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-rw-r--r--packages/contracts/src/2.0.0/protocol/Exchange/MixinExchangeCore.sol16
-rw-r--r--packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol16
-rw-r--r--packages/contracts/src/2.0.0/protocol/Exchange/libs/LibMath.sol82
-rw-r--r--packages/contracts/src/2.0.0/test/ReentrantERC20Token/ReentrantERC20Token.sol1
-rw-r--r--packages/contracts/src/2.0.0/test/TestExchangeInternals/TestExchangeInternals.sol36
-rw-r--r--packages/contracts/test/exchange/internal.ts181
-rw-r--r--packages/contracts/test/exchange/match_orders.ts220
7 files changed, 442 insertions, 110 deletions
diff --git a/packages/contracts/src/2.0.0/protocol/Exchange/MixinExchangeCore.sol b/packages/contracts/src/2.0.0/protocol/Exchange/MixinExchangeCore.sol
index be163ec97..64b1f7665 100644
--- a/packages/contracts/src/2.0.0/protocol/Exchange/MixinExchangeCore.sol
+++ b/packages/contracts/src/2.0.0/protocol/Exchange/MixinExchangeCore.sol
@@ -404,16 +404,6 @@ contract MixinExchangeCore is
safeMul(order.makerAssetAmount, takerAssetFilledAmount),
"INVALID_FILL_PRICE"
);
-
- // Validate fill order rounding
- require(
- !isRoundingErrorFloor(
- takerAssetFilledAmount,
- order.takerAssetAmount,
- order.makerAssetAmount
- ),
- "ROUNDING_ERROR"
- );
}
/// @dev Validates context for cancelOrder. Succeeds or throws.
@@ -463,17 +453,17 @@ contract MixinExchangeCore is
{
// Compute proportional transfer amounts
fillResults.takerAssetFilledAmount = takerAssetFilledAmount;
- fillResults.makerAssetFilledAmount = getPartialAmountFloor(
+ fillResults.makerAssetFilledAmount = safeGetPartialAmountFloor(
takerAssetFilledAmount,
order.takerAssetAmount,
order.makerAssetAmount
);
- fillResults.makerFeePaid = getPartialAmountFloor(
+ fillResults.makerFeePaid = safeGetPartialAmountFloor(
takerAssetFilledAmount,
order.takerAssetAmount,
order.makerFee
);
- fillResults.takerFeePaid = getPartialAmountFloor(
+ fillResults.takerFeePaid = safeGetPartialAmountFloor(
takerAssetFilledAmount,
order.takerAssetAmount,
order.takerFee
diff --git a/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol b/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol
index 075a610b5..b4f6bdb26 100644
--- a/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol
+++ b/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol
@@ -177,13 +177,13 @@ contract MixinMatchOrders is
{
// Derive maker asset amounts for left & right orders, given store taker assert amounts
uint256 leftTakerAssetAmountRemaining = safeSub(leftOrder.takerAssetAmount, leftOrderTakerAssetFilledAmount);
- uint256 leftMakerAssetAmountRemaining = getPartialAmountFloor(
+ uint256 leftMakerAssetAmountRemaining = safeGetPartialAmountFloor(
leftOrder.makerAssetAmount,
leftOrder.takerAssetAmount,
leftTakerAssetAmountRemaining
);
uint256 rightTakerAssetAmountRemaining = safeSub(rightOrder.takerAssetAmount, rightOrderTakerAssetFilledAmount);
- uint256 rightMakerAssetAmountRemaining = getPartialAmountFloor(
+ uint256 rightMakerAssetAmountRemaining = safeGetPartialAmountFloor(
rightOrder.makerAssetAmount,
rightOrder.takerAssetAmount,
rightTakerAssetAmountRemaining
@@ -205,7 +205,7 @@ contract MixinMatchOrders is
matchedFillResults.left.takerAssetFilledAmount = matchedFillResults.right.makerAssetFilledAmount;
// Round down to ensure the maker's exchange rate does not exceed the price specified by the order.
// We favor the maker when the exchange rate must be rounded.
- matchedFillResults.left.makerAssetFilledAmount = getPartialAmountFloor(
+ matchedFillResults.left.makerAssetFilledAmount = safeGetPartialAmountFloor(
leftOrder.makerAssetAmount,
leftOrder.takerAssetAmount,
matchedFillResults.left.takerAssetFilledAmount
@@ -217,7 +217,7 @@ contract MixinMatchOrders is
matchedFillResults.right.makerAssetFilledAmount = matchedFillResults.left.takerAssetFilledAmount;
// Round up to ensure the maker's exchange rate does not exceed the price specified by the order.
// We favor the maker when the exchange rate must be rounded.
