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-rw-r--r--packages/order-utils/src/market_utils.ts93
-rw-r--r--packages/order-utils/src/types.ts28
-rw-r--r--packages/order-utils/test/market_utils_test.ts67
3 files changed, 125 insertions, 63 deletions
diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts
index 681059ddf..58e9ab7ba 100644
--- a/packages/order-utils/src/market_utils.ts
+++ b/packages/order-utils/src/market_utils.ts
@@ -5,37 +5,42 @@ import * as _ from 'lodash';
import { assert } from './assert';
import { constants } from './constants';
+import { FindFeeOrdersThatCoverFeesForTargetOrdersOpts, FindOrdersThatCoverMakerAssetFillAmountOpts } from './types';
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.
+ * Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount
+ * in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last order.
* 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 remainingFillableMakerAssetAmounts An array of BigNumbers corresponding to the signedOrders parameter.
- * You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
- * for these values.
- * @param makerAssetFillAmount The amount of makerAsset desired to be filled.
- * @param slippageBufferAmount An additional amount of makerAsset to be covered by the result in case of trade collisions or partial fills.
+ * @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 makerAssetFillAmount The amount of makerAsset desired to be filled.
+ * @param opts Optional arguments this function accepts.
* @return Resulting orders and remaining fill amount that could not be covered by the input.
*/
findOrdersThatCoverMakerAssetFillAmount(
signedOrders: SignedOrder[],
- remainingFillableMakerAssetAmounts: BigNumber[],
makerAssetFillAmount: BigNumber,
- slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
+ opts?: FindOrdersThatCoverMakerAssetFillAmountOpts,
): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+ assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount);
+ // try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from signedOrders
+ const remainingFillableMakerAssetAmounts = _.get(
+ opts,
+ 'remainingFillableMakerAssetAmounts',
+ _.map(signedOrders, order => order.makerAssetAmount),
+ ) as BigNumber[];
_.forEach(remainingFillableMakerAssetAmounts, (amount, index) =>
assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount),
);
- assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount);
- assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount);
assert.assert(
signedOrders.length === remainingFillableMakerAssetAmounts.length,
- 'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length',
+ 'Expected signedOrders.length to equal opts.remainingFillableMakerAssetAmounts.length',
);
+ // try to get slippageBufferAmount from opts, if it's not there, default to 0
+ const slippageBufferAmount = _.get(opts, 'slippageBufferAmount', constants.ZERO_AMOUNT) as BigNumber;
+ assert.isValidBaseUnitAmount('opts.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
@@ -64,47 +69,53 @@ export const marketUtils = {
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
+ * Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX
+ * 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 remainingFillableMakerAssetAmounts An array of BigNumbers corresponding to the signedOrders parameter.
- * You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
- * for these values.
- * @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 remainingFillableFeeAmounts An array of BigNumbers corresponding to the signedFeeOrders parameter.
- * You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
- * for these values.
- * @param slippageBufferAmount An additional amount of fee to be covered by the result in case of trade collisions or partial fills.
+ * @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 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 opts Optional arguments this function accepts.
* @return Resulting orders and remaining fee amount that could not be covered by the input.
