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Diffstat (limited to 'packages/order-utils/src/sorting_utils.ts')
-rw-r--r-- | packages/order-utils/src/sorting_utils.ts | 69 |
1 files changed, 69 insertions, 0 deletions
diff --git a/packages/order-utils/src/sorting_utils.ts b/packages/order-utils/src/sorting_utils.ts new file mode 100644 index 000000000..7474a302f --- /dev/null +++ b/packages/order-utils/src/sorting_utils.ts @@ -0,0 +1,69 @@ +import { schemas } from '@0xproject/json-schemas'; +import { SignedOrder } from '@0xproject/types'; +import { BigNumber } from '@0xproject/utils'; +import * as _ from 'lodash'; + +import { assert } from './assert'; +import { constants } from './constants'; +import { rateUtils } from './rate_utils'; + +export const sortingUtils = { + /** + * Takes an array of signed orders and sorts them by takerAsset/makerAsset rate in ascending order (best rate first). + * Adjusts the rate of each order according to the feeRate and takerFee for that order. + * @param signedFeeOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as + * the makerAsset and WETH as the takerAsset. + * @param feeRate The market rate of ZRX denominated in takerAssetAmount + * (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX) + * @return The input orders sorted by rate in ascending order + */ + sortOrdersByFeeAdjustedRate(signedOrders: SignedOrder[], feeRate: BigNumber): SignedOrder[] { + assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema); + assert.isBigNumber('feeRate', feeRate); + assert.assert(feeRate.greaterThan(constants.ZERO_AMOUNT), `Expected feeRate: ${feeRate} to be greater than 0`); + const rateCalculator = (signedOrder: SignedOrder) => rateUtils.getFeeAdjustedRateOfOrder(signedOrder, feeRate); + const sortedOrders = sortOrders(signedOrders, rateCalculator); + return sortedOrders; + }, + /** + * Takes an array of signed fee orders (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH) + * and sorts them by rate in ascending order (best rate first). Adjusts the rate according to the takerFee. + * @param signedFeeOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as + * the makerAsset and WETH as the takerAsset. + * @return The input orders sorted by rate in ascending order + */ + sortFeeOrdersByFeeAdjustedRate(signedFeeOrders: SignedOrder[]): SignedOrder[] { + assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema); + const rateCalculator = rateUtils.getFeeAdjustedRateOfFeeOrder; + const sortedOrders = sortOrders(signedFeeOrders, rateCalculator); + return sortedOrders; + }, +}; + +type RateCalculator = (signedOrder: SignedOrder) => BigNumber; + +// takes an array of orders, copies them, and sorts the copy based on the rate definition provided by rateCalculator +const sortOrders = (signedOrders: SignedOrder[], rateCalculator: RateCalculator): SignedOrder[] => { + const copiedOrders = _.cloneDeep(signedOrders); + const feeOrderComparator = getOrderComparator(rateCalculator); + copiedOrders.sort(feeOrderComparator); + return copiedOrders; +}; + +type Comparator<T> = (first: T, second: T) => number; + +// takes a function that calculates rate for a signed order and returns a comparator that sorts based on rate +const getOrderComparator = (rateCalculator: RateCalculator): Comparator<SignedOrder> => ( + firstSignedOrder, + secondSignedOrder, +) => { + const firstOrderRate = rateCalculator(firstSignedOrder); + const secondOrderRate = rateCalculator(secondSignedOrder); + if (firstOrderRate.lt(secondOrderRate)) { + return -1; + } else if (firstOrderRate.gt(secondOrderRate)) { + return 1; + } else { + return 0; + } +}; |