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authorBrandon Millman <brandon.millman@gmail.com>2018-09-14 19:45:14 +0800
committerBrandon Millman <brandon.millman@gmail.com>2018-09-15 20:14:48 +0800
commit91702bbae214f56e7ff66156fa799fcfb83f6e42 (patch)
treec45fc0577a577b81abd3e6eb0b5c7897db8fbfb8 /packages/asset-buyer/src
parent90674d9038b45644e82545558d9937b9eec498f9 (diff)
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Move packages/forwarder-helper into packages/asset-buyer
Diffstat (limited to 'packages/asset-buyer/src')
-rw-r--r--packages/asset-buyer/src/constants.ts6
-rw-r--r--packages/asset-buyer/src/forwarder_helper_factory.ts261
-rw-r--r--packages/asset-buyer/src/forwarder_helper_impl.ts64
-rw-r--r--packages/asset-buyer/src/globals.d.ts6
-rw-r--r--packages/asset-buyer/src/index.ts2
-rw-r--r--packages/asset-buyer/src/types.ts49
-rw-r--r--packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts92
-rw-r--r--packages/asset-buyer/src/utils/order_utils.ts21
8 files changed, 501 insertions, 0 deletions
diff --git a/packages/asset-buyer/src/constants.ts b/packages/asset-buyer/src/constants.ts
new file mode 100644
index 000000000..c0a1b090e
--- /dev/null
+++ b/packages/asset-buyer/src/constants.ts
@@ -0,0 +1,6 @@
+import { BigNumber } from '@0xproject/utils';
+
+export const constants = {
+ ZERO_AMOUNT: new BigNumber(0),
+ NULL_ADDRESS: '0x0000000000000000000000000000000000000000',
+};
diff --git a/packages/asset-buyer/src/forwarder_helper_factory.ts b/packages/asset-buyer/src/forwarder_helper_factory.ts
new file mode 100644
index 000000000..2b37ac98f
--- /dev/null
+++ b/packages/asset-buyer/src/forwarder_helper_factory.ts
@@ -0,0 +1,261 @@
+import { assert } from '@0xproject/assert';
+import { APIOrder, HttpClient, OrderbookResponse } from '@0xproject/connect';
+import { ContractWrappers, OrderAndTraderInfo, OrderStatus } from '@0xproject/contract-wrappers';
+import { schemas } from '@0xproject/json-schemas';
+import { assetDataUtils } from '@0xproject/order-utils';
+import { RemainingFillableCalculator } from '@0xproject/order-utils/lib/src/remaining_fillable_calculator';
+import { RPCSubprovider, Web3ProviderEngine } from '@0xproject/subproviders';
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { constants } from './constants';
+import { ForwarderHelperImpl, ForwarderHelperImplConfig } from './forwarder_helper_impl';
+import { ForwarderHelper, ForwarderHelperFactoryError } from './types';
+import { orderUtils } from './utils/order_utils';
+
+export const forwarderHelperFactory = {
+ /**
+ * Given an array of orders and an array of feeOrders, get a ForwarderHelper
+ * @param orders An array of objects conforming to SignedOrder. Each order should specify the same makerAssetData and takerAssetData
+ * @param feeOrders An array of objects conforming to SignedOrder. Each order should specify ZRX as makerAssetData WETH as takerAssetData
+ * @return A ForwarderHelper, see type for definition
+ */
+ getForwarderHelperForOrders(orders: SignedOrder[], feeOrders: SignedOrder[] = []): ForwarderHelper {
+ assert.doesConformToSchema('orders', orders, schemas.signedOrdersSchema);
+ assert.doesConformToSchema('feeOrders', orders, schemas.signedOrdersSchema);
+ // TODO: Add assertion here for orders all having the same makerAsset and takerAsset
+ const config: ForwarderHelperImplConfig = {
+ orders,
+ feeOrders,
+ };
+ const helper = new ForwarderHelperImpl(config);
+ return helper;
+ },
+ /**
+ * Given a desired makerAsset and SRA url, get a ForwarderHelper
+ * @param makerAssetData An array of objects conforming to SignedOrder. Each order should specify the same makerAssetData and takerAssetData
+ * @param sraUrl A url pointing to an SRA v2 compliant endpoint.
+ * @param rpcUrl A url pointing to an ethereum node.
+ * @param networkId The ethereum networkId, defaults to 1 (mainnet).
