diff options
| -rw-r--r-- | packages/asset-buyer/src/utils/buy_quote_calculator.ts | 12 | ||||
| -rw-r--r-- | packages/asset-buyer/test/buy_quote_calculator_test.ts | 76 |
2 files changed, 70 insertions, 18 deletions
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts index 53f2228e9..5a531e000 100644 --- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts +++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts @@ -92,16 +92,16 @@ function calculateRate( assetBuyAmount: BigNumber, feePercentage: number, ): BigNumber { - // find the total eth and zrx needed to buy assetAmount from the resultOrders from left to right (best rate to worst rate) - const [minEthAmountToBuyAsset, minZrxAmountToBuyAsset] = findEthAndZrxAmountNeededToBuyAsset( + // find the total eth and zrx needed to buy assetAmount from the resultOrders from left to right + const [ethAmountToBuyAsset, zrxAmountToBuyAsset] = findEthAndZrxAmountNeededToBuyAsset( ordersAndFillableAmounts, assetBuyAmount, ); // find the total eth needed to buy fees - const minEthAmountToBuyFees = findEthAmountNeededToBuyFees(feeOrdersAndFillableAmounts, minZrxAmountToBuyAsset); - const finalMinEthAmount = minEthAmountToBuyAsset.plus(minEthAmountToBuyFees).mul(feePercentage + 1); + const ethAmountToBuyFees = findEthAmountNeededToBuyFees(feeOrdersAndFillableAmounts, zrxAmountToBuyAsset); + const ethAmount = ethAmountToBuyAsset.plus(ethAmountToBuyFees).mul(feePercentage + 1); // divide into the assetBuyAmount in order to find rate of makerAsset / WETH - const result = assetBuyAmount.div(finalMinEthAmount); + const result = assetBuyAmount.div(ethAmount); return result; } @@ -156,7 +156,7 @@ function findEthAndZrxAmountNeededToBuyAsset( const zrxAmountForThisOrder = amountToFill.mul(order.takerFee).dividedToIntegerBy(order.makerAssetAmount); return { ethAmount: acc.ethAmount.plus(ethAmountForThisOrder), - zrxAmount: acc.ethAmount.plus(zrxAmountForThisOrder), + zrxAmount: acc.zrxAmount.plus(zrxAmountForThisOrder), remainingAssetBuyAmount: BigNumber.max( constants.ZERO_AMOUNT, acc.remainingAssetBuyAmount.minus(amountToFill), diff --git a/packages/asset-buyer/test/buy_quote_calculator_test.ts b/packages/asset-buyer/test/buy_quote_calculator_test.ts index 2cad1ab05..37a429531 100644 --- a/packages/asset-buyer/test/buy_quote_calculator_test.ts +++ b/packages/asset-buyer/test/buy_quote_calculator_test.ts @@ -19,7 +19,8 @@ const NULL_BYTES = '0x'; describe('buyQuoteCalculator', () => { describe('#calculate', () => { let ordersAndFillableAmounts: OrdersAndFillableAmounts; - let feeOrdersAndFillableAmounts: OrdersAndFillableAmounts; + let smallFeeOrderAndFillableAmount: OrdersAndFillableAmounts; + let allFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts; beforeEach(() => { // generate two orders for our desired maker asset // the first order has a rate of 4 makerAsset / WETH with a takerFee of 200 ZRX and has only 200 / 400 makerAsset units left to fill (half fillable) @@ -60,7 +61,7 @@ describe('buyQuoteCalculator', () => { orders: signedOrders, remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount], }; - const feeOrder = orderFactory.createOrder( + const smallFeeOrder = orderFactory.createOrder( NULL_ADDRESS, new BigNumber(100), NULL_BYTES, @@ -68,13 +69,32 @@ describe('buyQuoteCalculator', () => { NULL_BYTES, NULL_ADDRESS, ); - const signedFeeOrder = { - ...feeOrder, + const signedSmallFeeOrder = { + ...smallFeeOrder, signature: NULL_BYTES, }; - feeOrdersAndFillableAmounts = { - orders: [signedFeeOrder], - remainingFillableMakerAssetAmounts: [signedFeeOrder.makerAssetAmount], + smallFeeOrderAndFillableAmount = { + orders: [signedSmallFeeOrder], + remainingFillableMakerAssetAmounts: [signedSmallFeeOrder.makerAssetAmount], + }; + const largeFeeOrder = orderFactory.createOrder( + NULL_ADDRESS, + new