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authorBrandon Millman <brandon.millman@gmail.com>2018-08-03 01:55:09 +0800
committerBrandon Millman <brandon.millman@gmail.com>2018-08-06 06:33:52 +0800
commita016747c36e0bc2c182e3d2b565ca63fb95e2b1b (patch)
treeada26e57de97e2628ed6bd7431a241a7d74d048f /packages
parent1c06380ef50ae401670d5de74ef2e32f972177ca (diff)
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Add findFeeOrdersThatCoverFeesForTargetOrders to ForwarderWrapper
Diffstat (limited to 'packages')
-rw-r--r--packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts65
1 files changed, 60 insertions, 5 deletions
diff --git a/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts b/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts
index 5e879b3a8..c0961b3a3 100644
--- a/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts
+++ b/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts
@@ -27,7 +27,7 @@ export class ForwarderWrapper extends ContractWrapper {
/**
* Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount (taking into account on-chain balances,
* allowances, and partial fills) in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last.
- * Sort the input by rate in order to get the subset of orders that will cost the least ETH.
+ * Sort the input by ascending rate in order to get the subset of orders that will cost the least ETH.
* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify the same makerAsset.
* All orders should specify WETH as the takerAsset.
* @param orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
@@ -46,20 +46,20 @@ export class ForwarderWrapper extends ContractWrapper {
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
assert.isBigNumber('makerAssetFillAmount', makerAssetFillAmount);
assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
- // calculate total amount of makerAsset needed to fill
+ // calculate total amount of makerAsset needed to be filled
const totalFillAmount = makerAssetFillAmount.plus(slippageBufferAmount);
// iterate through the signedOrders input from left to right until we have enough makerAsset to fill totalFillAmount
const result = _.reduce(
signedOrders,
({ resultOrders, remainingFillAmount }, order, index) => {
if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) {
- return { resultOrders, remainingFillAmount };
+ return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT };
} else {
const orderState = orderStates[index];
- const orderRemainingFillableMakerAssetAmount = orderState.remainingFillableMakerAssetAmount;
+ const makerAssetAmountAvailable = ForwarderWrapper._getMakerAssetAmountAvailable(orderState);
return {
resultOrders: _.concat(resultOrders, order),
- remainingFillAmount: remainingFillAmount.minus(orderState.remainingFillableMakerAssetAmount),
+ remainingFillAmount: remainingFillAmount.minus(makerAssetAmountAvailable),
};
}
},
@@ -67,6 +67,61 @@ export class ForwarderWrapper extends ContractWrapper {
);
return result;
}
+ /**
+ * Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX (taking into account
+ * on-chain balances, allowances, and partial fills) in order to fill the takerFees required by signedOrders plus a
+ * slippageBufferAmount. Iterates from first feeOrder to last. Sort the feeOrders by ascending rate in order to get the subset of
+ * feeOrders that will cost the least ETH.
+ * @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
+ * the makerAsset and WETH as the takerAsset.
+ * @param orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
+ * relevant to that order.
+ * @param signedFeeOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
+ * the makerAsset and WETH as the takerAsset.
+ * @param feeOrderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
+ * relevant to that order.
+ * @param makerAssetFillAmount The amount of makerAsset desired to be filled.
+ * @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills.
+ * @return Resulting orders and remaining fill amount that could not be covered by the input.
+ */
+ public static findFeeOrdersThatCoverFeesForTargetOrders(
+ signedOrders: SignedOrder[],
+ orderStates: OrderRelevantState[],
+ signedFeeOrders: SignedOrder[],
+ feeOrderStates: OrderRelevantState[],
+ slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
+ ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
+ // type assertions
+ assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+ assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
+ assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
+ // calculate total amount of ZRX needed to fill signedOrders
+ const totalFeeAmount = _.reduce(
+ signedOrders,
+ (accFees, order, index) => {
+ const orderState = orderStates[index];
+ const makerAssetAmountAvailable = ForwarderWrapper._getMakerAssetAmountAvailable(orderState);
+ const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
+ .div(order.makerAssetAmount)
+ .mul(order.takerFee);
+ return feeToFillMakerAssetAmountAvailable;
+ },
+ constants.ZERO_AMOUNT,
+ );
+ return ForwarderWrapper.findOrdersThatCoverMakerAssetFillAmount(
+ signedFeeOrders,
+ feeOrderStates,
+ totalFeeAmount,
+ slippageBufferAmount,
+ );
+ }
+ private static _getMakerAssetAmountAvailable(orderState: OrderRelevantState): BigNumber {
+ return BigNumber.min(
+ orderState.makerBalance,
+ orderState.remainingFillableMakerAssetAmount,
+ orderState.makerProxyAllowance,
+ );
+ }
constructor(
web3Wrapper: Web3Wrapper,
networkId: number,