- matchedFillResults.right.takerAssetFilledAmount = getPartialAmountCeil(
+ matchedFillResults.right.takerAssetFilledAmount = safeGetPartialAmountCeil(
rightOrder.takerAssetAmount,
rightOrder.makerAssetAmount,
matchedFillResults.right.makerAssetFilledAmount
@@ -231,24 +231,24 @@ contract MixinMatchOrders is
);
// Compute fees for left order
- matchedFillResults.left.makerFeePaid = getPartialAmountFloor(
+ matchedFillResults.left.makerFeePaid = safeGetPartialAmountFloor(
matchedFillResults.left.makerAssetFilledAmount,
leftOrder.makerAssetAmount,
leftOrder.makerFee
);
- matchedFillResults.left.takerFeePaid = getPartialAmountFloor(
+ matchedFillResults.left.takerFeePaid = safeGetPartialAmountFloor(
matchedFillResults.left.takerAssetFilledAmount,
leftOrder.takerAssetAmount,
leftOrder.takerFee
);
// Compute fees for right order
- matchedFillResults.right.makerFeePaid = getPartialAmountFloor(
+ matchedFillResults.right.makerFeePaid = safeGetPartialAmountFloor(
matchedFillResults.right.makerAssetFilledAmount,
rightOrder.makerAssetAmount,
rightOrder.makerFee
);
- matchedFillResults.right.takerFeePaid = getPartialAmountFloor(
+ matchedFillResults.right.takerFeePaid = safeGetPartialAmountFloor(
matchedFillResults.right.takerAssetFilledAmount,
rightOrder.takerAssetAmount,
rightOrder.takerFee
diff --git a/packages/contracts/src/2.0.0/protocol/Exchange/libs/LibMath.sol b/packages/contracts/src/2.0.0/protocol/Exchange/libs/LibMath.sol
index 0e0fba5d2..57fd53f29 100644
--- a/packages/contracts/src/2.0.0/protocol/Exchange/libs/LibMath.sol
+++ b/packages/contracts/src/2.0.0/protocol/Exchange/libs/LibMath.sol
@@ -26,11 +26,48 @@ contract LibMath is
{
/// @dev Calculates partial value given a numerator and denominator rounded down.
+ /// Reverts if rounding error is >= 0.1%
/// @param numerator Numerator.
/// @param denominator Denominator.
/// @param target Value to calculate partial of.
/// @return Partial value of target rounded down.
- function getPartialAmountFloor(
+ function safeGetPartialAmountFloor(
+ uint256 numerator,
+ uint256 denominator,
+ uint256 target
+ )
+ internal
+ pure
+ returns (uint256 partialAmount)
+ {
+ require(
+ denominator > 0,
+ "DIVISION_BY_ZERO"
+ );
+
+ require(
+ !isRoundingErrorFloor(
+ numerator,
+ denominator,
+ target
+ ),
+ "ROUNDING_ERROR"
+ );
+
+ partialAmount = safeDiv(
+ safeMul(numerator, target),
+ denominator
+ );
+ return partialAmount;
+ }
+
+ /// @dev Calculates partial value given a numerator and denominator rounded down.
+ /// Reverts if rounding error is >= 0.1%
+ /// @param numerator Numerator.
+ /// @param denominator Denominator.
+ /// @param target Value to calculate partial of.
+ /// @return Partial value of target rounded up.
+ function safeGetPartialAmountCeil(
uint256 numerator,
uint256 denominator,
uint256 target
@@ -43,7 +80,48 @@ contract LibMath is
denominator > 0,
"DIVISION_BY_ZERO"
);
+
+ require(
+ !isRoundingErrorCeil(
+ numerator,
+ denominator,
+ target
+ ),
+ "ROUNDING_ERROR"
+ );
+ // safeDiv computes `floor(a / b)`. We use the identity (a, b integer):
+ // ceil(a / b) = floor((a + b - 1) / b)
+ // To implement `ceil(a / b)` using safeDiv.
+ partialAmount = safeDiv(
+ safeAdd(
+ safeMul(numerator, target),
+ safeSub(denominator, 1)
+ ),
+ denominator
+ );
+ return partialAmount;
+ }
+
+ /// @dev Calculates partial value given a numerator and denominator rounded down.
+ /// @param numerator Numerator.
+ /// @param denominator Denominator.
+ /// @param target Value to calculate partial of.
+ /// @return Partial value of target rounded down.
+ function getPartialAmountFloor(
+ uint256 numerator,
+ uint256 denominator,
+ uint256 target
+ )
+ internal
+ pure
+ returns (uint256 partialAmount)
+ {
+ require(
+ denominator > 0,
+ "DIVISION_BY_ZERO"
+ );
+
partialAmount = safeDiv(
safeMul(numerator, target),
denominator
@@ -69,7 +147,7 @@ contract LibMath is
denominator > 0,
"DIVISION_BY_ZERO"
);
-
+
// safeDiv computes `floor(a / b)`. We use the identity (a, b integer):
// ceil(a / b) = floor((a + b - 1) / b)
// To implement `ceil(a / b)` using safeDiv.
