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-rw-r--r--packages/asset-buyer/src/asset_buyer.ts227
-rw-r--r--packages/asset-buyer/src/asset_buyers/asset_buyer.ts129
-rw-r--r--packages/asset-buyer/src/forwarder_helper_factory.ts1
-rw-r--r--packages/asset-buyer/src/index.ts15
-rw-r--r--packages/asset-buyer/src/types.ts50
-rw-r--r--packages/asset-buyer/src/utils/assert.ts23
-rw-r--r--packages/asset-buyer/src/utils/buy_quote_calculator.ts60
-rw-r--r--packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts92
-rw-r--r--packages/asset-buyer/src/utils/order_fetcher_response_processor.ts180
9 files changed, 544 insertions, 233 deletions
diff --git a/packages/asset-buyer/src/asset_buyer.ts b/packages/asset-buyer/src/asset_buyer.ts
new file mode 100644
index 000000000..9cbdd8df6
--- /dev/null
+++ b/packages/asset-buyer/src/asset_buyer.ts
@@ -0,0 +1,227 @@
+import { ContractWrappers } from '@0xproject/contract-wrappers';
+import { assetDataUtils, marketUtils } from '@0xproject/order-utils';
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import { Web3Wrapper } from '@0xproject/web3-wrapper';
+import { Provider } from 'ethereum-types';
+import * as _ from 'lodash';
+
+import { constants } from './constants';
+import {
+ AssetBuyerError,
+ AssetBuyerOrdersAndFillableAmounts,
+ BuyQuote,
+ OrderFetcher,
+ OrderFetcherResponse,
+} from './types';
+import { assert } from './utils/assert';
+import { buyQuoteCalculator } from './utils/buy_quote_calculator';
+import { orderFetcherResponseProcessor } from './utils/order_fetcher_response_processor';
+
+const SLIPPAGE_PERCENTAGE = 0.2; // 20% slippage protection, possibly move this into request interface
+const DEFAULT_ORDER_REFRESH_INTERVAL_MS = 10000; // 10 seconds
+const DEFAULT_FEE_PERCENTAGE = 0;
+const ETHER_TOKEN_DECIMALS = 18;
+
+export class AssetBuyer {
+ public readonly provider: Provider;
+ public readonly assetData: string;
+ public readonly orderFetcher: OrderFetcher;
+ public readonly networkId: number;
+ public readonly orderRefreshIntervalMs: number;
+ private _contractWrappers: ContractWrappers;
+ private _lastRefreshTimeIfExists?: number;
+ private _currentOrdersAndFillableAmountsIfExists?: AssetBuyerOrdersAndFillableAmounts;
+ /**
+ * Instantiates a new AssetBuyer instance
+ * @param provider The Provider instance you would like to use for interacting with the Ethereum network.
+ * @param assetData The assetData of the desired asset to buy (for more info: https://github.com/0xProject/0x-protocol-specification/blob/master/v2/v2-specification.md).
+ * @param orderFetcher An object that conforms to OrderFetcher, see type for definition.
+ * @param networkId The ethereum network id. Defaults to 1 (mainnet).
+ * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states.
+ * Defaults to 10000ms (10s).
+ * @return An instance of AssetBuyer
+ */
+ constructor(
+ provider: Provider,
+ assetData: string,
+ orderFetcher: OrderFetcher,
+ networkId: number = constants.MAINNET_NETWORK_ID,
+ orderRefreshIntervalMs: number = DEFAULT_ORDER_REFRESH_INTERVAL_MS,
+ ) {
+ assert.isWeb3Provider('provider', provider);
+ assert.isString('assetData', assetData);
+ assert.isValidOrderFetcher('orderFetcher', orderFetcher);
+ assert.isNumber('networkId', networkId);
+ assert.isNumber('orderRefreshIntervalMs', orderRefreshIntervalMs);
+ this.provider = provider;
+ this.assetData = assetData;
+ this.orderFetcher = orderFetcher;
+ this.networkId = networkId;
+ this.orderRefreshIntervalMs = orderRefreshIntervalMs;
+ this._contractWrappers = new ContractWrappers(this.provider, {
+ networkId,
+ });
+ }
+ /**
+ * Get a BuyQuote containing all information relevant to fulfilling a buy.
+ * Pass the BuyQuote to executeBuyQuoteAsync to execute the buy.
+ * @param assetBuyAmount The amount of asset to buy.
+ * @param feePercentage The affiliate fee percentage. Defaults to 0.
+ * @param forceOrderRefresh If set to true, new orders and state will be fetched instead of waiting for
+ * the next orderRefreshIntervalMs. Defaults to false.
+ * @return An object that conforms to BuyQuote that satisfies the request. See type definition for more information.