*/
findFeeOrdersThatCoverFeesForTargetOrders(
signedOrders: SignedOrder[],
- remainingFillableMakerAssetAmounts: BigNumber[],
signedFeeOrders: SignedOrder[],
- remainingFillableFeeAmounts: BigNumber[],
- slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
+ opts?: FindFeeOrdersThatCoverFeesForTargetOrdersOpts,
): { resultOrders: SignedOrder[]; remainingFeeAmount: BigNumber } {
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+ assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
+ // try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from signedOrders
+ const remainingFillableMakerAssetAmounts = _.get(
+ opts,
+ 'remainingFillableMakerAssetAmounts',
+ _.map(signedOrders, order => order.makerAssetAmount),
+ ) as BigNumber[];
_.forEach(remainingFillableMakerAssetAmounts, (amount, index) =>
assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount),
);
- assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
- _.forEach(remainingFillableFeeAmounts, (amount, index) =>
- assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount),
- );
- assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount);
assert.assert(
signedOrders.length === remainingFillableMakerAssetAmounts.length,
- 'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length',
+ 'Expected signedOrders.length to equal opts.remainingFillableMakerAssetAmounts.length',
+ );
+ // try to get remainingFillableFeeAmounts from opts, if it's not there, use makerAssetAmount values from signedFeeOrders
+ const remainingFillableFeeAmounts = _.get(
+ opts,
+ 'remainingFillableFeeAmounts',
+ _.map(signedFeeOrders, order => order.makerAssetAmount),
+ ) as BigNumber[];
+ _.forEach(remainingFillableFeeAmounts, (amount, index) =>
+ assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount),
);
assert.assert(
signedOrders.length === remainingFillableMakerAssetAmounts.length,
- 'Expected signedFeeOrders.length to equal remainingFillableFeeAmounts.length',
+ 'Expected signedFeeOrders.length to equal opts.remainingFillableFeeAmounts.length',
);
+ // try to get slippageBufferAmount from opts, if it's not there, default to 0
+ const slippageBufferAmount = _.get(opts, 'slippageBufferAmount', constants.ZERO_AMOUNT) as BigNumber;
+ assert.isValidBaseUnitAmount('opts.slippageBufferAmount', slippageBufferAmount);
// calculate total amount of ZRX needed to fill signedOrders
const totalFeeAmount = _.reduce(
signedOrders,
@@ -119,9 +130,11 @@ export const marketUtils = {
);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
signedFeeOrders,
- remainingFillableFeeAmounts,
totalFeeAmount,
- slippageBufferAmount,
+ {
+ remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts,
+ slippageBufferAmount,
+ },
);
return {
resultOrders,
diff --git a/packages/order-utils/src/types.ts b/packages/order-utils/src/types.ts
index 1fbd8cf7b..8a9a4cafe 100644
--- a/packages/order-utils/src/types.ts
+++ b/packages/order-utils/src/types.ts
@@ -41,3 +41,31 @@ export interface CreateOrderOpts {
salt?: BigNumber;
expirationTimeSeconds?: BigNumber;
}
+
+/**
+ * remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `signedOrders` parameter.
+ * You can use `OrderStateUtils` `@0xproject/order-utils` to perform blockchain lookups for these values.
+ * Defaults to `makerAssetAmount` values from the signedOrders param.
+ * slippageBufferAmount: An additional amount of makerAsset to be covered by the result in case of trade collisions or partial fills.
+ * Defaults to 0
+ */
+export interface FindOrdersThatCoverMakerAssetFillAmountOpts {
+ remainingFillableMakerAssetAmounts?: BigNumber[];
+ slippageBufferAmount?: BigNumber;
+}
+
+/**
+ * remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `signedOrders` parameter.
+ * You can use `OrderStateUtils` `@0xproject/order-utils` to perform blockchain lookups for these values.
+ * Defaults to `makerAssetAmount` values from the signedOrders param.
+ * remainingFillableFeeAmounts: An array of BigNumbers corresponding to the signedFeeOrders parameter.
+ * You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups for these values.
+ * Defaults to `makerAssetAmount` values from the signedFeeOrders param.
+ * slippageBufferAmount: An additional amount of fee to be covered by the result in case of trade collisions or partial fills.