diff --git a/packages/contracts/src/2.0.0/test/ReentrantERC20Token/ReentrantERC20Token.sol b/packages/contracts/src/2.0.0/test/ReentrantERC20Token/ReentrantERC20Token.sol
index 8bfdd2e66..4f4e28302 100644
--- a/packages/contracts/src/2.0.0/test/ReentrantERC20Token/ReentrantERC20Token.sol
+++ b/packages/contracts/src/2.0.0/test/ReentrantERC20Token/ReentrantERC20Token.sol
@@ -25,6 +25,7 @@ import "../../protocol/Exchange/interfaces/IExchange.sol";
import "../../protocol/Exchange/libs/LibOrder.sol";
+// solhint-disable no-unused-vars
contract ReentrantERC20Token is
ERC20Token
{
diff --git a/packages/contracts/src/2.0.0/test/TestExchangeInternals/TestExchangeInternals.sol b/packages/contracts/src/2.0.0/test/TestExchangeInternals/TestExchangeInternals.sol
index da9313e02..27187f8f8 100644
--- a/packages/contracts/src/2.0.0/test/TestExchangeInternals/TestExchangeInternals.sol
+++ b/packages/contracts/src/2.0.0/test/TestExchangeInternals/TestExchangeInternals.sol
@@ -63,6 +63,42 @@ contract TestExchangeInternals is
}
/// @dev Calculates partial value given a numerator and denominator.
+ /// Reverts if rounding error is >= 0.1%
+ /// @param numerator Numerator.
+ /// @param denominator Denominator.
+ /// @param target Value to calculate partial of.
+ /// @return Partial value of target.
+ function publicSafeGetPartialAmountFloor(
+ uint256 numerator,
+ uint256 denominator,
+ uint256 target
+ )
+ public
+ pure
+ returns (uint256 partialAmount)
+ {
+ return safeGetPartialAmountFloor(numerator, denominator, target);
+ }
+
+ /// @dev Calculates partial value given a numerator and denominator.
+ /// Reverts if rounding error is >= 0.1%
+ /// @param numerator Numerator.
+ /// @param denominator Denominator.
+ /// @param target Value to calculate partial of.
+ /// @return Partial value of target.
+ function publicSafeGetPartialAmountCeil(
+ uint256 numerator,
+ uint256 denominator,
+ uint256 target
+ )
+ public
+ pure
+ returns (uint256 partialAmount)
+ {
+ return safeGetPartialAmountCeil(numerator, denominator, target);
+ }
+
+ /// @dev Calculates partial value given a numerator and denominator.
/// @param numerator Numerator.
/// @param denominator Denominator.
/// @param target Value to calculate partial of.
diff --git a/packages/contracts/test/exchange/internal.ts b/packages/contracts/test/exchange/internal.ts
index de381fca3..c5d2fc58f 100644
--- a/packages/contracts/test/exchange/internal.ts
+++ b/packages/contracts/test/exchange/internal.ts
@@ -48,9 +48,9 @@ const overflowErrorForCall = new Error(RevertReason.Uint256Overflow);
describe('Exchange core internal functions', () => {
let testExchange: TestExchangeInternalsContract;
- let invalidOpcodeErrorForCall: Error | undefined;
let overflowErrorForSendTransaction: Error | undefined;
let divisionByZeroErrorForCall: Error | undefined;
+ let roundingErrorForCall: Error | undefined;
before(async () => {
await blockchainLifecycle.startAsync();
@@ -68,12 +68,67 @@ describe('Exchange core internal functions', () => {
await getRevertReasonOrErrorMessageForSendTransactionAsync(RevertReason.Uint256Overflow),
);
divisionByZeroErrorForCall = new Error(RevertReason.DivisionByZero);
- invalidOpcodeErrorForCall = new Error(await getInvalidOpcodeErrorMessageForCallAsync());
+ roundingErrorForCall = new Error(RevertReason.RoundingError);
});
// Note(albrow): Don't forget to add beforeEach and afterEach calls to reset
// the blockchain state for any tests which modify it!