+ */
+ public async getBuyQuoteAsync(
+ assetBuyAmount: BigNumber,
+ feePercentage: number = DEFAULT_FEE_PERCENTAGE,
+ forceOrderRefresh: boolean = false,
+ ): Promise<BuyQuote> {
+ assert.isBigNumber('assetBuyAmount', assetBuyAmount);
+ assert.isNumber('feePercentage', feePercentage);
+ assert.isBoolean('forceOrderRefresh', forceOrderRefresh);
+ // we should refresh if:
+ // we do not have any orders OR
+ // we are forced to OR
+ // we have some last refresh time AND that time was sufficiently long ago
+ const shouldRefresh =
+ _.isUndefined(this._currentOrdersAndFillableAmountsIfExists) ||
+ forceOrderRefresh ||
+ (!_.isUndefined(this._lastRefreshTimeIfExists) &&
+ this._lastRefreshTimeIfExists + this.orderRefreshIntervalMs < Date.now());
+ let ordersAndFillableAmounts: AssetBuyerOrdersAndFillableAmounts;
+ if (shouldRefresh) {
+ ordersAndFillableAmounts = await this._getLatestOrdersAndFillableAmountsAsync();
+ this._lastRefreshTimeIfExists = Date.now();
+ this._currentOrdersAndFillableAmountsIfExists = ordersAndFillableAmounts;
+ } else {
+ // it is safe to cast to AssetBuyerOrdersAndFillableAmounts because shouldRefresh catches the undefined case above
+ ordersAndFillableAmounts = this
+ ._currentOrdersAndFillableAmountsIfExists as AssetBuyerOrdersAndFillableAmounts;
+ }
+ // TODO: optimization
+ // make the slippage percentage customizable by integrator
+ const buyQuote = buyQuoteCalculator.calculate(
+ ordersAndFillableAmounts,
+ assetBuyAmount,
+ feePercentage,
+ SLIPPAGE_PERCENTAGE,
+ );
+ return buyQuote;
+ }
+ /**
+ * Given a BuyQuote and desired rate, attempt to execute the buy.
+ * @param buyQuote An object that conforms to BuyQuote. See type definition for more information.
+ * @param rate The desired rate to execute the buy at. Affects the amount of ETH sent with the transaction, defaults to buyQuote.maxRate.
+ * @param takerAddress The address to perform the buy. Defaults to the first available address from the provider.
+ * @param feeRecipient The address where affiliate fees are sent. Defaults to null address (0x000...000).
+ * @return A promise of the txHash.
+ */
+ public async executeBuyQuoteAsync(
+ buyQuote: BuyQuote,
+ rate?: BigNumber,
+ takerAddress?: string,
+ feeRecipient: string = constants.NULL_ADDRESS,
+ ): Promise<string> {
+ assert.isValidBuyQuote('buyQuote', buyQuote);
+ if (!_.isUndefined(rate)) {
+ assert.isBigNumber('rate', rate);
+ }
+ if (!_.isUndefined(takerAddress)) {
+ assert.isETHAddressHex('takerAddress', takerAddress);
+ }
+ assert.isETHAddressHex('feeRecipient', feeRecipient);
+ const { orders, feeOrders, feePercentage, assetBuyAmount, maxRate } = buyQuote;
+ // if no takerAddress is provided, try to get one from the provider
+ let finalTakerAddress;
+ if (!_.isUndefined(takerAddress)) {
+ finalTakerAddress = takerAddress;
+ } else {
+ const web3Wrapper = new Web3Wrapper(this.provider);
+ const availableAddresses = await web3Wrapper.getAvailableAddressesAsync();
+ const firstAvailableAddress = _.head(availableAddresses);
+ if (!_.isUndefined(firstAvailableAddress)) {
+ finalTakerAddress = firstAvailableAddress;
+ } else {
+ throw new Error(AssetBuyerError.NoAddressAvailable);
+ }
+ }
+ // if no rate is provided, default to the maxRate from buyQuote
+ const desiredRate = rate || maxRate;
+ // calculate how much eth is required to buy assetBuyAmount at the desired rate
+ const ethAmount = assetBuyAmount.dividedToIntegerBy(desiredRate);
+ // TODO: critical
+ // update the forwarder wrapper to take in feePercentage as a number instead of a BigNumber, verify with Amir that this is being done correctly
+ const feePercentageBigNumber = !_.isUndefined(feePercentage)
+ ? Web3Wrapper.toBaseUnitAmount(new BigNumber(1), ETHER_TOKEN_DECIMALS).mul(feePercentage)
+ : constants.ZERO_AMOUNT;
+ const txHash = await this._contractWrappers.forwarder.marketBuyOrdersWithEthAsync(
+ orders,
+ assetBuyAmount,
+ finalTakerAddress,
+ ethAmount,
+ feeOrders,
+ feePercentageBigNumber,
+ feeRecipient,
+ );
+ return txHash;
+ }
+ /**
+ * Ask the order fetcher for orders and process them.
