
+ const result = unbundleOrdersWithAmounts(sortedOrders);
+ return result;
},
};
@@ -120,7 +90,7 @@ function filterOutExpiredAndNonOpenOrders(
function getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
inputOrders: SignedOrder[],
ordersAndTradersInfo: OrderAndTraderInfo[],
- zrxAssetData: string,
+ isMakerAssetZrxToken: boolean,
): SignedOrderWithRemainingFillableMakerAssetAmount[] {
// iterate through the input orders and find the ones that are still fillable
// for the orders that are still fillable, calculate the remaining fillable maker asset amount
@@ -147,7 +117,7 @@ function getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
const remainingFillableCalculator = new RemainingFillableCalculator(
order.makerFee,
order.makerAssetAmount,
- order.makerAssetData === zrxAssetData,
+ isMakerAssetZrxToken,
transferrableAssetAmount,
transferrableFeeAssetAmount,
remainingMakerAssetAmount,
@@ -175,7 +145,7 @@ function getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
*/
function unbundleOrdersWithAmounts(
ordersWithAmounts: SignedOrderWithRemainingFillableMakerAssetAmount[],
-): OrdersAndRemainingFillableMakerAssetAmounts {
+): OrdersAndFillableAmounts {
const result = _.reduce(
ordersWithAmounts,
(acc, orderWithAmount) => {