- async function referenceGetPartialAmountFloorAsync(
+ async function referenceIsRoundingErrorFloorAsync(
+ numerator: BigNumber,
+ denominator: BigNumber,
+ target: BigNumber,
+ ): Promise<boolean> {
+ if (denominator.eq(0)) {
+ throw divisionByZeroErrorForCall;
+ }
+ if (numerator.eq(0)) {
+ return false;
+ }
+ if (target.eq(0)) {
+ return false;
+ }
+ const product = numerator.mul(target);
+ const remainder = product.mod(denominator);
+ const remainderTimes1000 = remainder.mul('1000');
+ const isError = remainderTimes1000.gte(product);
+ if (product.greaterThan(MAX_UINT256)) {
+ throw overflowErrorForCall;
+ }
+ if (remainderTimes1000.greaterThan(MAX_UINT256)) {
+ throw overflowErrorForCall;
+ }
+ return isError;
+ }
+
+ async function referenceIsRoundingErrorCeilAsync(
+ numerator: BigNumber,
+ denominator: BigNumber,
+ target: BigNumber,
+ ): Promise<boolean> {
+ if (denominator.eq(0)) {
+ throw divisionByZeroErrorForCall;
+ }
+ if (numerator.eq(0)) {
+ return false;
+ }
+ if (target.eq(0)) {
+ return false;
+ }
+ const product = numerator.mul(target);
+ const remainder = product.mod(denominator);
+ const error = denominator.sub(remainder).mod(denominator);
+ const errorTimes1000 = error.mul('1000');
+ const isError = errorTimes1000.gte(product);
+ if (product.greaterThan(MAX_UINT256)) {
+ throw overflowErrorForCall;
+ }
+ if (errorTimes1000.greaterThan(MAX_UINT256)) {
+ throw overflowErrorForCall;
+ }
+ return isError;
+ }
+
+ async function referenceSafeGetPartialAmountFloorAsync(
numerator: BigNumber,
denominator: BigNumber,
target: BigNumber,
@@ -81,6 +136,10 @@ describe('Exchange core internal functions', () => {
if (denominator.eq(0)) {
throw divisionByZeroErrorForCall;
}
+ const isRoundingError = await referenceIsRoundingErrorFloorAsync(numerator, denominator, target);
+ if (isRoundingError) {
+ throw roundingErrorForCall;
+ }
const product = numerator.mul(target);
if (product.greaterThan(MAX_UINT256)) {
throw overflowErrorForCall;
@@ -163,18 +222,18 @@ describe('Exchange core internal functions', () => {
// implementation or the Solidity implementation of
// calculateFillResults.
return {
- makerAssetFilledAmount: await referenceGetPartialAmountFloorAsync(
+ makerAssetFilledAmount: await referenceSafeGetPartialAmountFloorAsync(
takerAssetFilledAmount,
orderTakerAssetAmount,
otherAmount,
),
takerAssetFilledAmount,
- makerFeePaid: await referenceGetPartialAmountFloorAsync(
+ makerFeePaid: await referenceSafeGetPartialAmountFloorAsync(
takerAssetFilledAmount,
orderTakerAssetAmount,
otherAmount,
),
- takerFeePaid: await referenceGetPartialAmountFloorAsync(
+ takerFeePaid: await referenceSafeGetPartialAmountFloorAsync(
takerAssetFilledAmount,
orderTakerAssetAmount,
otherAmount,
@@ -198,6 +257,20 @@ describe('Exchange core internal functions', () => {
});
describe('getPartialAmountFloor', async () => {
+ async function referenceGetPartialAmountFloorAsync(
+ numerator: BigNumber,
+ denominator: BigNumber,
+ target: BigNumber,
+ ): Promise<BigNumber> {
+ if (denominator.eq(0)) {
+ throw divisionByZeroErrorForCall;
+ }
+ const product = numerator.mul(target);
+ if (product.greaterThan(MAX_UINT256)) {
+ throw overflowErrorForCall;
+ }
+ return product.dividedToIntegerBy(denominator);
+ }
async function testGetPartialAmountFloorAsync(
numerator: BigNumber,
denominator: BigNumber,
@@ -206,7 +279,7 @@ describe('Exchange core internal functions', () => {
return testExchange.publicGetPartialAmountFloor.callAsync(numerator, denominator, target);
}
await testCombinatoriallyWithReferenceFuncAsync(
- 'getPartialAmount',
+ 'getPartialAmountFloor',
referenceGetPartialAmountFloorAsync,
testGetPartialAmountFloorAsync,
[uint256Values, uint256Values, uint256Values],
@@ -250,76 +323,80 @@ describe('Exchange core internal functions', () => {
);
});
- describe('isRoundingError', async () => {
- async function referenceIsRoundingErrorAsync(
+ describe('safeGetPartialAmountFloor', async () => {
+ async function testSafeGetPartialAmountFloorAsync(
numerator: BigNumber,
denominator: BigNumber,
target: BigNumber,
- ): Promise<boolean> {
+ ): Promise<BigNumber> {
+ return testExchange.publicSafeGetPartialAmountFloor.callAsync(numerator, denominator, target);
+ }
+ await testCombinatoriallyWithReferenceFuncAsync(
+ 'safeGetPartialAmountFloor',
+ referenceSafeGetPartialAmountFloorAsync,
+ testSafeGetPartialAmountFloorAsync,
+ [uint256Values, uint256Values, uint256Values],
+ );
+ });
+
+ describe('safeGetPartialAmountCeil', async () => {
+ async function referenceSafeGetPartialAmountCeilAsync(
+ numerator: BigNumber,
+ denominator: BigNumber,
+ target: BigNumber,
+ ): Promise<BigNumber> {
if (denominator.eq(0)) {
throw divisionByZeroErrorForCall;
}
- if (numerator.eq(0)) {
- return false;
- }
- if (target.eq(0)) {
- return false;
+ const isRoundingError = await referenceIsRoundingErrorCeilAsync(numerator, denominator, target);
+ if (isRoundingError) {
+ throw roundingErrorForCall;
}
const product = numerator.mul(target);
