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Diffstat (limited to 'packages/order-utils/src/market_utils.ts')
| -rw-r--r-- | packages/order-utils/src/market_utils.ts | 162 |
1 files changed, 0 insertions, 162 deletions
diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts deleted file mode 100644 index 9042551fa..000000000 --- a/packages/order-utils/src/market_utils.ts +++ /dev/null @@ -1,162 +0,0 @@ -import { schemas } from '@0x/json-schemas'; -import { Order } from '@0x/types'; -import { BigNumber } from '@0x/utils'; -import * as _ from 'lodash'; - -import { assert } from './assert'; -import { constants } from './constants'; -import { - FeeOrdersAndRemainingFeeAmount, - FindFeeOrdersThatCoverFeesForTargetOrdersOpts, - FindOrdersThatCoverMakerAssetFillAmountOpts, - OrdersAndRemainingFillAmount, -} from './types'; - -export const marketUtils = { - /** - * Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount - * in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last order. - * Sort the input by ascending rate in order to get the subset of orders that will cost the least ETH. - * @param orders An array of objects that extend the Order interface. All orders should specify the same makerAsset. - * All orders should specify WETH as the takerAsset. - * @param makerAssetFillAmount The amount of makerAsset desired to be filled. - * @param opts Optional arguments this function accepts. - * @return Resulting orders and remaining fill amount that could not be covered by the input. - */ - findOrdersThatCoverMakerAssetFillAmount<T extends Order>( - orders: T[], - makerAssetFillAmount: BigNumber, - opts?: FindOrdersThatCoverMakerAssetFillAmountOpts, - ): OrdersAndRemainingFillAmount<T> { - assert.doesConformToSchema('orders', orders, schemas.ordersSchema); - assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount); - // try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from orders - const remainingFillableMakerAssetAmounts = _.get( - opts, - 'remainingFillableMakerAssetAmounts', - _.map(orders, order => order.makerAssetAmount), - ) as BigNumber[]; - _.forEach(remainingFillableMakerAssetAmounts, (amount, index) => - assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount), - ); - assert.assert( - orders.length === remainingFillableMakerAssetAmounts.length, - 'Expected orders.length to equal opts.remainingFillableMakerAssetAmounts.length', - ); - // try to get slippageBufferAmount from opts, if it's not there, default to 0 - const slippageBufferAmount = _.get(opts, 'slippageBufferAmount', constants.ZERO_AMOUNT) as BigNumber; - assert.isValidBaseUnitAmount('opts.slippageBufferAmount', slippageBufferAmount); - // calculate total amount of makerAsset needed to be filled - const totalFillAmount = makerAssetFillAmount.plus(slippageBufferAmount); - // iterate through the orders input from left to right until we have enough makerAsset to fill totalFillAmount - const result = _.reduce( - orders, - ({ resultOrders, remainingFillAmount, ordersRemainingFillableMakerAssetAmounts }, order, index) => { - if (remainingFillAmount.isLessThanOrEqualTo(constants.ZERO_AMOUNT)) { - return { - resultOrders, - remainingFillAmount: constants.ZERO_AMOUNT, - ordersRemainingFillableMakerAssetAmounts, - }; - } else { - const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index]; - const shouldIncludeOrder = makerAssetAmountAvailable.gt(constants.ZERO_AMOUNT); - // if there is no makerAssetAmountAvailable do not append order to resultOrders - // if we have exceeded the total amount we want to fill set remainingFillAmount to 0 - return { - resultOrders: shouldIncludeOrder ? _.concat(resultOrders, order) : resultOrders, - ordersRemainingFillableMakerAssetAmounts: shouldIncludeOrder - ? _.concat(ordersRemainingFillableMakerAssetAmounts, makerAssetAmountAvailable) - : ordersRemainingFillableMakerAssetAmounts, - remainingFillAmount: BigNumber.max( - constants.ZERO_AMOUNT, - remainingFillAmount.minus(makerAssetAmountAvailable), - ), - }; - } - }, - { - resultOrders: [] as T[], - remainingFillAmount: totalFillAmount, - ordersRemainingFillableMakerAssetAmounts: [] as BigNumber[], - }, - ); - return result; - }, - /** - * Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX - * in order to fill the takerFees required by orders plus a slippageBufferAmount. - * Iterates from first feeOrder to last. Sort the feeOrders by ascending rate in order to get the subset of - * feeOrders that will cost the least ETH. - * @param orders An array of objects that extend the Order interface. All orders should specify ZRX as - * the makerAsset and WETH as the takerAsset. - * @param feeOrders An array of objects that extend the Order interface. All orders should specify ZRX as - * the makerAsset and WETH as the takerAsset. - * @param opts Optional arguments this function accepts. - * @return Resulting orders and remaining fee amount that could not be covered by the input. - */ - findFeeOrdersThatCoverFeesForTargetOrders<T extends Order>( - orders: T[], - feeOrders: T[], - opts?: FindFeeOrdersThatCoverFeesForTargetOrdersOpts, - ): FeeOrdersAndRemainingFeeAmount<T> { - assert.doesConformToSchema('orders', orders, schemas.ordersSchema); - assert.doesConformToSchema('feeOrders', feeOrders, schemas.ordersSchema); - // try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from orders - const remainingFillableMakerAssetAmounts = _.get( - opts, - 'remainingFillableMakerAssetAmounts', - _.map(orders, order => order.makerAssetAmount), - ) as BigNumber[]; - _.forEach(remainingFillableMakerAssetAmounts, (amount, index) => - assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount), - ); - assert.assert( - orders.length === remainingFillableMakerAssetAmounts.length, - 'Expected orders.length to equal opts.remainingFillableMakerAssetAmounts.length', - ); - // try to get remainingFillableFeeAmounts from opts, if it's not there, use makerAssetAmount values from feeOrders - const remainingFillableFeeAmounts = _.get( - opts, - 'remainingFillableFeeAmounts', - _.map(feeOrders, order => order.makerAssetAmount), - ) as BigNumber[]; - _.forEach(remainingFillableFeeAmounts, (amount, index) => - assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount), - ); - assert.assert( - feeOrders.length === remainingFillableFeeAmounts.length, - 'Expected feeOrders.length to equal opts.remainingFillableFeeAmounts.length', - ); - // try to get slippageBufferAmount from opts, if it's not there, default to 0 - const slippageBufferAmount = _.get(opts, 'slippageBufferAmount', constants.ZERO_AMOUNT) as BigNumber; - assert.isValidBaseUnitAmount('opts.slippageBufferAmount', slippageBufferAmount); - // calculate total amount of ZRX needed to fill orders - const totalFeeAmount = _.reduce( - orders, - (accFees, order, index) => { - const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index]; - const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable - .multipliedBy(order.takerFee) - .dividedToIntegerBy(order.makerAssetAmount); - return accFees.plus(feeToFillMakerAssetAmountAvailable); - }, - constants.ZERO_AMOUNT, - ); - const { - resultOrders, - remainingFillAmount, - ordersRemainingFillableMakerAssetAmounts, - } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(feeOrders, totalFeeAmount, { - remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts, - slippageBufferAmount, - }); - return { - resultFeeOrders: resultOrders, - remainingFeeAmount: remainingFillAmount, - feeOrdersRemainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts, - }; - // TODO: add more orders here to cover rounding - // https://github.com/0xProject/0x-protocol-specification/blob/master/v2/forwarding-contract-specification.md#over-buying-zrx - }, -}; |