Implement first round of tests for findOrdersThatCoverMakerAssetFillAmount

5 files changed, 222 insertions, 12 deletions

diff --git a/packages/order-utils/src/constants.ts b/packages/order-utils/src/constants.ts
index b18546a6c..5137ff499 100644
--- a/packages/order-utils/src/constants.ts
+++ b/packages/order-utils/src/constants.ts
@@ -2,6 +2,7 @@ import { BigNumber } from '@0xproject/utils';
 
 export const constants = {
     NULL_ADDRESS: '0x0000000000000000000000000000000000000000',
+    NULL_BYTES: '0x',
     // tslint:disable-next-line:custom-no-magic-numbers
     UNLIMITED_ALLOWANCE_IN_BASE_UNITS: new BigNumber(2).pow(256).minus(1),
     TESTRPC_NETWORK_ID: 50,
diff --git a/packages/order-utils/src/index.ts b/packages/order-utils/src/index.ts
index 129eb0a3d..858f500c6 100644
--- a/packages/order-utils/src/index.ts
+++ b/packages/order-utils/src/index.ts
@@ -32,3 +32,4 @@ export { assetDataUtils } from './asset_data_utils';
 export { EIP712Utils } from './eip712_utils';
 export { OrderValidationUtils } from './order_validation_utils';
 export { ExchangeTransferSimulator } from './exchange_transfer_simulator';
+export { marketUtils } from './market_utils';
diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts
index 4ddcc6ec8..710eddf8a 100644
--- a/packages/order-utils/src/market_utils.ts
+++ b/packages/order-utils/src/market_utils.ts
@@ -39,10 +39,17 @@ export const marketUtils = {
                     return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT };
                 } else {
                     const orderState = orderStates[index];
-                    const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState);
+                    const makerAssetAmountAvailable = orderState.remainingFillableMakerAssetAmount;
+                    // if there is no makerAssetAmountAvailable do not append order to resultOrders
+                    // if we have exceeded the total amount we want to fill set remainingFillAmount to 0
                     return {
-                        resultOrders: _.concat(resultOrders, order),
-                        remainingFillAmount: remainingFillAmount.minus(makerAssetAmountAvailable),
+                        resultOrders: makerAssetAmountAvailable.gt(constants.ZERO_AMOUNT)
+                            ? _.concat(resultOrders, order)
+                            : resultOrders,
+                        remainingFillAmount: BigNumber.max(
+                            constants.ZERO_AMOUNT,
+                            remainingFillAmount.minus(makerAssetAmountAvailable),
+                        ),
                     };
                 }
             },
@@ -83,7 +90,7 @@ export const marketUtils = {
             signedOrders,
             (accFees, order, index) => {
                 const orderState = orderStates[index];
-                const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState);
+                const makerAssetAmountAvailable = orderState.remainingFillableMakerAssetAmount;
                 const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
                     .div(order.makerAssetAmount)
                     .mul(order.takerFee);
@@ -99,11 +106,3 @@ export const marketUtils = {
         );
     },
 };
-
-const getMakerAssetAmountAvailable = (orderState: OrderRelevantState) => {
-    return BigNumber.min(
-        orderState.makerBalance,
-        orderState.remainingFillableMakerAssetAmount,
-        orderState.makerProxyAllowance,
-    );
-};
diff --git a/packages/order-utils/test/market_utils_test.ts b/packages/order-utils/test/market_utils_test.ts
new file mode 100644
index 000000000..93779d035
--- /dev/null
+++ b/packages/order-utils/test/market_utils_test.ts
@@ -0,0 +1,146 @@
+import { OrderRelevantState, SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as chai from 'chai';
+import * as _ from 'lodash';
+import 'mocha';
+
+import { constants, marketUtils, orderFactory } from '../src';
+
+import { chaiSetup } from './utils/chai_setup';
+import { testOrderFactory } from './utils/test_order_factory';
+
+chaiSetup.configure();
+const expect = chai.expect;
+
+// tslint:disable: no-unused-expression
+describe('marketUtils', () => {
+    describe.only('#findOrdersThatCoverMakerAssetFillAmount', () => {
+        describe('no orders', () => {
+            it('returns empty and unchanged remainingFillAmount', async () => {
+                const fillAmount = new BigNumber(10);
