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-rw-r--r--packages/asset-buyer/src/utils/assert.ts21
-rw-r--r--packages/asset-buyer/src/utils/asset_data_utils.ts24
-rw-r--r--packages/asset-buyer/src/utils/buy_quote_calculator.ts122
-rw-r--r--packages/asset-buyer/src/utils/order_provider_response_processor.ts15
-rw-r--r--packages/asset-buyer/src/utils/order_utils.ts72
5 files changed, 146 insertions, 108 deletions
diff --git a/packages/asset-buyer/src/utils/assert.ts b/packages/asset-buyer/src/utils/assert.ts
index d43b71fee..2466f53a4 100644
--- a/packages/asset-buyer/src/utils/assert.ts
+++ b/packages/asset-buyer/src/utils/assert.ts
@@ -1,6 +1,5 @@
-import { assert as sharedAssert } from '@0xproject/assert';
-import { schemas } from '@0xproject/json-schemas';
-import { SignedOrder } from '@0xproject/types';
+import { assert as sharedAssert } from '@0x/assert';
+import { schemas } from '@0x/json-schemas';
import * as _ from 'lodash';
import { BuyQuote, BuyQuoteInfo, OrderProvider, OrderProviderRequest } from '../types';
@@ -29,22 +28,6 @@ export const assert = {
isValidOrderProviderRequest(variableName: string, orderFetcherRequest: OrderProviderRequest): void {
sharedAssert.isHexString(`${variableName}.makerAssetData`, orderFetcherRequest.makerAssetData);
sharedAssert.isHexString(`${variableName}.takerAssetData`, orderFetcherRequest.takerAssetData);
- sharedAssert.isNumber(`${variableName}.networkId`, orderFetcherRequest.networkId);
- },
- areValidProvidedOrders(variableName: string, orders: SignedOrder[]): void {
- if (orders.length === 0) {
- return;
- }
- const makerAssetData = orders[0].makerAssetData;
- const takerAssetData = orders[0].takerAssetData;
- const filteredOrders = _.filter(
- orders,
- order => order.makerAssetData === makerAssetData && order.takerAssetData === takerAssetData,
- );
- sharedAssert.assert(
- orders.length === filteredOrders.length,
- `Expected all orders in ${variableName} to have the same makerAssetData and takerAssetData.`,
- );
},
isValidPercentage(variableName: string, percentage: number): void {
assert.isNumber(variableName, percentage);
diff --git a/packages/asset-buyer/src/utils/asset_data_utils.ts b/packages/asset-buyer/src/utils/asset_data_utils.ts
index d05ff2504..70f646902 100644
--- a/packages/asset-buyer/src/utils/asset_data_utils.ts
+++ b/packages/asset-buyer/src/utils/asset_data_utils.ts
@@ -1,26 +1,12 @@
-import { ContractWrappers } from '@0xproject/contract-wrappers';
-import { assetDataUtils as sharedAssetDataUtils } from '@0xproject/order-utils';
+import { ContractWrappers } from '@0x/contract-wrappers';
+import { assetDataUtils as sharedAssetDataUtils } from '@0x/order-utils';
import * as _ from 'lodash';
-import { AssetBuyerError } from '../types';
-
export const assetDataUtils = {
...sharedAssetDataUtils,
- getEtherTokenAssetDataOrThrow(contractWrappers: ContractWrappers): string {
- const etherTokenAddressIfExists = contractWrappers.etherToken.getContractAddressIfExists();
- if (_.isUndefined(etherTokenAddressIfExists)) {
- throw new Error(AssetBuyerError.NoEtherTokenContractFound);
- }
- const etherTokenAssetData = sharedAssetDataUtils.encodeERC20AssetData(etherTokenAddressIfExists);
+ getEtherTokenAssetData(contractWrappers: ContractWrappers): string {
+ const etherTokenAddress = contractWrappers.forwarder.etherTokenAddress;
