diff options
Diffstat (limited to 'packages/asset-buyer/src/utils/buy_quote_calculator.ts')
| -rw-r--r-- | packages/asset-buyer/src/utils/buy_quote_calculator.ts | 221 |
1 files changed, 0 insertions, 221 deletions
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts deleted file mode 100644 index 125841094..000000000 --- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts +++ /dev/null @@ -1,221 +0,0 @@ -import { marketUtils, SignedOrder } from '@0x/order-utils'; -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'; - -// Calculates a buy quote for orders that have WETH as the takerAsset -export const buyQuoteCalculator = { - calculate( - ordersAndFillableAmounts: OrdersAndFillableAmounts, - feeOrdersAndFillableAmounts: OrdersAndFillableAmounts, - assetBuyAmount: BigNumber, - feePercentage: number, - slippagePercentage: number, - isMakerAssetZrxToken: boolean, - ): BuyQuote { - const orders = ordersAndFillableAmounts.orders; - const remainingFillableMakerAssetAmounts = ordersAndFillableAmounts.remainingFillableMakerAssetAmounts; - const feeOrders = feeOrdersAndFillableAmounts.orders; - const remainingFillableFeeAmounts = feeOrdersAndFillableAmounts.remainingFillableMakerAssetAmounts; - const slippageBufferAmount = assetBuyAmount.multipliedBy(slippagePercentage).integerValue(); - // find the orders that cover the desired assetBuyAmount (with slippage) - const { - resultOrders, - remainingFillAmount, - ordersRemainingFillableMakerAssetAmounts, - } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(orders, assetBuyAmount, { - remainingFillableMakerAssetAmounts, - slippageBufferAmount, - }); - // if we do not have enough orders to cover the desired assetBuyAmount, throw - if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) { - // 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) - .integerValue(BigNumber.ROUND_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) - // TODO(bmillman): optimization - // update this logic to find the minimum amount of feeOrders to cover the worst case as opposed to - // finding order that cover all fees, this will help with estimating ETH and minimizing gas usage - let resultFeeOrders = [] as SignedOrder[]; - let feeOrdersRemainingFillableMakerAssetAmounts = [] as BigNumber[]; - if (!isMakerAssetZrxToken) { - const feeOrdersAndRemainingFeeAmount = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( - resultOrders, - feeOrders, - { - remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts, - remainingFillableFeeAmounts, - }, - ); - // if we do not have enough feeOrders to cover the fees, throw - if (feeOrdersAndRemainingFeeAmount.remainingFeeAmount.gt(constants.ZERO_AMOUNT)) { - throw new Error(AssetBuyerError.InsufficientZrxLiquidity); - } - resultFeeOrders = feeOrdersAndRemainingFeeAmount.resultFeeOrders; - feeOrdersRemainingFillableMakerAssetAmounts = - feeOrdersAndRemainingFeeAmount.feeOrdersRemainingFillableMakerAssetAmounts; - } - - // assetData information for the result - const assetData = orders[0].makerAssetData; - // compile the resulting trimmed set of orders for makerAsset and feeOrders that are needed for assetBuyAmount - const trimmedOrdersAndFillableAmounts: OrdersAndFillableAmounts = { - orders: resultOrders, - remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts, - }; - const trimmedFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts = { - orders: resultFeeOrders, - remainingFillableMakerAssetAmounts: feeOrdersRemainingFillableMakerAssetAmounts, - }; - const bestCaseQuoteInfo = calculateQuoteInfo( - trimmedOrdersAndFillableAmounts, - trimmedFeeOrdersAndFillableAmounts, - assetBuyAmount, - feePercentage, - isMakerAssetZrxToken, - ); - // in order to calculate the maxRate, reverse the ordersAndFillableAmounts such that they are sorted from worst rate to best rate - const worstCaseQuoteInfo = calculateQuoteInfo( - reverseOrdersAndFillableAmounts(trimmedOrdersAndFillableAmounts), - reverseOrdersAndFillableAmounts(trimmedFeeOrdersAndFillableAmounts), - assetBuyAmount, - feePercentage, - isMakerAssetZrxToken, - ); - return { - assetData, - orders: resultOrders, - feeOrders: resultFeeOrders, - bestCaseQuoteInfo, - worstCaseQuoteInfo, - assetBuyAmount, - feePercentage, - }; - }, -}; - -function calculateQuoteInfo( - ordersAndFillableAmounts: OrdersAndFillableAmounts, - feeOrdersAndFillableAmounts: OrdersAndFillableAmounts, - assetBuyAmount: BigNumber, - feePercentage: number, - isMakerAssetZrxToken: boolean, -): BuyQuoteInfo { - // find the total eth and zrx needed to buy assetAmount from the resultOrders from left to right - let assetEthAmount = constants.ZERO_AMOUNT; - let zrxEthAmount = constants.ZERO_AMOUNT; - if (isMakerAssetZrxToken) { - assetEthAmount = findEthAmountNeededToBuyZrx(ordersAndFillableAmounts, assetBuyAmount); - } else { - // find eth and zrx amounts needed to buy - const ethAndZrxAmountToBuyAsset = findEthAndZrxAmountNeededToBuyAsset(ordersAndFillableAmounts, assetBuyAmount); - assetEthAmount = ethAndZrxAmountToBuyAsset[0]; - const zrxAmountToBuyAsset = ethAndZrxAmountToBuyAsset[1]; - // find eth amount needed to buy zrx - zrxEthAmount = findEthAmountNeededToBuyZrx(feeOrdersAndFillableAmounts, zrxAmountToBuyAsset); - } - // eth amount needed to buy the affiliate fee - const affiliateFeeEthAmount = assetEthAmount.multipliedBy(feePercentage).integerValue(BigNumber.ROUND_CEIL); - // eth amount needed for fees is the sum of affiliate fee and zrx fee - const feeEthAmount = affiliateFeeEthAmount.plus(zrxEthAmount); - // eth amount needed in total is the sum of the amount needed for the asset and the amount needed for fees - const totalEthAmount = assetEthAmount.plus(feeEthAmount); - return { - assetEthAmount, - feeEthAmount, - totalEthAmount, - }; -} - -// given an OrdersAndFillableAmounts, reverse the orders and remainingFillableMakerAssetAmounts properties -function reverseOrdersAndFillableAmounts(ordersAndFillableAmounts: OrdersAndFillableAmounts): OrdersAndFillableAmounts { - const ordersCopy = _.clone(ordersAndFillableAmounts.orders); - const remainingFillableMakerAssetAmountsCopy = _.clone(ordersAndFillableAmounts.remainingFillableMakerAssetAmounts); - return { - orders: ordersCopy.reverse(), - remainingFillableMakerAssetAmounts: remainingFillableMakerAssetAmountsCopy.reverse(), - }; -} - -function findEthAmountNeededToBuyZrx( - feeOrdersAndFillableAmounts: OrdersAndFillableAmounts, - zrxBuyAmount: BigNumber, -): BigNumber { - const { orders, remainingFillableMakerAssetAmounts } = feeOrdersAndFillableAmounts; - const result = _.reduce( - orders, - (acc, order, index) => { - const { totalEthAmount, remainingZrxBuyAmount } = acc; - const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index]; - const makerFillAmount = BigNumber.min(remainingZrxBuyAmount, remainingFillableMakerAssetAmount); - const [takerFillAmount, adjustedMakerFillAmount] = orderUtils.getTakerFillAmountForFeeOrder( - order, - makerFillAmount, - ); - const extraFeeAmount = remainingFillableMakerAssetAmount.isGreaterThanOrEqualTo(adjustedMakerFillAmount) - ? constants.ZERO_AMOUNT - : adjustedMakerFillAmount.minus(makerFillAmount); - return { - totalEthAmount: totalEthAmount.plus(takerFillAmount), - remainingZrxBuyAmount: BigNumber.max( - constants.ZERO_AMOUNT, - remainingZrxBuyAmount.minus(makerFillAmount).plus(extraFeeAmount), - ), - }; - }, - { - totalEthAmount: constants.ZERO_AMOUNT, - remainingZrxBuyAmount: zrxBuyAmount, - }, - ); - return result.totalEthAmount; -} - -function findEthAndZrxAmountNeededToBuyAsset( - ordersAndFillableAmounts: OrdersAndFillableAmounts, - assetBuyAmount: BigNumber, -): [BigNumber, BigNumber] { - const { orders, remainingFillableMakerAssetAmounts } = ordersAndFillableAmounts; - const result = _.reduce( - orders, - (acc, order, index) => { - const { totalEthAmount, totalZrxAmount, remainingAssetBuyAmount } = acc; - const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index]; - const makerFillAmount = BigNumber.min(acc.remainingAssetBuyAmount, remainingFillableMakerAssetAmount); - const takerFillAmount = orderUtils.getTakerFillAmount(order, makerFillAmount); - const takerFeeAmount = orderUtils.getTakerFeeAmount(order, takerFillAmount); - return { - totalEthAmount: totalEthAmount.plus(takerFillAmount), - totalZrxAmount: totalZrxAmount.plus(takerFeeAmount), - remainingAssetBuyAmount: BigNumber.max( - constants.ZERO_AMOUNT, - remainingAssetBuyAmount.minus(makerFillAmount), - ), - }; - }, - { - totalEthAmount: constants.ZERO_AMOUNT, - totalZrxAmount: constants.ZERO_AMOUNT, - remainingAssetBuyAmount: assetBuyAmount, - }, - ); - return [result.totalEthAmount, result.totalZrxAmount]; -} |