- const remainder = product.mod(denominator);
- const remainderTimes1000 = remainder.mul('1000');
- const isError = remainderTimes1000.gt(product);
- if (product.greaterThan(MAX_UINT256)) {
+ const offset = product.add(denominator.sub(1));
+ if (offset.greaterThan(MAX_UINT256)) {
throw overflowErrorForCall;
}
- if (remainderTimes1000.greaterThan(MAX_UINT256)) {
- throw overflowErrorForCall;
+ const result = offset.dividedToIntegerBy(denominator);
+ if (product.mod(denominator).eq(0)) {
+ expect(result.mul(denominator)).to.be.bignumber.eq(product);
+ } else {
+ expect(result.mul(denominator)).to.be.bignumber.gt(product);
}
- return isError;
+ return result;
}
- async function testIsRoundingErrorAsync(
+ async function testSafeGetPartialAmountCeilAsync(
numerator: BigNumber,
denominator: BigNumber,
target: BigNumber,
- ): Promise<boolean> {
- return testExchange.publicIsRoundingErrorFloor.callAsync(numerator, denominator, target);
+ ): Promise<BigNumber> {
+ return testExchange.publicSafeGetPartialAmountCeil.callAsync(numerator, denominator, target);
}
await testCombinatoriallyWithReferenceFuncAsync(
- 'isRoundingError',
- referenceIsRoundingErrorAsync,
- testIsRoundingErrorAsync,
+ 'safeGetPartialAmountCeil',
+ referenceSafeGetPartialAmountCeilAsync,
+ testSafeGetPartialAmountCeilAsync,
[uint256Values, uint256Values, uint256Values],
);
});
- describe('isRoundingErrorCeil', async () => {
- async function referenceIsRoundingErrorAsync(
+ describe('isRoundingErrorFloor', async () => {
+ async function testIsRoundingErrorFloorAsync(
numerator: BigNumber,
denominator: BigNumber,
target: BigNumber,
): Promise<boolean> {
- if (denominator.eq(0)) {
- throw divisionByZeroErrorForCall;
- }
- if (numerator.eq(0)) {
- return false;
- }
- if (target.eq(0)) {
- return false;
- }
- const product = numerator.mul(target);
- const remainder = product.mod(denominator);
- const error = denominator.sub(remainder).mod(denominator);
- const errorTimes1000 = error.mul('1000');
- const isError = errorTimes1000.gt(product);
- if (product.greaterThan(MAX_UINT256)) {
- throw overflowErrorForCall;
- }
- if (errorTimes1000.greaterThan(MAX_UINT256)) {
- throw overflowErrorForCall;
- }
- return isError;
+ return testExchange.publicIsRoundingErrorFloor.callAsync(numerator, denominator, target);
}
+ await testCombinatoriallyWithReferenceFuncAsync(
+ 'isRoundingErrorFloor',
+ referenceIsRoundingErrorFloorAsync,
+ testIsRoundingErrorFloorAsync,
+ [uint256Values, uint256Values, uint256Values],
+ );
+ });
+
+ describe('isRoundingErrorCeil', async () => {
async function testIsRoundingErrorCeilAsync(
numerator: BigNumber,
denominator: BigNumber,
@@ -329,7 +406,7 @@ describe('Exchange core internal functions', () => {
}
await testCombinatoriallyWithReferenceFuncAsync(
'isRoundingErrorCeil',
- referenceIsRoundingErrorAsync,
+ referenceIsRoundingErrorCeilAsync,
testIsRoundingErrorCeilAsync,
[uint256Values, uint256Values, uint256Values],
);
diff --git a/packages/contracts/test/exchange/match_orders.ts b/packages/contracts/test/exchange/match_orders.ts
index 8732e20ba..554c456cc 100644
--- a/packages/contracts/test/exchange/match_orders.ts
+++ b/packages/contracts/test/exchange/match_orders.ts
@@ -3,6 +3,7 @@ import { assetDataUtils } from '@0xproject/order-utils';
import { RevertReason } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import { Web3Wrapper } from '@0xproject/web3-wrapper';
+import * as chai from 'chai';
import * as _ from 'lodash';
import { DummyERC20TokenContract } from '../../generated_contract_wrappers/dummy_erc20_token';
@@ -11,8 +12,10 @@ import { ERC20ProxyContract } from '../../generated_contract_wrappers/erc20_prox
import { ERC721ProxyContract } from '../../generated_contract_wrappers/erc721_proxy';
import { ExchangeContract } from '../../generated_contract_wrappers/exchange';
import { ReentrantERC20TokenContract } from '../../generated_contract_wrappers/reentrant_erc20_token';
+import { TestExchangeInternalsContract } from '../../generated_contract_wrappers/test_exchange_internals';
import { artifacts } from '../utils/artifacts';
import { expectTransactionFailedAsync } from '../utils/assertions';
+import { chaiSetup } from '../utils/chai_setup';
import { constants } from '../utils/constants';
import { ERC20Wrapper } from '../utils/erc20_wrapper';
import { ERC721Wrapper } from '../utils/erc721_wrapper';
@@ -23,6 +26,8 @@ import { ERC20BalancesByOwner, ERC721TokenIdsByOwner } from '../utils/types';
import { provider, txDefaults, web3Wrapper } from '../utils/web3_wrapper';
const blockchainLifecycle = new BlockchainLifecycle(web3Wrapper);
+chaiSetup.configure();
+const expect = chai.expect;
describe('matchOrders', () => {
let makerAddressLeft: string;
@@ -58,6 +63,8 @@ describe('matchOrders', () => {
let matchOrderTester: MatchOrderTester;
+ let testExchange: TestExchangeInternalsContract;
+
before(async () => {
await blockchainLifecycle.startAsync();
});
@@ -160,6 +167,11 @@ describe('matchOrders', () => {
