diff options
-rw-r--r-- | packages/asset-buyer/CHANGELOG.json | 8 | ||||
-rw-r--r-- | packages/asset-buyer/src/errors.ts | 22 | ||||
-rw-r--r-- | packages/asset-buyer/src/index.ts | 1 | ||||
-rw-r--r-- | packages/asset-buyer/src/types.ts | 2 | ||||
-rw-r--r-- | packages/asset-buyer/src/utils/buy_quote_calculator.ts | 14 | ||||
-rw-r--r-- | packages/asset-buyer/test/buy_quote_calculator_test.ts | 143 | ||||
-rw-r--r-- | packages/asset-buyer/test/utils/test_helpers.ts | 26 | ||||
-rw-r--r-- | packages/instant/src/constants.ts | 1 | ||||
-rw-r--r-- | packages/instant/src/util/asset.ts | 21 | ||||
-rw-r--r-- | packages/instant/src/util/buy_quote_updater.ts | 7 | ||||
-rw-r--r-- | packages/instant/test/util/asset.test.ts | 43 | ||||
-rw-r--r-- | packages/monorepo-scripts/src/doc_gen_configs.ts | 1 |
12 files changed, 272 insertions, 17 deletions
diff --git a/packages/asset-buyer/CHANGELOG.json b/packages/asset-buyer/CHANGELOG.json index 470d9b03b..44837d040 100644 --- a/packages/asset-buyer/CHANGELOG.json +++ b/packages/asset-buyer/CHANGELOG.json @@ -1,5 +1,13 @@ [ { + "version": "4.0.0", + "changes": [ + { + "note": "Raise custom InsufficientAssetLiquidityError error with amountAvailableToFill attribute" + } + ] + }, + { "version": "3.0.4", "changes": [ { diff --git a/packages/asset-buyer/src/errors.ts b/packages/asset-buyer/src/errors.ts new file mode 100644 index 000000000..ec5fe548c --- /dev/null +++ b/packages/asset-buyer/src/errors.ts @@ -0,0 +1,22 @@ +import { BigNumber } from '@0x/utils'; + +import { AssetBuyerError } from './types'; + +/** + * Error class representing insufficient asset liquidity + */ +export class InsufficientAssetLiquidityError extends Error { + /** + * The amount availabe to fill (in base units) factoring in slippage. + */ + public amountAvailableToFill: BigNumber; + /** + * @param amountAvailableToFill The amount availabe to fill (in base units) factoring in slippage + */ + constructor(amountAvailableToFill: BigNumber) { + super(AssetBuyerError.InsufficientAssetLiquidity); + this.amountAvailableToFill = amountAvailableToFill; + // Setting prototype so instanceof works. See https://github.com/Microsoft/TypeScript/wiki/Breaking-Changes#extending-built-ins-like-error-array-and-map-may-no-longer-work + Object.setPrototypeOf(this, InsufficientAssetLiquidityError.prototype); + } +} diff --git a/packages/asset-buyer/src/index.ts b/packages/asset-buyer/src/index.ts index 8418edb42..a42d7e272 100644 --- a/packages/asset-buyer/src/index.ts +++ b/packages/asset-buyer/src/index.ts @@ -9,6 +9,7 @@ export { SignedOrder } from '@0x/types'; export { BigNumber } from '@0x/utils'; export { AssetBuyer } from './asset_buyer'; +export { InsufficientAssetLiquidityError } from './errors'; export { BasicOrderProvider } from './order_providers/basic_order_provider'; export { StandardRelayerAPIOrderProvider } from './order_providers/standard_relayer_api_order_provider'; export { diff --git a/packages/asset-buyer/src/types.ts b/packages/asset-buyer/src/types.ts index 3b573edca..d5d6be695 100644 --- a/packages/asset-buyer/src/types.ts +++ b/packages/asset-buyer/src/types.ts @@ -102,7 +102,7 @@ export interface AssetBuyerOpts { } /** - * Possible errors thrown by an AssetBuyer instance or associated static methods. + * Possible error messages thrown by an AssetBuyer instance or associated static methods. */ export enum AssetBuyerError { NoEtherTokenContractFound = 'NO_ETHER_TOKEN_CONTRACT_FOUND', diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts index b15b880c2..fcded6ab1 100644 --- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts +++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts @@ -3,6 +3,7 @@ import { BigNumber } from '@0x/utils'; import * as _ from 'lodash'; import { constants } from '../constants'; +import { InsufficientAssetLiquidityError } from '../errors'; import { AssetBuyerError, BuyQuote, BuyQuoteInfo, OrdersAndFillableAmounts } from '../types'; import { orderUtils } from './order_utils'; @@ -33,7 +34,18 @@ export const buyQuoteCalculator = { }); // if we do not have enough orders to cover the desired assetBuyAmount, throw