+ */
+ private async _getLatestOrdersAndFillableAmountsAsync(): Promise<AssetBuyerOrdersAndFillableAmounts> {
+ // find ether token asset data
+ const etherTokenAssetData = this._getEtherTokenAssetData();
+ // find zrx token asset data
+ const zrxTokenAssetData = this._getZrxTokenAssetData();
+ // construct order fetcher requests
+ const targetOrderFetcherRequest = {
+ makerAssetData: this.assetData,
+ takerAssetData: etherTokenAssetData,
+ networkId: this.networkId,
+ };
+ const feeOrderFetcherRequest = {
+ makerAssetData: zrxTokenAssetData,
+ takerAssetData: etherTokenAssetData,
+ networkId: this.networkId,
+ };
+ const requests = [targetOrderFetcherRequest, feeOrderFetcherRequest];
+ // fetch orders and possible fillable amounts
+ const [targetOrderFetcherResponse, feeOrderFetcherResponse] = await Promise.all(
+ _.map(requests, request => this.orderFetcher.fetchOrdersAsync(request)),
+ );
+ // process the responses into one object
+ const ordersAndFillableAmounts = await orderFetcherResponseProcessor.processAsync(
+ targetOrderFetcherResponse,
+ feeOrderFetcherResponse,
+ zrxTokenAssetData,
+ this._contractWrappers.orderValidator,
+ );
+ return ordersAndFillableAmounts;
+ }
+ /**
+ * Get the assetData that represents the WETH token.
+ * Will throw if WETH does not exist for the current network.
+ */
+ private _getEtherTokenAssetData(): string {
+ const etherTokenAddressIfExists = this._contractWrappers.etherToken.getContractAddressIfExists();
+ if (_.isUndefined(etherTokenAddressIfExists)) {
+ throw new Error(AssetBuyerError.NoEtherTokenContractFound);
+ }
+ const etherTokenAssetData = assetDataUtils.encodeERC20AssetData(etherTokenAddressIfExists);
+ return etherTokenAssetData;
+ }
+ /**
+ * Get the assetData that represents the ZRX token.
+ * Will throw if ZRX does not exist for the current network.
+ */
+ private _getZrxTokenAssetData(): string {
+ let zrxTokenAssetData: string;
+ try {
+ zrxTokenAssetData = this._contractWrappers.exchange.getZRXAssetData();
+ } catch (err) {
+ throw new Error(AssetBuyerError.NoZrxTokenContractFound);
+ }
+ return zrxTokenAssetData;
+ }
+}
diff --git a/packages/asset-buyer/src/asset_buyers/asset_buyer.ts b/packages/asset-buyer/src/asset_buyers/asset_buyer.ts
deleted file mode 100644
index eb7f85e2b..000000000
--- a/packages/asset-buyer/src/asset_buyers/asset_buyer.ts
+++ /dev/null
@@ -1,129 +0,0 @@
-import { ContractWrappers } from '@0xproject/contract-wrappers';
-import { marketUtils } from '@0xproject/order-utils';
-import { SignedOrder } from '@0xproject/types';
-import { BigNumber } from '@0xproject/utils';
-import { Web3Wrapper } from '@0xproject/web3-wrapper';
-import * as _ from 'lodash';
-import { Provider } from 'ethereum-types';
-
-import { constants } from '../constants';
-import { AssetBuyerError, BuyQuote, BuyQuoteRequest } from '../types';
-
-const SLIPPAGE_PERCENTAGE = new BigNumber(0.2); // 20% slippage protection, possibly move this into request interface
-
-export interface AssetBuyerConfig {
- orders: SignedOrder[];
- feeOrders: SignedOrder[];
- remainingFillableMakerAssetAmounts?: BigNumber[];
- remainingFillableFeeAmounts?: BigNumber[];
- networkId?: number;
-}
-
-export class AssetBuyer {
- public readonly provider: Provider;
- public readonly config: AssetBuyerConfig;
- private _contractWrappers: ContractWrappers;
- constructor(provider: Provider, config: AssetBuyerConfig) {
- this.provider = provider;
- this.config = config;
- const networkId = this.config.networkId || constants.MAINNET_NETWORK_ID;
- this._contractWrappers = new ContractWrappers(this.provider, {
- networkId,
- });
- }
- /**
- * Given a BuyQuoteRequest, returns a BuyQuote containing all information relevant to fulfilling the buy. Pass the BuyQuote
- * to executeBuyQuoteAsync to execute the buy.
- * @param buyQuoteRequest An object that conforms to BuyQuoteRequest. See type definition for more information.
- * @return An object that conforms to BuyQuote that satisfies the request. See type definition for more information.
- */
- public getBuyQuote(buyQuoteRequest: BuyQuoteRequest): BuyQuote {
- const { assetBuyAmount, feePercentage } = buyQuoteRequest;
- const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = this.config;
- // TODO: optimization
- // make the slippage percentage customizable
- const slippageBufferAmount = assetBuyAmount.mul(SLIPPAGE_PERCENTAGE).round();
- const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
- orders,
- assetBuyAmount,
- {
- remainingFillableMakerAssetAmounts,
- slippageBufferAmount,
- },
- );
- if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
- throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
- }
- // TODO: optimization
- // update this logic to find the minimum amount of feeOrders to cover the worst case as opposed to
- // finding order that cover all fees, this will help with estimating ETH and minimizing gas usage
- const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
- resultOrders,
- feeOrders,
- {
- remainingFillableMakerAssetAmounts,
- remainingFillableFeeAmounts,
- },
- );
- if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
- throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
- }
- const assetData = orders[0].makerAssetData;
- // TODO: critical
- // calculate minRate and maxRate by calculating min and max eth usage and then dividing into
- // assetBuyAmount to get assetData / WETH
- return {
- assetData,
- orders: resultOrders,
- feeOrders: resultFeeOrders,
- minRate: constants.ZERO_AMOUNT,
- maxRate: constants.ZERO_AMOUNT,
- assetBuyAmount,
- feePercentage,
- };
- }
- /**
- * Given a BuyQuote and desired rate, attempt to execute the buy.