+                const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+                    [],
+                    [],
+                    fillAmount,
+                );
+                expect(resultOrders).to.be.empty;
+                expect(remainingFillAmount).to.be.bignumber.equal(fillAmount);
+            });
+        });
+        describe('orders are all completely fillable', () => {
+            // generate three signed orders each with 10 units of makerAsset, 30 total
+            const testOrderCount = 3;
+            const makerAssetAmount = new BigNumber(10);
+            const inputOrders = testOrderFactory.generateTestSignedOrders(
+                {
+                    makerAssetAmount,
+                },
+                testOrderCount,
+            );
+            // generate order states that cover the required fill amount
+            const inputOrderStates = testOrderFactory.generateTestOrderRelevantStates(
+                {
+                    remainingFillableMakerAssetAmount: makerAssetAmount,
+                },
+                testOrderCount,
+            );
+            it('returns input orders and zero remainingFillAmount when input exactly matches requested fill amount', async () => {
+                // try to fill 30 units of makerAsset
+                const fillAmount = new BigNumber(30);
+                const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+                    inputOrders,
+                    inputOrderStates,
+                    fillAmount,
+                );
+                expect(resultOrders).to.be.deep.equal(inputOrders);
+                expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+            });
+            it('returns input orders and zero remainingFillAmount when input has more than requested fill amount', async () => {
+                // try to fill 25 units of makerAsset
+                const fillAmount = new BigNumber(25);
+                const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+                    inputOrders,
+                    inputOrderStates,
+                    fillAmount,
+                );
+                expect(resultOrders).to.be.deep.equal(inputOrders);
+                expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+            });
+            it('returns input orders and non-zero remainingFillAmount when input has less than requested fill amount', async () => {
+                // try to fill 35 units of makerAsset
+                const fillAmount = new BigNumber(35);
+                const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+                    inputOrders,
+                    inputOrderStates,
+                    fillAmount,
+                );
+                expect(resultOrders).to.be.deep.equal(inputOrders);
+                expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(5));
+            });
+            it('returns first order and zero remainingFillAmount when requested fill amount is exactly covered by the first order', async () => {
+                // try to fill 10 units of makerAsset
+                const fillAmount = new BigNumber(10);
+                const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+                    inputOrders,
+                    inputOrderStates,
+                    fillAmount,
+                );
+                expect(resultOrders).to.be.deep.equal([inputOrders[0]]);
+                expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+            });
+            it('returns first two orders and zero remainingFillAmount when requested fill amount is over covered by the first two order', async () => {
+                // try to fill 15 units of makerAsset
+                const fillAmount = new BigNumber(15);
+                const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+                    inputOrders,
+                    inputOrderStates,
+                    fillAmount,
+                );
+                expect(resultOrders).to.be.deep.equal([inputOrders[0], inputOrders[1]]);
+                expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
+            });
+        });
+        describe('orders are partially fillable', () => {
+            // generate three signed orders each with 10 units of makerAsset, 30 total
+            const testOrderCount = 3;
+            const makerAssetAmount = new BigNumber(10);
+            const inputOrders = testOrderFactory.generateTestSignedOrders(
+                {
