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-rw-r--r--packages/asset-buyer/src/asset_buyer.ts324
-rw-r--r--packages/asset-buyer/src/constants.ts20
-rw-r--r--packages/asset-buyer/src/globals.d.ts6
-rw-r--r--packages/asset-buyer/src/index.ts17
-rw-r--r--packages/asset-buyer/src/order_providers/basic_order_provider.ts32
-rw-r--r--packages/asset-buyer/src/order_providers/standard_relayer_api_order_provider.ts79
-rw-r--r--packages/asset-buyer/src/standard_relayer_api_asset_buyer_manager.ts133
-rw-r--r--packages/asset-buyer/src/types.ts86
-rw-r--r--packages/asset-buyer/src/utils/assert.ts51
-rw-r--r--packages/asset-buyer/src/utils/asset_data_utils.ts26
-rw-r--r--packages/asset-buyer/src/utils/buy_quote_calculator.ts89
-rw-r--r--packages/asset-buyer/src/utils/order_provider_response_processor.ts202
-rw-r--r--packages/asset-buyer/src/utils/order_utils.ts30
13 files changed, 1095 insertions, 0 deletions
diff --git a/packages/asset-buyer/src/asset_buyer.ts b/packages/asset-buyer/src/asset_buyer.ts
new file mode 100644
index 000000000..409e34e74
--- /dev/null
+++ b/packages/asset-buyer/src/asset_buyer.ts
@@ -0,0 +1,324 @@
+import { ContractWrappers } from '@0xproject/contract-wrappers';
+import { schemas } from '@0xproject/json-schemas';
+import { SignedOrder } from '@0xproject/order-utils';
+import { BigNumber } from '@0xproject/utils';
+import { Web3Wrapper } from '@0xproject/web3-wrapper';
+import { Provider } from 'ethereum-types';
+import * as _ from 'lodash';
+
+import { constants } from './constants';
+import { BasicOrderProvider } from './order_providers/basic_order_provider';
+import { StandardRelayerAPIOrderProvider } from './order_providers/standard_relayer_api_order_provider';
+import {
+ AssetBuyerError,
+ AssetBuyerOrdersAndFillableAmounts,
+ BuyQuote,
+ BuyQuoteRequestOpts,
+ OrderProvider,
+ OrderProviderResponse,
+} from './types';
+
+import { assert } from './utils/assert';
+import { assetDataUtils } from './utils/asset_data_utils';
+import { buyQuoteCalculator } from './utils/buy_quote_calculator';
+import { orderProviderResponseProcessor } from './utils/order_provider_response_processor';
+
+export class AssetBuyer {
+ public readonly provider: Provider;
+ public readonly assetData: string;
+ public readonly orderProvider: OrderProvider;
+ public readonly networkId: number;
+ public readonly orderRefreshIntervalMs: number;
+ public readonly expiryBufferSeconds: number;
+ private readonly _contractWrappers: ContractWrappers;
+ private _lastRefreshTimeIfExists?: number;
+ private _currentOrdersAndFillableAmountsIfExists?: AssetBuyerOrdersAndFillableAmounts;
+ /**
+ * Instantiates a new AssetBuyer instance given existing liquidity in the form of orders and feeOrders.
+ * @param provider The Provider instance you would like to use for interacting with the Ethereum network.
+ * @param orders A non-empty array of objects that conform to SignedOrder. All orders must have the same makerAssetData and takerAssetData (WETH).
+ * @param feeOrders A array of objects that conform to SignedOrder. All orders must have the same makerAssetData (ZRX) and takerAssetData (WETH). Defaults to an empty array.
+ * @param networkId The ethereum network id. Defaults to 1 (mainnet).
+ * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. Defaults to 10000ms (10s).
+ * @param expiryBufferSeconds The number of seconds to add when calculating whether an order is expired or not. Defaults to 15s.
+ *
+ * @return An instance of AssetBuyer
+ */
+ public static getAssetBuyerForProvidedOrders(
+ provider: Provider,
+ orders: SignedOrder[],
+ feeOrders: SignedOrder[] = [],
+ networkId: number = constants.MAINNET_NETWORK_ID,
+ orderRefreshIntervalMs: number = constants.DEFAULT_ORDER_REFRESH_INTERVAL_MS,
+ expiryBufferSeconds: number = constants.DEFAULT_EXPIRY_BUFFER_SECONDS,
+ ): AssetBuyer {
+ assert.isWeb3Provider('provider', provider);
+ assert.doesConformToSchema('orders', orders, schemas.signedOrdersSchema);
+ assert.doesConformToSchema('feeOrders', feeOrders, schemas.signedOrdersSchema);
+ assert.isNumber('networkId', networkId);
+ assert.isNumber('orderRefreshIntervalMs', orderRefreshIntervalMs);
+ assert.areValidProvidedOrders('orders', orders);
+ assert.areValidProvidedOrders('feeOrders', feeOrders);
+ assert.assert(orders.length !== 0, `Expected orders to contain at least one order`);
+ const assetData = orders[0].makerAssetData;
+ const orderProvider = new BasicOrderProvider(_.concat(orders, feeOrders));
+ const assetBuyer = new AssetBuyer(
+ provider,
+ assetData,
+ orderProvider,
+ networkId,
+ orderRefreshIntervalMs,
+ expiryBufferSeconds,
+ );
+ return assetBuyer;
+ }
+ /**
+ * Instantiates a new AssetBuyer instance given the desired assetData and a [Standard Relayer API](https://github.com/0xProject/standard-relayer-api) endpoint
+ * @param provider The Provider instance you would like to use for interacting with the Ethereum network.
