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authorBrandon Millman <brandon.millman@gmail.com>2018-08-24 04:47:24 +0800
committerBrandon Millman <brandon.millman@gmail.com>2018-08-24 04:47:24 +0800
commit6338b5bd3cbbcef149fb3fdf05116e40ea93aa05 (patch)
tree0436c837c42a9ca20cdc8be4f37dfa1ddee0bfb4 /packages/forwarder-helper
parent2713cca6ac2d177c4cf3eac734ec6b55023e2ce9 (diff)
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Move sorting phase into its own utils file
Diffstat (limited to 'packages/forwarder-helper')
-rw-r--r--packages/forwarder-helper/src/forwarder_helper_impl.ts67
-rw-r--r--packages/forwarder-helper/src/utils/forwarder_helper_impl_config_utils.ts92
2 files changed, 95 insertions, 64 deletions
diff --git a/packages/forwarder-helper/src/forwarder_helper_impl.ts b/packages/forwarder-helper/src/forwarder_helper_impl.ts
index 83dc1f4b3..a90edb0bb 100644
--- a/packages/forwarder-helper/src/forwarder_helper_impl.ts
+++ b/packages/forwarder-helper/src/forwarder_helper_impl.ts
@@ -1,17 +1,14 @@
-import { marketUtils, sortingUtils } from '@0xproject/order-utils';
+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
-interface SignedOrderWithAmount extends SignedOrder {
- remainingFillAmount?: BigNumber;
-}
-
export interface ForwarderHelperImplConfig {
orders: SignedOrder[];
feeOrders: SignedOrder[];
@@ -21,66 +18,8 @@ export interface ForwarderHelperImplConfig {
export class ForwarderHelperImpl implements ForwarderHelper {
public readonly config: ForwarderHelperImplConfig;
- private static _createSignedOrderWithAmounts(
- orders: SignedOrder[],
- amounts?: BigNumber[],
- ): SignedOrderWithAmount[] {
- const ordersAndAmounts = _.map(orders, (order, index) => {
- return {
- ...order,
- remainingFillAmount: _.nth(amounts, index),
- };
- });
- return ordersAndAmounts;
- }
- private static _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;
- });
- const compactAmounts = _.compact(amounts);
- return {
- orders,
- amounts: compactAmounts.length > 0 ? compactAmounts : undefined,
- };
- }
- private static _sortedConfig(config: ForwarderHelperImplConfig): ForwarderHelperImplConfig {
- const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = config;
- // Bundle orders together with their remainingFillAmounts so that we can sort them together
- const orderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts(
- orders,
- remainingFillableMakerAssetAmounts,
- );
- // TODO: provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens
- const sortedOrderWithAmounts = sortingUtils.sortOrdersByFeeAdjustedRate(orderWithAmounts);
- // Unbundle after sorting
- const unbundledSortedOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts(
- sortedOrderWithAmounts,
- );
- // Do the same bundling + unbundling for feeOrder sorting
- const feeOrderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts(
- feeOrders,
- remainingFillableFeeAmounts,
- );
- const sortedFeeOrderWithAmounts = sortingUtils.sortFeeOrdersByFeeAdjustedRate(feeOrderWithAmounts);
- const unbundledSortedFeeOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts(
- sortedFeeOrderWithAmounts,
- );
- return {
- orders: unbundledSortedOrderWithAmounts.orders,
- feeOrders: unbundledSortedFeeOrderWithAmounts.orders,
- remainingFillableMakerAssetAmounts: unbundledSortedOrderWithAmounts.amounts,
- remainingFillableFeeAmounts: unbundledSortedFeeOrderWithAmounts.amounts,
- };
- }
constructor(config: ForwarderHelperImplConfig) {
- this.config = ForwarderHelperImpl._sortedConfig(config);
+ this.config = forwarderHelperImplConfigUtils.sortedConfig(config);
}
public getMarketBuyOrdersInfo(request: MarketBuyOrdersInfoRequest): MarketBuyOrdersInfo {
const { makerAssetFillAmount, feePercentage } = request;
diff --git a/packages/forwarder-helper/src/utils/forwarder_helper_impl_config_utils.ts b/packages/forwarder-helper/src/utils/forwarder_helper_impl_config_utils.ts
new file mode 100644
index 000000000..253384f65
--- /dev/null
+++ b/packages/forwarder-helper/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,
+ };
+}