+ * @return A ForwarderHelper, see type for definition
+ */
+ async getForwarderHelperForMakerAssetDataAsync(
+ makerAssetData: string,
+ sraUrl: string,
+ rpcUrl?: string,
+ networkId: number = 1,
+ ): Promise<ForwarderHelper> {
+ assert.isHexString('makerAssetData', makerAssetData);
+ assert.isWebUri('sraUrl', sraUrl);
+ if (!_.isUndefined(rpcUrl)) {
+ assert.isWebUri('rpcUrl', rpcUrl);
+ }
+ assert.isNumber('networkId', networkId);
+ // create provider
+ const providerEngine = new Web3ProviderEngine();
+ if (!_.isUndefined(rpcUrl)) {
+ providerEngine.addProvider(new RPCSubprovider(rpcUrl));
+ }
+ providerEngine.start();
+ // create contract wrappers given provider and networkId
+ const contractWrappers = new ContractWrappers(providerEngine, { networkId });
+ // find ether token asset data
+ const etherTokenAddressIfExists = contractWrappers.etherToken.getContractAddressIfExists();
+ if (_.isUndefined(etherTokenAddressIfExists)) {
+ throw new Error(ForwarderHelperFactoryError.NoEtherTokenContractFound);
+ }
+ const etherTokenAssetData = assetDataUtils.encodeERC20AssetData(etherTokenAddressIfExists);
+ // find zrx token asset data
+ let zrxTokenAssetData: string;
+ try {
+ zrxTokenAssetData = contractWrappers.exchange.getZRXAssetData();
+ } catch (err) {
+ throw new Error(ForwarderHelperFactoryError.NoZrxTokenContractFound);
+ }
+ // get orderbooks for makerAsset/WETH and ZRX/WETH
+ const sraClient = new HttpClient(sraUrl);
+ const orderbookRequests = [
+ { baseAssetData: makerAssetData, quoteAssetData: etherTokenAssetData },
+ { baseAssetData: zrxTokenAssetData, quoteAssetData: etherTokenAssetData },
+ ];
+ const requestOpts = { networkId };
+ let makerAssetOrderbook: OrderbookResponse;
+ let zrxOrderbook: OrderbookResponse;
+ try {
+ [makerAssetOrderbook, zrxOrderbook] = await Promise.all(
+ _.map(orderbookRequests, request => sraClient.getOrderbookAsync(request, requestOpts)),
+ );
+ } catch (err) {
+ throw new Error(ForwarderHelperFactoryError.StandardRelayerApiError);
+ }
+ // validate orders and find remaining fillable from on chain state or sra api
+ let ordersAndRemainingFillableMakerAssetAmounts: OrdersAndRemainingFillableMakerAssetAmounts;
+ let feeOrdersAndRemainingFillableMakerAssetAmounts: OrdersAndRemainingFillableMakerAssetAmounts;
+ if (!_.isUndefined(rpcUrl)) {
+ // if we do have an rpc url, get on-chain orders and traders info via the OrderValidatorWrapper
+ const ordersFromSra = getOpenAsksFromOrderbook(makerAssetOrderbook);
+ const feeOrdersFromSra = getOpenAsksFromOrderbook(zrxOrderbook);
+ // TODO: try catch these requests and throw a more domain specific error
+ // TODO: optimization, reduce this to once RPC call buy combining orders into one array and then splitting up the response
+ const [makerAssetOrdersAndTradersInfo, feeOrdersAndTradersInfo] = await Promise.all(
+ _.map([ordersFromSra, feeOrdersFromSra], ordersToBeValidated => {
+ const takerAddresses = _.map(ordersToBeValidated, () => constants.NULL_ADDRESS);
+ return contractWrappers.orderValidator.getOrdersAndTradersInfoAsync(
+ ordersToBeValidated,
+ takerAddresses,
+ );
+ }),
+ );
+ // take maker asset orders from SRA + on chain information and find the valid orders and remaining fillable maker asset amounts
+ ordersAndRemainingFillableMakerAssetAmounts = getValidOrdersAndRemainingFillableMakerAssetAmountsFromOnChain(
+ ordersFromSra,
+ makerAssetOrdersAndTradersInfo,
+ zrxTokenAssetData,
+ );
+ // take fee orders from SRA + on chain information and find the valid orders and remaining fillable maker asset amounts
+ feeOrdersAndRemainingFillableMakerAssetAmounts = getValidOrdersAndRemainingFillableMakerAssetAmountsFromOnChain(
+ feeOrdersFromSra,
+ feeOrdersAndTradersInfo,
+ zrxTokenAssetData,
+ );
+ } else {
