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-rw-r--r--packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts100
-rw-r--r--packages/order-utils/src/constants.ts2
-rw-r--r--packages/order-utils/src/market_utils.ts109
3 files changed, 111 insertions, 100 deletions
diff --git a/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts b/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts
index c0961b3a3..13ef0fe01 100644
--- a/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts
+++ b/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts
@@ -1,5 +1,5 @@
import { schemas } from '@0xproject/json-schemas';
-import { AssetProxyId, OrderRelevantState, SignedOrder } from '@0xproject/types';
+import { AssetProxyId, SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import { Web3Wrapper } from '@0xproject/web3-wrapper';
import { ContractAbi } from 'ethereum-types';
@@ -24,104 +24,6 @@ export class ForwarderWrapper extends ContractWrapper {
private _forwarderContractIfExists?: ForwarderContract;
private _contractAddressIfExists?: string;
private _zrxContractAddressIfExists?: string;
- /**
- * 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 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
- * 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 findOrdersThatCoverMakerAssetFillAmount(
- signedOrders: SignedOrder[],
- orderStates: OrderRelevantState[],
- makerAssetFillAmount: BigNumber,
- slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
- ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
- // type assertions
- assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
- assert.isBigNumber('makerAssetFillAmount', makerAssetFillAmount);
- assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
- // 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: constants.ZERO_AMOUNT };
- } else {
- const orderState = orderStates[index];
- const makerAssetAmountAvailable = ForwarderWrapper._getMakerAssetAmountAvailable(orderState);
- return {
- resultOrders: _.concat(resultOrders, order),
- remainingFillAmount: remainingFillAmount.minus(makerAssetAmountAvailable),
- };
- }
- },
- { resultOrders: [] as SignedOrder[], remainingFillAmount: totalFillAmount },
- );
- 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,
diff --git a/packages/order-utils/src/constants.ts b/packages/order-utils/src/constants.ts
index ea3f8b932..b18546a6c 100644
--- a/packages/order-utils/src/constants.ts
+++ b/packages/order-utils/src/constants.ts
@@ -10,6 +10,6 @@ export const constants = {
ERC721_ASSET_DATA_MINIMUM_BYTE_LENGTH: 53,
SELECTOR_LENGTH: 4,
BASE_16: 16,
- INFINITE_TIMESTAMP_SEC: new BigNumber(2524604400), // Close to infinite
+ INFINITE_TIMESTAMP_SEC: new BigNumber(2524604400), // Close to infinite,
ZERO_AMOUNT: new BigNumber(0),
};
diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts
new file mode 100644
index 000000000..4ddcc6ec8
--- /dev/null
+++ b/packages/order-utils/src/market_utils.ts
@@ -0,0 +1,109 @@
+import { schemas } from '@0xproject/json-schemas';
+import { OrderRelevantState, SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { assert } from './assert';
+import { constants } from './constants';
+
+export const marketUtils = {
+ /**
+ * 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 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
+ * 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.
+ */
+ findOrdersThatCoverMakerAssetFillAmount(
+ signedOrders: SignedOrder[],
+ orderStates: OrderRelevantState[],
+ makerAssetFillAmount: BigNumber,
+ slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
+ ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
+ // type assertions
+ assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+ assert.isBigNumber('makerAssetFillAmount', makerAssetFillAmount);
+ assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
+ // 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: constants.ZERO_AMOUNT };
+ } else {
+ const orderState = orderStates[index];
+ const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState);
+ return {
+ resultOrders: _.concat(resultOrders, order),
+ remainingFillAmount: remainingFillAmount.minus(makerAssetAmountAvailable),
+ };
+ }
+ },
+ { resultOrders: [] as SignedOrder[], remainingFillAmount: totalFillAmount },
+ );
+ 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.
+ */
+ 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 = getMakerAssetAmountAvailable(orderState);
+ const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
+ .div(order.makerAssetAmount)
+ .mul(order.takerFee);
+ return accFees.plus(feeToFillMakerAssetAmountAvailable);
+ },
+ constants.ZERO_AMOUNT,
+ );
+ return marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+ signedFeeOrders,
+ feeOrderStates,
+ totalFeeAmount,
+ slippageBufferAmount,
+ );
+ },
+};
+
+const getMakerAssetAmountAvailable = (orderState: OrderRelevantState) => {
+ return BigNumber.min(
+ orderState.makerBalance,
+ orderState.remainingFillableMakerAssetAmount,
+ orderState.makerProxyAllowance,
+ );
+};
generated by cgit v1.2.3 (git 2.25.1) at 2024-11-06 12:22:35 +0800