Add getForwarderHelperForMakerAssetDataAsync method to forwarderHelperFactory

4 files changed, 252 insertions, 3 deletions

diff --git a/packages/forwarder-helper/package.json b/packages/forwarder-helper/package.json
index 410323f76..f849fb4ed 100644
--- a/packages/forwarder-helper/package.json
+++ b/packages/forwarder-helper/package.json
@@ -40,18 +40,21 @@
     "homepage": "https://github.com/0xProject/0x-monorepo/packages/forwarder-helper/README.md",
     "dependencies": {
         "@0xproject/assert": "^1.0.8",
+        "@0xproject/connect": "^2.0.0",
+        "@0xproject/contract-wrappers": "^1.0.1",
         "@0xproject/json-schemas": "^1.0.1",
         "@0xproject/order-utils": "^1.0.1",
+        "@0xproject/subproviders": "^2.0.2",
         "@0xproject/types": "^1.0.1",
         "@0xproject/typescript-typings": "^2.0.0",
         "@0xproject/utils": "^1.0.8",
-        "@types/node": "^8.0.53",
         "lodash": "^4.17.10"
     },
     "devDependencies": {
         "@0xproject/tslint-config": "^1.0.7",
         "@types/lodash": "^4.14.116",
         "@types/mocha": "^2.2.42",
+        "@types/node": "^8.0.53",
         "chai": "^4.0.1",
         "chai-as-promised": "^7.1.0",
         "chai-bignumber": "^2.0.1",
diff --git a/packages/forwarder-helper/src/forwarder_helper_factory.ts b/packages/forwarder-helper/src/forwarder_helper_factory.ts
index 95f11f555..e3ef59388 100644
--- a/packages/forwarder-helper/src/forwarder_helper_factory.ts
+++ b/packages/forwarder-helper/src/forwarder_helper_factory.ts
@@ -1,13 +1,22 @@
 import { assert } from '@0xproject/assert';
+import { APIOrder, HttpClient } 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 } from './types';
+import { ForwarderHelper, ForwarderHelperFactoryError } from './types';
+import { orderUtils } from './utils/order_utils';
 
 export const forwarderHelperFactory = {
     /**
-     * Given an array of orders and an array of feeOrders
+     * 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
@@ -22,4 +31,220 @@ export const forwarderHelperFactory = {
         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,
+        takerAddress: string,
+        sraUrl: string,
+        rpcUrl?: string,
+        networkId: number = 1,
+    ): Promise<ForwarderHelper> {
+        assert.isHexString('makerAssetData', makerAssetData);
+        assert.isETHAddressHex('takerAddress', takerAddress);
+        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 };
+        // TODO: try catch these requests and throw a more domain specific error
+        const [makerAssetOrderbook, zrxOrderbook] = await Promise.all(
+            _.map(orderbookRequests, request => sraClient.getOrderbookAsync(request, requestOpts)),
+        );
+        // 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 = _.map(makerAssetOrderbook.asks.records, apiOrder => apiOrder.order);
+            const feeOrdersFromSra = _.map(zrxOrderbook.asks.records, apiOrder => apiOrder.order);
+            // TODO: try catch these requests and throw a more domain specific error
+            const [makerAssetOrdersAndTradersInfo, feeOrdersAndTradersInfo] = await Promise.all(
+                _.map([ordersFromSra, feeOrdersFromSra], ordersToBeValidated => {
+                    const takerAddresses = _.map(ordersToBeValidated, () => takerAddress);
+                    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, index) => {
+            // get current accumulations
+            const { orders, remainingFillableMakerAssetAmounts } = acc;
+            // get order and metadata
+            const { order, metaData } = apiOrder;
+            // if the order is expired, move on
+            if (orderUtils.isOrderExpired(order)) {
+                return acc;
+            }
+            // calculate remainingFillableMakerAssetAmount from api metadata
+            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 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;
+}
diff --git a/packages/forwarder-helper/src/types.ts b/packages/forwarder-helper/src/types.ts
index fb171cc90..5a8439257 100644
--- a/packages/forwarder-helper/src/types.ts
+++ b/packages/forwarder-helper/src/types.ts
@@ -1,6 +1,11 @@
 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',
+}
+
 export interface ForwarderHelper {
     /**
      * Given a MarketBuyOrdersInfoRequest, returns a MarketBuyOrdersInfo containing all information relevant to fulfilling the request
diff --git a/packages/forwarder-helper/src/utils/order_utils.ts b/packages/forwarder-helper/src/utils/order_utils.ts
new file mode 100644
index 000000000..d14c6a6d7
--- /dev/null
+++ b/packages/forwarder-helper/src/utils/order_utils.ts
@@ -0,0 +1,16 @@
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+
+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)
+            ? new BigNumber(0)
+            : remainingTakerAssetAmount.times(order.makerAssetAmount).dividedToIntegerBy(order.takerAssetAmount);
+        return result;
+    },
+};