Merge development

4 files changed, 264 insertions, 32 deletions

diff --git a/packages/order-utils/test/market_utils_test.ts b/packages/order-utils/test/market_utils_test.ts
index 5d94cc55c..cce97e0e4 100644
--- a/packages/order-utils/test/market_utils_test.ts
+++ b/packages/order-utils/test/market_utils_test.ts
@@ -19,7 +19,6 @@ describe('marketUtils', () => {
                 const fillAmount = new BigNumber(10);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     [],
-                    [],
                     fillAmount,
                 );
                 expect(resultOrders).to.be.empty;
@@ -35,8 +34,6 @@ describe('marketUtils', () => {
                 },
                 3,
             );
-            // generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
-            const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
             it('returns input orders and zero remainingFillAmount when input exactly matches requested fill amount', async () => {
                 // try to fill 20 units of makerAsset
                 // include 10 units of slippageBufferAmount
@@ -44,9 +41,10 @@ describe('marketUtils', () => {
                 const slippageBufferAmount = new BigNumber(10);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
-                    slippageBufferAmount,
+                    {
+                        slippageBufferAmount,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal(inputOrders);
                 expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -58,9 +56,10 @@ describe('marketUtils', () => {
                 const slippageBufferAmount = new BigNumber(10);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
-                    slippageBufferAmount,
+                    {
+                        slippageBufferAmount,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal(inputOrders);
                 expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -72,9 +71,10 @@ describe('marketUtils', () => {
                 const slippageBufferAmount = new BigNumber(5);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
-                    slippageBufferAmount,
+                    {
+                        slippageBufferAmount,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal(inputOrders);
                 expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(5));
@@ -84,7 +84,6 @@ describe('marketUtils', () => {
                 const fillAmount = new BigNumber(10);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
                 );
                 expect(resultOrders).to.be.deep.equal([inputOrders[0]]);
@@ -95,7 +94,6 @@ describe('marketUtils', () => {
                 const fillAmount = new BigNumber(15);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
                 );
                 expect(resultOrders).to.be.deep.equal([inputOrders[0], inputOrders[1]]);
@@ -121,8 +119,10 @@ describe('marketUtils', () => {
                 const fillAmount = new BigNumber(30);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal([inputOrders[1], inputOrders[2]]);
                 expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(15));
@@ -138,15 +138,11 @@ describe('marketUtils', () => {
             },
             3,
         );
-        // generate remainingFillableFeeAmounts that equal the zrxAmount
-        const remainingFillableFeeAmounts = [zrxAmount, zrxAmount, zrxAmount];
         describe('no target orders', () => {
             it('returns empty and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     [],
-                    [],
                     inputFeeOrders,
-                    remainingFillableFeeAmounts,
                 );
                 expect(resultOrders).to.be.empty;
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -169,9 +165,10 @@ describe('marketUtils', () => {
             it('returns empty and non-zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
-                    [],
                     [],
+                    {
+                        remainingFillableMakerAssetAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.empty;
                 expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
@@ -186,14 +183,10 @@ describe('marketUtils', () => {
                 },
                 3,
             );
-            // generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
-            const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
             it('returns empty and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     inputFeeOrders,
