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authorBrandon Millman <brandon@0xproject.com>2018-08-15 04:45:04 +0800
committerGitHub <noreply@github.com>2018-08-15 04:45:04 +0800
commit3afe405bbe92f9c549a59f26b9c82654f0e304c4 (patch)
tree5d2b70b635244b8deac4e34cbfabf97c3808b7cc /packages/order-utils/src
parent7eff195d61072007e64ef934e1411f8100656be8 (diff)
parent99b744ba52f538752bb0966e6d8b50d9f5a2f032 (diff)
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Merge pull request #953 from 0xProject/feature/order-utils/order-sorting-utils
[order-utils] Add rate and sorting utilities
Diffstat (limited to 'packages/order-utils/src')
-rw-r--r--packages/order-utils/src/index.ts2
-rw-r--r--packages/order-utils/src/rate_utils.ts48
-rw-r--r--packages/order-utils/src/sorting_utils.ts54
3 files changed, 104 insertions, 0 deletions
diff --git a/packages/order-utils/src/index.ts b/packages/order-utils/src/index.ts
index 681fbc904..2b1c92973 100644
--- a/packages/order-utils/src/index.ts
+++ b/packages/order-utils/src/index.ts
@@ -25,3 +25,5 @@ export { EIP712Utils } from './eip712_utils';
export { OrderValidationUtils } from './order_validation_utils';
export { ExchangeTransferSimulator } from './exchange_transfer_simulator';
export { marketUtils } from './market_utils';
+export { rateUtils } from './rate_utils';
+export { sortingUtils } from './sorting_utils';
diff --git a/packages/order-utils/src/rate_utils.ts b/packages/order-utils/src/rate_utils.ts
new file mode 100644
index 000000000..c9ca72c59
--- /dev/null
+++ b/packages/order-utils/src/rate_utils.ts
@@ -0,0 +1,48 @@
+import { schemas } from '@0xproject/json-schemas';
+import { Order } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+
+import { assert } from './assert';
+import { constants } from './constants';
+
+export const rateUtils = {
+ /**
+ * Takes an order and calculates the fee adjusted rate (takerAsset/makerAsset) by calculating how much takerAsset
+ * is required to cover the fees (feeRate * takerFee), adding the takerAssetAmount and dividing by makerAssetAmount
+ * @param order An object that conforms to the order interface
+ * @param feeRate The market rate of ZRX denominated in takerAssetAmount
+ * (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
+ * Defaults to 0
+ * @return The rate (takerAsset/makerAsset) of the order adjusted for fees
+ */
+ getFeeAdjustedRateOfOrder(order: Order, feeRate: BigNumber = constants.ZERO_AMOUNT): BigNumber {
+ assert.doesConformToSchema('order', order, schemas.orderSchema);
+ assert.isBigNumber('feeRate', feeRate);
+ assert.assert(
+ feeRate.gte(constants.ZERO_AMOUNT),
+ `Expected feeRate: ${feeRate} to be greater than or equal to 0`,
+ );
+ const takerAssetAmountNeededToPayForFees = order.takerFee.mul(feeRate);
+ const totalTakerAssetAmount = takerAssetAmountNeededToPayForFees.plus(order.takerAssetAmount);
+ const rate = totalTakerAssetAmount.div(order.makerAssetAmount);
+ return rate;
+ },
+ /**
+ * Takes a fee order (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH) and calculates
+ * the fee adjusted rate (WETH/ZRX) by dividing the takerAssetAmount by the makerAmount minus the takerFee
+ * @param feeOrder An object that conforms to the order interface
+ * @return The rate (WETH/ZRX) of the fee order adjusted for fees
+ */
+ getFeeAdjustedRateOfFeeOrder(feeOrder: Order): BigNumber {
+ assert.doesConformToSchema('feeOrder', feeOrder, schemas.orderSchema);
+ const zrxAmountAfterFees = feeOrder.makerAssetAmount.sub(feeOrder.takerFee);
+ assert.assert(
+ zrxAmountAfterFees.greaterThan(constants.ZERO_AMOUNT),
+ `Expected takerFee: ${JSON.stringify(feeOrder.takerFee)} to be less than makerAssetAmount: ${JSON.stringify(
+ feeOrder.makerAssetAmount,
+ )}`,
+ );
+ const rate = feeOrder.takerAssetAmount.div(zrxAmountAfterFees);
+ return rate;
+ },
+};
diff --git a/packages/order-utils/src/sorting_utils.ts b/packages/order-utils/src/sorting_utils.ts
new file mode 100644
index 000000000..8811bcaf8
--- /dev/null
+++ b/packages/order-utils/src/sorting_utils.ts
@@ -0,0 +1,54 @@
+import { schemas } from '@0xproject/json-schemas';
+import { Order } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { assert } from './assert';
+import { constants } from './constants';
+import { rateUtils } from './rate_utils';
+
+export const sortingUtils = {
+ /**
+ * Takes an array of orders and sorts them by takerAsset/makerAsset rate in ascending order (best rate first).
+ * Adjusts the rate of each order according to the feeRate and takerFee for that order.
+ * @param orders An array of objects that extend the Order interface. All orders should specify ZRX as
+ * the makerAsset and WETH as the takerAsset.
+ * @param feeRate The market rate of ZRX denominated in takerAssetAmount
+ * (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
+ * Defaults to 0
+ * @return The input orders sorted by rate in ascending order
+ */
+ sortOrdersByFeeAdjustedRate<T extends Order>(orders: T[], feeRate: BigNumber = constants.ZERO_AMOUNT): T[] {
+ assert.doesConformToSchema('orders', orders, schemas.ordersSchema);
+ assert.isBigNumber('feeRate', feeRate);
+ const rateCalculator = (order: Order) => rateUtils.getFeeAdjustedRateOfOrder(order, feeRate);
+ const sortedOrders = sortOrders(orders, rateCalculator);
+ return sortedOrders;
+ },
+ /**
+ * Takes an array of fee orders (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH)
+ * and sorts them by rate in ascending order (best rate first). Adjusts the rate according to the takerFee.
+ * @param feeOrders An array of objects that extend the Order interface. All orders should specify ZRX as
+ * the makerAsset and WETH as the takerAsset.
+ * @return The input orders sorted by rate in ascending order
+ */
+ sortFeeOrdersByFeeAdjustedRate(feeOrders: Order[]): Order[] {
+ assert.doesConformToSchema('feeOrders', feeOrders, schemas.ordersSchema);
+ const rateCalculator = rateUtils.getFeeAdjustedRateOfFeeOrder.bind(rateUtils);
+ const sortedOrders = sortOrders(feeOrders, rateCalculator);
+ return sortedOrders;
+ },
+};
+
+type RateCalculator = (order: Order) => BigNumber;
+
+// takes an array of orders, copies them, and sorts the copy based on the rate definition provided by rateCalculator
+function sortOrders<T extends Order>(orders: T[], rateCalculator: RateCalculator): T[] {
+ const copiedOrders = _.cloneDeep(orders);
+ copiedOrders.sort((firstOrder, secondOrder) => {
+ const firstOrderRate = rateCalculator(firstOrder);
+ const secondOrderRate = rateCalculator(secondOrder);
+ return firstOrderRate.comparedTo(secondOrderRate);
+ });
+ return copiedOrders;
+}