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-rw-r--r--packages/forwarder-helper/src/constants.ts5
-rw-r--r--packages/forwarder-helper/src/forwarder_helper_impl.ts60
-rw-r--r--packages/forwarder-helper/src/types.ts37
3 files changed, 42 insertions, 60 deletions
diff --git a/packages/forwarder-helper/src/constants.ts b/packages/forwarder-helper/src/constants.ts
new file mode 100644
index 000000000..0ad30e4c0
--- /dev/null
+++ b/packages/forwarder-helper/src/constants.ts
@@ -0,0 +1,5 @@
+import { BigNumber } from '@0xproject/utils';
+
+export const constants = {
+ ZERO_AMOUNT: new BigNumber(0),
+};
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,
};
}
diff --git a/packages/forwarder-helper/src/types.ts b/packages/forwarder-helper/src/types.ts
index c6d4083a9..084c3303e 100644
--- a/packages/forwarder-helper/src/types.ts
+++ b/packages/forwarder-helper/src/types.ts
@@ -9,13 +9,6 @@ export interface ForwarderHelper {
* @return An object that conforms to MarketBuyOrdersInfo that satisfies the request. See type definition for more information.
*/
getMarketBuyOrdersInfo: (request: MarketBuyOrdersInfoRequest) => MarketBuyOrdersInfo;
- /**
- * Given a MarketSellOrdersInfoRequest, returns a MarketSellOrdersInfo containing all information relevant to fulfilling the request
- * using the ForwarderContract marketSellOrdersWithEth function.
- * @param request An object that conforms to MarketSellOrdersInfoRequest. See type definition for more information.
- * @return An object that conforms to MarketSellOrdersInfo that satisfies the request. See type definition for more information.
- */
- getMarketSellOrdersInfo: (request: MarketSellOrdersInfoRequest) => MarketSellOrdersInfo;
}
export enum ForwarderHelperError {
@@ -26,12 +19,10 @@ export enum ForwarderHelperError {
/**
* makerAssetFillAmount: The amount of makerAsset requesting to be filled
* feePercentage: Optional affiliate percentage amount factoring into eth amount calculations
- * acceptableEthAmountRange: maximum difference between min and max eth cost
*/
export interface MarketBuyOrdersInfoRequest {
makerAssetFillAmount: BigNumber;
feePercentage?: BigNumber;
- acceptableEthAmountRange?: BigNumber;
}
/**
@@ -50,31 +41,3 @@ export interface MarketBuyOrdersInfo {
maxEthAmount: BigNumber;
feePercentage?: BigNumber;
}
-
-/**
- * ethAmount: The amount of eth used to fill
- * feePercentage: Optional affiliate percentage amount factoring into eth amount calculations
- * acceptableFillAmountRange: maximum difference between min and max asset filled
- */
-export interface MarketSellOrdersInfoRequest {
- ethAmount: BigNumber;
- feePercentage?: BigNumber;
- acceptableFillAmountRange?: BigNumber;
-}
-
-/**
- * ethAmount: The amount of eth used to fill
- * orders: An array of objects conforming to SignedOrder. These orders can be used to cover the requested ethAmount plus slippage
- * feeOrders: An array of objects conforming to SignedOrder. These orders can be used to cover the fees for the orders param above
- * minFillAmount: Amount of asset purchased in the worst case
- * maxFillAmount: Amount of asset purchased in the best case
- * feePercentage: Affiliate fee percentage used to calculate the eth amounts above. Passed thru directly from the request
- */
-export interface MarketSellOrdersInfo {
- ethAmount: BigNumber;
- orders: SignedOrder[];
- feeOrders: SignedOrder[];
- minFillAmount: BigNumber;
- maxFillAmount: BigNumber;
- feePercentage?: BigNumber;
-}