orderFactoryRight = new OrderFactory(privateKeyRight, defaultOrderParamsRight);
// Set match order tester
matchOrderTester = new MatchOrderTester(exchangeWrapper, erc20Wrapper, erc721Wrapper, zrxToken.address);
+ testExchange = await TestExchangeInternalsContract.deployFrom0xArtifactAsync(
+ artifacts.TestExchangeInternals,
+ provider,
+ txDefaults,
+ );
});
beforeEach(async () => {
await blockchainLifecycle.startAsync();
@@ -173,39 +185,170 @@ describe('matchOrders', () => {
erc721TokenIdsByOwner = await erc721Wrapper.getBalancesAsync();
});
- it('Should give right maker a better price when correct price is not integral', async () => {
+ it('Should transfer correct amounts when right order is fully filled and values pass isRoundingErrorFloor but fail isRoundingErrorCeil', async () => {
+ // Create orders to match
+ const signedOrderLeft = await orderFactoryLeft.newSignedOrderAsync({
+ makerAddress: makerAddressLeft,
+ makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(17), 0),
+ takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(98), 0),
+ feeRecipientAddress: feeRecipientAddressLeft,
+ });
+ const signedOrderRight = await orderFactoryRight.newSignedOrderAsync({
+ makerAddress: makerAddressRight,
+ makerAssetData: assetDataUtils.encodeERC20AssetData(defaultERC20TakerAssetAddress),
+ takerAssetData: assetDataUtils.encodeERC20AssetData(defaultERC20MakerAssetAddress),
+ makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(75), 0),
+ takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(13), 0),
+ feeRecipientAddress: feeRecipientAddressRight,
+ });
+ // Assert is rounding error ceil & not rounding error floor
+ // These assertions are taken from MixinMatchOrders::calculateMatchedFillResults
+ // The rounding error is derived computating how much the left maker will sell.
+ const numerator = signedOrderLeft.makerAssetAmount;
+ const denominator = signedOrderLeft.takerAssetAmount;
+ const target = signedOrderRight.makerAssetAmount;
+ const isRoundingErrorCeil = await testExchange.publicIsRoundingErrorCeil.callAsync(
+ numerator,
+ denominator,
+ target,
+ );
+ expect(isRoundingErrorCeil).to.be.true();
+ const isRoundingErrorFloor = await testExchange.publicIsRoundingErrorFloor.callAsync(
+ numerator,
+ denominator,
+ target,
+ );
+ expect(isRoundingErrorFloor).to.be.false();
+ // Match signedOrderLeft with signedOrderRight
+ // Note that the left maker received a slightly better sell price.
+ // This is intentional; see note in MixinMatchOrders.calculateMatchedFillResults.
+ // Because the left maker received a slightly more favorable sell price, the fee
+ // paid by the left taker is slightly higher than that paid by the left maker.
+ // Fees can be thought of as a tax paid by the seller, derived from the sale price.
+ const expectedTransferAmounts = {
+ // Left Maker
+ amountSoldByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(13), 0),
+ amountBoughtByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(75), 0),
+ feePaidByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber('76.4705882352941176'), 16), // 76.47%
+ // Right Maker
+ amountSoldByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(75), 0),
+ amountBoughtByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(13), 0),
+ feePaidByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(100), 16), // 100%
+ // Taker
+ amountReceivedByTaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(0), 0),
+ feePaidByTakerLeft: Web3Wrapper.toBaseUnitAmount(new BigNumber('76.5306122448979591'), 16), // 76.53%
+ feePaidByTakerRight: Web3Wrapper.toBaseUnitAmount(new BigNumber(100), 16), // 100%
+ };
+ await matchOrderTester.matchOrdersAndAssertEffectsAsync(
+ signedOrderLeft,
+ signedOrderRight,
+ takerAddress,
+ erc20BalancesByOwner,
+ erc721TokenIdsByOwner,
+ expectedTransferAmounts,
+ );
+ });
+
+ it('Should transfer correct amounts when left order is fully filled and values pass isRoundingErrorCeil but fail isRoundingErrorFloor', async () => {
+ // Create orders to match
+ const signedOrderLeft = await orderFactoryLeft.newSignedOrderAsync({
+ makerAddress: makerAddressLeft,
+ makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(15), 0),
+ takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(90), 0),
+ feeRecipientAddress: feeRecipientAddressLeft,
+ });
+ const signedOrderRight = await orderFactoryRight.newSignedOrderAsync({
+ makerAddress: makerAddressRight,
+ makerAssetData: assetDataUtils.encodeERC20AssetData(defaultERC20TakerAssetAddress),
+ takerAssetData: assetDataUtils.encodeERC20AssetData(defaultERC20MakerAssetAddress),
+ makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(97), 0),
+ takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(14), 0),
+ feeRecipientAddress: feeRecipientAddressRight,
+ });
+ // Assert is rounding error floor & not rounding error ceil
+ // These assertions are taken from MixinMatchOrders::calculateMatchedFillResults
+ // The rounding error is derived computating how much the right maker will buy.