-                    remainingFillableFeeAmounts,
                 );
                 expect(resultOrders).to.be.empty;
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -211,14 +204,10 @@ describe('marketUtils', () => {
                 },
                 3,
             );
-            // generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
-            const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
             it('returns input fee orders and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     inputFeeOrders,
-                    remainingFillableFeeAmounts,
                 );
                 expect(resultOrders).to.be.deep.equal(inputFeeOrders);
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -244,9 +233,10 @@ describe('marketUtils', () => {
             it('returns first two input fee orders and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     inputFeeOrders,
-                    remainingFillableFeeAmounts,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]);
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -264,14 +254,10 @@ describe('marketUtils', () => {
                 },
                 3,
             );
-            // generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
-            const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
             it('returns input fee orders and non-zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     inputFeeOrders,
-                    remainingFillableFeeAmounts,
                 );
                 expect(resultOrders).to.be.deep.equal(inputFeeOrders);
                 expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
diff --git a/packages/order-utils/test/order_state_utils_test.ts b/packages/order-utils/test/order_state_utils_test.ts
new file mode 100644
index 000000000..91ef23b69
--- /dev/null
+++ b/packages/order-utils/test/order_state_utils_test.ts
@@ -0,0 +1,124 @@
+import { BigNumber } from '@0xproject/utils';
+import * as chai from 'chai';
+import 'mocha';
+
+import { AbstractBalanceAndProxyAllowanceFetcher } from '../src/abstract/abstract_balance_and_proxy_allowance_fetcher';
+import { AbstractOrderFilledCancelledFetcher } from '../src/abstract/abstract_order_filled_cancelled_fetcher';
+import { OrderStateUtils } from '../src/order_state_utils';
+
+import { chaiSetup } from './utils/chai_setup';
+import { testOrderFactory } from './utils/test_order_factory';
+
+chaiSetup.configure();
+const expect = chai.expect;
+
+describe('OrderStateUtils', () => {
+    describe('#getOpenOrderStateAsync', () => {
+        const buildMockBalanceFetcher = (takerBalance: BigNumber): AbstractBalanceAndProxyAllowanceFetcher => {
+            const balanceFetcher = {
+                async getBalanceAsync(_assetData: string, _userAddress: string): Promise<BigNumber> {
+                    return takerBalance;
+                },
+                async getProxyAllowanceAsync(_assetData: string, _userAddress: string): Promise<BigNumber> {
+                    return takerBalance;
+                },
+            };
+            return balanceFetcher;
+        };
+        const buildMockOrderFilledFetcher = (
+            filledAmount: BigNumber = new BigNumber(0),
+            cancelled: boolean = false,
+        ): AbstractOrderFilledCancelledFetcher => {
+            const orderFetcher = {
+                async getFilledTakerAmountAsync(_orderHash: string): Promise<BigNumber> {
+                    return filledAmount;
+                },
+                async isOrderCancelledAsync(_orderHash: string): Promise<boolean> {
+                    return cancelled;
+                },
+                getZRXAssetData(): string {
+                    return '';
+                },
+            };
+            return orderFetcher;
+        };
+        it('should have valid order state if order can be fully filled with small maker amount', async () => {
+            const makerAssetAmount = new BigNumber(10);
+            const takerAssetAmount = new BigNumber(10000000000000000);
+            const takerBalance = takerAssetAmount;
+            const orderFilledAmount = new BigNumber(0);
+            const mockBalanceFetcher = buildMockBalanceFetcher(takerBalance);
+            const mockOrderFilledFetcher = buildMockOrderFilledFetcher(orderFilledAmount);
+            const [signedOrder] = testOrderFactory.generateTestSignedOrders(
+                {
+                    makerAssetAmount,
+                    takerAssetAmount,
+                },
