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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 | 295 |
1 files changed, 0 insertions, 295 deletions
diff --git a/packages/asset-buyer/test/buy_quote_calculator_test.ts b/packages/asset-buyer/test/buy_quote_calculator_test.ts deleted file mode 100644 index 177fd8fe6..000000000 --- a/packages/asset-buyer/test/buy_quote_calculator_test.ts +++ /dev/null @@ -1,295 +0,0 @@ -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'; -import 'mocha'; - -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; - -// 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; - 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) - firstOrder = orderFactory.createSignedOrderFromPartial({ - makerAssetAmount: new BigNumber(400), - takerAssetAmount: new BigNumber(100), - takerFee: new BigNumber(200), - }); - firstRemainingFillAmount = new BigNumber(200); - secondOrder = orderFactory.createSignedOrderFromPartial({ - makerAssetAmount: new BigNumber(200), - takerAssetAmount: new BigNumber(100), - takerFee: new BigNumber(100), - }); - 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(113), - takerAssetAmount: new BigNumber(200), - takerFee: new BigNumber(11), - }); - allFeeOrdersAndFillableAmounts = { - orders: [smallFeeOrder, largeFeeOrder], - remainingFillableMakerAssetAmounts: [ - smallFeeOrder.makerAssetAmount, - largeFeeOrder.makerAssetAmount.minus(largeFeeOrder.takerFee), - ], - }; - }); - 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 with 0 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, new BigNumber(0)); - }); - }); - it('should not throw if order is fillable', () => { - expect(() => - buyQuoteCalculator.calculate( - ordersAndFillableAmounts, - allFeeOrdersAndFillableAmounts, - new BigNumber(300), - 0, - 0, - false, - ), - ).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 - expect(() => - buyQuoteCalculator.calculate( - ordersAndFillableAmounts, - smallFeeOrderAndFillableAmount, - new BigNumber(300), - 0, - 0, - false, - ), - ).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, - false, - ); - // 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 expectedEthAmountForAsset = new BigNumber(50); - const expectedEthAmountForZrxFees = new BigNumber(100); - const expectedFillEthAmount = expectedEthAmountForAsset; - const expectedAffiliateFeeEthAmount = expectedEthAmountForAsset.multipliedBy(feePercentage); - const expectedFeeEthAmount = expectedAffiliateFeeEthAmount.plus(expectedEthAmountForZrxFees); - const expectedTotalEthAmount = expectedFillEthAmount.plus(expectedFeeEthAmount); - expect(buyQuote.bestCaseQuoteInfo.assetEthAmount).to.bignumber.equal(expectedFillEthAmount); - expect(buyQuote.bestCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount); - expect(buyQuote.bestCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount); - // because we have no slippage protection, minRate is equal to maxRate - expect(buyQuote.worstCaseQuoteInfo.assetEthAmount).to.bignumber.equal(expectedFillEthAmount); - expect(buyQuote.worstCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount); - expect(buyQuote.worstCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount); - // 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, - false, - ); - // 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 expectedEthAmountForAsset = new BigNumber(50); - const expectedEthAmountForZrxFees = new BigNumber(100); - const expectedFillEthAmount = expectedEthAmountForAsset; - const expectedAffiliateFeeEthAmount = expectedEthAmountForAsset.multipliedBy(feePercentage); - const expectedFeeEthAmount = expectedAffiliateFeeEthAmount.plus(expectedEthAmountForZrxFees); - const expectedTotalEthAmount = expectedFillEthAmount.plus(expectedFeeEthAmount); - expect(buyQuote.bestCaseQuoteInfo.assetEthAmount).to.bignumber.equal(expectedFillEthAmount); - expect(buyQuote.bestCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount); - expect(buyQuote.bestCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount); - // 100 eth to fill the first order + 208 eth for fees - const expectedWorstEthAmountForAsset = new BigNumber(100); - const expectedWorstEthAmountForZrxFees = new BigNumber(208); - const expectedWorstFillEthAmount = expectedWorstEthAmountForAsset; - const expectedWorstAffiliateFeeEthAmount = expectedWorstEthAmountForAsset.multipliedBy(feePercentage); - const expectedWorstFeeEthAmount = expectedWorstAffiliateFeeEthAmount.plus(expectedWorstEthAmountForZrxFees); - const expectedWorstTotalEthAmount = expectedWorstFillEthAmount.plus(expectedWorstFeeEthAmount); - expect(buyQuote.worstCaseQuoteInfo.assetEthAmount).to.bignumber.equal(expectedWorstFillEthAmount); - expect(buyQuote.worstCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedWorstFeeEthAmount); - expect(buyQuote.worstCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedWorstTotalEthAmount); - // test if feePercentage gets passed through - expect(buyQuote.feePercentage).to.equal(feePercentage); - }); - }); -}); |