+ * @param assetData The assetData that identifies the desired asset to buy.
+ * @param sraApiUrl The standard relayer API base HTTP url you would like to source orders from.
+ * @param networkId The ethereum network id. Defaults to 1 (mainnet).
+ * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. Defaults to 10000ms (10s).
+ * @param expiryBufferSeconds The number of seconds to add when calculating whether an order is expired or not. Defaults to 15s.
+ *
+ * @return An instance of AssetBuyer
+ */
+ public static getAssetBuyerForAssetData(
+ provider: Provider,
+ assetData: string,
+ sraApiUrl: string,
+ networkId: number = constants.MAINNET_NETWORK_ID,
+ orderRefreshIntervalMs: number = constants.DEFAULT_ORDER_REFRESH_INTERVAL_MS,
+ expiryBufferSeconds: number = constants.DEFAULT_EXPIRY_BUFFER_SECONDS,
+ ): AssetBuyer {
+ assert.isWeb3Provider('provider', provider);
+ assert.isHexString('assetData', assetData);
+ assert.isWebUri('sraApiUrl', sraApiUrl);
+ assert.isNumber('networkId', networkId);
+ assert.isNumber('orderRefreshIntervalMs', orderRefreshIntervalMs);
+ const orderProvider = new StandardRelayerAPIOrderProvider(sraApiUrl);
+ const assetBuyer = new AssetBuyer(
+ provider,
+ assetData,
+ orderProvider,
+ networkId,
+ orderRefreshIntervalMs,
+ expiryBufferSeconds,
+ );
+ return assetBuyer;
+ }
+ /**
+ * Instantiates a new AssetBuyer instance given the desired ERC20 token address and a [Standard Relayer API](https://github.com/0xProject/standard-relayer-api) endpoint
+ * @param provider The Provider instance you would like to use for interacting with the Ethereum network.
+ * @param tokenAddress The ERC20 token address that identifies the desired asset to buy.
+ * @param sraApiUrl The standard relayer API base HTTP url you would like to source orders from.
+ * @param networkId The ethereum network id. Defaults to 1 (mainnet).
+ * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. Defaults to 10000ms (10s).
+ * @param expiryBufferSeconds The number of seconds to add when calculating whether an order is expired or not. Defaults to 15s.
+ * @return An instance of AssetBuyer
+ */
+ public static getAssetBuyerForERC20TokenAddress(
+ provider: Provider,
+ tokenAddress: string,
+ sraApiUrl: string,
+ networkId: number = constants.MAINNET_NETWORK_ID,
+ orderRefreshIntervalMs: number = constants.DEFAULT_ORDER_REFRESH_INTERVAL_MS,
+ expiryBufferSeconds: number = constants.DEFAULT_EXPIRY_BUFFER_SECONDS,
+ ): AssetBuyer {
+ assert.isWeb3Provider('provider', provider);
+ assert.isETHAddressHex('tokenAddress', tokenAddress);
+ assert.isWebUri('sraApiUrl', sraApiUrl);
+ assert.isNumber('networkId', networkId);
+ assert.isNumber('orderRefreshIntervalMs', orderRefreshIntervalMs);
+ const assetData = assetDataUtils.encodeERC20AssetData(tokenAddress);
+ const assetBuyer = AssetBuyer.getAssetBuyerForAssetData(
+ provider,
+ assetData,
+ sraApiUrl,
+ networkId,
+ orderRefreshIntervalMs,
+ expiryBufferSeconds,
+ );
+ return assetBuyer;
+ }
+ /**
+ * Instantiates a new AssetBuyer instance
+ * @param provider The Provider instance you would like to use for interacting with the Ethereum network.
+ * @param assetData The assetData of the desired asset to buy (for more info: https://github.com/0xProject/0x-protocol-specification/blob/master/v2/v2-specification.md).
+ * @param orderProvider An object that conforms to OrderProvider, see type for definition.
+ * @param networkId The ethereum network id. Defaults to 1 (mainnet).
+ * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. Defaults to 10000ms (10s).
+ * @param expiryBufferSeconds The number of seconds to add when calculating whether an order is expired or not. Defaults to 15s.
+ *
+ * @return An instance of AssetBuyer
+ */
+ constructor(
+ provider: Provider,
+ assetData: string,
+ orderProvider: OrderProvider,
+ networkId: number = constants.MAINNET_NETWORK_ID,
+ orderRefreshIntervalMs: number = constants.DEFAULT_ORDER_REFRESH_INTERVAL_MS,
+ expiryBufferSeconds: number = constants.DEFAULT_EXPIRY_BUFFER_SECONDS,
+ ) {
+ assert.isWeb3Provider('provider', provider);
+ assert.isString('assetData', assetData);
+ assert.isValidOrderProvider('orderProvider', orderProvider);
+ assert.isNumber('networkId', networkId);
+ assert.isNumber('orderRefreshIntervalMs', orderRefreshIntervalMs);
+ this.provider = provider;
+ this.assetData = assetData;
+ this.orderProvider = orderProvider;
+ this.networkId = networkId;
+ this.expiryBufferSeconds = expiryBufferSeconds;
+ this.orderRefreshIntervalMs = orderRefreshIntervalMs;
+ this._contractWrappers = new ContractWrappers(this.provider, {
+ networkId,
+ });
+ }
+ /**
+ * Get a `BuyQuote` containing all information relevant to fulfilling a buy.
+ * You can then pass the `BuyQuote` to `executeBuyQuoteAsync` to execute the buy.