+ const etherTokenAssetData = sharedAssetDataUtils.encodeERC20AssetData(etherTokenAddress);
return etherTokenAssetData;
},
- getZrxTokenAssetDataOrThrow(contractWrappers: ContractWrappers): string {
- let zrxTokenAssetData: string;
- try {
- zrxTokenAssetData = contractWrappers.exchange.getZRXAssetData();
- } catch (err) {
- throw new Error(AssetBuyerError.NoZrxTokenContractFound);
- }
- return zrxTokenAssetData;
- },
};
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
index a1d334eef..6a67ed1ed 100644
--- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -1,10 +1,12 @@
-import { marketUtils, rateUtils } from '@0xproject/order-utils';
-import { BigNumber } from '@0xproject/utils';
+import { marketUtils, SignedOrder } from '@0x/order-utils';
+import { BigNumber } from '@0x/utils';
import * as _ from 'lodash';
import { constants } from '../constants';
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(
@@ -13,6 +15,7 @@ export const buyQuoteCalculator = {
assetBuyAmount: BigNumber,
feePercentage: number,
slippagePercentage: number,
+ isMakerAssetZrxToken: boolean,
): BuyQuote {
const orders = ordersAndFillableAmounts.orders;
const remainingFillableMakerAssetAmounts = ordersAndFillableAmounts.remainingFillableMakerAssetAmounts;
@@ -32,22 +35,31 @@ export const buyQuoteCalculator = {
if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
}
+ // 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
- const {
- resultFeeOrders,
- remainingFeeAmount,
- feeOrdersRemainingFillableMakerAssetAmounts,
- } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(resultOrders, feeOrders, {
- remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts,
- remainingFillableFeeAmounts,
- });
- // if we do not have enough feeOrders to cover the fees, throw
- if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
- throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
+ 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
@@ -64,6 +76,7 @@ export const buyQuoteCalculator = {
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(
@@ -71,6 +84,7 @@ export const buyQuoteCalculator = {
reverseOrdersAndFillableAmounts(trimmedFeeOrdersAndFillableAmounts),
assetBuyAmount,
feePercentage,
+ isMakerAssetZrxToken,
);
return {
assetData,
@@ -89,22 +103,30 @@ function calculateQuoteInfo(
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
- const [ethAmountToBuyAsset, zrxAmountToBuyAsset] = findEthAndZrxAmountNeededToBuyAsset(
- ordersAndFillableAmounts,
- assetBuyAmount,
- );
- // find the total eth needed to buy fees
- const ethAmountToBuyFees = findEthAmountNeededToBuyFees(feeOrdersAndFillableAmounts, zrxAmountToBuyAsset);
- const affiliateFeeEthAmount = ethAmountToBuyAsset.mul(feePercentage);
- const totalEthAmountWithoutAffiliateFee = ethAmountToBuyAsset.plus(ethAmountToBuyFees);
- const totalEthAmount = totalEthAmountWithoutAffiliateFee.plus(affiliateFeeEthAmount);
+ let ethAmountToBuyAsset = constants.ZERO_AMOUNT;
+ let ethAmountToBuyZrx = constants.ZERO_AMOUNT;
+ if (isMakerAssetZrxToken) {
+ ethAmountToBuyAsset = findEthAmountNeededToBuyZrx(ordersAndFillableAmounts, assetBuyAmount);
+ } else {
+ // find eth and zrx amounts needed to buy
+ const ethAndZrxAmountToBuyAsset = findEthAndZrxAmountNeededToBuyAsset(ordersAndFillableAmounts, assetBuyAmount);
+ ethAmountToBuyAsset = ethAndZrxAmountToBuyAsset[0];