BigNumber(100), + NULL_BYTES, + new BigNumber(200), + NULL_BYTES, + NULL_ADDRESS, + ); + const signedLargeFeeOrder = { + ...largeFeeOrder, + signature: NULL_BYTES, + }; + allFeeOrdersAndFillableAmounts = { + orders: [signedSmallFeeOrder, signedLargeFeeOrder], + remainingFillableMakerAssetAmounts: [ + signedSmallFeeOrder.makerAssetAmount, + largeFeeOrder.makerAssetAmount, + ], }; }); it('should throw if not enough maker asset liquidity', () => { @@ -82,7 +102,7 @@ describe('buyQuoteCalculator', () => { expect(() => buyQuoteCalculator.calculate( ordersAndFillableAmounts, - feeOrdersAndFillableAmounts, + smallFeeOrderAndFillableAmount, new BigNumber(500), 0, 0, @@ -94,14 +114,14 @@ describe('buyQuoteCalculator', () => { expect(() => buyQuoteCalculator.calculate( ordersAndFillableAmounts, - feeOrdersAndFillableAmounts, + smallFeeOrderAndFillableAmount, new BigNumber(300), 0, 0, ), ).to.throw(AssetBuyerError.InsufficientZrxLiquidity); }); - it('calculates a correct buyQuote', () => { + it('calculates a correct buyQuote with no slippage', () => { // we request 200 makerAsset units which can be filled using the first order // the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder const assetBuyAmount = new BigNumber(200); @@ -109,15 +129,16 @@ describe('buyQuoteCalculator', () => { const slippagePercentage = 0; const buyQuote = buyQuoteCalculator.calculate( ordersAndFillableAmounts, - feeOrdersAndFillableAmounts, + smallFeeOrderAndFillableAmount, assetBuyAmount, feePercentage, slippagePercentage, ); // test if orders are correct expect(buyQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]); - expect(buyQuote.feeOrders).to.deep.equal([feeOrdersAndFillableAmounts.orders[0]]); + expect(buyQuote.feeOrders).to.deep.equal([smallFeeOrderAndFillableAmount.orders[0]]); // test if rates are correct + // 50 eth to fill the first order + 100 eth for fees const expectedMinEthToFill = new BigNumber(150); const expectedMinRate = assetBuyAmount.div(expectedMinEthToFill.mul(feePercentage + 1)); expect(buyQuote.minRate).to.bignumber.equal(expectedMinRate); @@ -126,5 +147,36 @@ describe('buyQuoteCalculator', () => { // test if feePercentage gets passed through expect(buyQuote.feePercentage).to.equal(feePercentage); }); + it('calculates a correct buyQuote with with slippage', () => { + // we request 200 makerAsset units which can be filled using the first order + // however with 50% slippage we are protecting the buy with 100 extra makerAssetUnits + // so we need enough orders to fill 300 makerAssetUnits + // 300 makerAssetUnits can only be filled using both orders + // the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder + const assetBuyAmount = new BigNumber(200); + const feePercentage = 0.02; + const slippagePercentage = 0.5; + const buyQuote = buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + allFeeOrdersAndFillableAmounts, + assetBuyAmount, + feePercentage, + slippagePercentage, + ); + // test if orders are correct + expect(buyQuote.orders).to.deep.equal(ordersAndFillableAmounts.orders); + expect(buyQuote.feeOrders).to.deep.equal(allFeeOrdersAndFillableAmounts.orders); + // test if rates are correct + // 50 eth to fill the first order + 100 eth for fees + const expectedMinEthToFill = new BigNumber(150); + const expectedMinRate = assetBuyAmount.div(expectedMinEthToFill.mul(feePercentage + 1)); + expect(buyQuote.minRate).to.bignumber.equal(expectedMinRate); + // 100 eth to fill the first order + 200 eth for fees + const expectedMaxEthToFill = new BigNumber(300); + const expectedMaxRate = assetBuyAmount.div(expectedMaxEthToFill.mul(feePercentage + 1)); + expect(buyQuote.maxRate).to.bignumber.equal(expectedMaxRate); + // test if feePercentage gets passed through + expect(buyQuote.feePercentage).to.equal(feePercentage); + }); }); }); |