+ * @param assetBuyAmount The amount of asset to buy.
+ * @param feePercentage The affiliate fee percentage. Defaults to 0.
+ * @param forceOrderRefresh If set to true, new orders and state will be fetched instead of waiting for
+ * the next orderRefreshIntervalMs. Defaults to false.
+ * @return An object that conforms to BuyQuote that satisfies the request. See type definition for more information.
+ */
+ public async getBuyQuoteAsync(assetBuyAmount: BigNumber, options: Partial<BuyQuoteRequestOpts>): Promise<BuyQuote> {
+ const { feePercentage, shouldForceOrderRefresh, slippagePercentage } = {
+ ...options,
+ ...constants.DEFAULT_BUY_QUOTE_REQUEST_OPTS,
+ };
+ assert.isBigNumber('assetBuyAmount', assetBuyAmount);
+ assert.isValidPercentage('feePercentage', feePercentage);
+ assert.isBoolean('shouldForceOrderRefresh', shouldForceOrderRefresh);
+ // we should refresh if:
+ // we do not have any orders OR
+ // we are forced to OR
+ // we have some last refresh time AND that time was sufficiently long ago
+ const shouldRefresh =
+ _.isUndefined(this._currentOrdersAndFillableAmountsIfExists) ||
+ shouldForceOrderRefresh ||
+ (!_.isUndefined(this._lastRefreshTimeIfExists) &&
+ this._lastRefreshTimeIfExists + this.orderRefreshIntervalMs < Date.now());
+ let ordersAndFillableAmounts: AssetBuyerOrdersAndFillableAmounts;
+ if (shouldRefresh) {
+ ordersAndFillableAmounts = await this._getLatestOrdersAndFillableAmountsAsync();
+ this._lastRefreshTimeIfExists = Date.now();
+ this._currentOrdersAndFillableAmountsIfExists = ordersAndFillableAmounts;
+ } else {
+ // it is safe to cast to AssetBuyerOrdersAndFillableAmounts because shouldRefresh catches the undefined case above
+ ordersAndFillableAmounts = this
+ ._currentOrdersAndFillableAmountsIfExists as AssetBuyerOrdersAndFillableAmounts;
+ }
+ const buyQuote = buyQuoteCalculator.calculate(
+ ordersAndFillableAmounts,
+ assetBuyAmount,
+ feePercentage,
+ slippagePercentage,
+ );
+ return buyQuote;
+ }
+ /**
+ * Given a BuyQuote and desired rate, attempt to execute the buy.
+ * @param buyQuote An object that conforms to BuyQuote. See type definition for more information.
+ * @param rate The desired rate to execute the buy at. Affects the amount of ETH sent with the transaction, defaults to buyQuote.maxRate.
+ * @param takerAddress The address to perform the buy. Defaults to the first available address from the provider.
+ * @param feeRecipient The address where affiliate fees are sent. Defaults to null address (0x000...000).
+ * @return A promise of the txHash.
+ */
+ public async executeBuyQuoteAsync(
+ buyQuote: BuyQuote,
+ rate?: BigNumber,
+ takerAddress?: string,
+ feeRecipient: string = constants.NULL_ADDRESS,
+ ): Promise<string> {
+ assert.isValidBuyQuote('buyQuote', buyQuote);
+ if (!_.isUndefined(rate)) {
+ assert.isBigNumber('rate', rate);
+ }
+ if (!_.isUndefined(takerAddress)) {
+ assert.isETHAddressHex('takerAddress', takerAddress);
+ }
+ assert.isETHAddressHex('feeRecipient', feeRecipient);
+ const { orders, feeOrders, feePercentage, assetBuyAmount, maxRate } = buyQuote;
+ // if no takerAddress is provided, try to get one from the provider
+ let finalTakerAddress;
+ if (!_.isUndefined(takerAddress)) {
+ finalTakerAddress = takerAddress;
+ } else {
+ const web3Wrapper = new Web3Wrapper(this.provider);
+ const availableAddresses = await web3Wrapper.getAvailableAddressesAsync();
+ const firstAvailableAddress = _.head(availableAddresses);
+ if (!_.isUndefined(firstAvailableAddress)) {
+ finalTakerAddress = firstAvailableAddress;
+ } else {
+ throw new Error(AssetBuyerError.NoAddressAvailable);
+ }
+ }
+ // if no rate is provided, default to the maxRate from buyQuote
+ const desiredRate = rate || maxRate;
+ // calculate how much eth is required to buy assetBuyAmount at the desired rate
+ const ethAmount = assetBuyAmount.dividedToIntegerBy(desiredRate);
+ const txHash = await this._contractWrappers.forwarder.marketBuyOrdersWithEthAsync(
+ orders,
+ assetBuyAmount,
+ finalTakerAddress,
+ ethAmount,
+ feeOrders,
+ feePercentage,
+ feeRecipient,
+ );
+ return txHash;
+ }
+ /**
+ * Ask the order Provider for orders and process them.