+ const zrxAmountToBuyAsset = ethAndZrxAmountToBuyAsset[1];
+ // find eth amount needed to buy zrx
+ ethAmountToBuyZrx = findEthAmountNeededToBuyZrx(feeOrdersAndFillableAmounts, zrxAmountToBuyAsset);
+ }
+ /// find the eth amount needed to buy the affiliate fee
+ const ethAmountToBuyAffiliateFee = ethAmountToBuyAsset.mul(feePercentage).ceil();
+ const totalEthAmountWithoutAffiliateFee = ethAmountToBuyAsset.plus(ethAmountToBuyZrx);
+ const ethAmountTotal = totalEthAmountWithoutAffiliateFee.plus(ethAmountToBuyAffiliateFee);
// divide into the assetBuyAmount in order to find rate of makerAsset / WETH
const ethPerAssetPrice = totalEthAmountWithoutAffiliateFee.div(assetBuyAmount);
return {
- totalEthAmount,
- feeEthAmount: affiliateFeeEthAmount,
+ totalEthAmount: ethAmountTotal,
+ feeEthAmount: ethAmountToBuyAffiliateFee,
ethPerAssetPrice,
};
}
@@ -119,29 +141,38 @@ function reverseOrdersAndFillableAmounts(ordersAndFillableAmounts: OrdersAndFill
};
}
-function findEthAmountNeededToBuyFees(
+function findEthAmountNeededToBuyZrx(
feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
- feeAmount: BigNumber,
+ zrxBuyAmount: BigNumber,
): BigNumber {
const { orders, remainingFillableMakerAssetAmounts } = feeOrdersAndFillableAmounts;
const result = _.reduce(
orders,
(acc, order, index) => {
+ const { totalEthAmount, remainingZrxBuyAmount } = acc;
const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
- const amountToFill = BigNumber.min(acc.remainingFeeAmount, remainingFillableMakerAssetAmount);
- const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfFeeOrder(order);
- const ethAmountForThisOrder = feeAdjustedRate.mul(amountToFill);
+ const makerFillAmount = BigNumber.min(remainingZrxBuyAmount, remainingFillableMakerAssetAmount);
+ const [takerFillAmount, adjustedMakerFillAmount] = orderUtils.getTakerFillAmountForFeeOrder(
+ order,
+ makerFillAmount,
+ );
+ const extraFeeAmount = remainingFillableMakerAssetAmount.greaterThanOrEqualTo(adjustedMakerFillAmount)
+ ? constants.ZERO_AMOUNT
+ : adjustedMakerFillAmount.sub(makerFillAmount);
return {
- ethAmount: acc.ethAmount.plus(ethAmountForThisOrder),
- remainingFeeAmount: BigNumber.max(constants.ZERO_AMOUNT, acc.remainingFeeAmount.minus(amountToFill)),
+ totalEthAmount: totalEthAmount.plus(takerFillAmount),
+ remainingZrxBuyAmount: BigNumber.max(
+ constants.ZERO_AMOUNT,
+ remainingZrxBuyAmount.minus(makerFillAmount).plus(extraFeeAmount),
+ ),
};
},
{
- ethAmount: constants.ZERO_AMOUNT,
- remainingFeeAmount: feeAmount,
+ totalEthAmount: constants.ZERO_AMOUNT,
+ remainingZrxBuyAmount: zrxBuyAmount,
},
);
- return result.ethAmount;
+ return result.totalEthAmount;
}
function findEthAndZrxAmountNeededToBuyAsset(
@@ -152,28 +183,25 @@ function findEthAndZrxAmountNeededToBuyAsset(
const result = _.reduce(
orders,
(acc, order, index) => {
+ const { totalEthAmount, totalZrxAmount, remainingAssetBuyAmount } = acc;
const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
- const amountToFill = BigNumber.min(acc.remainingAssetBuyAmount, remainingFillableMakerAssetAmount);
- // find the amount of eth required to fill amountToFill (amountToFill / makerAssetAmount) * takerAssetAmount
- const ethAmountForThisOrder = amountToFill
- .mul(order.takerAssetAmount)
- .dividedToIntegerBy(order.makerAssetAmount);