+                1,
+            );
+
+            const orderStateUtils = new OrderStateUtils(mockBalanceFetcher, mockOrderFilledFetcher);
+            const orderState = await orderStateUtils.getOpenOrderStateAsync(signedOrder);
+            expect(orderState.isValid).to.eq(true);
+        });
+        it('should be invalid when an order is partially filled where only a rounding error remains', async () => {
+            const makerAssetAmount = new BigNumber(1001);
+            const takerAssetAmount = new BigNumber(3);
+            const takerBalance = takerAssetAmount;
+            const orderFilledAmount = new BigNumber(2);
+            const mockBalanceFetcher = buildMockBalanceFetcher(takerBalance);
+            const mockOrderFilledFetcher = buildMockOrderFilledFetcher(orderFilledAmount);
+            const [signedOrder] = testOrderFactory.generateTestSignedOrders(
+                {
+                    makerAssetAmount,
+                    takerAssetAmount,
+                },
+                1,
+            );
+
+            const orderStateUtils = new OrderStateUtils(mockBalanceFetcher, mockOrderFilledFetcher);
+            const orderState = await orderStateUtils.getOpenOrderStateAsync(signedOrder);
+            expect(orderState.isValid).to.eq(false);
+        });
+        it('should be invalid when an order is cancelled', async () => {
+            const makerAssetAmount = new BigNumber(1000);
+            const takerAssetAmount = new BigNumber(2);
+            const takerBalance = takerAssetAmount;
+            const orderFilledAmount = new BigNumber(0);
+            const isCancelled = true;
+            const mockBalanceFetcher = buildMockBalanceFetcher(takerBalance);
+            const mockOrderFilledFetcher = buildMockOrderFilledFetcher(orderFilledAmount, isCancelled);
+            const [signedOrder] = testOrderFactory.generateTestSignedOrders(
+                {
+                    makerAssetAmount,
+                    takerAssetAmount,
+                },
+                1,
+            );
+
+            const orderStateUtils = new OrderStateUtils(mockBalanceFetcher, mockOrderFilledFetcher);
+            const orderState = await orderStateUtils.getOpenOrderStateAsync(signedOrder);
+            expect(orderState.isValid).to.eq(false);
+        });
+        it('should be invalid when an order is fully filled', async () => {
+            const makerAssetAmount = new BigNumber(1000);
+            const takerAssetAmount = new BigNumber(2);
+            const takerBalance = takerAssetAmount;
+            const orderFilledAmount = takerAssetAmount;
+            const isCancelled = false;
+            const mockBalanceFetcher = buildMockBalanceFetcher(takerBalance);
+            const mockOrderFilledFetcher = buildMockOrderFilledFetcher(orderFilledAmount, isCancelled);
+            const [signedOrder] = testOrderFactory.generateTestSignedOrders(
+                {
+                    makerAssetAmount,
+                    takerAssetAmount,
+                },
+                1,
+            );
+
+            const orderStateUtils = new OrderStateUtils(mockBalanceFetcher, mockOrderFilledFetcher);
+            const orderState = await orderStateUtils.getOpenOrderStateAsync(signedOrder);
+            expect(orderState.isValid).to.eq(false);
+        });
+    });
+});
diff --git a/packages/order-utils/test/rate_utils_test.ts b/packages/order-utils/test/rate_utils_test.ts
new file mode 100644
index 000000000..2e299c209
--- /dev/null
+++ b/packages/order-utils/test/rate_utils_test.ts
@@ -0,0 +1,55 @@
+import { BigNumber } from '@0xproject/utils';
+import * as chai from 'chai';
+import 'mocha';
+
+import { rateUtils } from '../src';
+
+import { chaiSetup } from './utils/chai_setup';
+import { testOrderFactory } from './utils/test_order_factory';
+
+chaiSetup.configure();
+const expect = chai.expect;
+
+describe('rateUtils', () => {
+    const testOrder = testOrderFactory.generateTestSignedOrder({
+        makerAssetAmount: new BigNumber(100),
+        takerAssetAmount: new BigNumber(100),
+        takerFee: new BigNumber(20),
+    });
+    describe('#getFeeAdjustedRateOfOrder', () => {
+        it('throws when feeRate is less than zero', async () => {
+            const feeRate = new BigNumber(-1);
+            expect(() => rateUtils.getFeeAdjustedRateOfOrder(testOrder, feeRate)).to.throw(
+                'Expected feeRate: -1 to be greater than or equal to 0',
+            );
+        });
+        it('correctly calculates fee adjusted rate when feeRate is provided', async () => {
