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-rw-r--r--packages/forwarder-helper/src/forwarder_helper_impl.ts94
1 files changed, 75 insertions, 19 deletions
diff --git a/packages/forwarder-helper/src/forwarder_helper_impl.ts b/packages/forwarder-helper/src/forwarder_helper_impl.ts
index 0d03c9f76..8f4ec1c02 100644
--- a/packages/forwarder-helper/src/forwarder_helper_impl.ts
+++ b/packages/forwarder-helper/src/forwarder_helper_impl.ts
@@ -1,37 +1,93 @@
-import { marketUtils } from '@0xproject/order-utils';
+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 {
- private _orders: SignedOrder[];
- private _feeOrders: SignedOrder[];
- private _remainingFillableMakerAssetAmountsIfExists?: BigNumber[];
- private _remainingFillableFeeAmountsIfExists?: BigNumber[];
- constructor(
+ private _config: ForwarderHelperImplConfig;
+ private static _createSignedOrderWithAmounts(
orders: SignedOrder[],
- feeOrders: SignedOrder[] = [] as SignedOrder[],
- remainingFillableMakerAssetAmounts?: BigNumber[],
- remainingFillableFeeAmounts?: BigNumber[],
- ) {
- this._orders = orders;
- this._feeOrders = feeOrders;
- this._remainingFillableMakerAssetAmountsIfExists = remainingFillableMakerAssetAmounts;
- this._remainingFillableFeeAmountsIfExists = remainingFillableFeeAmounts;
+ 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, ...rest } = 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;
+ const orderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts(
+ orders,
+ remainingFillableMakerAssetAmounts,
+ );
+ const sortedOrderWithAmounts = sortingUtils.sortOrdersByFeeAdjustedRate(orderWithAmounts);
+ const unbundledSortedOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts(
+ sortedOrderWithAmounts,
+ );
+ 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);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
- this._orders,
+ orders,
makerAssetFillAmount,
{
- remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists,
+ remainingFillableMakerAssetAmounts,
slippageBufferAmount,
},
);
@@ -42,10 +98,10 @@ export class ForwarderHelperImpl implements ForwarderHelper {
// finding order that cover all fees, this will help with estimating ETH and minimizing gas usage
const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
resultOrders,
- this._feeOrders,
+ feeOrders,
{
- remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists,
- remainingFillableFeeAmounts: this._remainingFillableFeeAmountsIfExists,
+ remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts,
},
);
if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {