diff options
Diffstat (limited to 'packages/0x.js/src')
| -rw-r--r-- | packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts | 87 | ||||
| -rw-r--r-- | packages/0x.js/src/utils/order_state_utils.ts | 18 |
2 files changed, 99 insertions, 6 deletions
diff --git a/packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts b/packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts new file mode 100644 index 000000000..30f79e786 --- /dev/null +++ b/packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts @@ -0,0 +1,87 @@ +import {SignedOrder} from '../types'; +import {BigNumber} from 'bignumber.js'; + +export class RemainingFillableCalculator { + private signedOrder: SignedOrder; + private isMakerTokenZRX: boolean; + // Transferrable Amount is the minimum of Approval and Balance + private transferrableMakerTokenAmount: BigNumber; + private transferrableMakerFeeTokenAmount: BigNumber; + private remainingMakerTokenAmount: BigNumber; + private remainingMakerFeeAmount: BigNumber; + constructor(signedOrder: SignedOrder, + isMakerTokenZRX: boolean, + transferrableMakerTokenAmount: BigNumber, + transferrableMakerFeeTokenAmount: BigNumber, + remainingMakerTokenAmount: BigNumber) { + this.signedOrder = signedOrder; + this.isMakerTokenZRX = isMakerTokenZRX; + this.transferrableMakerTokenAmount = transferrableMakerTokenAmount; + this.transferrableMakerFeeTokenAmount = transferrableMakerFeeTokenAmount; + this.remainingMakerTokenAmount = remainingMakerTokenAmount; + this.remainingMakerFeeAmount = remainingMakerTokenAmount.times(signedOrder.makerFee) + .dividedToIntegerBy(signedOrder.makerTokenAmount); + } + public computeRemainingMakerFillable(): BigNumber { + if (this.hasSufficientFundsForFeeAndTransferAmount()) { + return this.remainingMakerTokenAmount; + } + if (this.signedOrder.makerFee.isZero()) { + return BigNumber.min(this.remainingMakerTokenAmount, this.transferrableMakerTokenAmount); + } + return this.calculatePartiallyFillableMakerTokenAmount(); + } + public computeRemainingTakerFillable(): BigNumber { + return this.computeRemainingMakerFillable().times(this.signedOrder.takerTokenAmount) + .dividedToIntegerBy(this.signedOrder.makerTokenAmount); + } + private hasSufficientFundsForFeeAndTransferAmount(): boolean { + if (this.isMakerTokenZRX) { + const totalZRXTransferAmountRequired = this.remainingMakerTokenAmount.plus(this.remainingMakerFeeAmount); + const hasSufficientFunds = this.transferrableMakerTokenAmount.greaterThanOrEqualTo( + totalZRXTransferAmountRequired); + return hasSufficientFunds; + } else { + const hasSufficientFundsForTransferAmount = this.transferrableMakerTokenAmount.greaterThanOrEqualTo( + this.remainingMakerTokenAmount); + const hasSufficientFundsForFeeAmount = this.transferrableMakerFeeTokenAmount.greaterThanOrEqualTo( + this.remainingMakerFeeAmount); + const hasSufficientFunds = hasSufficientFundsForTransferAmount && hasSufficientFundsForFeeAmount; + return hasSufficientFunds; + } + } + private calculatePartiallyFillableMakerTokenAmount(): BigNumber { + // The number of times the maker can fill the order, if each fill only required the transfer of a single + // baseUnit of fee tokens. + // Given an order for 200 wei for 2 ZRXwei fee, find 100 wei for 1 ZRXwei. Order ratio is then 100:1 + const orderToFeeRatio = this.signedOrder.makerTokenAmount.dividedBy(this.signedOrder.makerFee); + // Maximum number of times the Maker can fill the order, given the fees + // Given 2 ZRXwei, the maximum amount of times Maker can fill this order, in terms of fees, is 2 + const fillableTimesInFeeTokenBaseUnits = BigNumber.min(this.transferrableMakerFeeTokenAmount, + this.remainingMakerFeeAmount); + // Maximum number of times the Maker can fill the order, given the Maker Token Balance + // Assuming a balance of 150 wei, maker can fill this order 1 time. + let fillableTimesInMakerTokenUnits = this.transferrableMakerTokenAmount.dividedBy(orderToFeeRatio); + if (this.isMakerTokenZRX) { + // If ZRX is the maker token, the Fee and the Maker amount need to be removed from the same pool; + // 200 ZRXwei for 2ZRXwei fee can only be filled once (need 202 ZRXwei) + const totalZRXTokenPooled = this.transferrableMakerTokenAmount; + // The purchasing power here is less as the tokens are taken from the same Pool + // For every one number of fills, we have to take an extra ZRX out of the pool + fillableTimesInMakerTokenUnits = totalZRXTokenPooled.dividedBy( + orderToFeeRatio.plus(new BigNumber(1))); + + } + // When Ratio is not fully divisible there can be remainders which cannot be represented, so they are floored. + // This can result in a RoundingError being thrown by the Exchange Contract. + const partiallyFillableMakerTokenAmount = fillableTimesInMakerTokenUnits + .times(this.signedOrder.makerTokenAmount) + .dividedToIntegerBy(this.signedOrder.makerFee); + const partiallyFillableFeeTokenAmount = fillableTimesInFeeTokenBaseUnits + .times(this.signedOrder.makerTokenAmount) + .dividedToIntegerBy(this.signedOrder.makerFee); + const partiallyFillableAmount = BigNumber.min(partiallyFillableMakerTokenAmount, + partiallyFillableFeeTokenAmount); + return partiallyFillableAmount; + } +} diff --git a/packages/0x.js/src/utils/order_state_utils.ts b/packages/0x.js/src/utils/order_state_utils.ts index 123584f90..1d8f02a18 100644 --- a/packages/0x.js/src/utils/order_state_utils.ts +++ b/packages/0x.js/src/utils/order_state_utils.ts @@ -17,6 +17,7 @@ import {utils} from '../utils/utils'; import {constants} from '../utils/constants'; import {OrderFilledCancelledLazyStore} from '../stores/order_filled_cancelled_lazy_store'; import {BalanceAndProxyAllowanceLazyStore} from '../stores/balance_proxy_allowance_lazy_store'; +import {RemainingFillableCalculator} from '../order_watcher/remaining_fillable_calculator'; const ACCEPTABLE_RELATIVE_ROUNDING_ERROR = 0.0001; @@ -78,12 +79,17 @@ export class OrderStateUtils { const remainingTakerTokenAmount = totalTakerTokenAmount.minus(unavailableTakerTokenAmount); const remainingMakerTokenAmount = remainingTakerTokenAmount.times(totalMakerTokenAmount) .dividedToIntegerBy(totalTakerTokenAmount); - const fillableMakerTokenAmount = BigNumber.min([makerProxyAllowance, makerBalance]); - const remainingFillableMakerTokenAmount = BigNumber.min(fillableMakerTokenAmount, remainingMakerTokenAmount); - const remainingFillableTakerTokenAmount = remainingFillableMakerTokenAmount - .times(totalTakerTokenAmount) - .dividedToIntegerBy(totalMakerTokenAmount); - // TODO: Handle edge case where maker token is ZRX with fee + const transferrableMakerTokenAmount = BigNumber.min([makerProxyAllowance, makerBalance]); + const transferrableFeeTokenAmount = BigNumber.min([makerFeeProxyAllowance, makerFeeBalance]); + + const isMakerTokenZRX = signedOrder.makerTokenAddress === zrxTokenAddress; + const remainingFillableCalculator = new RemainingFillableCalculator(signedOrder, + isMakerTokenZRX, + transferrableMakerTokenAmount, + transferrableFeeTokenAmount, + remainingMakerTokenAmount); + const remainingFillableMakerTokenAmount = remainingFillableCalculator.computeRemainingMakerFillable(); + const remainingFillableTakerTokenAmount = remainingFillableCalculator.computeRemainingTakerFillable(); const orderRelevantState = { makerBalance, makerProxyAllowance, |