if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) { - throw new Error(AssetBuyerError.InsufficientAssetLiquidity); + // We needed the amount they requested to buy, plus the amount for slippage + const totalAmountRequested = assetBuyAmount.plus(slippageBufferAmount); + const amountAbleToFill = totalAmountRequested.minus(remainingFillAmount); + // multiplierNeededWithSlippage represents what we need to multiply the assetBuyAmount by + // in order to get the total amount needed considering slippage + // i.e. if slippagePercent was 0.2 (20%), multiplierNeededWithSlippage would be 1.2 + const multiplierNeededWithSlippage = new BigNumber(1).plus(slippagePercentage); + // Given amountAvailableToFillConsideringSlippage * multiplierNeededWithSlippage = amountAbleToFill + // We divide amountUnableToFill by multiplierNeededWithSlippage to determine amountAvailableToFillConsideringSlippage + const amountAvailableToFillConsideringSlippage = amountAbleToFill.div(multiplierNeededWithSlippage).floor(); + + throw new InsufficientAssetLiquidityError(amountAvailableToFillConsideringSlippage); } // if we are not buying ZRX: // given the orders calculated above, find the fee-orders that cover the desired assetBuyAmount (with slippage) diff --git a/packages/asset-buyer/test/buy_quote_calculator_test.ts b/packages/asset-buyer/test/buy_quote_calculator_test.ts index a30017b72..fdc17ef25 100644 --- a/packages/asset-buyer/test/buy_quote_calculator_test.ts +++ b/packages/asset-buyer/test/buy_quote_calculator_test.ts @@ -1,4 +1,5 @@ import { orderFactory } from '@0x/order-utils/lib/src/order_factory'; +import { SignedOrder } from '@0x/types'; import { BigNumber } from '@0x/utils'; import * as chai from 'chai'; import * as _ from 'lodash'; @@ -8,6 +9,7 @@ import { AssetBuyerError, OrdersAndFillableAmounts } from '../src/types'; import { buyQuoteCalculator } from '../src/utils/buy_quote_calculator'; import { chaiSetup } from './utils/chai_setup'; +import { testHelpers } from './utils/test_helpers'; chaiSetup.configure(); const expect = chai.expect; @@ -15,6 +17,10 @@ const expect = chai.expect; // tslint:disable:custom-no-magic-numbers describe('buyQuoteCalculator', () => { describe('#calculate', () => { + let firstOrder: SignedOrder; + let firstRemainingFillAmount: BigNumber; + let secondOrder: SignedOrder; + let secondRemainingFillAmount: BigNumber; let ordersAndFillableAmounts: OrdersAndFillableAmounts; let smallFeeOrderAndFillableAmount: OrdersAndFillableAmounts; let allFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts; @@ -24,18 +30,18 @@ describe('buyQuoteCalculator', () => { // the second order has a rate of 2 makerAsset / WETH with a takerFee of 100 ZRX and has 200 / 200 makerAsset units left to fill (completely fillable) // generate one order for fees // the fee order has a rate of 1 ZRX / WETH with no taker fee and has 100 ZRX left to fill (completely fillable) - const firstOrder = orderFactory.createSignedOrderFromPartial({ + firstOrder = orderFactory.createSignedOrderFromPartial({ makerAssetAmount: new BigNumber(400), takerAssetAmount: new BigNumber(100), takerFee: new BigNumber(200), }); - const firstRemainingFillAmount = new BigNumber(200); - const secondOrder = orderFactory.createSignedOrderFromPartial({ + firstRemainingFillAmount = new BigNumber(200); + secondOrder = orderFactory.createSignedOrderFromPartial({ makerAssetAmount: new BigNumber(200), takerAssetAmount: new BigNumber(100), takerFee: new BigNumber(100), }); - const secondRemainingFillAmount = secondOrder.makerAssetAmount; + secondRemainingFillAmount = secondOrder.makerAssetAmount; ordersAndFillableAmounts = { orders: [firstOrder, secondOrder], remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount], @@ -61,18 +67,137 @@ describe('buyQuoteCalculator', () => { ], }; }); - it('should throw if not enough maker asset liquidity', () => { - // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units + describe('InsufficientLiquidityError', () => { + it('should throw if not enough maker asset liquidity (multiple orders)', () => { + // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units + const errorFunction = () => { + buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + new BigNumber(500), + 0, + 0, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(400)); + }); + it('should throw if not enough maker asset liquidity (multiple orders with 20% slippage)', () => { + // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units + const errorFunction = () => { + buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + new BigNumber(500), + 0, + 0.2, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(333)); + }); + it('should throw if not enough maker asset liquidity (multiple orders with 5% slippage)', () => { + // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units + const errorFunction = () => { + buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + new BigNumber(600), + 0, + 0.05, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(380)); + }); + it('should throw if not enough maker asset liquidity (partially filled order)', () => { + const firstOrderAndFillableAmount: OrdersAndFillableAmounts = { + orders: [firstOrder], + remainingFillableMakerAssetAmounts: [firstRemainingFillAmount], + }; + + const errorFunction = () => { + buyQuoteCalculator.calculate( + firstOrderAndFillableAmount, + smallFeeOrderAndFillableAmount, + new BigNumber(201), + 0, + 0, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(200)); + }); + it('should throw if not enough maker asset liquidity (completely fillable order)', () => { + const completelyFillableOrder = orderFactory.createSignedOrderFromPartial({ + makerAssetAmount: new BigNumber(123), + takerAssetAmount: new BigNumber(100), + takerFee: new BigNumber(200), + }); + const completelyFillableOrdersAndFillableAmount: OrdersAndFillableAmounts = { + orders: [completelyFillableOrder], + remainingFillableMakerAssetAmounts: [completelyFillableOrder.makerAssetAmount], + }; + const errorFunction = () => { + buyQuoteCalculator.calculate( + completelyFillableOrdersAndFillableAmount, + smallFeeOrderAndFillableAmount, + new BigNumber(124), + 0, + 0, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(123)); + }); + it('should throw with 1 amount available if no slippage', () => { + const smallOrder = orderFactory.createSignedOrderFromPartial({ + makerAssetAmount: new BigNumber(1), + takerAssetAmount: new BigNumber(1), + takerFee: new BigNumber(0), + }); + const errorFunction = () => { + buyQuoteCalculator.calculate( + { orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] }, + smallFeeOrderAndFillableAmount, + new BigNumber(600), + 0, + 0, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(1)); + }); + it('should throw without amount available to fill if amount rounds to 0', () => { + const smallOrder = orderFactory.createSignedOrderFromPartial({ + makerAssetAmount: new BigNumber(1), + takerAssetAmount: new BigNumber(1), + takerFee: new BigNumber(0), + }); + const errorFunction = () => { + buyQuoteCalculator.calculate( + { orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] }, + smallFeeOrderAndFillableAmount, + new BigNumber(600), + 0, + 0.2, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, undefined); + }); + }); + it('should not throw if order is fillable', () => { expect(() => buyQuoteCalculator.calculate( ordersAndFillableAmounts, - smallFeeOrderAndFillableAmount, - new BigNumber(500), + allFeeOrdersAndFillableAmounts, + new BigNumber(300), 0, 0, false, ), - ).to.throw(AssetBuyerError.InsufficientAssetLiquidity); + ).to.not.throw(); }); it('should throw if not enough ZRX liquidity', () => { // we request 300 makerAsset units but the ZRX order is only enough to fill the first order, which only has 200 makerAssetUnits available diff --git a/packages/asset-buyer/test/utils/test_helpers.ts b/packages/asset-buyer/test/utils/test_helpers.ts new file mode 100644 index 000000000..9c7c244af --- /dev/null +++ b/packages/asset-buyer/test/utils/test_helpers.ts @@ -0,0 +1,26 @@ +import { BigNumber } from '@0x/utils'; + +import { InsufficientAssetLiquidityError } from '../../src/errors'; + +export const testHelpers = { + expectInsufficientLiquidityError: ( + expect: Chai.ExpectStatic, + functionWhichTriggersError: () => void, + expectedAmountAvailableToFill?: BigNumber, + ): void => { + let wasErrorThrown = false; + try { + functionWhichTriggersError(); + } catch (e) { + wasErrorThrown = true; + expect(e).to.be.instanceOf(InsufficientAssetLiquidityError); + if (expectedAmountAvailableToFill) { + expect(e.amountAvailableToFill).to.be.bignumber.equal(expectedAmountAvailableToFill); + } else { + expect(e.amountAvailableToFill).to.be.undefined(); + } + } + + expect(wasErrorThrown).to.be.true(); + }, +}; diff --git a/packages/instant/src/constants.ts b/packages/instant/src/constants.ts index 22f0cb6a4..67558c84a 100644 --- a/packages/instant/src/constants.ts +++ b/packages/instant/src/constants.ts @@ -16,6 +16,7 @@ export const ONE_SECOND_MS = 1000; export const ONE_MINUTE_MS = ONE_SECOND_MS * 60; export const GIT_SHA = process.env.GIT_SHA; export const NODE_ENV = process.env.NODE_ENV; +export const SLIPPAGE_PERCENTAGE = 0.2; export const NPM_PACKAGE_VERSION = process.env.NPM_PACKAGE_VERSION; export const DEFAULT_UNKOWN_ASSET_NAME = '???'; export const ACCOUNT_UPDATE_INTERVAL_TIME_MS = ONE_SECOND_MS * 5; diff --git a/packages/instant/src/util/asset.ts b/packages/instant/src/util/asset.ts index faaeb7c22..b009a327f 100644 --- a/packages/instant/src/util/asset.ts +++ b/packages/instant/src/util/asset.ts @@ -1,8 +1,10 @@ -import { AssetBuyerError } from '@0x/asset-buyer'; +import { AssetBuyerError, InsufficientAssetLiquidityError } from '@0x/asset-buyer'; import { AssetProxyId, ObjectMap } from '@0x/types'; +import { BigNumber } from '@0x/utils'; +import { Web3Wrapper } from '@0x/web3-wrapper'; import * as _ from 'lodash'; -import { DEFAULT_UNKOWN_ASSET_NAME } from '../constants'; +import { BIG_NUMBER_ZERO, DEFAULT_UNKOWN_ASSET_NAME } from '../constants'; import { assetDataNetworkMapping } from '../data/asset_data_network_mapping'; import { Asset, AssetMetaData, ERC20Asset, Network, ZeroExInstantError } from '../types'; @@ -111,6 +113,21 @@ export const assetUtils = { assetBuyerErrorMessage: (asset: ERC20Asset, error: Error): string | undefined => { if (error.message === AssetBuyerError.InsufficientAssetLiquidity) { const assetName = assetUtils.bestNameForAsset(asset, 'of this asset'); + if ( + error instanceof InsufficientAssetLiquidityError && + error.amountAvailableToFill.greaterThan(BIG_NUMBER_ZERO) + ) { + const unitAmountAvailableToFill = Web3Wrapper.toUnitAmount( + error.amountAvailableToFill, + asset.metaData.decimals, + ); + const roundedUnitAmountAvailableToFill = unitAmountAvailableToFill.round(2, BigNumber.ROUND_DOWN); + + if (roundedUnitAmountAvailableToFill.greaterThan(BIG_NUMBER_ZERO)) { + return `There are only ${roundedUnitAmountAvailableToFill} ${assetName} available to buy`; + } + } + return `Not enough ${assetName} available`; } else if (error.message === AssetBuyerError.InsufficientZrxLiquidity) { return 'Not enough ZRX available'; diff --git a/packages/instant/src/util/buy_quote_updater.ts b/packages/instant/src/util/buy_quote_updater.ts index 6191c92e3..37974e71c 100644 --- a/packages/instant/src/util/buy_quote_updater.ts +++ b/packages/instant/src/util/buy_quote_updater.ts @@ -5,6 +5,7 @@ import * as _ from 'lodash'; import { Dispatch } from 'redux'; import { oc } from 'ts-optchain'; +import { SLIPPAGE_PERCENTAGE } from '../constants'; import { Action, actions } from '../redux/actions'; import { AffiliateInfo, ERC20Asset, QuoteFetchOrigin } from '../types'; import { analytics } from '../util/analytics'; @@ -33,8 +34,12 @@ export const buyQuoteUpdater = { } const feePercentage = oc(options.affiliateInfo).feePercentage(); let newBuyQuote: BuyQuote | undefined; + const slippagePercentage = SLIPPAGE_PERCENTAGE; try { - newBuyQuote = await assetBuyer.getBuyQuoteAsync(asset.assetData, baseUnitValue, { feePercentage }); + newBuyQuote = await assetBuyer.getBuyQuoteAsync(asset.assetData, baseUnitValue, { + feePercentage, + slippagePercentage, + }); } catch (error) { const errorMessage = assetUtils.assetBuyerErrorMessage(asset, error); diff --git a/packages/instant/test/util/asset.test.ts b/packages/instant/test/util/asset.test.ts