- * @param buyQuote An object that conforms to BuyQuote. See type definition for more information.
- * @param rate The desired rate to execute the buy at. Affects the amount of ETH sent with the transaction, defaults to buyQuote.maxRate.
- * @param takerAddress The address to perform the buy. Defaults to the first available address from the provider.
- * @param feeRecipient The address where affiliate fees are sent. Defaults to null address (0x000...000).
- * @return A promise of the txHash.
- */
- public async executeBuyQuoteAsync(
- buyQuote: BuyQuote,
- rate?: BigNumber,
- takerAddress?: string,
- feeRecipient: string = constants.NULL_ADDRESS,
- ): Promise<string> {
- const { orders, feeOrders, feePercentage, assetBuyAmount, maxRate } = buyQuote;
- // if no takerAddress is provided, try to get one from the provider
- let finalTakerAddress;
- if (!_.isUndefined(takerAddress)) {
- finalTakerAddress = takerAddress;
- } else {
- const web3Wrapper = new Web3Wrapper(this.provider);
- const availableAddresses = await web3Wrapper.getAvailableAddressesAsync();
- const firstAvailableAddress = _.head(availableAddresses);
- if (!_.isUndefined(firstAvailableAddress)) {
- finalTakerAddress = firstAvailableAddress;
- } else {
- throw new Error(AssetBuyerError.NoAddressAvailable);
- }
- }
- // if no rate is provided, default to the maxRate from buyQuote
- const desiredRate = rate || maxRate;
- // calculate how much eth is required to buy assetBuyAmount at the desired rate
- const ethAmount = assetBuyAmount.dividedToIntegerBy(desiredRate);
- const txHash = await this._contractWrappers.forwarder.marketBuyOrdersWithEthAsync(
- orders,
- assetBuyAmount,
- finalTakerAddress,
- ethAmount,
- feeOrders,
- feePercentage,
- feeRecipient,
- );
- return txHash;
- }
-}
diff --git a/packages/asset-buyer/src/forwarder_helper_factory.ts b/packages/asset-buyer/src/forwarder_helper_factory.ts
index 9a3832e81..4c4adfda0 100644
--- a/packages/asset-buyer/src/forwarder_helper_factory.ts
+++ b/packages/asset-buyer/src/forwarder_helper_factory.ts
@@ -89,6 +89,7 @@
// } catch (err) {
// throw new Error(ForwarderHelperFactoryError.StandardRelayerApiError);
// }
+
// // validate orders and find remaining fillable from on chain state or sra api
// let ordersAndRemainingFillableMakerAssetAmounts: OrdersAndRemainingFillableMakerAssetAmounts;
// let feeOrdersAndRemainingFillableMakerAssetAmounts: OrdersAndRemainingFillableMakerAssetAmounts;
diff --git a/packages/asset-buyer/src/index.ts b/packages/asset-buyer/src/index.ts
index 299b32edd..67ad06084 100644
--- a/packages/asset-buyer/src/index.ts
+++ b/packages/asset-buyer/src/index.ts
@@ -1,2 +1,13 @@
-export { AssetBuyerError, BuyQuote, BuyQuoteRequest } from './types';
-export { AssetBuyer } from './asset_buyers/asset_buyer';
+export { Provider } from 'ethereum-types';
+export { SignedOrder } from '@0xproject/types';
+export { BigNumber } from '@0xproject/utils';
+
+export { AssetBuyer } from './asset_buyer';
+export {
+ AssetBuyerError,
+ BuyQuote,
+ OrderFetcher,
+ OrderFetcherRequest,
+ OrderFetcherResponse,
+ SignedOrderWithRemainingFillableMakerAssetAmount,
+} from './types';
diff --git a/packages/asset-buyer/src/types.ts b/packages/asset-buyer/src/types.ts
index 8a12d0cf8..0da30f48d 100644
--- a/packages/asset-buyer/src/types.ts
+++ b/packages/asset-buyer/src/types.ts
@@ -2,22 +2,45 @@ import { SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
/**
- * assetBuyAmount: The amount of asset to buy.
- * feePercentage: Optional affiliate percentage amount factoring into eth amount calculations.
+ * makerAssetData: The assetData representing the desired makerAsset.
+ * takerAssetData: The assetData representing the desired takerAsset.
+ * networkId: The networkId that the desired orders should be for.
