diff options
Diffstat (limited to 'packages/asset-buyer/test/buy_quote_calculator_test.ts')
| -rw-r--r-- | packages/asset-buyer/test/buy_quote_calculator_test.ts | 143 |
1 files changed, 134 insertions, 9 deletions
diff --git a/packages/asset-buyer/test/buy_quote_calculator_test.ts b/packages/asset-buyer/test/buy_quote_calculator_test.ts index a30017b72..fdc17ef25 100644 --- a/packages/asset-buyer/test/buy_quote_calculator_test.ts +++ b/packages/asset-buyer/test/buy_quote_calculator_test.ts @@ -1,4 +1,5 @@ import { orderFactory } from '@0x/order-utils/lib/src/order_factory'; +import { SignedOrder } from '@0x/types'; import { BigNumber } from '@0x/utils'; import * as chai from 'chai'; import * as _ from 'lodash'; @@ -8,6 +9,7 @@ import { AssetBuyerError, OrdersAndFillableAmounts } from '../src/types'; import { buyQuoteCalculator } from '../src/utils/buy_quote_calculator'; import { chaiSetup } from './utils/chai_setup'; +import { testHelpers } from './utils/test_helpers'; chaiSetup.configure(); const expect = chai.expect; @@ -15,6 +17,10 @@ const expect = chai.expect; // tslint:disable:custom-no-magic-numbers describe('buyQuoteCalculator', () => { describe('#calculate', () => { + let firstOrder: SignedOrder; + let firstRemainingFillAmount: BigNumber; + let secondOrder: SignedOrder; + let secondRemainingFillAmount: BigNumber; let ordersAndFillableAmounts: OrdersAndFillableAmounts; let smallFeeOrderAndFillableAmount: OrdersAndFillableAmounts; let allFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts; @@ -24,18 +30,18 @@ describe('buyQuoteCalculator', () => { // 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({ + firstOrder = orderFactory.createSignedOrderFromPartial({ makerAssetAmount: new BigNumber(400), takerAssetAmount: new BigNumber(100), takerFee: new BigNumber(200), }); - const firstRemainingFillAmount = new BigNumber(200); - const secondOrder = orderFactory.createSignedOrderFromPartial({ + firstRemainingFillAmount = new BigNumber(200); + secondOrder = orderFactory.createSignedOrderFromPartial({ makerAssetAmount: new BigNumber(200), takerAssetAmount: new BigNumber(100), takerFee: new BigNumber(100), }); - const secondRemainingFillAmount = secondOrder.makerAssetAmount; + secondRemainingFillAmount = secondOrder.makerAssetAmount; ordersAndFillableAmounts = { orders: [firstOrder, secondOrder], remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount], @@ -61,18 +67,137 @@ describe('buyQuoteCalculator', () => { ], }; }); - 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 + describe('InsufficientLiquidityError', () => { + it('should throw if not enough maker asset liquidity (multiple orders)', () => { + // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units + const errorFunction = () => { + buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + new BigNumber(500), + 0, + 0, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(400)); + }); + it('should throw if not enough maker asset liquidity (multiple orders with 20% slippage)', () => { + // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units + const errorFunction = () => { + buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + new BigNumber(500), + 0, + 0.2, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(333)); + }); + it('should throw if not enough maker asset liquidity (multiple orders with 5% slippage)', () => { + // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units + const errorFunction = () => { + buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + new BigNumber(600), + 0, + 0.05, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(380)); + }); + it('should throw if not enough maker asset liquidity (partially filled order)', () => { + const firstOrderAndFillableAmount: OrdersAndFillableAmounts = { + orders: [firstOrder], + remainingFillableMakerAssetAmounts: [firstRemainingFillAmount], + }; + + const errorFunction = () => { + buyQuoteCalculator.calculate( + firstOrderAndFillableAmount, + smallFeeOrderAndFillableAmount, + new BigNumber(201), + 0, + 0, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(200)); + }); + it('should throw if not enough maker asset liquidity (completely fillable order)', () => { + const completelyFillableOrder = orderFactory.createSignedOrderFromPartial({ + makerAssetAmount: new BigNumber(123), + takerAssetAmount: new BigNumber(100), + takerFee: new BigNumber(200), + }); + const completelyFillableOrdersAndFillableAmount: OrdersAndFillableAmounts = { + orders: [completelyFillableOrder], + remainingFillableMakerAssetAmounts: [completelyFillableOrder.makerAssetAmount], + }; + const errorFunction = () => { + buyQuoteCalculator.calculate( + completelyFillableOrdersAndFillableAmount, + smallFeeOrderAndFillableAmount, + new BigNumber(124), + 0, + 0, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(123)); + }); + it('should throw with 1 amount available if no slippage', () => { + const smallOrder = orderFactory.createSignedOrderFromPartial({ + makerAssetAmount: new BigNumber(1), + takerAssetAmount: new BigNumber(1), + takerFee: new BigNumber(0), + }); + const errorFunction = () => { + buyQuoteCalculator.calculate( + { orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] }, + smallFeeOrderAndFillableAmount, + new BigNumber(600), + 0, + 0, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(1)); + }); + it('should throw without amount available to fill if amount rounds to 0', () => { + const smallOrder = orderFactory.createSignedOrderFromPartial({ + makerAssetAmount: new BigNumber(1), + takerAssetAmount: new BigNumber(1), + takerFee: new BigNumber(0), + }); + const errorFunction = () => { + buyQuoteCalculator.calculate( + { orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] }, + smallFeeOrderAndFillableAmount, + new BigNumber(600), + 0, + 0.2, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, undefined); + }); + }); + it('should not throw if order is fillable', () => { expect(() => buyQuoteCalculator.calculate( ordersAndFillableAmounts, - smallFeeOrderAndFillableAmount, - new BigNumber(500), + allFeeOrdersAndFillableAmounts, + new BigNumber(300), 0, 0, false, ), - ).to.throw(AssetBuyerError.InsufficientAssetLiquidity); + ).to.not.throw(); }); 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 |