+ const numerator = signedOrderRight.takerAssetAmount;
+ const denominator = signedOrderRight.makerAssetAmount;
+ const target = signedOrderLeft.takerAssetAmount;
+ const isRoundingErrorFloor = await testExchange.publicIsRoundingErrorFloor.callAsync(
+ numerator,
+ denominator,
+ target,
+ );
+ expect(isRoundingErrorFloor).to.be.true();
+ const isRoundingErrorCeil = await testExchange.publicIsRoundingErrorCeil.callAsync(
+ numerator,
+ denominator,
+ target,
+ );
+ expect(isRoundingErrorCeil).to.be.false();
+ // Match signedOrderLeft with signedOrderRight
+ // Note that the right maker received a slightly better purchase price.
+ // This is intentional; see note in MixinMatchOrders.calculateMatchedFillResults.
+ // Because the right maker received a slightly more favorable buy price, the fee
+ // paid by the right taker is slightly higher than that paid by the right maker.
+ // Fees can be thought of as a tax paid by the seller, derived from the sale price.
+ const expectedTransferAmounts = {
+ // Left Maker
+ amountSoldByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(15), 0),
+ amountBoughtByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(90), 0),
+ feePaidByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(100), 16), // 100%
+ // Right Maker
+ amountSoldByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(90), 0),
+ amountBoughtByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(13), 0),
+ feePaidByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber('92.7835051546391752'), 16), // 92.78%
+ // Taker
+ amountReceivedByTaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(2), 0),
+ feePaidByTakerLeft: Web3Wrapper.toBaseUnitAmount(new BigNumber(100), 16), // 100%
+ feePaidByTakerRight: Web3Wrapper.toBaseUnitAmount(new BigNumber('92.8571428571428571'), 16), // 92.85%
+ };
+ await matchOrderTester.matchOrdersAndAssertEffectsAsync(
+ signedOrderLeft,
+ signedOrderRight,
+ takerAddress,
+ erc20BalancesByOwner,
+ erc721TokenIdsByOwner,
+ expectedTransferAmounts,
+ );
+ });
+
+ it('Should give right maker a better buy price when rounding', async () => {
// Create orders to match
const signedOrderLeft = await orderFactoryLeft.newSignedOrderAsync({
makerAddress: makerAddressLeft,
- makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(2000), 0),
- takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(1001), 0),
+ makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(16), 0),
+ takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(22), 0),
feeRecipientAddress: feeRecipientAddressLeft,
});
const signedOrderRight = await orderFactoryRight.newSignedOrderAsync({
makerAddress: makerAddressRight,
makerAssetData: assetDataUtils.encodeERC20AssetData(defaultERC20TakerAssetAddress),
takerAssetData: assetDataUtils.encodeERC20AssetData(defaultERC20MakerAssetAddress),
- makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(10000), 0),
- takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(3000), 0),
+ makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(83), 0),
+ takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(49), 0),
feeRecipientAddress: feeRecipientAddressRight,
});
// Note:
+ // The correct price buy price for the right maker would yield (49/83) * 22 = 12.988 units
+ // of the left maker asset. This gets rounded up to 13, giving the right maker a better price.
+ // Note:
// The maker/taker fee percentage paid on the right order differs because
- // they received different sale prices. Similarly, the right maker pays a
- // slightly higher lower than the right taker.
+ // they received different sale prices. The right maker pays a
+ // fee slightly lower than the right taker.