+ */
+ private async _getLatestOrdersAndFillableAmountsAsync(): Promise<AssetBuyerOrdersAndFillableAmounts> {
+ const etherTokenAssetData = this._getEtherTokenAssetDataOrThrow();
+ const zrxTokenAssetData = this._getZrxTokenAssetDataOrThrow();
+ // construct order Provider requests
+ const targetOrderProviderRequest = {
+ makerAssetData: this.assetData,
+ takerAssetData: etherTokenAssetData,
+ networkId: this.networkId,
+ };
+ const feeOrderProviderRequest = {
+ makerAssetData: zrxTokenAssetData,
+ takerAssetData: etherTokenAssetData,
+ networkId: this.networkId,
+ };
+ const requests = [targetOrderProviderRequest, feeOrderProviderRequest];
+ // fetch orders and possible fillable amounts
+ const [targetOrderProviderResponse, feeOrderProviderResponse] = await Promise.all(
+ _.map(requests, async request => this.orderProvider.getOrdersAsync(request)),
+ );
+ // since the order provider is an injected dependency, validate that it respects the API
+ // ie. it should only return maker/taker assetDatas that are specified
+ orderProviderResponseProcessor.throwIfInvalidResponse(targetOrderProviderResponse, targetOrderProviderRequest);
+ orderProviderResponseProcessor.throwIfInvalidResponse(feeOrderProviderResponse, feeOrderProviderRequest);
+ // process the responses into one object
+ const ordersAndFillableAmounts = await orderProviderResponseProcessor.processAsync(
+ targetOrderProviderResponse,
+ feeOrderProviderResponse,
+ zrxTokenAssetData,
+ this.expiryBufferSeconds,
+ this._contractWrappers.orderValidator,
+ );
+ return ordersAndFillableAmounts;
+ }
+ /**
+ * Get the assetData that represents the WETH token.
+ * Will throw if WETH does not exist for the current network.
+ */
+ private _getEtherTokenAssetDataOrThrow(): string {
+ return assetDataUtils.getEtherTokenAssetDataOrThrow(this._contractWrappers);
+ }
+ /**
+ * Get the assetData that represents the ZRX token.
+ * Will throw if ZRX does not exist for the current network.
+ */
+ private _getZrxTokenAssetDataOrThrow(): string {
+ return assetDataUtils.getZrxTokenAssetDataOrThrow(this._contractWrappers);
+ }
+}
diff --git a/packages/asset-buyer/src/constants.ts b/packages/asset-buyer/src/constants.ts
new file mode 100644
index 000000000..79b5d9052
--- /dev/null
+++ b/packages/asset-buyer/src/constants.ts
@@ -0,0 +1,20 @@
+import { BigNumber } from '@0xproject/utils';
+
+import { BuyQuoteRequestOpts } from './types';
+
+const DEFAULT_BUY_QUOTE_REQUEST_OPTS: BuyQuoteRequestOpts = {
+ feePercentage: 0,
+ shouldForceOrderRefresh: false,
+ slippagePercentage: 0.2, // 20% slippage protection
+};
+
+export const constants = {
+ ZERO_AMOUNT: new BigNumber(0),
+ NULL_ADDRESS: '0x0000000000000000000000000000000000000000',
+ MAINNET_NETWORK_ID: 1,
+ DEFAULT_ORDER_REFRESH_INTERVAL_MS: 10000, // 10 seconds
+ ETHER_TOKEN_DECIMALS: 18,
+ DEFAULT_BUY_QUOTE_REQUEST_OPTS,
+ MAX_PER_PAGE: 10000,
+ DEFAULT_EXPIRY_BUFFER_SECONDS: 15,
+};
diff --git a/packages/asset-buyer/src/globals.d.ts b/packages/asset-buyer/src/globals.d.ts
new file mode 100644
index 000000000..94e63a32d
--- /dev/null
+++ b/packages/asset-buyer/src/globals.d.ts
@@ -0,0 +1,6 @@
+declare module '*.json' {
+ const json: any;
+ /* tslint:disable */
+ export default json;
+ /* tslint:enable */
+}
diff --git a/packages/asset-buyer/src/index.ts b/packages/asset-buyer/src/index.ts
new file mode 100644
index 000000000..8ef529ac0
--- /dev/null
+++ b/packages/asset-buyer/src/index.ts
@@ -0,0 +1,17 @@
+export { Provider } from 'ethereum-types';
+export { SignedOrder } from '@0xproject/types';
+export { BigNumber } from '@0xproject/utils';
+
+export { AssetBuyer } from './asset_buyer';
+export { BasicOrderProvider } from './order_providers/basic_order_provider';
+export { StandardRelayerAPIOrderProvider } from './order_providers/standard_relayer_api_order_provider';
+export { StandardRelayerAPIAssetBuyerManager } from './standard_relayer_api_asset_buyer_manager';
+export {
+ AssetBuyerError,
+ BuyQuote,
+ OrderProvider,
+ OrderProviderRequest,
+ OrderProviderResponse,
+ SignedOrderWithRemainingFillableMakerAssetAmount,
+ StandardRelayerApiAssetBuyerManagerError,
+} from './types';
diff --git a/packages/asset-buyer/src/order_providers/basic_order_provider.ts b/packages/asset-buyer/src/order_providers/basic_order_provider.ts
new file mode 100644
index 000000000..9bb2d90ac
--- /dev/null
+++ b/packages/asset-buyer/src/order_providers/basic_order_provider.ts
@@ -0,0 +1,32 @@
+import { schemas } from '@0xproject/json-schemas';
+import { SignedOrder } from '@0xproject/types';
+import * as _ from 'lodash';
+
+import { OrderProvider, OrderProviderRequest, OrderProviderResponse } from '../types';
+import { assert } from '../utils/assert';
+
+export class BasicOrderProvider implements OrderProvider {
+ public readonly orders: SignedOrder[];
+ /**
+ * Instantiates a new BasicOrderProvider instance
+ * @param orders An array of objects that conform to SignedOrder to fetch from.