+            const feeRate = new BigNumber(2); // ZRX costs 2 units of takerAsset per 1 unit of ZRX
+            const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfOrder(testOrder, feeRate);
+            // the order actually takes 100 + (2 * 20) takerAsset units to fill 100 units of makerAsset
+            expect(feeAdjustedRate).to.bignumber.equal(new BigNumber(1.4));
+        });
+        it('correctly calculates fee adjusted rate when no feeRate is provided', async () => {
+            const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfOrder(testOrder);
+            // because no feeRate was provided we just assume 0 fees
+            // the order actually takes 100 takerAsset units to fill 100 units of makerAsset
+            expect(feeAdjustedRate).to.bignumber.equal(new BigNumber(1));
+        });
+    });
+    describe('#getFeeAdjustedRateOfFeeOrder', () => {
+        it('throws when takerFee exceeds makerAssetAmount', async () => {
+            const badOrder = testOrderFactory.generateTestSignedOrder({
+                makerAssetAmount: new BigNumber(100),
+                takerFee: new BigNumber(101),
+            });
+            expect(() => rateUtils.getFeeAdjustedRateOfFeeOrder(badOrder)).to.throw(
+                'Expected takerFee: "101" to be less than makerAssetAmount: "100"',
+            );
+        });
+        it('correctly calculates fee adjusted rate', async () => {
+            const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfFeeOrder(testOrder);
+            // the order actually takes 100 takerAsset units to fill (100 - 20) units of makerAsset
+            expect(feeAdjustedRate).to.bignumber.equal(new BigNumber(1.25));
+        });
+    });
+});
diff --git a/packages/order-utils/test/sorting_utils_test.ts b/packages/order-utils/test/sorting_utils_test.ts
new file mode 100644
index 000000000..016432505
--- /dev/null
+++ b/packages/order-utils/test/sorting_utils_test.ts
@@ -0,0 +1,67 @@
+import { BigNumber } from '@0xproject/utils';
+import * as chai from 'chai';
+import 'mocha';
+
+import { sortingUtils } from '../src';
+
+import { chaiSetup } from './utils/chai_setup';
+import { testOrderFactory } from './utils/test_order_factory';
+
+chaiSetup.configure();
+const expect = chai.expect;
+
+describe('sortingUtils', () => {
+    describe('#sortOrdersByFeeAdjustedRate', () => {
+        const feeRate = new BigNumber(1); // ZRX costs 1 unit of takerAsset per 1 unit of ZRX
+        // rate: 2 takerAsset / makerAsset
+        const testOrder1 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(200),
+        });
+        // rate: 1 takerAsset / makerAsset
+        const testOrder2 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(100),
+        });
+        // rate: 2.5 takerAsset / makerAsset
+        const testOrder3 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(200),
+            takerFee: new BigNumber(50),
+        });
+        it('correctly sorts by fee adjusted rate when feeRate is Provided', async () => {
+            const orders = [testOrder1, testOrder2, testOrder3];
+            const sortedOrders = sortingUtils.sortOrdersByFeeAdjustedRate(orders, feeRate);
+            expect(sortedOrders).to.deep.equal([testOrder2, testOrder1, testOrder3]);
+        });
+        it('correctly sorts by fee adjusted rate when no feeRate is Provided', async () => {
+            const orders = [testOrder1, testOrder2, testOrder3];
+            const sortedOrders = sortingUtils.sortOrdersByFeeAdjustedRate(orders);
+            expect(sortedOrders).to.deep.equal([testOrder2, testOrder1, testOrder3]);
+        });
+    });
+    describe('#sortFeeOrdersByFeeAdjustedRate', () => {
+        // rate: 200 takerAsset / makerAsset
+        const testOrder1 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(200),
+            takerFee: new BigNumber(99),
+        });
+        // rate: 1 takerAsset / makerAsset
+        const testOrder2 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(100),
+        });
+        // rate: 4 takerAsset / makerAsset
+        const testOrder3 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(200),
+            takerFee: new BigNumber(50),
+        });
+        it('correctly sorts by fee adjusted rate', async () => {
+            const orders = [testOrder1, testOrder2, testOrder3];
+            const sortedOrders = sortingUtils.sortFeeOrdersByFeeAdjustedRate(orders);
+            expect(sortedOrders).to.deep.equal([testOrder2, testOrder3, testOrder1]);
+        });
+    });
+});