const expectedTransferAmounts = {
// Left Maker
- amountSoldByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(2000), 0),
- amountBoughtByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(1001), 0),
+ amountSoldByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(16), 0),
+ amountBoughtByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(22), 0),
feePaidByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(100), 16), // 100%
// Right Maker
- amountSoldByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(1001), 0),
- amountBoughtByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(301), 0),
- feePaidByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(10.01), 16), // 10.01%
+ amountSoldByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(22), 0),
+ amountBoughtByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(13), 0),
+ feePaidByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber('26.5060240963855421'), 16), // 26.506%
// Taker
- amountReceivedByTaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(1699), 0),
+ amountReceivedByTaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(3), 0),
feePaidByTakerLeft: Web3Wrapper.toBaseUnitAmount(new BigNumber(100), 16), // 100%
- feePaidByTakerRight: Web3Wrapper.toBaseUnitAmount(new BigNumber('10.0333333333333333'), 16), // 10.03%
+ feePaidByTakerRight: Web3Wrapper.toBaseUnitAmount(new BigNumber('26.5306122448979591'), 16), // 26.531%
};
// Match signedOrderLeft with signedOrderRight
await matchOrderTester.matchOrdersAndAssertEffectsAsync(
@@ -218,7 +361,7 @@ describe('matchOrders', () => {
);
});
- it('Should give left maker a better price when correct price is not integral', async () => {
+ it('Should give left maker a better sell price when rounding', async () => {
// Create orders to match
const signedOrderLeft = await orderFactoryLeft.newSignedOrderAsync({
makerAddress: makerAddressLeft,
@@ -236,7 +379,8 @@ describe('matchOrders', () => {
});
// Note:
// The maker/taker fee percentage paid on the left order differs because
- // they received different sale prices.
+ // they received different sale prices. The left maker pays a fee
+ // slightly lower than the left taker.
const expectedTransferAmounts = {
// Left Maker
amountSoldByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(11), 0),
@@ -266,39 +410,45 @@ describe('matchOrders', () => {
// Create orders to match
const signedOrderLeft = await orderFactoryLeft.newSignedOrderAsync({
makerAddress: makerAddressLeft,
- makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(10), 0),
- takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(3), 0),
+ makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(1000), 0),
+ takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(1005), 0),
feeRecipientAddress: feeRecipientAddressLeft,
});
const signedOrderRight = await orderFactoryRight.newSignedOrderAsync({
makerAddress: makerAddressRight,
makerAssetData: assetDataUtils.encodeERC20AssetData(defaultERC20TakerAssetAddress),
takerAssetData: assetDataUtils.encodeERC20AssetData(defaultERC20MakerAssetAddress),
- makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(4), 0),
- takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(2), 0),
+ makerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(2126), 0),
+ takerAssetAmount: Web3Wrapper.toBaseUnitAmount(new BigNumber(1063), 0),
feeRecipientAddress: feeRecipientAddressRight,
});
- // TODO: These values will change after implementation of rounding up has been merged
const expectedTransferAmounts = {
// Left Maker
- amountSoldByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(10), 0),
- amountBoughtByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(3), 0),
+ amountSoldByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(1000), 0),
+ amountBoughtByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(1005), 0),
feePaidByLeftMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(100), 16), // 100%
// Right Maker
- // Note:
- // For order [4,2] valid fill amounts through `Exchange.fillOrder` would be [2, 1] or [4, 2]
- // In this case we have fill amounts of [3, 1] which is attainable through
- // `Exchange.matchOrders` but not `Exchange.fillOrder`
- // Note:
- // The right maker fee differs from the right taker fee because their exchange rate differs.
- // The right maker always receives the better exchange and fee price.
- amountSoldByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(3), 0),
- amountBoughtByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(2), 0),
- feePaidByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(75), 16), // 75%
+ // Notes:
+ // i.
+ // The left order is fully filled by the right order, so the right maker must sell 1005 units of their asset to the left maker.
+ // By selling 1005 units, the right maker should theoretically receive 502.5 units of the left maker's asset.
+ // Since the transfer amount must be an integer, this value must be rounded down to 502 or up to 503.
+ // ii.
+ // If the right order were filled via `Exchange.fillOrder` the respective fill amounts would be [1004, 502] or [1006, 503].
+ // It follows that we cannot trigger a sale of 1005 units of the right maker's asset through `Exchange.fillOrder`.
+ // iii.
+ // For an optimal match, the algorithm must choose either [1005, 502] or [1005, 503] as fill amounts for the right order.
+ // The algorithm favors the right maker when the exchange rate must be rounded, so the final fill for the right order is [1005, 503].
+ // iv.
+ // The right maker fee differs from the right taker fee because their exchange rate differs.
+ // The right maker always receives the better exchange and fee price.
+ amountSoldByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(1005), 0),
+ amountBoughtByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(503), 0),
+ feePaidByRightMaker: Web3Wrapper.toBaseUnitAmount(new BigNumber('47.2718720602069614'), 16), // 47.27%
// Taker
- amountReceivedByTaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(8), 0),
+ amountReceivedByTaker: Web3Wrapper.toBaseUnitAmount(new BigNumber(497), 0),
feePaidByTakerLeft: Web3Wrapper.toBaseUnitAmount(new BigNumber(100), 16), // 100%
- feePaidByTakerRight: Web3Wrapper.toBaseUnitAmount(new BigNumber(100), 16), // 100%
+ feePaidByTakerRight: Web3Wrapper.toBaseUnitAmount(new BigNumber('47.3189087488240827'), 16), // 47.31%
};
// Match signedOrderLeft with signedOrderRight
await matchOrderTester.matchOrdersAndAssertEffectsAsync(