+ * @return An instance of BasicOrderProvider
+ */
+ constructor(orders: SignedOrder[]) {
+ assert.doesConformToSchema('orders', orders, schemas.signedOrdersSchema);
+ this.orders = orders;
+ }
+ /**
+ * Given an object that conforms to OrderFetcherRequest, return the corresponding OrderProviderResponse that satisfies the request.
+ * @param orderProviderRequest An instance of OrderFetcherRequest. See type for more information.
+ * @return An instance of OrderProviderResponse. See type for more information.
+ */
+ public async getOrdersAsync(orderProviderRequest: OrderProviderRequest): Promise<OrderProviderResponse> {
+ assert.isValidOrderProviderRequest('orderProviderRequest', orderProviderRequest);
+ const { makerAssetData, takerAssetData } = orderProviderRequest;
+ const orders = _.filter(this.orders, order => {
+ return order.makerAssetData === makerAssetData && order.takerAssetData === takerAssetData;
+ });
+ return { orders };
+ }
+}
diff --git a/packages/asset-buyer/src/order_providers/standard_relayer_api_order_provider.ts b/packages/asset-buyer/src/order_providers/standard_relayer_api_order_provider.ts
new file mode 100644
index 000000000..31942c25b
--- /dev/null
+++ b/packages/asset-buyer/src/order_providers/standard_relayer_api_order_provider.ts
@@ -0,0 +1,79 @@
+import { HttpClient } from '@0xproject/connect';
+import { APIOrder, OrderbookResponse } from '@0xproject/types';
+import * as _ from 'lodash';
+
+import {
+ AssetBuyerError,
+ OrderProvider,
+ OrderProviderRequest,
+ OrderProviderResponse,
+ SignedOrderWithRemainingFillableMakerAssetAmount,
+} from '../types';
+import { assert } from '../utils/assert';
+import { orderUtils } from '../utils/order_utils';
+
+export class StandardRelayerAPIOrderProvider implements OrderProvider {
+ public readonly apiUrl: string;
+ private readonly _sraClient: HttpClient;
+ /**
+ * Given an array of APIOrder objects from a standard relayer api, return an array
+ * of SignedOrderWithRemainingFillableMakerAssetAmounts
+ */
+ private static _getSignedOrderWithRemainingFillableMakerAssetAmountFromApi(
+ apiOrders: APIOrder[],
+ ): SignedOrderWithRemainingFillableMakerAssetAmount[] {
+ const result = _.map(apiOrders, apiOrder => {
+ const { order, metaData } = apiOrder;
+ // calculate remainingFillableMakerAssetAmount from api metadata, else assume order is completely fillable
+ const remainingFillableTakerAssetAmount = _.get(
+ metaData,
+ 'remainingTakerAssetAmount',
+ order.takerAssetAmount,
+ );
+ const remainingFillableMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount(
+ order,
+ remainingFillableTakerAssetAmount,
+ );
+ const newOrder = {
+ ...order,
+ remainingFillableMakerAssetAmount,
+ };
+ return newOrder;
+ });
+ return result;
+ }
+ /**
+ * Instantiates a new StandardRelayerAPIOrderProvider instance
+ * @param apiUrl The standard relayer API base HTTP url you would like to source orders from.
+ * @return An instance of StandardRelayerAPIOrderProvider
+ */
+ constructor(apiUrl: string) {
+ assert.isWebUri('apiUrl', apiUrl);
+ this.apiUrl = apiUrl;
+ this._sraClient = new HttpClient(apiUrl);
+ }
+ /**
+ * Given an object that conforms to OrderProviderRequest, return the corresponding OrderProviderResponse that satisfies the request.
+ * @param orderProviderRequest An instance of OrderProviderRequest. See type for more information.
+ * @return An instance of OrderProviderResponse. See type for more information.
+ */
+ public async getOrdersAsync(orderProviderRequest: OrderProviderRequest): Promise<OrderProviderResponse> {
+ assert.isValidOrderProviderRequest('orderProviderRequest', orderProviderRequest);
+ const { makerAssetData, takerAssetData, networkId } = orderProviderRequest;
+ const orderbookRequest = { baseAssetData: makerAssetData, quoteAssetData: takerAssetData };
+ const requestOpts = { networkId };
+ let orderbook: OrderbookResponse;
+ try {
+ orderbook = await this._sraClient.getOrderbookAsync(orderbookRequest, requestOpts);
+ } catch (err) {
+ throw new Error(AssetBuyerError.StandardRelayerApiError);
+ }
+ const apiOrders = orderbook.asks.records;
+ const orders = StandardRelayerAPIOrderProvider._getSignedOrderWithRemainingFillableMakerAssetAmountFromApi(
+ apiOrders,
+ );
+ return {
+ orders,
+ };
+ }
+}
diff --git a/packages/asset-buyer/src/standard_relayer_api_asset_buyer_manager.ts b/packages/asset-buyer/src/standard_relayer_api_asset_buyer_manager.ts
new file mode 100644
index 000000000..947c738a1
--- /dev/null
+++ b/packages/asset-buyer/src/standard_relayer_api_asset_buyer_manager.ts
@@ -0,0 +1,133 @@
+import { HttpClient } from '@0xproject/connect';
+import { ContractWrappers } from '@0xproject/contract-wrappers';
+import { ObjectMap } from '@0xproject/types';
+import { Provider } from 'ethereum-types';
+import * as _ from 'lodash';
+
+import { AssetBuyer } from './asset_buyer';
+import { constants } from './constants';
+import { assert } from './utils/assert';
+import { assetDataUtils } from './utils/asset_data_utils';
+
+import { OrderProvider, StandardRelayerApiAssetBuyerManagerError } from './types';
+
+export class StandardRelayerAPIAssetBuyerManager {
+ // Map of assetData to AssetBuyer for that assetData
+ private readonly _assetBuyerMap: ObjectMap<AssetBuyer>;
+ /**
+ * Returns an array of all assetDatas available at the provided sraApiUrl
+ * @param sraApiUrl The standard relayer API base HTTP url you would like to source orders from.