*/
-export interface BuyQuoteRequest {
- assetBuyAmount: BigNumber;
- feePercentage?: BigNumber;
+export interface OrderFetcherRequest {
+ makerAssetData: string;
+ takerAssetData: string;
+ networkId: number;
+}
+
+/**
+ * orders: An array of orders with optional remaining fillable makerAsset amounts. See type for more info.
+ */
+export interface OrderFetcherResponse {
+ orders: SignedOrderWithRemainingFillableMakerAssetAmount[];
+}
+
+/**
+ * A normal SignedOrder with one extra optional property `remainingFillableMakerAssetAmount`
+ * remainingFillableMakerAssetAmount: The amount of the makerAsset that is available to be filled
+ */
+export interface SignedOrderWithRemainingFillableMakerAssetAmount extends SignedOrder {
+ remainingFillableMakerAssetAmount?: BigNumber;
+}
+/**
+ * Given an OrderFetchRequest, get an OrderFetchResponse.
+ */
+export interface OrderFetcher {
+ fetchOrdersAsync: (orderFetchRequest: OrderFetcherRequest) => Promise<OrderFetcherResponse>;
}
/**
- * assetData: The asset information.
+ * assetData: String that represents a specific asset (for more info: https://github.com/0xProject/0x-protocol-specification/blob/master/v2/v2-specification.md).
* orders: An array of objects conforming to SignedOrder. These orders can be used to cover the requested assetBuyAmount plus slippage.
* feeOrders: An array of objects conforming to SignedOrder. These orders can be used to cover the fees for the orders param above.
* minRate: Min rate that needs to be paid in order to execute the buy.
* maxRate: Max rate that can be paid in order to execute the buy.
- * assetBuyAmount: The amount of asset to buy. Passed through directly from the request.
- * feePercentage: Affiliate fee percentage used to calculate the eth amounts above. Passed through directly from the request.
+ * assetBuyAmount: The amount of asset to buy.
+ * feePercentage: Optional affiliate fee percentage used to calculate the eth amounts above.
*/
export interface BuyQuote {
assetData: string;
@@ -26,11 +49,11 @@ export interface BuyQuote {
minRate: BigNumber;
maxRate: BigNumber;
assetBuyAmount: BigNumber;
- feePercentage?: BigNumber;
+ feePercentage?: number;
}
/**
- * Possible errors thrown by an AssetBuyer instance or associated static methods
+ * Possible errors thrown by an AssetBuyer instance or associated static methods.
*/
export enum AssetBuyerError {
NoEtherTokenContractFound = 'NO_ETHER_TOKEN_CONTRACT_FOUND',
@@ -40,3 +63,10 @@ export enum AssetBuyerError {
InsufficientZrxLiquidity = 'INSUFFICIENT_ZRX_LIQUIDITY',
NoAddressAvailable = 'NO_ADDRESS_AVAILABLE',
}
+
+export interface AssetBuyerOrdersAndFillableAmounts {
+ orders: SignedOrderWithRemainingFillableMakerAssetAmount[];
+ feeOrders: SignedOrderWithRemainingFillableMakerAssetAmount[];
+ remainingFillableMakerAssetAmounts: BigNumber[];
+ remainingFillableFeeAmounts: BigNumber[];
+}
diff --git a/packages/asset-buyer/src/utils/assert.ts b/packages/asset-buyer/src/utils/assert.ts
new file mode 100644
index 000000000..c4d611477
--- /dev/null
+++ b/packages/asset-buyer/src/utils/assert.ts
@@ -0,0 +1,23 @@
+import { assert as sharedAssert } from '@0xproject/assert';
+import { schemas } from '@0xproject/json-schemas';
+import * as _ from 'lodash';
+
+import { BuyQuote, OrderFetcher } from '../types';
+
+export const assert = {
+ ...sharedAssert,
+ isValidBuyQuote(variableName: string, buyQuote: BuyQuote): void {
+ sharedAssert.isHexString(`${variableName}.assetData`, buyQuote.assetData);
+ sharedAssert.doesConformToSchema(`${variableName}.orders`, buyQuote.orders, schemas.signedOrdersSchema);
+ sharedAssert.doesConformToSchema(`${variableName}.feeOrders`, buyQuote.feeOrders, schemas.signedOrdersSchema);
+ sharedAssert.isBigNumber(`${variableName}.minRate`, buyQuote.minRate);
+ sharedAssert.isBigNumber(`${variableName}.maxRate`, buyQuote.maxRate);
+ sharedAssert.isBigNumber(`${variableName}.assetBuyAmount`, buyQuote.assetBuyAmount);
+ if (!_.isUndefined(buyQuote.feePercentage)) {
+ sharedAssert.isNumber(`${variableName}.feePercentage`, buyQuote.feePercentage);
+ }
+ },
+ isValidOrderFetcher(variableName: string, orderFetcher: OrderFetcher): void {
+ sharedAssert.isFunction(`${variableName}.fetchOrdersAsync`, orderFetcher.fetchOrdersAsync);
+ },
+};
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
new file mode 100644
index 000000000..e05ab1e55
--- /dev/null
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -0,0 +1,60 @@
+import { marketUtils } from '@0xproject/order-utils';
+import { BigNumber } from '@0xproject/utils';
+
+import { constants } from '../constants';
+import { AssetBuyerError, AssetBuyerOrdersAndFillableAmounts, BuyQuote } from '../types';
+
+export const buyQuoteCalculator = {