+ // if we don't have an rpc url, assume all orders are valid and fallback to optional fill amounts from SRA
+ // if fill amounts are not available from the SRA, assume all orders are completely fillable
+ const apiOrdersFromSra = makerAssetOrderbook.asks.records;
+ const feeApiOrdersFromSra = zrxOrderbook.asks.records;
+ // take maker asset orders from SRA and the valid orders and remaining fillable maker asset amounts
+ ordersAndRemainingFillableMakerAssetAmounts = getValidOrdersAndRemainingFillableMakerAssetAmountsFromApi(
+ apiOrdersFromSra,
+ );
+ // take fee orders from SRA and find the valid orders and remaining fillable maker asset amounts
+ feeOrdersAndRemainingFillableMakerAssetAmounts = getValidOrdersAndRemainingFillableMakerAssetAmountsFromApi(
+ feeApiOrdersFromSra,
+ );
+ }
+ // compile final config
+ const config: ForwarderHelperImplConfig = {
+ orders: ordersAndRemainingFillableMakerAssetAmounts.orders,
+ feeOrders: feeOrdersAndRemainingFillableMakerAssetAmounts.orders,
+ remainingFillableMakerAssetAmounts:
+ ordersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts:
+ feeOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts,
+ };
+ const helper = new ForwarderHelperImpl(config);
+ return helper;
+ },
+};
+
+interface OrdersAndRemainingFillableMakerAssetAmounts {
+ orders: SignedOrder[];
+ remainingFillableMakerAssetAmounts: BigNumber[];
+}
+
+/**
+ * Given an array of APIOrder objects from a standard relayer api, return an array
+ * of fillable orders with their corresponding remainingFillableMakerAssetAmounts
+ */
+function getValidOrdersAndRemainingFillableMakerAssetAmountsFromApi(
+ apiOrders: APIOrder[],
+): OrdersAndRemainingFillableMakerAssetAmounts {
+ const result = _.reduce(
+ apiOrders,
+ (acc, apiOrder) => {
+ // get current accumulations
+ const { orders, remainingFillableMakerAssetAmounts } = acc;
+ // get order and metadata
+ const { order, metaData } = apiOrder;
+ // if the order is expired or not open, move on
+ if (orderUtils.isOrderExpired(order) || !orderUtils.isOpenOrder(order)) {
+ return acc;
+ }
+ // calculate remainingFillableMakerAssetAmount from api metadata, else assume order is completely fillable
+ const remainingFillableTakerAssetAmount = _.get(
+ metaData,
+ 'remainingTakerAssetAmount',
+ order.takerAssetAmount,
+ );
+ const remainingFillableMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount(
+ order,
+ remainingFillableTakerAssetAmount,
+ );
+ // if there is some amount of maker asset left to fill and add the order and remaining amount to the accumulations
+ // if there is not any maker asset left to fill, do not add
+ if (remainingFillableMakerAssetAmount.gt(constants.ZERO_AMOUNT)) {
+ return {
+ orders: _.concat(orders, order),
+ remainingFillableMakerAssetAmounts: _.concat(
+ remainingFillableMakerAssetAmounts,
+ remainingFillableMakerAssetAmount,
+ ),
+ };
+ } else {
+ return acc;
+ }
+ },
+ { orders: [] as SignedOrder[], remainingFillableMakerAssetAmounts: [] as BigNumber[] },
+ );
+ return result;
+}
+
+/**
+ * Given an array of orders and corresponding on-chain infos, return a subset of the orders
+ * that are still fillable orders with their corresponding remainingFillableMakerAssetAmounts
+ */
+function getValidOrdersAndRemainingFillableMakerAssetAmountsFromOnChain(
+ inputOrders: SignedOrder[],
+ ordersAndTradersInfo: OrderAndTraderInfo[],
+ zrxAssetData: string,
+): OrdersAndRemainingFillableMakerAssetAmounts {
+ // 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
+ const result = _.reduce(
+ inputOrders,
+ (acc, order, index) => {
+ // get current accumulations
+ const { orders, remainingFillableMakerAssetAmounts } = acc;
+ // get corresponding on-chain state for the order
+ const { orderInfo, traderInfo } = ordersAndTradersInfo[index];
