1 files changed, 202 insertions, 0 deletions
diff --git a/packages/asset-buyer/src/utils/order_provider_response_processor.ts b/packages/asset-buyer/src/utils/order_provider_response_processor.ts
new file mode 100644
index 000000000..31fdcc182
--- /dev/null
+++ b/packages/asset-buyer/src/utils/order_provider_response_processor.ts
@@ -0,0 +1,202 @@
+import { OrderAndTraderInfo, OrderStatus, OrderValidatorWrapper } from '@0xproject/contract-wrappers';
+import { sortingUtils } from '@0xproject/order-utils';
+import { RemainingFillableCalculator } from '@0xproject/order-utils/lib/src/remaining_fillable_calculator';
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { constants } from '../constants';
+import {
+    AssetBuyerError,
+    AssetBuyerOrdersAndFillableAmounts,
+    OrderProviderRequest,
+    OrderProviderResponse,
+    SignedOrderWithRemainingFillableMakerAssetAmount,
+} from '../types';
+
+import { orderUtils } from './order_utils';
+
+interface OrdersAndRemainingFillableMakerAssetAmounts {
+    orders: SignedOrder[];
+    remainingFillableMakerAssetAmounts: BigNumber[];
+}
+
+export const orderProviderResponseProcessor = {
+    throwIfInvalidResponse(response: OrderProviderResponse, request: OrderProviderRequest): void {
+        const { makerAssetData, takerAssetData } = request;
+        _.forEach(response.orders, order => {
+            if (order.makerAssetData !== makerAssetData || order.takerAssetData !== takerAssetData) {
+                throw new Error(AssetBuyerError.InvalidOrderProviderResponse);
+            }
+        });
+    },
+    /**
+     * Take the responses for the target orders to buy and fee orders and process them.
+     * Processing includes:
+     * - Drop orders that are expired or not open orders (null taker address)
+     * - If shouldValidateOnChain, attempt to grab fillable amounts from on-chain otherwise assume completely fillable
+     * - Sort by rate
+     */
+    async processAsync(
+        targetOrderProviderResponse: OrderProviderResponse,
+        feeOrderProviderResponse: OrderProviderResponse,
+        zrxTokenAssetData: string,
+        expiryBufferSeconds: number,
+        orderValidator?: OrderValidatorWrapper,
+    ): Promise<AssetBuyerOrdersAndFillableAmounts> {
+        // drop orders that are expired or not open
+        const filteredTargetOrders = filterOutExpiredAndNonOpenOrders(
+            targetOrderProviderResponse.orders,
+            expiryBufferSeconds,
+        );
+        const filteredFeeOrders = filterOutExpiredAndNonOpenOrders(
+            feeOrderProviderResponse.orders,
+            expiryBufferSeconds,
+        );
+        // set the orders to be sorted equal to the filtered orders
+        let unsortedTargetOrders = filteredTargetOrders;
+        let unsortedFeeOrders = filteredFeeOrders;
+        // if an orderValidator is provided, use on chain information to calculate remaining fillable makerAsset amounts
+        if (!_.isUndefined(orderValidator)) {
+            // TODO(bmillman): improvement
+            // try/catch these requests and throw a more domain specific error
+            // TODO(bmillman): optimization
+            // reduce this to once RPC call buy combining orders into one array and then splitting up the response
+            const [targetOrdersAndTradersInfo, feeOrdersAndTradersInfo] = await Promise.all(
+                _.map([filteredTargetOrders, filteredFeeOrders], ordersToBeValidated => {
+                    const takerAddresses = _.map(ordersToBeValidated, () => constants.NULL_ADDRESS);
+                    return orderValidator.getOrdersAndTradersInfoAsync(ordersToBeValidated, takerAddresses);
+                }),
+            );
+            // take orders + on chain information and find the valid orders and remaining fillable maker asset amounts
+            unsortedTargetOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
+                filteredTargetOrders,
+                targetOrdersAndTradersInfo,
+                zrxTokenAssetData,
+            );
+            // take orders + on chain information and find the valid orders and remaining fillable maker asset amounts
+            unsortedFeeOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
+                filteredFeeOrders,
+                feeOrdersAndTradersInfo,
+                zrxTokenAssetData,
+            );
+        }
+        // sort orders by rate
+        // TODO(bmillman): optimization
+        // provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens
+        const sortedTargetOrders = sortingUtils.sortOrdersByFeeAdjustedRate(unsortedTargetOrders);
+        const sortedFeeOrders = sortingUtils.sortFeeOrdersByFeeAdjustedRate(unsortedFeeOrders);
+        // unbundle orders and fillable amounts and compile final result
+        const targetOrdersAndRemainingFillableMakerAssetAmounts = unbundleOrdersWithAmounts(sortedTargetOrders);
+        const feeOrdersAndRemainingFillableMakerAssetAmounts = unbundleOrdersWithAmounts(sortedFeeOrders);
+        return {
+            orders: targetOrdersAndRemainingFillableMakerAssetAmounts.orders,
+            feeOrders: feeOrdersAndRemainingFillableMakerAssetAmounts.orders,
+            remainingFillableMakerAssetAmounts:
+                targetOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts,
+            remainingFillableFeeAmounts:
+                feeOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts,
+        };
+    },
+};
+
+/**
+ * Given an array of orders, return a new array with expired and non open orders filtered out.
+ */
+function filterOutExpiredAndNonOpenOrders(
+    orders: SignedOrderWithRemainingFillableMakerAssetAmount[],
+    expiryBufferSeconds: number,
+): SignedOrderWithRemainingFillableMakerAssetAmount[] {
+    const result = _.filter(orders, order => {
+        return orderUtils.isOpenOrder(order) && !orderUtils.willOrderExpire(order, expiryBufferSeconds);
+    });
+    return result;
+}
+
+/**
+ * Given an array of orders and corresponding on-chain infos, return a subset of the orders
+ * that are still fillable orders with their corresponding remainingFillableMakerAssetAmounts.
+ */
+function getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
+    inputOrders: SignedOrder[],
+    ordersAndTradersInfo: OrderAndTraderInfo[],
+    zrxAssetData: string,
+): SignedOrderWithRemainingFillableMakerAssetAmount[] {
+    // iterate through the input orders and find the ones that are still fillable
+    // for the orders that are still fillable, calculate the remaining fillable maker asset amount
+    const result = _.reduce(
+        inputOrders,
+        (accOrders, order, index) => {
+            // get corresponding on-chain state for the order
+            const { orderInfo, traderInfo } = ordersAndTradersInfo[index];
+            // if the order IS NOT fillable, do not add anything to the accumulations and continue iterating
+            if (orderInfo.orderStatus !== OrderStatus.FILLABLE) {
+                return accOrders;
+            }
+            // if the order IS fillable, add the order and calculate the remaining fillable amount
+            const transferrableAssetAmount = BigNumber.min([traderInfo.makerAllowance, traderInfo.makerBalance]);
+            const transferrableFeeAssetAmount = BigNumber.min([
+                traderInfo.makerZrxAllowance,
+                traderInfo.makerZrxBalance,
+            ]);
+            const remainingTakerAssetAmount = order.takerAssetAmount.minus(orderInfo.orderTakerAssetFilledAmount);
+            const remainingMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount(
+                order,
+                remainingTakerAssetAmount,
+            );
+            const remainingFillableCalculator = new RemainingFillableCalculator(
+                order.makerFee,
+                order.makerAssetAmount,
+                order.makerAssetData === zrxAssetData,
+                transferrableAssetAmount,
+                transferrableFeeAssetAmount,
+                remainingMakerAssetAmount,
+            );
+            const remainingFillableAmount = remainingFillableCalculator.computeRemainingFillable();
+            // if the order does not have any remaining fillable makerAsset, do not add anything to the accumulations and continue iterating
+            if (remainingFillableAmount.lte(constants.ZERO_AMOUNT)) {
+                return accOrders;
+            }
+            const orderWithRemainingFillableMakerAssetAmount = {
+                ...order,
+                remainingFillableMakerAssetAmount: remainingFillableAmount,
+            };
+            const newAccOrders = _.concat(accOrders, orderWithRemainingFillableMakerAssetAmount);
+            return newAccOrders;
+        },
+        [] as SignedOrderWithRemainingFillableMakerAssetAmount[],
+    );
+    return result;
+}
+
+/**
+ * Given an array of orders with remaining fillable maker asset amounts. Unbundle into an instance of OrdersAndRemainingFillableMakerAssetAmounts.
+ * If an order is missing a corresponding remainingFillableMakerAssetAmount, assume it is completely fillable.
+ */
+function unbundleOrdersWithAmounts(
+    ordersWithAmounts: SignedOrderWithRemainingFillableMakerAssetAmount[],
+): OrdersAndRemainingFillableMakerAssetAmounts {
+    const result = _.reduce(
+        ordersWithAmounts,
+        (acc, orderWithAmount) => {
+            const { orders, remainingFillableMakerAssetAmounts } = acc;
+            const { remainingFillableMakerAssetAmount, ...order } = orderWithAmount;
+            // if we are still missing a remainingFillableMakerAssetAmount, assume the order is completely fillable
+            const newRemainingAmount = remainingFillableMakerAssetAmount || order.makerAssetAmount;
+            // if remaining amount is less than or equal to zero, do not add it
+            if (newRemainingAmount.lte(constants.ZERO_AMOUNT)) {
+                return acc;
+            }
+            const newAcc = {
+                orders: _.concat(orders, order),
+                remainingFillableMakerAssetAmounts: _.concat(remainingFillableMakerAssetAmounts, newRemainingAmount),
+            };
+            return newAcc;
+        },
+        {
+            orders: [] as SignedOrder[],
+            remainingFillableMakerAssetAmounts: [] as BigNumber[],
+        },
+    );
+    return result;
+}