+ calculate(
+ ordersAndFillableAmounts: AssetBuyerOrdersAndFillableAmounts,
+ assetBuyAmount: BigNumber,
+ feePercentage: number,
+ slippagePercentage: number,
+ ): BuyQuote {
+ const {
+ orders,
+ feeOrders,
+ remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts,
+ } = ordersAndFillableAmounts;
+ const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
+ const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+ orders,
+ assetBuyAmount,
+ {
+ remainingFillableMakerAssetAmounts,
+ slippageBufferAmount,
+ },
+ );
+ if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
+ throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
+ }
+ // TODO: optimization
+ // update this logic to find the minimum amount of feeOrders to cover the worst case as opposed to
+ // finding order that cover all fees, this will help with estimating ETH and minimizing gas usage
+ const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
+ resultOrders,
+ feeOrders,
+ {
+ remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts,
+ },
+ );
+ if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
+ throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
+ }
+ const assetData = orders[0].makerAssetData;
+ // TODO: critical
+ // calculate minRate and maxRate by calculating min and max eth usage and then dividing into
+ // assetBuyAmount to get assetData / WETH, needs to take into account feePercentage as well
+ return {
+ assetData,
+ orders: resultOrders,
+ feeOrders: resultFeeOrders,
+ minRate: constants.ZERO_AMOUNT,
+ maxRate: constants.ZERO_AMOUNT,
+ assetBuyAmount,
+ feePercentage,
+ };
+ },
+};
diff --git a/packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts b/packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts
deleted file mode 100644
index d3cbb651a..000000000
--- a/packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts
+++ /dev/null
@@ -1,92 +0,0 @@
-// import { sortingUtils } from '@0xproject/order-utils';
-// import { SignedOrder } from '@0xproject/types';
-// import { BigNumber } from '@0xproject/utils';
-// import * as _ from 'lodash';
-
-// import { ForwarderHelperImplConfig } from '@0xproject/asset-buyer/src/asset_buyer';
-
-// interface SignedOrderWithAmount extends SignedOrder {
-// remainingFillAmount: BigNumber;
-// }
-
-// export const forwarderHelperImplConfigUtils = {
-// sortedConfig(config: ForwarderHelperImplConfig): ForwarderHelperImplConfig {
-// const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = config;
-// // TODO: provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens
-// const orderSorter = (ordersToSort: SignedOrder[]) => {
-// return sortingUtils.sortOrdersByFeeAdjustedRate(ordersToSort);
-// };
-// const sortOrdersResult = sortOrdersAndRemainingFillAmounts(
-// orderSorter,
-// orders,
-// remainingFillableMakerAssetAmounts,
-// );
-// const feeOrderSorter = (ordersToSort: SignedOrder[]) => {
-// return sortingUtils.sortFeeOrdersByFeeAdjustedRate(ordersToSort);
-// };
-// const sortFeeOrdersResult = sortOrdersAndRemainingFillAmounts(
-// feeOrderSorter,
-// feeOrders,
-// remainingFillableFeeAmounts,
-// );
-// return {
-// orders: sortOrdersResult.orders,
-// feeOrders: sortFeeOrdersResult.orders,
-// remainingFillableMakerAssetAmounts: sortOrdersResult.remainingFillAmounts,
-// remainingFillableFeeAmounts: sortFeeOrdersResult.remainingFillAmounts,
-// };
-// },
-// };
-
-// type OrderSorter = (orders: SignedOrder[]) => SignedOrder[];
-
-// function sortOrdersAndRemainingFillAmounts(
-// orderSorter: OrderSorter,
-// orders: SignedOrder[],
-// remainingFillAmounts?: BigNumber[],
-// ): { orders: SignedOrder[]; remainingFillAmounts?: BigNumber[] } {
-// if (!_.isUndefined(remainingFillAmounts)) {
-// // Bundle orders together with their remainingFillAmounts so that we can sort them together
-// const orderWithAmounts = bundleSignedOrderWithAmounts(orders, remainingFillAmounts);
-// // Sort
-// const sortedOrderWithAmounts = orderSorter(orderWithAmounts) as SignedOrderWithAmount[];
-// // Unbundle after sorting
-// const unbundledSortedOrderWithAmounts = unbundleSignedOrderWithAmounts(sortedOrderWithAmounts);
-// return {
-// orders: unbundledSortedOrderWithAmounts.orders,
-// remainingFillAmounts: unbundledSortedOrderWithAmounts.amounts,
-// };
-// } else {
-// const sortedOrders = orderSorter(orders);
-// return {
-// orders: sortedOrders,
-// };
-// }
-// }
-
-// function bundleSignedOrderWithAmounts(orders: SignedOrder[], amounts: BigNumber[]): SignedOrderWithAmount[] {
-// const ordersAndAmounts = _.map(orders, (order, index) => {
-// return {
-// ...order,
-// remainingFillAmount: amounts[index],
-// };
-// });
-// return ordersAndAmounts;
-// }
-