- // find the amount of zrx required to fill fees for amountToFill (amountToFill / makerAssetAmount) * takerFee
- const zrxAmountForThisOrder = amountToFill.mul(order.takerFee).dividedToIntegerBy(order.makerAssetAmount);
+ const makerFillAmount = BigNumber.min(acc.remainingAssetBuyAmount, remainingFillableMakerAssetAmount);
+ const takerFillAmount = orderUtils.getTakerFillAmount(order, makerFillAmount);
+ const takerFeeAmount = orderUtils.getTakerFeeAmount(order, takerFillAmount);
return {
- ethAmount: acc.ethAmount.plus(ethAmountForThisOrder),
- zrxAmount: acc.zrxAmount.plus(zrxAmountForThisOrder),
+ totalEthAmount: totalEthAmount.plus(takerFillAmount),
+ totalZrxAmount: totalZrxAmount.plus(takerFeeAmount),
remainingAssetBuyAmount: BigNumber.max(
constants.ZERO_AMOUNT,
- acc.remainingAssetBuyAmount.minus(amountToFill),
+ remainingAssetBuyAmount.minus(makerFillAmount),
),
};
},
{
- ethAmount: constants.ZERO_AMOUNT,
- zrxAmount: constants.ZERO_AMOUNT,
+ totalEthAmount: constants.ZERO_AMOUNT,
+ totalZrxAmount: constants.ZERO_AMOUNT,
remainingAssetBuyAmount: assetBuyAmount,
},
);
- return [result.ethAmount, result.zrxAmount];
+ return [result.totalEthAmount, result.totalZrxAmount];
}
diff --git a/packages/asset-buyer/src/utils/order_provider_response_processor.ts b/packages/asset-buyer/src/utils/order_provider_response_processor.ts
index 74eec162d..28f684f3c 100644
--- a/packages/asset-buyer/src/utils/order_provider_response_processor.ts
+++ b/packages/asset-buyer/src/utils/order_provider_response_processor.ts
@@ -1,8 +1,8 @@
-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 { OrderAndTraderInfo, OrderStatus, OrderValidatorWrapper } from '@0x/contract-wrappers';
+import { sortingUtils } from '@0x/order-utils';
+import { RemainingFillableCalculator } from '@0x/order-utils/lib/src/remaining_fillable_calculator';
+import { SignedOrder } from '@0x/types';
+import { BigNumber } from '@0x/utils';
import * as _ from 'lodash';
import { constants } from '../constants';
@@ -110,10 +110,7 @@ function getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
traderInfo.makerZrxBalance,
]);
const remainingTakerAssetAmount = order.takerAssetAmount.minus(orderInfo.orderTakerAssetFilledAmount);
- const remainingMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount(
- order,
- remainingTakerAssetAmount,
- );
+ const remainingMakerAssetAmount = orderUtils.getRemainingMakerAmount(order, remainingTakerAssetAmount);
const remainingFillableCalculator = new RemainingFillableCalculator(
order.makerFee,
order.makerAssetAmount,
diff --git a/packages/asset-buyer/src/utils/order_utils.ts b/packages/asset-buyer/src/utils/order_utils.ts
index cfc13a8a1..1cc2cf95f 100644
--- a/packages/asset-buyer/src/utils/order_utils.ts
+++ b/packages/asset-buyer/src/utils/order_utils.ts
@@ -1,5 +1,5 @@
-import { SignedOrder } from '@0xproject/types';
-import { BigNumber } from '@0xproject/utils';
+import { SignedOrder } from '@0x/types';
+import { BigNumber } from '@0x/utils';
import { constants } from '../constants';
@@ -12,19 +12,63 @@ export const orderUtils = {
const currentUnixTimestampSec = new BigNumber(Date.now() / millisecondsInSecond).round();
return order.expirationTimeSeconds.lessThan(currentUnixTimestampSec.plus(secondsFromNow));
},
- calculateRemainingMakerAssetAmount(order: SignedOrder, remainingTakerAssetAmount: BigNumber): BigNumber {