+ // if the order IS NOT fillable, do not add anything to the accumulations and continue iterating
+ if (orderInfo.orderStatus !== OrderStatus.FILLABLE) {
+ return acc;
+ }
+ // if the order IS fillable, add the order and calculate the remaining fillable amount
+ const transferrableAssetAmount = BigNumber.min([traderInfo.makerAllowance, traderInfo.makerBalance]);
+ const transferrableFeeAssetAmount = BigNumber.min([
+ traderInfo.makerZrxAllowance,
+ traderInfo.makerZrxBalance,
+ ]);
+ const remainingTakerAssetAmount = order.takerAssetAmount.minus(orderInfo.orderTakerAssetFilledAmount);
+ const remainingMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount(
+ order,
+ remainingTakerAssetAmount,
+ );
+ const remainingFillableCalculator = new RemainingFillableCalculator(
+ order.makerFee,
+ order.makerAssetAmount,
+ order.makerAssetData === zrxAssetData,
+ transferrableAssetAmount,
+ transferrableFeeAssetAmount,
+ remainingMakerAssetAmount,
+ );
+ const remainingFillableAmount = remainingFillableCalculator.computeRemainingFillable();
+ return {
+ orders: _.concat(orders, order),
+ remainingFillableMakerAssetAmounts: _.concat(
+ remainingFillableMakerAssetAmounts,
+ remainingFillableAmount,
+ ),
+ };
+ },
+ { orders: [] as SignedOrder[], remainingFillableMakerAssetAmounts: [] as BigNumber[] },
+ );
+ return result;
+}
+
+function getOpenAsksFromOrderbook(orderbookResponse: OrderbookResponse): SignedOrder[] {
+ const asks = _.map(orderbookResponse.asks.records, apiOrder => apiOrder.order);
+ const result = _.filter(asks, ask => orderUtils.isOpenOrder(ask));
+ return result;
+}
diff --git a/packages/asset-buyer/src/forwarder_helper_impl.ts b/packages/asset-buyer/src/forwarder_helper_impl.ts
new file mode 100644
index 000000000..a90edb0bb
--- /dev/null
+++ b/packages/asset-buyer/src/forwarder_helper_impl.ts
@@ -0,0 +1,64 @@
+import { marketUtils } from '@0xproject/order-utils';
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { constants } from './constants';
+import { ForwarderHelper, ForwarderHelperError, MarketBuyOrdersInfo, MarketBuyOrdersInfoRequest } from './types';
+import { forwarderHelperImplConfigUtils } from './utils/forwarder_helper_impl_config_utils';
+
+const SLIPPAGE_PERCENTAGE = new BigNumber(0.2); // 20% slippage protection, possibly move this into request interface
+
+export interface ForwarderHelperImplConfig {
+ orders: SignedOrder[];
+ feeOrders: SignedOrder[];
+ remainingFillableMakerAssetAmounts?: BigNumber[];
+ remainingFillableFeeAmounts?: BigNumber[];
+}
+
+export class ForwarderHelperImpl implements ForwarderHelper {
+ public readonly config: ForwarderHelperImplConfig;
+ constructor(config: ForwarderHelperImplConfig) {
+ this.config = forwarderHelperImplConfigUtils.sortedConfig(config);
+ }
+ public getMarketBuyOrdersInfo(request: MarketBuyOrdersInfoRequest): MarketBuyOrdersInfo {
+ const { makerAssetFillAmount, feePercentage } = request;
+ const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = this.config;
+ // TODO: make the slippage percentage customizable
+ const slippageBufferAmount = makerAssetFillAmount.mul(SLIPPAGE_PERCENTAGE).round();
+ const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+ orders,
+ makerAssetFillAmount,
+ {
+ remainingFillableMakerAssetAmounts,
+ slippageBufferAmount,
+ },
+ );
+ if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
+ throw new Error(ForwarderHelperError.InsufficientMakerAssetLiquidity);
+ }
+ // TODO: 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,
+ },
+ );
+ if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
+ throw new Error(ForwarderHelperError.InsufficientZrxLiquidity);
+ }
+ // TODO: calculate min and max eth usage
+ // TODO: optimize orders call data
+ return {
+ makerAssetFillAmount,
+ orders: resultOrders,
