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-rw-r--r--packages/forwarder-helper/src/forwarder_helper_impl.ts60
1 files changed, 37 insertions, 23 deletions
diff --git a/packages/forwarder-helper/src/forwarder_helper_impl.ts b/packages/forwarder-helper/src/forwarder_helper_impl.ts
index 1069bca73..0d03c9f76 100644
--- a/packages/forwarder-helper/src/forwarder_helper_impl.ts
+++ b/packages/forwarder-helper/src/forwarder_helper_impl.ts
@@ -1,13 +1,11 @@
+import { marketUtils } from '@0xproject/order-utils';
import { SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
-import {
- ForwarderHelper,
- MarketBuyOrdersInfo,
- MarketBuyOrdersInfoRequest,
- MarketSellOrdersInfo,
- MarketSellOrdersInfoRequest,
-} from './types';
+import { constants } from './constants';
+import { ForwarderHelper, ForwarderHelperError, MarketBuyOrdersInfo, MarketBuyOrdersInfoRequest } from './types';
+
+const SLIPPAGE_PERCENTAGE = new BigNumber(0.2); // 20% slippage protection, possibly move this into request interface
export class ForwarderHelperImpl implements ForwarderHelper {
private _orders: SignedOrder[];
@@ -26,24 +24,40 @@ export class ForwarderHelperImpl implements ForwarderHelper {
this._remainingFillableFeeAmountsIfExists = remainingFillableFeeAmounts;
}
public getMarketBuyOrdersInfo(request: MarketBuyOrdersInfoRequest): MarketBuyOrdersInfo {
- const { makerAssetFillAmount, feePercentage, acceptableEthAmountRange } = request;
- return {
+ const { makerAssetFillAmount, feePercentage } = request;
+ // TODO: make the slippage percentage customizable
+ const slippageBufferAmount = makerAssetFillAmount.mul(SLIPPAGE_PERCENTAGE);
+ const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+ this._orders,
makerAssetFillAmount,
- orders: this._orders,
- feeOrders: this._feeOrders,
- minEthAmount: new BigNumber(0),
- maxEthAmount: new BigNumber(0),
- feePercentage,
- };
- }
- public getMarketSellOrdersInfo(request: MarketSellOrdersInfoRequest): MarketSellOrdersInfo {
- const { ethAmount, feePercentage, acceptableFillAmountRange } = request;
+ {
+ remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists,
+ slippageBufferAmount,
+ },
+ );
+ if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
+ throw new Error(ForwarderHelperError.InsufficientLiquidity);
+ }
+ // TODO: 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 } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
+ resultOrders,
+ this._feeOrders,
+ {
+ remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists,
+ remainingFillableFeeAmounts: this._remainingFillableFeeAmountsIfExists,
+ },
+ );
+ if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
+ throw new Error(ForwarderHelperError.InsufficientZrxLiquidity);
+ }
+ // TODO: calculate min and max eth usage
return {
- ethAmount,
- orders: this._orders,
- feeOrders: this._feeOrders,
- minFillAmount: new BigNumber(0),
- maxFillAmount: new BigNumber(0),
+ makerAssetFillAmount,
+ orders: resultOrders,
+ feeOrders: resultFeeOrders,
+ minEthAmount: constants.ZERO_AMOUNT,
+ maxEthAmount: constants.ZERO_AMOUNT,
feePercentage,
};
}