+ * Defaults to 0
+ */
+export interface FindFeeOrdersThatCoverFeesForTargetOrdersOpts {
+ remainingFillableMakerAssetAmounts?: BigNumber[];
+ remainingFillableFeeAmounts?: BigNumber[];
+ slippageBufferAmount?: BigNumber;
+}
diff --git a/packages/order-utils/test/market_utils_test.ts b/packages/order-utils/test/market_utils_test.ts
index 21c0a4802..2f6bb7bd1 100644
--- a/packages/order-utils/test/market_utils_test.ts
+++ b/packages/order-utils/test/market_utils_test.ts
@@ -11,14 +11,13 @@ chaiSetup.configure();
const expect = chai.expect;
// tslint:disable: no-unused-expression
-describe('marketUtils', () => {
+describe.only('marketUtils', () => {
describe('#findOrdersThatCoverMakerAssetFillAmount', () => {
describe('no orders', () => {
it('returns empty and unchanged remainingFillAmount', async () => {
const fillAmount = new BigNumber(10);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
[],
- [],
fillAmount,
);
expect(resultOrders).to.be.empty;
@@ -43,9 +42,11 @@ describe('marketUtils', () => {
const slippageBufferAmount = new BigNumber(10);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- remainingFillableMakerAssetAmounts,
fillAmount,
- slippageBufferAmount,
+ {
+ remainingFillableMakerAssetAmounts,
+ slippageBufferAmount,
+ },
);
expect(resultOrders).to.be.deep.equal(inputOrders);
expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -57,9 +58,11 @@ describe('marketUtils', () => {
const slippageBufferAmount = new BigNumber(10);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- remainingFillableMakerAssetAmounts,
fillAmount,
- slippageBufferAmount,
+ {
+ remainingFillableMakerAssetAmounts,
+ slippageBufferAmount,
+ },
);
expect(resultOrders).to.be.deep.equal(inputOrders);
expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -71,9 +74,11 @@ describe('marketUtils', () => {
const slippageBufferAmount = new BigNumber(5);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- remainingFillableMakerAssetAmounts,
fillAmount,
- slippageBufferAmount,
+ {
+ remainingFillableMakerAssetAmounts,
+ slippageBufferAmount,
+ },
);
expect(resultOrders).to.be.deep.equal(inputOrders);
expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(5));
@@ -83,8 +88,10 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(10);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- remainingFillableMakerAssetAmounts,
fillAmount,
+ {
+ remainingFillableMakerAssetAmounts,
+ },
);
expect(resultOrders).to.be.deep.equal([inputOrders[0]]);
expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -94,8 +101,10 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(15);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- remainingFillableMakerAssetAmounts,
fillAmount,
+ {
+ remainingFillableMakerAssetAmounts,
+ },
);
expect(resultOrders).to.be.deep.equal([inputOrders[0], inputOrders[1]]);
expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -120,8 +129,10 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(30);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- remainingFillableMakerAssetAmounts,
fillAmount,
+ {
+ remainingFillableMakerAssetAmounts,
+ },
);
expect(resultOrders).to.be.deep.equal([inputOrders[1], inputOrders[2]]);
expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(15));
@@ -143,9 +154,10 @@ describe('marketUtils', () => {
it('returns empty and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
[],
- [],
inputFeeOrders,
- remainingFillableFeeAmounts,
+ {
+ remainingFillableFeeAmounts,
+ },
);
expect(resultOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -168,9 +180,10 @@ describe('marketUtils', () => {
it('returns empty and non-zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
- remainingFillableMakerAssetAmounts,
- [],
[],
+ {
+ remainingFillableMakerAssetAmounts,
+ },
);
expect(resultOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
@@ -190,9 +203,11 @@ describe('marketUtils', () => {
it('returns empty and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
- remainingFillableMakerAssetAmounts,
inputFeeOrders,
- remainingFillableFeeAmounts,
+ {
+ remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts,
+ },
);
expect(resultOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -215,9 +230,11 @@ describe('marketUtils', () => {
it('returns input fee orders and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
- remainingFillableMakerAssetAmounts,
inputFeeOrders,
- remainingFillableFeeAmounts,
+ {
+ remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts,
+ },
);
expect(resultOrders).to.be.deep.equal(inputFeeOrders);
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -243,9 +260,11 @@ describe('marketUtils', () => {
it('returns first two input fee orders and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
- remainingFillableMakerAssetAmounts,
inputFeeOrders,
- remainingFillableFeeAmounts,
+ {
+ remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts,
+ },
);
expect(resultOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]);
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -268,9 +287,11 @@ describe('marketUtils', () => {
it('returns input fee orders and non-zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
- remainingFillableMakerAssetAmounts,
inputFeeOrders,
- remainingFillableFeeAmounts,
+ {
+ remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts,
+ },
);
expect(resultOrders).to.be.deep.equal(inputFeeOrders);
expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
generated by cgit v1.2.3 (git 2.25.1) at 2024-11-02 17:18:37 +0800