+ * @param pairedWithAssetData Optional filter argument to return assetDatas that only pair with this assetData value.
+ *
+ * @return An array of all assetDatas available at the provider sraApiUrl
+ */
+ public static async getAllAvailableAssetDatasAsync(
+ sraApiUrl: string,
+ pairedWithAssetData?: string,
+ ): Promise<string[]> {
+ const client = new HttpClient(sraApiUrl);
+ const params = {
+ assetDataA: pairedWithAssetData,
+ perPage: constants.MAX_PER_PAGE,
+ };
+ const assetPairsResponse = await client.getAssetPairsAsync(params);
+ return _.uniq(_.map(assetPairsResponse.records, pairsItem => pairsItem.assetDataB.assetData));
+ }
+ /**
+ * Instantiates a new StandardRelayerAPIAssetBuyerManager instance with all available assetDatas at the provided sraApiUrl
+ * @param provider The Provider instance you would like to use for interacting with the Ethereum network.
+ * @param sraApiUrl The standard relayer API base HTTP url you would like to source orders from.
+ * @param orderProvider An object that conforms to OrderProvider, see type for definition.
+ * @param networkId The ethereum network id. Defaults to 1 (mainnet).
+ * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states.
+ * Defaults to 10000ms (10s).
+ * @return An promise of an instance of StandardRelayerAPIAssetBuyerManager
+ */
+ public static async getAssetBuyerManagerWithAllAvailableAssetDatasAsync(
+ provider: Provider,
+ sraApiUrl: string,
+ orderProvider: OrderProvider,
+ networkId: number = constants.MAINNET_NETWORK_ID,
+ orderRefreshIntervalMs?: number,
+ ): Promise<StandardRelayerAPIAssetBuyerManager> {
+ const contractWrappers = new ContractWrappers(provider, { networkId });
+ const etherTokenAssetData = assetDataUtils.getEtherTokenAssetDataOrThrow(contractWrappers);
+ const assetDatas = await StandardRelayerAPIAssetBuyerManager.getAllAvailableAssetDatasAsync(
+ sraApiUrl,
+ etherTokenAssetData,
+ );
+ return new StandardRelayerAPIAssetBuyerManager(
+ provider,
+ assetDatas,
+ orderProvider,
+ networkId,
+ orderRefreshIntervalMs,
+ );
+ }
+ /**
+ * Instantiates a new StandardRelayerAPIAssetBuyerManager instance
+ * @param provider The Provider instance you would like to use for interacting with the Ethereum network.
+ * @param assetDatas The assetDatas of the desired assets to buy (for more info: https://github.com/0xProject/0x-protocol-specification/blob/master/v2/v2-specification.md).
+ * @param orderProvider An object that conforms to OrderProvider, see type for definition.
+ * @param networkId The ethereum network id. Defaults to 1 (mainnet).
+ * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states.
+ * Defaults to 10000ms (10s).
+ * @return An instance of StandardRelayerAPIAssetBuyerManager
+ */
+ constructor(
+ provider: Provider,
+ assetDatas: string[],
+ orderProvider: OrderProvider,
+ networkId?: number,
+ orderRefreshIntervalMs?: number,
+ ) {
+ assert.assert(assetDatas.length > 0, `Expected 'assetDatas' to be a non-empty array.`);
+ this._assetBuyerMap = _.reduce(
+ assetDatas,
+ (accAssetBuyerMap: ObjectMap<AssetBuyer>, assetData: string) => {
+ accAssetBuyerMap[assetData] = new AssetBuyer(
+ provider,
+ assetData,
+ orderProvider,
+ networkId,
+ orderRefreshIntervalMs,
+ );
+ return accAssetBuyerMap;
+ },
+ {},
+ );
+ }
+ /**
+ * Get an AssetBuyer for the provided assetData
+ * @param assetData The desired assetData.
+ *
+ * @return An instance of AssetBuyer
+ */
+ public getAssetBuyerFromAssetData(assetData: string): AssetBuyer {
+ const assetBuyer = this._assetBuyerMap[assetData];
+ if (_.isUndefined(assetBuyer)) {
+ throw new Error(
+ `${StandardRelayerApiAssetBuyerManagerError.AssetBuyerNotFound}: For assetData ${assetData}`,
+ );
+ }
+ return assetBuyer;
+ }
+ /**
+ * Get an AssetBuyer for the provided ERC20 tokenAddress
+ * @param tokenAddress The desired tokenAddress.
+ *
+ * @return An instance of AssetBuyer
+ */
+ public getAssetBuyerFromERC20TokenAddress(tokenAddress: string): AssetBuyer {
+ const assetData = assetDataUtils.encodeERC20AssetData(tokenAddress);
+ return this.getAssetBuyerFromAssetData(assetData);
+ }
+ /**
+ * Get a list of all the assetDatas that the instance supports
+ *
+ * @return An array of assetData strings
+ */
+ public getAssetDatas(): string[] {
+ return _.keys(this._assetBuyerMap);
+ }
+}
diff --git a/packages/asset-buyer/src/types.ts b/packages/asset-buyer/src/types.ts
new file mode 100644
index 000000000..ee6858525
--- /dev/null
+++ b/packages/asset-buyer/src/types.ts
@@ -0,0 +1,86 @@
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+
+/**
+ * makerAssetData: The assetData representing the desired makerAsset.
