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Diffstat (limited to 'packages/forwarder-helper/src/forwarder_helper_impl.ts')
-rw-r--r-- | packages/forwarder-helper/src/forwarder_helper_impl.ts | 125 |
1 files changed, 125 insertions, 0 deletions
diff --git a/packages/forwarder-helper/src/forwarder_helper_impl.ts b/packages/forwarder-helper/src/forwarder_helper_impl.ts new file mode 100644 index 000000000..0e59aa7d6 --- /dev/null +++ b/packages/forwarder-helper/src/forwarder_helper_impl.ts @@ -0,0 +1,125 @@ +import { marketUtils, sortingUtils } from '@0xproject/order-utils'; +import { SignedOrder } from '@0xproject/types'; +import { BigNumber } from '@0xproject/utils'; +import * as _ from 'lodash'; + +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 + +interface SignedOrderWithAmount extends SignedOrder { + remainingFillAmount?: BigNumber; +} + +export interface ForwarderHelperImplConfig { + orders: SignedOrder[]; + feeOrders: SignedOrder[]; + remainingFillableMakerAssetAmounts?: BigNumber[]; + remainingFillableFeeAmounts?: BigNumber[]; +} + +export class ForwarderHelperImpl implements ForwarderHelper { + public readonly config: ForwarderHelperImplConfig; + private static _createSignedOrderWithAmounts( + orders: SignedOrder[], + amounts?: BigNumber[], + ): SignedOrderWithAmount[] { + const ordersAndAmounts = _.map(orders, (order, index) => { + return { + ...order, + remainingFillAmount: _.nth(amounts, index), + }; + }); + return ordersAndAmounts; + } + private static _unbundleSignedOrderWithAmounts( + signedOrderWithAmounts: SignedOrderWithAmount[], + ): { orders: SignedOrder[]; amounts?: BigNumber[] } { + const orders = _.map(signedOrderWithAmounts, order => { + const { remainingFillAmount, ...rest } = order; + return rest; + }); + const amounts = _.map(signedOrderWithAmounts, order => { + const { remainingFillAmount } = order; + return remainingFillAmount; + }); + const compactAmounts = _.compact(amounts); + return { + orders, + amounts: compactAmounts.length > 0 ? compactAmounts : undefined, + }; + } + private static _sortConfig(opts: ForwarderHelperImplConfig): ForwarderHelperImplConfig { + const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = opts; + // Bundle orders together with their remainingFillAmounts so that we can sort them together + const orderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts( + orders, + remainingFillableMakerAssetAmounts, + ); + // TODO: provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens + const sortedOrderWithAmounts = sortingUtils.sortOrdersByFeeAdjustedRate(orderWithAmounts); + // Unbundle after sorting + const unbundledSortedOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts( + sortedOrderWithAmounts, + ); + // Do the same bundling + unbundling for feeOrder sorting + const feeOrderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts( + feeOrders, + remainingFillableFeeAmounts, + ); + const sortedFeeOrderWithAmounts = sortingUtils.sortFeeOrdersByFeeAdjustedRate(feeOrderWithAmounts); + const unbundledSortedFeeOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts( + sortedFeeOrderWithAmounts, + ); + return { + orders: unbundledSortedOrderWithAmounts.orders, + feeOrders: unbundledSortedFeeOrderWithAmounts.orders, + remainingFillableMakerAssetAmounts: unbundledSortedOrderWithAmounts.amounts, + remainingFillableFeeAmounts: unbundledSortedFeeOrderWithAmounts.amounts, + }; + } + constructor(opts: ForwarderHelperImplConfig) { + this.config = ForwarderHelperImpl._sortConfig(opts); + } + public getMarketBuyOrdersInfo(request: MarketBuyOrdersInfoRequest): MarketBuyOrdersInfo { + const { makerAssetFillAmount, feePercentage } = request; + const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = this.config; + // TODO: make the slippage percentage customizable + const slippageBufferAmount = makerAssetFillAmount.mul(SLIPPAGE_PERCENTAGE).round(); + const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount( + orders, + makerAssetFillAmount, + { + remainingFillableMakerAssetAmounts, + slippageBufferAmount, + }, + ); + if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) { + throw new Error(ForwarderHelperError.InsufficientMakerAssetLiquidity); + } + // 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, + feeOrders, + { + remainingFillableMakerAssetAmounts, + remainingFillableFeeAmounts, + }, + ); + if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) { + throw new Error(ForwarderHelperError.InsufficientZrxLiquidity); + } + // TODO: calculate min and max eth usage + // TODO: optimize orders call data + return { + makerAssetFillAmount, + orders: resultOrders, + feeOrders: resultFeeOrders, + minEthAmount: constants.ZERO_AMOUNT, + maxEthAmount: constants.ZERO_AMOUNT, + feePercentage, + }; + } +} |