+ feeOrders: resultFeeOrders,
+ minEthAmount: constants.ZERO_AMOUNT,
+ maxEthAmount: constants.ZERO_AMOUNT,
+ feePercentage,
+ };
+ }
+}
diff --git a/packages/asset-buyer/src/globals.d.ts b/packages/asset-buyer/src/globals.d.ts
new file mode 100644
index 000000000..94e63a32d
--- /dev/null
+++ b/packages/asset-buyer/src/globals.d.ts
@@ -0,0 +1,6 @@
+declare module '*.json' {
+ const json: any;
+ /* tslint:disable */
+ export default json;
+ /* tslint:enable */
+}
diff --git a/packages/asset-buyer/src/index.ts b/packages/asset-buyer/src/index.ts
new file mode 100644
index 000000000..eb3a34bd5
--- /dev/null
+++ b/packages/asset-buyer/src/index.ts
@@ -0,0 +1,2 @@
+export { forwarderHelperFactory } from './forwarder_helper_factory';
+export { ForwarderHelper, ForwarderHelperError, MarketBuyOrdersInfoRequest, MarketBuyOrdersInfo } from './types';
diff --git a/packages/asset-buyer/src/types.ts b/packages/asset-buyer/src/types.ts
new file mode 100644
index 000000000..a7f02ff8d
--- /dev/null
+++ b/packages/asset-buyer/src/types.ts
@@ -0,0 +1,49 @@
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+
+export enum ForwarderHelperFactoryError {
+ NoEtherTokenContractFound = 'NO_ETHER_TOKEN_CONTRACT_FOUND',
+ NoZrxTokenContractFound = 'NO_ZRX_TOKEN_CONTRACT_FOUND',
+ StandardRelayerApiError = 'STANDARD_RELAYER_API_ERROR',
+}
+
+export interface ForwarderHelper {
+ /**
+ * Given a MarketBuyOrdersInfoRequest, returns a MarketBuyOrdersInfo containing all information relevant to fulfilling the request
+ * using the ForwarderContract marketBuyOrdersWithEth function.
+ * @param request An object that conforms to MarketBuyOrdersInfoRequest. See type definition for more information.
+ * @return An object that conforms to MarketBuyOrdersInfo that satisfies the request. See type definition for more information.
+ */
+ getMarketBuyOrdersInfo: (request: MarketBuyOrdersInfoRequest) => MarketBuyOrdersInfo;
+}
+
+export enum ForwarderHelperError {
+ InsufficientMakerAssetLiquidity = 'INSUFFICIENT_MAKER_ASSET_LIQUIDITY',
+ InsufficientZrxLiquidity = 'INSUFFICIENT_ZRX_LIQUIDITY',
+}
+
+/**
+ * makerAssetFillAmount: The amount of makerAsset requesting to be filled
+ * feePercentage: Optional affiliate percentage amount factoring into eth amount calculations
+ */
+export interface MarketBuyOrdersInfoRequest {
+ makerAssetFillAmount: BigNumber;
+ feePercentage?: BigNumber;
+}
+
+/**
+ * makerAssetFillAmount: The amount of makerAsset requesting to be filled
+ * orders: An array of objects conforming to SignedOrder. These orders can be used to cover the requested makerAssetFillAmount plus slippage
+ * feeOrders: An array of objects conforming to SignedOrder. These orders can be used to cover the fees for the orders param above
+ * minEthAmount: Amount of eth in wei to send with the tx for the most optimistic case
+ * maxEthAmount: Amount of eth in wei to send with the tx for the worst case
+ * feePercentage: Affiliate fee percentage used to calculate the eth amounts above. Passed thru directly from the request
+ */
+export interface MarketBuyOrdersInfo {
+ makerAssetFillAmount: BigNumber;
+ orders: SignedOrder[];
+ feeOrders: SignedOrder[];
+ minEthAmount: BigNumber;
+ maxEthAmount: BigNumber;
+ feePercentage?: BigNumber;
+}
diff --git a/packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts b/packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts
new file mode 100644
index 000000000..253384f65
--- /dev/null
+++ b/packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts
@@ -0,0 +1,92 @@
+import { sortingUtils } from '@0xproject/order-utils';
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { ForwarderHelperImplConfig } from '../forwarder_helper_impl';
+
+interface SignedOrderWithAmount extends SignedOrder {
+ remainingFillAmount: BigNumber;