-// function unbundleSignedOrderWithAmounts(
-// signedOrderWithAmounts: SignedOrderWithAmount[],
-// ): { orders: SignedOrder[]; amounts: BigNumber[] } {
-// const orders = _.map(signedOrderWithAmounts, order => {
-// const { remainingFillAmount, ...rest } = order;
-// return rest;
-// });
-// const amounts = _.map(signedOrderWithAmounts, order => {
-// const { remainingFillAmount } = order;
-// return remainingFillAmount;
-// });
-// return {
-// orders,
-// amounts,
-// };
-// }
diff --git a/packages/asset-buyer/src/utils/order_fetcher_response_processor.ts b/packages/asset-buyer/src/utils/order_fetcher_response_processor.ts
new file mode 100644
index 000000000..04c5355eb
--- /dev/null
+++ b/packages/asset-buyer/src/utils/order_fetcher_response_processor.ts
@@ -0,0 +1,180 @@
+import { OrderAndTraderInfo, OrderStatus, OrderValidatorWrapper } from '@0xproject/contract-wrappers';
+import { sortingUtils } from '@0xproject/order-utils';
+import { RemainingFillableCalculator } from '@0xproject/order-utils/lib/src/remaining_fillable_calculator';
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { constants } from '../constants';
+import {
+ AssetBuyerOrdersAndFillableAmounts,
+ OrderFetcherResponse,
+ SignedOrderWithRemainingFillableMakerAssetAmount,
+} from '../types';
+
+import { orderUtils } from './order_utils';
+
+interface OrdersAndRemainingFillableMakerAssetAmounts {
+ orders: SignedOrder[];
+ remainingFillableMakerAssetAmounts: BigNumber[];
+}
+
+export const orderFetcherResponseProcessor = {
+ /**
+ * Take the responses for the target orders to buy and fee orders and process them.
+ * Processing includes:
+ * - Drop orders that are expired or not open orders (null taker address)
+ * - If shouldValidateOnChain, attempt to grab fillable amounts from on-chain otherwise assume completely fillable
+ * - Sort by rate
+ */
+ async processAsync(
+ targetOrderFetcherResponse: OrderFetcherResponse,
+ feeOrderFetcherResponse: OrderFetcherResponse,
+ zrxTokenAssetData: string,
+ orderValidator?: OrderValidatorWrapper,
+ ): Promise<AssetBuyerOrdersAndFillableAmounts> {
+ // drop orders that are expired or not open
+ const filteredTargetOrders = filterOutExpiredAndNonOpenOrders(targetOrderFetcherResponse.orders);
+ const filteredFeeOrders = filterOutExpiredAndNonOpenOrders(feeOrderFetcherResponse.orders);
+ // set the orders to be sorted equal to the filtered orders
+ let unsortedTargetOrders = filteredTargetOrders;
+ let unsortedFeeOrders = filteredFeeOrders;
+ // if an orderValidator is provided, use on chain information to calculate remaining fillable makerAsset amounts
+ if (!_.isUndefined(orderValidator)) {
+ // TODO: critical
+ // try catch these requests and throw a more domain specific error
+ // TODO: optimization
+ // reduce this to once RPC call buy combining orders into one array and then splitting up the response
+ const [targetOrdersAndTradersInfo, feeOrdersAndTradersInfo] = await Promise.all(
+ _.map([filteredTargetOrders, filteredFeeOrders], ordersToBeValidated => {
+ const takerAddresses = _.map(ordersToBeValidated, () => constants.NULL_ADDRESS);
+ return orderValidator.getOrdersAndTradersInfoAsync(ordersToBeValidated, takerAddresses);
+ }),
+ );
+ // take orders + on chain information and find the valid orders and remaining fillable maker asset amounts
+ unsortedTargetOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
+ filteredTargetOrders,
+ targetOrdersAndTradersInfo,
+ zrxTokenAssetData,
+ );
+ // take orders + on chain information and find the valid orders and remaining fillable maker asset amounts
+ unsortedFeeOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
+ filteredFeeOrders,
+ feeOrdersAndTradersInfo,
+ zrxTokenAssetData,
+ );
+ }
+ // sort orders by rate
+ // TODO: optimization
+ // provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens
+ const sortedTargetOrders = sortingUtils.sortOrdersByFeeAdjustedRate(unsortedTargetOrders);
+ const sortedFeeOrders = sortingUtils.sortFeeOrdersByFeeAdjustedRate(unsortedFeeOrders);
+ // unbundle orders and fillable amounts and compile final result
+ const targetOrdersAndRemainingFillableMakerAssetAmounts = unbundleOrdersWithAmounts(sortedTargetOrders);
+ const feeOrdersAndRemainingFillableMakerAssetAmounts = unbundleOrdersWithAmounts(sortedFeeOrders);
+ return {
+ orders: targetOrdersAndRemainingFillableMakerAssetAmounts.orders,
+ feeOrders: feeOrdersAndRemainingFillableMakerAssetAmounts.orders,
+ remainingFillableMakerAssetAmounts:
+ targetOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts:
+ feeOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts,
+ };
+ },
+};
+
+/**
+ * Given an array of orders, return a new array with expired and non open orders filtered out.
