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Diffstat (limited to 'packages/asset-buyer/test/buy_quote_calculator_test.ts')
| -rw-r--r-- | packages/asset-buyer/test/buy_quote_calculator_test.ts | 160 |
1 files changed, 160 insertions, 0 deletions
diff --git a/packages/asset-buyer/test/buy_quote_calculator_test.ts b/packages/asset-buyer/test/buy_quote_calculator_test.ts new file mode 100644 index 000000000..b987b45a8 --- /dev/null +++ b/packages/asset-buyer/test/buy_quote_calculator_test.ts @@ -0,0 +1,160 @@ +import { orderFactory } from '@0xproject/order-utils/lib/src/order_factory'; +import { BigNumber } from '@0xproject/utils'; +import * as chai from 'chai'; +import * as _ from 'lodash'; +import 'mocha'; + +import { AssetBuyerError, OrdersAndFillableAmounts } from '../src/types'; +import { buyQuoteCalculator } from '../src/utils/buy_quote_calculator'; + +import { chaiSetup } from './utils/chai_setup'; + +chaiSetup.configure(); +const expect = chai.expect; + +// tslint:disable:custom-no-magic-numbers +describe('buyQuoteCalculator', () => { + describe('#calculate', () => { + let ordersAndFillableAmounts: OrdersAndFillableAmounts; + let smallFeeOrderAndFillableAmount: OrdersAndFillableAmounts; + let allFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts; + beforeEach(() => { + // generate two orders for our desired maker asset + // the first order has a rate of 4 makerAsset / WETH with a takerFee of 200 ZRX and has only 200 / 400 makerAsset units left to fill (half fillable) + // the second order has a rate of 2 makerAsset / WETH with a takerFee of 100 ZRX and has 200 / 200 makerAsset units left to fill (completely fillable) + // generate one order for fees + // the fee order has a rate of 1 ZRX / WETH with no taker fee and has 100 ZRX left to fill (completely fillable) + const firstOrder = orderFactory.createSignedOrderFromPartial({ + makerAssetAmount: new BigNumber(400), + takerAssetAmount: new BigNumber(100), + takerFee: new BigNumber(200), + }); + const firstRemainingFillAmount = new BigNumber(200); + const secondOrder = orderFactory.createSignedOrderFromPartial({ + makerAssetAmount: new BigNumber(200), + takerAssetAmount: new BigNumber(100), + takerFee: new BigNumber(100), + }); + const secondRemainingFillAmount = secondOrder.makerAssetAmount; + ordersAndFillableAmounts = { + orders: [firstOrder, secondOrder], + remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount], + }; + const smallFeeOrder = orderFactory.createSignedOrderFromPartial({ + makerAssetAmount: new BigNumber(100), + takerAssetAmount: new BigNumber(100), + }); + smallFeeOrderAndFillableAmount = { + orders: [smallFeeOrder], + remainingFillableMakerAssetAmounts: [smallFeeOrder.makerAssetAmount], + }; + const largeFeeOrder = orderFactory.createSignedOrderFromPartial({ + makerAssetAmount: new BigNumber(110), + takerAssetAmount: new BigNumber(200), + takerFee: new BigNumber(10), + }); + allFeeOrdersAndFillableAmounts = { + orders: [smallFeeOrder, largeFeeOrder], + remainingFillableMakerAssetAmounts: [ + smallFeeOrder.makerAssetAmount, + largeFeeOrder.makerAssetAmount.minus(largeFeeOrder.takerFee), + ], + }; + }); + it('should throw if not enough maker asset liquidity', () => { + // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units + expect(() => + buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + new BigNumber(500), + 0, + 0, + ), + ).to.throw(AssetBuyerError.InsufficientAssetLiquidity); + }); + it('should throw if not enough ZRX liquidity', () => { + // we request 300 makerAsset units but the ZRX order is only enough to fill the first order, which only has 200 makerAssetUnits available + expect(() => + buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + new BigNumber(300), + 0, + 0, + ), + ).to.throw(AssetBuyerError.InsufficientZrxLiquidity); + }); + it('calculates a correct buyQuote with no slippage', () => { + // we request 200 makerAsset units which can be filled using the first order + // the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder + const assetBuyAmount = new BigNumber(200); + const feePercentage = 0.02; + const slippagePercentage = 0; + const buyQuote = buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + assetBuyAmount, + feePercentage, + slippagePercentage, + ); + // test if orders are correct + expect(buyQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]); + expect(buyQuote.feeOrders).to.deep.equal([smallFeeOrderAndFillableAmount.orders[0]]); + // test if rates are correct + // 50 eth to fill the first order + 100 eth for fees + const expectedFillEthAmount = new BigNumber(150); + const expectedTotalEthAmount = expectedFillEthAmount.mul(feePercentage + 1); + const expectedFeeEthAmount = expectedTotalEthAmount.minus(expectedFillEthAmount); + const expectedEthPerAssetPrice = expectedFillEthAmount.div(assetBuyAmount); + expect(buyQuote.bestCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount); + expect(buyQuote.bestCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount); + expect(buyQuote.bestCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedEthPerAssetPrice); + // because we have no slippage protection, minRate is equal to maxRate + expect(buyQuote.worstCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount); + expect(buyQuote.worstCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount); + expect(buyQuote.worstCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedEthPerAssetPrice); + // test if feePercentage gets passed through + expect(buyQuote.feePercentage).to.equal(feePercentage); + }); + it('calculates a correct buyQuote with with slippage', () => { + // we request 200 makerAsset units which can be filled using the first order + // however with 50% slippage we are protecting the buy with 100 extra makerAssetUnits + // so we need enough orders to fill 300 makerAssetUnits + // 300 makerAssetUnits can only be filled using both orders + // the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder + const assetBuyAmount = new BigNumber(200); + const feePercentage = 0.02; + const slippagePercentage = 0.5; + const buyQuote = buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + allFeeOrdersAndFillableAmounts, + assetBuyAmount, + feePercentage, + slippagePercentage, + ); + // test if orders are correct + expect(buyQuote.orders).to.deep.equal(ordersAndFillableAmounts.orders); + expect(buyQuote.feeOrders).to.deep.equal(allFeeOrdersAndFillableAmounts.orders); + // test if rates are correct + // 50 eth to fill the first order + 100 eth for fees + const expectedFillEthAmount = new BigNumber(150); + const expectedTotalEthAmount = expectedFillEthAmount.mul(feePercentage + 1); + const expectedFeeEthAmount = expectedTotalEthAmount.minus(expectedFillEthAmount); + const expectedEthPerAssetPrice = expectedFillEthAmount.div(assetBuyAmount); + expect(buyQuote.bestCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount); + expect(buyQuote.bestCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount); + expect(buyQuote.bestCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedEthPerAssetPrice); + // 100 eth to fill the first order + 200 eth for fees + const expectedWorstFillEthAmount = new BigNumber(300); + const expectedWorstTotalEthAmount = expectedWorstFillEthAmount.mul(feePercentage + 1); + const expectedWorstFeeEthAmount = expectedWorstTotalEthAmount.minus(expectedWorstFillEthAmount); + const expectedWorstEthPerAssetPrice = expectedWorstFillEthAmount.div(assetBuyAmount); + expect(buyQuote.worstCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedWorstFeeEthAmount); + expect(buyQuote.worstCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedWorstTotalEthAmount); + expect(buyQuote.worstCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedWorstEthPerAssetPrice); + // test if feePercentage gets passed through + expect(buyQuote.feePercentage).to.equal(feePercentage); + }); + }); +}); |