- if (remainingTakerAssetAmount.eq(0)) {
- return constants.ZERO_AMOUNT;
- }
- return remainingTakerAssetAmount.times(order.makerAssetAmount).dividedToIntegerBy(order.takerAssetAmount);
- },
- calculateRemainingTakerAssetAmount(order: SignedOrder, remainingMakerAssetAmount: BigNumber): BigNumber {
- if (remainingMakerAssetAmount.eq(0)) {
- return constants.ZERO_AMOUNT;
- }
- return remainingMakerAssetAmount.times(order.takerAssetAmount).dividedToIntegerBy(order.makerAssetAmount);
- },
isOpenOrder(order: SignedOrder): boolean {
return order.takerAddress === constants.NULL_ADDRESS;
},
+ // given a remaining amount of takerAsset, calculate how much makerAsset is available
+ getRemainingMakerAmount(order: SignedOrder, remainingTakerAmount: BigNumber): BigNumber {
+ const remainingMakerAmount = remainingTakerAmount
+ .times(order.makerAssetAmount)
+ .div(order.takerAssetAmount)
+ .floor();
+ return remainingMakerAmount;
+ },
+ // given a desired amount of makerAsset, calculate how much takerAsset is required to fill that amount
+ getTakerFillAmount(order: SignedOrder, makerFillAmount: BigNumber): BigNumber {
+ // Round up because exchange rate favors Maker
+ const takerFillAmount = makerFillAmount
+ .mul(order.takerAssetAmount)
+ .div(order.makerAssetAmount)
+ .ceil();
+ return takerFillAmount;
+ },
+ // given a desired amount of takerAsset to fill, calculate how much fee is required by the taker to fill that amount
+ getTakerFeeAmount(order: SignedOrder, takerFillAmount: BigNumber): BigNumber {
+ // Round down because Taker fee rate favors Taker
+ const takerFeeAmount = takerFillAmount
+ .mul(order.takerFee)
+ .div(order.takerAssetAmount)
+ .floor();
+ return takerFeeAmount;
+ },
+ // given a desired amount of takerAsset to fill, calculate how much makerAsset will be filled
+ getMakerFillAmount(order: SignedOrder, takerFillAmount: BigNumber): BigNumber {
+ // Round down because exchange rate favors Maker
+ const makerFillAmount = takerFillAmount
+ .mul(order.makerAssetAmount)
+ .div(order.takerAssetAmount)
+ .floor();
+ return makerFillAmount;
+ },
+ // given a desired amount of makerAsset, calculate how much fee is required by the maker to fill that amount
+ getMakerFeeAmount(order: SignedOrder, makerFillAmount: BigNumber): BigNumber {
+ // Round down because Maker fee rate favors Maker
+ const makerFeeAmount = makerFillAmount
+ .mul(order.makerFee)
+ .div(order.makerAssetAmount)
+ .floor();
+ return makerFeeAmount;
+ },
+ // given a desired amount of ZRX from a fee order, calculate how much takerAsset is required to fill that amount
+ // also calculate how much ZRX needs to be bought in order fill the desired amount + takerFee
+ getTakerFillAmountForFeeOrder(order: SignedOrder, makerFillAmount: BigNumber): [BigNumber, BigNumber] {
+ // For each unit of TakerAsset we buy (MakerAsset - TakerFee)
+ const adjustedTakerFillAmount = makerFillAmount
+ .mul(order.takerAssetAmount)
+ .div(order.makerAssetAmount.sub(order.takerFee))
+ .ceil();
+ // The amount that we buy will be greater than makerFillAmount, since we buy some amount for fees.
+ const adjustedMakerFillAmount = orderUtils.getMakerFillAmount(order, adjustedTakerFillAmount);
+ return [adjustedTakerFillAmount, adjustedMakerFillAmount];
+ },
};
generated by cgit v1.2.3 (git 2.25.1) at 2024-07-03 02:59:58 +0800