diff options
Diffstat (limited to 'packages/order-utils/src/market_utils.ts')
| -rw-r--r-- | packages/order-utils/src/market_utils.ts | 60 |
1 files changed, 38 insertions, 22 deletions
diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts index a0a827546..fa32f1413 100644 --- a/packages/order-utils/src/market_utils.ts +++ b/packages/order-utils/src/market_utils.ts @@ -1,11 +1,16 @@ -import { schemas } from '@0xproject/json-schemas'; -import { Order } from '@0xproject/types'; -import { BigNumber } from '@0xproject/utils'; +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 { FindFeeOrdersThatCoverFeesForTargetOrdersOpts, FindOrdersThatCoverMakerAssetFillAmountOpts } from './types'; +import { + FeeOrdersAndRemainingFeeAmount, + FindFeeOrdersThatCoverFeesForTargetOrdersOpts, + FindOrdersThatCoverMakerAssetFillAmountOpts, + OrdersAndRemainingFillAmount, +} from './types'; export const marketUtils = { /** @@ -22,7 +27,7 @@ export const marketUtils = { orders: T[], makerAssetFillAmount: BigNumber, opts?: FindOrdersThatCoverMakerAssetFillAmountOpts, - ): { resultOrders: T[]; remainingFillAmount: BigNumber } { + ): 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 @@ -46,17 +51,23 @@ export const marketUtils = { // iterate through the orders input from left to right until we have enough makerAsset to fill totalFillAmount const result = _.reduce( orders, - ({ resultOrders, remainingFillAmount }, order, index) => { + ({ resultOrders, remainingFillAmount, ordersRemainingFillableMakerAssetAmounts }, order, index) => { if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) { - return { resultOrders, remainingFillAmount: 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: makerAssetAmountAvailable.gt(constants.ZERO_AMOUNT) - ? _.concat(resultOrders, order) - : resultOrders, + resultOrders: shouldIncludeOrder ? _.concat(resultOrders, order) : resultOrders, + ordersRemainingFillableMakerAssetAmounts: shouldIncludeOrder + ? _.concat(ordersRemainingFillableMakerAssetAmounts, makerAssetAmountAvailable) + : ordersRemainingFillableMakerAssetAmounts, remainingFillAmount: BigNumber.max( constants.ZERO_AMOUNT, remainingFillAmount.minus(makerAssetAmountAvailable), @@ -64,7 +75,11 @@ export const marketUtils = { }; } }, - { resultOrders: [] as T[], remainingFillAmount: totalFillAmount }, + { + resultOrders: [] as T[], + remainingFillAmount: totalFillAmount, + ordersRemainingFillableMakerAssetAmounts: [] as BigNumber[], + }, ); return result; }, @@ -84,7 +99,7 @@ export const marketUtils = { orders: T[], feeOrders: T[], opts?: FindFeeOrdersThatCoverFeesForTargetOrdersOpts, - ): { resultOrders: T[]; remainingFeeAmount: BigNumber } { + ): 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 @@ -123,22 +138,23 @@ export const marketUtils = { const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index]; const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable .mul(order.takerFee) - .div(order.makerAssetAmount); + .dividedToIntegerBy(order.makerAssetAmount); return accFees.plus(feeToFillMakerAssetAmountAvailable); }, constants.ZERO_AMOUNT, ); - const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount( - feeOrders, - totalFeeAmount, - { - remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts, - slippageBufferAmount, - }, - ); - return { + 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 |