+ * takerAssetData: The assetData representing the desired takerAsset.
+ * networkId: The networkId that the desired orders should be for.
+ */
+export interface OrderProviderRequest {
+ makerAssetData: string;
+ takerAssetData: string;
+ networkId: number;
+}
+
+/**
+ * orders: An array of orders with optional remaining fillable makerAsset amounts. See type for more info.
+ */
+export interface OrderProviderResponse {
+ orders: SignedOrderWithRemainingFillableMakerAssetAmount[];
+}
+
+/**
+ * A normal SignedOrder with one extra optional property `remainingFillableMakerAssetAmount`
+ * remainingFillableMakerAssetAmount: The amount of the makerAsset that is available to be filled
+ */
+export interface SignedOrderWithRemainingFillableMakerAssetAmount extends SignedOrder {
+ remainingFillableMakerAssetAmount?: BigNumber;
+}
+/**
+ * Given an OrderProviderRequest, get an OrderProviderResponse.
+ */
+export interface OrderProvider {
+ getOrdersAsync: (orderProviderRequest: OrderProviderRequest) => Promise<OrderProviderResponse>;
+}
+
+/**
+ * assetData: String that represents a specific asset (for more info: https://github.com/0xProject/0x-protocol-specification/blob/master/v2/v2-specification.md).
+ * orders: An array of objects conforming to SignedOrder. These orders can be used to cover the requested assetBuyAmount plus slippage.
+ * feeOrders: An array of objects conforming to SignedOrder. These orders can be used to cover the fees for the orders param above.
+ * minRate: Min rate that needs to be paid in order to execute the buy.
+ * maxRate: Max rate that can be paid in order to execute the buy.
+ * assetBuyAmount: The amount of asset to buy.
+ * feePercentage: Optional affiliate fee percentage used to calculate the eth amounts above.
+ */
+export interface BuyQuote {
+ assetData: string;
+ orders: SignedOrder[];
+ feeOrders: SignedOrder[];
+ minRate: BigNumber;
+ maxRate: BigNumber;
+ assetBuyAmount: BigNumber;
+ feePercentage?: number;
+}
+
+export interface BuyQuoteRequestOpts {
+ feePercentage: number;
+ shouldForceOrderRefresh: boolean;
+ slippagePercentage: number;
+}
+
+/**
+ * Possible errors thrown by an AssetBuyer instance or associated static methods.
+ */
+export enum AssetBuyerError {
+ NoEtherTokenContractFound = 'NO_ETHER_TOKEN_CONTRACT_FOUND',
+ NoZrxTokenContractFound = 'NO_ZRX_TOKEN_CONTRACT_FOUND',
+ StandardRelayerApiError = 'STANDARD_RELAYER_API_ERROR',
+ InsufficientAssetLiquidity = 'INSUFFICIENT_ASSET_LIQUIDITY',
+ InsufficientZrxLiquidity = 'INSUFFICIENT_ZRX_LIQUIDITY',
+ NoAddressAvailable = 'NO_ADDRESS_AVAILABLE',
+ InvalidOrderProviderResponse = 'INVALID_ORDER_PROVIDER_RESPONSE',
+}
+
+/**
+ * Possible errors thrown by an StandardRelayerApiAssetBuyerManager instance or associated static methods.
+ */
+export enum StandardRelayerApiAssetBuyerManagerError {
+ AssetBuyerNotFound = 'ASSET_BUYER_NOT_FOUND',
+}
+
+export interface AssetBuyerOrdersAndFillableAmounts {
+ orders: SignedOrder[];
+ feeOrders: SignedOrder[];
+ remainingFillableMakerAssetAmounts: BigNumber[];
+ remainingFillableFeeAmounts: BigNumber[];
+}
diff --git a/packages/asset-buyer/src/utils/assert.ts b/packages/asset-buyer/src/utils/assert.ts
new file mode 100644
index 000000000..04f425237
--- /dev/null
+++ b/packages/asset-buyer/src/utils/assert.ts
@@ -0,0 +1,51 @@
+import { assert as sharedAssert } from '@0xproject/assert';
+import { schemas } from '@0xproject/json-schemas';
+import { SignedOrder } from '@0xproject/types';
+import * as _ from 'lodash';
+
+import { BuyQuote, OrderProvider, OrderProviderRequest } from '../types';
+
+export const assert = {
+ ...sharedAssert,
+ isValidBuyQuote(variableName: string, buyQuote: BuyQuote): void {
+ sharedAssert.isHexString(`${variableName}.assetData`, buyQuote.assetData);
+ sharedAssert.doesConformToSchema(`${variableName}.orders`, buyQuote.orders, schemas.signedOrdersSchema);
+ sharedAssert.doesConformToSchema(`${variableName}.feeOrders`, buyQuote.feeOrders, schemas.signedOrdersSchema);
+ sharedAssert.isBigNumber(`${variableName}.minRate`, buyQuote.minRate);
+ sharedAssert.isBigNumber(`${variableName}.maxRate`, buyQuote.maxRate);
+ sharedAssert.isBigNumber(`${variableName}.assetBuyAmount`, buyQuote.assetBuyAmount);
+ if (!_.isUndefined(buyQuote.feePercentage)) {
+ sharedAssert.isNumber(`${variableName}.feePercentage`, buyQuote.feePercentage);
+ }
+ },
+ isValidOrderProvider(variableName: string, orderFetcher: OrderProvider): void {
+ sharedAssert.isFunction(`${variableName}.getOrdersAsync`, orderFetcher.getOrdersAsync);
+ },
+ isValidOrderProviderRequest(variableName: string, orderFetcherRequest: OrderProviderRequest): void {
+ sharedAssert.isHexString(`${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);
+ assert.assert(