+}
+
+export const forwarderHelperImplConfigUtils = {
+ sortedConfig(config: ForwarderHelperImplConfig): ForwarderHelperImplConfig {
+ const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = config;
+ // TODO: provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens
+ const orderSorter = (ordersToSort: SignedOrder[]) => {
+ return sortingUtils.sortOrdersByFeeAdjustedRate(ordersToSort);
+ };
+ const sortOrdersResult = sortOrdersAndRemainingFillAmounts(
+ orderSorter,
+ orders,
+ remainingFillableMakerAssetAmounts,
+ );
+ const feeOrderSorter = (ordersToSort: SignedOrder[]) => {
+ return sortingUtils.sortFeeOrdersByFeeAdjustedRate(ordersToSort);
+ };
+ const sortFeeOrdersResult = sortOrdersAndRemainingFillAmounts(
+ feeOrderSorter,
+ feeOrders,
+ remainingFillableFeeAmounts,
+ );
+ return {
+ orders: sortOrdersResult.orders,
+ feeOrders: sortFeeOrdersResult.orders,
+ remainingFillableMakerAssetAmounts: sortOrdersResult.remainingFillAmounts,
+ remainingFillableFeeAmounts: sortFeeOrdersResult.remainingFillAmounts,
+ };
+ },
+};
+
+type OrderSorter = (orders: SignedOrder[]) => SignedOrder[];
+
+function sortOrdersAndRemainingFillAmounts(
+ orderSorter: OrderSorter,
+ orders: SignedOrder[],
+ remainingFillAmounts?: BigNumber[],
+): { orders: SignedOrder[]; remainingFillAmounts?: BigNumber[] } {
+ if (!_.isUndefined(remainingFillAmounts)) {
+ // Bundle orders together with their remainingFillAmounts so that we can sort them together
+ const orderWithAmounts = bundleSignedOrderWithAmounts(orders, remainingFillAmounts);
+ // Sort
+ const sortedOrderWithAmounts = orderSorter(orderWithAmounts) as SignedOrderWithAmount[];
+ // Unbundle after sorting
+ const unbundledSortedOrderWithAmounts = unbundleSignedOrderWithAmounts(sortedOrderWithAmounts);
+ return {
+ orders: unbundledSortedOrderWithAmounts.orders,
+ remainingFillAmounts: unbundledSortedOrderWithAmounts.amounts,
+ };
+ } else {
+ const sortedOrders = orderSorter(orders);
+ return {
+ orders: sortedOrders,
+ };
+ }
+}
+
+function bundleSignedOrderWithAmounts(orders: SignedOrder[], amounts: BigNumber[]): SignedOrderWithAmount[] {
+ const ordersAndAmounts = _.map(orders, (order, index) => {
+ return {
+ ...order,
+ remainingFillAmount: amounts[index],
+ };
+ });
+ return ordersAndAmounts;
+}
+
+function unbundleSignedOrderWithAmounts(
+ signedOrderWithAmounts: SignedOrderWithAmount[],
+): { orders: SignedOrder[]; amounts: BigNumber[] } {
+ const orders = _.map(signedOrderWithAmounts, order => {
+ const { remainingFillAmount, ...rest } = order;
+ return rest;
+ });
+ const amounts = _.map(signedOrderWithAmounts, order => {
+ const { remainingFillAmount } = order;
+ return remainingFillAmount;
+ });
+ return {
+ orders,
+ amounts,
+ };
+}
diff --git a/packages/asset-buyer/src/utils/order_utils.ts b/packages/asset-buyer/src/utils/order_utils.ts
new file mode 100644
index 000000000..bb0bdb80f
--- /dev/null
+++ b/packages/asset-buyer/src/utils/order_utils.ts
@@ -0,0 +1,21 @@
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+
+import { constants } from '../constants';
+
+export const orderUtils = {
+ isOrderExpired(order: SignedOrder): boolean {
+ const millisecondsInSecond = 1000;
+ const currentUnixTimestampSec = new BigNumber(Date.now() / millisecondsInSecond).round();
+ return order.expirationTimeSeconds.lessThan(currentUnixTimestampSec);
+ },
+ calculateRemainingMakerAssetAmount(order: SignedOrder, remainingTakerAssetAmount: BigNumber): BigNumber {
+ const result = remainingTakerAssetAmount.eq(0)
+ ? constants.ZERO_AMOUNT
+ : remainingTakerAssetAmount.times(order.makerAssetAmount).dividedToIntegerBy(order.takerAssetAmount);
+ return result;
+ },
+ isOpenOrder(order: SignedOrder): boolean {
+ return order.takerAddress === constants.NULL_ADDRESS;
+ },
+};