+ */
+function filterOutExpiredAndNonOpenOrders(
+ orders: SignedOrderWithRemainingFillableMakerAssetAmount[],
+): SignedOrderWithRemainingFillableMakerAssetAmount[] {
+ const result = _.filter(orders, order => {
+ return orderUtils.isOpenOrder(order) && orderUtils.isOrderExpired(order);
+ });
+ return result;
+}
+
+/**
+ * Given an array of orders and corresponding on-chain infos, return a subset of the orders
+ * that are still fillable orders with their corresponding remainingFillableMakerAssetAmounts.
+ */
+function getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
+ inputOrders: SignedOrder[],
+ ordersAndTradersInfo: OrderAndTraderInfo[],
+ zrxAssetData: string,
+): SignedOrderWithRemainingFillableMakerAssetAmount[] {
+ // iterate through the input orders and find the ones that are still fillable
+ // for the orders that are still fillable, calculate the remaining fillable maker asset amount
+ const result = _.reduce(
+ inputOrders,
+ (accOrders, order, index) => {
+ // get corresponding on-chain state for the order
+ const { orderInfo, traderInfo } = ordersAndTradersInfo[index];
+ // if the order IS NOT fillable, do not add anything to the accumulations and continue iterating
+ if (orderInfo.orderStatus !== OrderStatus.FILLABLE) {
+ return accOrders;
+ }
+ // if the order IS fillable, add the order and calculate the remaining fillable amount
+ const transferrableAssetAmount = BigNumber.min([traderInfo.makerAllowance, traderInfo.makerBalance]);
+ const transferrableFeeAssetAmount = BigNumber.min([
+ traderInfo.makerZrxAllowance,
+ traderInfo.makerZrxBalance,
+ ]);
+ const remainingTakerAssetAmount = order.takerAssetAmount.minus(orderInfo.orderTakerAssetFilledAmount);
+ const remainingMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount(
+ order,
+ remainingTakerAssetAmount,
+ );
+ const remainingFillableCalculator = new RemainingFillableCalculator(
+ order.makerFee,
+ order.makerAssetAmount,
+ order.makerAssetData === zrxAssetData,
+ transferrableAssetAmount,
+ transferrableFeeAssetAmount,
+ remainingMakerAssetAmount,
+ );
+ const remainingFillableAmount = remainingFillableCalculator.computeRemainingFillable();
+ // if the order does not have any remaining fillable makerAsset, do not add anything to the accumulations and continue iterating
+ if (remainingFillableAmount.lte(constants.ZERO_AMOUNT)) {
+ return accOrders;
+ }
+ const orderWithRemainingFillableMakerAssetAmount = {
+ ...order,
+ remainingFillableMakerAssetAmount: remainingFillableAmount,
+ };
+ const newAccOrders = _.concat(accOrders, orderWithRemainingFillableMakerAssetAmount);
+ return newAccOrders;
+ },
+ [] as SignedOrderWithRemainingFillableMakerAssetAmount[],
+ );
+ return result;
+}
+
+/**
+ * Given an array of orders with remaining fillable maker asset amounts. Unbundle into an instance of OrdersAndRemainingFillableMakerAssetAmounts.
+ * If an order is missing a corresponding remainingFillableMakerAssetAmount, assume it is completely fillable.
+ */
+function unbundleOrdersWithAmounts(
+ ordersWithAmounts: SignedOrderWithRemainingFillableMakerAssetAmount[],
+): OrdersAndRemainingFillableMakerAssetAmounts {
+ const result = _.reduce(
+ ordersWithAmounts,
+ (acc, orderWithAmount) => {
+ const { orders, remainingFillableMakerAssetAmounts } = acc;
+ const { remainingFillableMakerAssetAmount, ...order } = orderWithAmount;
+ // if we are still missing a remainingFillableMakerAssetAmount, assume the order is completely fillable
+ const newRemainingAmount = remainingFillableMakerAssetAmount || order.makerAssetAmount;
+ const newAcc = {
+ orders: _.concat(orders, order),
+ remainingFillableMakerAssetAmounts: _.concat(remainingFillableMakerAssetAmounts, newRemainingAmount),
+ };
+ return newAcc;
+ },
+ {
+ orders: [] as SignedOrder[],
+ remainingFillableMakerAssetAmounts: [] as BigNumber[],
+ },
+ );
+ return result;
+}
generated by cgit v1.2.3 (git 2.25.1) at 2024-11-07 03:40:45 +0800