+ percentage >= 0 && percentage <= 1,
+ `Expected ${variableName} to be between 0 and 1, but is ${percentage}`,
+ );
+ },
+};
diff --git a/packages/asset-buyer/src/utils/asset_data_utils.ts b/packages/asset-buyer/src/utils/asset_data_utils.ts
new file mode 100644
index 000000000..d05ff2504
--- /dev/null
+++ b/packages/asset-buyer/src/utils/asset_data_utils.ts
@@ -0,0 +1,26 @@
+import { ContractWrappers } from '@0xproject/contract-wrappers';
+import { assetDataUtils as sharedAssetDataUtils } from '@0xproject/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);
+ 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
new file mode 100644
index 000000000..9946924ef
--- /dev/null
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -0,0 +1,89 @@
+import { marketUtils } from '@0xproject/order-utils';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { constants } from '../constants';
+import { AssetBuyerError, AssetBuyerOrdersAndFillableAmounts, BuyQuote } from '../types';
+
+import { orderUtils } from './order_utils';
+
+// Calculates a buy quote for orders that have WETH as the takerAsset
+export const buyQuoteCalculator = {
+ calculate(
+ ordersAndFillableAmounts: AssetBuyerOrdersAndFillableAmounts,
+ assetBuyAmount: BigNumber,
+ feePercentage: number,
+ slippagePercentage: number,
+ ): BuyQuote {
+ const {
+ orders,
+ feeOrders,
+ remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts,
+ } = ordersAndFillableAmounts;
+ const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
+ const {
+ resultOrders,
+ remainingFillAmount,
+ ordersRemainingFillableMakerAssetAmounts,
+ } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(orders, assetBuyAmount, {
+ remainingFillableMakerAssetAmounts,
+ slippageBufferAmount,
+ });
+ if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
+ throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
+ }
+ // 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,
+ remainingFillableFeeAmounts,
+ });
+ if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
+ throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
+ }
+ const assetData = orders[0].makerAssetData;
+
+ // calculate minRate and maxRate by calculating min and max eth usage and then dividing into
+ // assetBuyAmount to get assetData / WETH, needs to take into account feePercentage as well
+ // minEthAmount = (sum(takerAssetAmount[i]) until sum(makerAssetAmount[i]) >= assetBuyAmount ) * (1 + feePercentage)
+ // maxEthAmount = (sum(takerAssetAmount[i]) until i == orders.length) * (1 + feePercentage)
+ const allOrders = _.concat(resultOrders, resultFeeOrders);
+ const allRemainingAmounts = _.concat(
+ ordersRemainingFillableMakerAssetAmounts,
+ feeOrdersRemainingFillableMakerAssetAmounts,
+ );
+ let minEthAmount = constants.ZERO_AMOUNT;
+ let maxEthAmount = constants.ZERO_AMOUNT;
+ let cumulativeMakerAmount = constants.ZERO_AMOUNT;
+ _.forEach(allOrders, (order, index) => {
+ const remainingFillableMakerAssetAmount = allRemainingAmounts[index];
+ const claimableTakerAssetAmount = orderUtils.calculateRemainingTakerAssetAmount(
+ order,
+ remainingFillableMakerAssetAmount,
+ );
+ // taker asset is always assumed to be WETH
+ maxEthAmount = maxEthAmount.plus(claimableTakerAssetAmount);
+ if (cumulativeMakerAmount.lessThan(assetBuyAmount)) {
+ minEthAmount = minEthAmount.plus(claimableTakerAssetAmount);
+ }
+ cumulativeMakerAmount = cumulativeMakerAmount.plus(remainingFillableMakerAssetAmount);
+ });
+ const feeAdjustedMinRate = minEthAmount.mul(feePercentage + 1).div(assetBuyAmount);
+ const feeAdjustedMaxRate = minEthAmount.mul(feePercentage + 1).div(assetBuyAmount);
+ return {
+ assetData,
+ orders: resultOrders,
+ feeOrders: resultFeeOrders,
+ minRate: feeAdjustedMinRate,
+ maxRate: feeAdjustedMaxRate,
+ assetBuyAmount,
+ feePercentage,
+ };
+ },
+};
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;
+}
diff --git a/packages/asset-buyer/src/utils/order_utils.ts b/packages/asset-buyer/src/utils/order_utils.ts
new file mode 100644
index 000000000..62166eb76
--- /dev/null
+++ b/packages/asset-buyer/src/utils/order_utils.ts
@@ -0,0 +1,30 @@
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+
+import { constants } from '../constants';
+
+export const orderUtils = {
+ isOrderExpired(order: SignedOrder): boolean {
+ return orderUtils.willOrderExpire(order, 0);
+ },
+ willOrderExpire(order: SignedOrder, secondsFromNow: number): boolean {
+ const millisecondsInSecond = 1000;
+ const currentUnixTimestampSec = new BigNumber(Date.now() / millisecondsInSecond).round();
+ return order.expirationTimeSeconds.lessThan(currentUnixTimestampSec.minus(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;
+ },
+};
generated by cgit v1.2.3 (git 2.25.1) at 2024-11-02 09:57:16 +0800