+                    makerAssetAmount,
+                },
+                testOrderCount,
+            );
+            // generate order states that cover different scenarios
+            // 1. order is completely filled already
+            // 2. order is partially fillable
+            // 3. order is completely fillable
+            const partialOrderStates: Array<Partial<OrderRelevantState>> = [
+                {
+                    remainingFillableMakerAssetAmount: constants.ZERO_AMOUNT,
+                },
+                {
+                    remainingFillableMakerAssetAmount: new BigNumber(5),
+                },
+                {
+                    remainingFillableMakerAssetAmount: makerAssetAmount,
+                },
+            ];
+            const inputOrderStates: OrderRelevantState[] = _.map(
+                partialOrderStates,
+                testOrderFactory.generateTestOrderRelevantState,
+            );
+            it('returns last 2 orders and non-zero remainingFillAmount when trying to fill original makerAssetAmounts', async () => {
+                // try to fill 30 units of makerAsset
+                const fillAmount = new BigNumber(30);
+                const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+                    inputOrders,
+                    inputOrderStates,
+                    fillAmount,
+                );
+                expect(resultOrders).to.be.deep.equal([inputOrders[1], inputOrders[2]]);
+                expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(15));
+            });
+        });
+    });
+    describe('#findFeeOrdersThatCoverFeesForTargetOrders', () => {});
+});
diff --git a/packages/order-utils/test/utils/test_order_factory.ts b/packages/order-utils/test/utils/test_order_factory.ts
new file mode 100644
index 000000000..2c5d8cf61
--- /dev/null
+++ b/packages/order-utils/test/utils/test_order_factory.ts
@@ -0,0 +1,63 @@
+import { Order, OrderRelevantState, SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { constants, orderFactory } from '../../src';
+
+const BASE_TEST_ORDER: Order = orderFactory.createOrder(
+    constants.NULL_ADDRESS,
+    constants.NULL_ADDRESS,
+    constants.NULL_ADDRESS,
+    constants.ZERO_AMOUNT,
+    constants.ZERO_AMOUNT,
+    constants.ZERO_AMOUNT,
+    constants.NULL_BYTES,
+    constants.ZERO_AMOUNT,
+    constants.NULL_BYTES,
+    constants.NULL_ADDRESS,
+    constants.NULL_ADDRESS,
+);
+const BASE_TEST_SIGNED_ORDER: SignedOrder = {
+    ...BASE_TEST_ORDER,
+    signature: constants.NULL_BYTES,
+};
+const BASE_TEST_ORDER_RELEVANT_STATE: OrderRelevantState = {
+    makerBalance: constants.ZERO_AMOUNT,
+    makerProxyAllowance: constants.ZERO_AMOUNT,
+    makerFeeBalance: constants.ZERO_AMOUNT,
+    makerFeeProxyAllowance: constants.ZERO_AMOUNT,
+    filledTakerAssetAmount: constants.ZERO_AMOUNT,
+    remainingFillableMakerAssetAmount: constants.ZERO_AMOUNT,
+    remainingFillableTakerAssetAmount: constants.ZERO_AMOUNT,
+};
+
+export const testOrderFactory = {
+    generateTestSignedOrder(partialOrder: Partial<SignedOrder>): SignedOrder {
+        return transformObject(BASE_TEST_SIGNED_ORDER, partialOrder);
+    },
+    generateTestSignedOrders(partialOrder: Partial<SignedOrder>, numOrders: number): SignedOrder[] {
+        const baseTestOrders = generateArrayOfInput(BASE_TEST_SIGNED_ORDER, numOrders);
+        return transformObjects(baseTestOrders, partialOrder);
+    },
+    generateTestOrderRelevantState(partialOrderRelevantState: Partial<OrderRelevantState>): OrderRelevantState {
+        return transformObject(BASE_TEST_ORDER_RELEVANT_STATE, partialOrderRelevantState);
+    },
+    generateTestOrderRelevantStates(
+        partialOrderRelevantState: Partial<OrderRelevantState>,
+        numOrderStates: number,
+    ): OrderRelevantState[] {
+        const baseTestOrderStates = generateArrayOfInput(BASE_TEST_ORDER_RELEVANT_STATE, numOrderStates);
+        return transformObjects(baseTestOrderStates, partialOrderRelevantState);
+    },
+};
+
+function generateArrayOfInput<T>(input: T, rangeLength: number): T[] {
+    return _.map(_.range(rangeLength), () => input);
+}
+function transformObject<T>(input: T, transformation: Partial<T>): T {
+    const copy = _.cloneDeep(input);
+    return _.assign(copy, transformation);
+}
+function transformObjects<T>(inputs: T[], transformation: Partial<T>): T[] {
+    return _.map(inputs, input => transformObject(input, transformation));
+}