index fc4e4e2e4..402a556d5 100644 --- a/packages/instant/test/util/asset.test.ts +++ b/packages/instant/test/util/asset.test.ts @@ -1,5 +1,6 @@ -import { AssetBuyerError } from '@0x/asset-buyer'; +import { AssetBuyerError, BigNumber, InsufficientAssetLiquidityError } from '@0x/asset-buyer'; import { AssetProxyId, ObjectMap } from '@0x/types'; +import { Web3Wrapper } from '@0x/web3-wrapper'; import { Asset, AssetMetaData, ERC20Asset, ERC20AssetMetaData, Network, ZeroExInstantError } from '../../src/types'; import { assetUtils } from '../../src/util/asset'; @@ -19,6 +20,16 @@ const ZRX_ASSET: ERC20Asset = { const META_DATA_MAP: ObjectMap<AssetMetaData> = { [ZRX_ASSET_DATA]: ZRX_META_DATA, }; +const WAX_ASSET: ERC20Asset = { + assetData: '0xf47261b000000000000000000000000039bb259f66e1c59d5abef88375979b4d20d98022', + metaData: { + assetProxyId: AssetProxyId.ERC20, + decimals: 8, + primaryColor: '#EDB740', + symbol: 'wax', + name: 'WAX', + }, +}; describe('assetDataUtil', () => { describe('bestNameForAsset', () => { @@ -47,13 +58,39 @@ describe('assetDataUtil', () => { }); }); describe('assetBuyerErrorMessage', () => { - it('should return message for InsufficientAssetLiquidity', () => { + it('should return message for generic InsufficientAssetLiquidity error', () => { const insufficientAssetError = new Error(AssetBuyerError.InsufficientAssetLiquidity); expect(assetUtils.assetBuyerErrorMessage(ZRX_ASSET, insufficientAssetError)).toEqual( 'Not enough ZRX available', ); }); - it('should return message for InsufficientAssetLiquidity', () => { + describe('InsufficientAssetLiquidityError', () => { + it('should return custom message for token w/ 18 decimals', () => { + const amountAvailable = Web3Wrapper.toBaseUnitAmount(new BigNumber(20.059), 18); + expect( + assetUtils.assetBuyerErrorMessage(ZRX_ASSET, new InsufficientAssetLiquidityError(amountAvailable)), + ).toEqual('There are only 20.05 ZRX available to buy'); + }); + it('should return custom message for token w/ 18 decimals and small amount available', () => { + const amountAvailable = Web3Wrapper.toBaseUnitAmount(new BigNumber(0.01), 18); + expect( + assetUtils.assetBuyerErrorMessage(ZRX_ASSET, new InsufficientAssetLiquidityError(amountAvailable)), + ).toEqual('There are only 0.01 ZRX available to buy'); + }); + it('should return custom message for token w/ 8 decimals', () => { + const amountAvailable = Web3Wrapper.toBaseUnitAmount(new BigNumber(3), 8); + expect( + assetUtils.assetBuyerErrorMessage(WAX_ASSET, new InsufficientAssetLiquidityError(amountAvailable)), + ).toEqual('There are only 3 WAX available to buy'); + }); + it('should return generic message when amount available rounds to zero', () => { + const amountAvailable = Web3Wrapper.toBaseUnitAmount(new BigNumber(0.002), 18); + expect( + assetUtils.assetBuyerErrorMessage(ZRX_ASSET, new InsufficientAssetLiquidityError(amountAvailable)), + ).toEqual('Not enough ZRX available'); + }); + }); + it('should return message for InsufficientZrxLiquidity', () => { const insufficientZrxError = new Error(AssetBuyerError.InsufficientZrxLiquidity); expect(assetUtils.assetBuyerErrorMessage(ZRX_ASSET, insufficientZrxError)).toEqual( 'Not enough ZRX available', diff --git a/packages/monorepo-scripts/src/doc_gen_configs.ts b/packages/monorepo-scripts/src/doc_gen_configs.ts index 7a14f8664..875590b34 100644 --- a/packages/monorepo-scripts/src/doc_gen_configs.ts +++ b/packages/monorepo-scripts/src/doc_gen_configs.ts @@ -9,6 +9,7 @@ export const docGenConfigs: DocGenConfigs = { Array: 'https://developer.mozilla.org/pt-PT/docs/Web/JavaScript/Reference/Global_Objects/Array', BigNumber: 'http://mikemcl.github.io/bignumber.js', Error: 'https://developer.mozilla.org/en-US/docs/Web/JavaScript/Reference/Global_Objects/Error', + ErrorConstructor: 'https://developer.mozilla.org/en-US/docs/Web/JavaScript/Reference/Global_Objects/Error', Buffer: 'https://github.com/DefinitelyTyped/DefinitelyTyped/blob/master/types/node/v9/index.d.ts#L262', 'solc.StandardContractOutput': 'https://solidity.readthedocs.io/en/v0.4.24/using-the-compiler.html#output-description', |