diff options
Diffstat (limited to 'packages/order-utils/src')
| -rw-r--r-- | packages/order-utils/src/constants.ts | 1 | ||||
| -rw-r--r-- | packages/order-utils/src/index.ts | 1 | ||||
| -rw-r--r-- | packages/order-utils/src/market_utils.ts | 133 |
3 files changed, 135 insertions, 0 deletions
diff --git a/packages/order-utils/src/constants.ts b/packages/order-utils/src/constants.ts index ea3f8b932..c23578c20 100644 --- a/packages/order-utils/src/constants.ts +++ b/packages/order-utils/src/constants.ts @@ -2,6 +2,7 @@ import { BigNumber } from '@0xproject/utils'; export const constants = { NULL_ADDRESS: '0x0000000000000000000000000000000000000000', + NULL_BYTES: '0x', // tslint:disable-next-line:custom-no-magic-numbers UNLIMITED_ALLOWANCE_IN_BASE_UNITS: new BigNumber(2).pow(256).minus(1), TESTRPC_NETWORK_ID: 50, diff --git a/packages/order-utils/src/index.ts b/packages/order-utils/src/index.ts index 129eb0a3d..858f500c6 100644 --- a/packages/order-utils/src/index.ts +++ b/packages/order-utils/src/index.ts @@ -32,3 +32,4 @@ export { assetDataUtils } from './asset_data_utils'; export { EIP712Utils } from './eip712_utils'; export { OrderValidationUtils } from './order_validation_utils'; export { ExchangeTransferSimulator } from './exchange_transfer_simulator'; +export { marketUtils } from './market_utils'; diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts new file mode 100644 index 000000000..681059ddf --- /dev/null +++ b/packages/order-utils/src/market_utils.ts @@ -0,0 +1,133 @@ +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'; + +export const marketUtils = { + /** + * Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount (taking into account on-chain balances, + * allowances, and partial fills) in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last. + * Sort the input by ascending rate in order to get the subset of orders that will cost the least ETH. + * @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify the same makerAsset. + * All orders should specify WETH as the takerAsset. + * @param remainingFillableMakerAssetAmounts An array of BigNumbers corresponding to the signedOrders parameter. + * You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups + * for these values. + * @param makerAssetFillAmount The amount of makerAsset desired to be filled. + * @param slippageBufferAmount An additional amount of makerAsset to be covered by the result in case of trade collisions or partial fills. + * @return Resulting orders and remaining fill amount that could not be covered by the input. + */ + findOrdersThatCoverMakerAssetFillAmount( + signedOrders: SignedOrder[], + remainingFillableMakerAssetAmounts: BigNumber[], + makerAssetFillAmount: BigNumber, + slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT, + ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } { + assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema); + _.forEach(remainingFillableMakerAssetAmounts, (amount, index) => + assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount), + ); + assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount); + assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount); + assert.assert( + signedOrders.length === remainingFillableMakerAssetAmounts.length, + 'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length', + ); + // calculate total amount of makerAsset needed to be filled + const totalFillAmount = makerAssetFillAmount.plus(slippageBufferAmount); + // iterate through the signedOrders input from left to right until we have enough makerAsset to fill totalFillAmount + const result = _.reduce( + signedOrders, + ({ resultOrders, remainingFillAmount }, order, index) => { + if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) { + return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT }; + } else { + const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index]; + // 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, + remainingFillAmount: BigNumber.max( + constants.ZERO_AMOUNT, + remainingFillAmount.minus(makerAssetAmountAvailable), + ), + }; + } + }, + { resultOrders: [] as SignedOrder[], remainingFillAmount: totalFillAmount }, + ); + return result; + }, + /** + * Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX (taking into account + * on-chain balances, allowances, and partial fills) in order to fill the takerFees required by signedOrders 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 signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as + * the makerAsset and WETH as the takerAsset. + * @param remainingFillableMakerAssetAmounts An array of BigNumbers corresponding to the signedOrders parameter. + * You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups + * for these values. + * @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 remainingFillableFeeAmounts An array of BigNumbers corresponding to the signedFeeOrders parameter. + * You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups + * for these values. + * @param slippageBufferAmount An additional amount of fee to be covered by the result in case of trade collisions or partial fills. + * @return Resulting orders and remaining fee amount that could not be covered by the input. + */ + findFeeOrdersThatCoverFeesForTargetOrders( + signedOrders: SignedOrder[], + remainingFillableMakerAssetAmounts: BigNumber[], + signedFeeOrders: SignedOrder[], + remainingFillableFeeAmounts: BigNumber[], + slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT, + ): { resultOrders: SignedOrder[]; remainingFeeAmount: BigNumber } { + assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema); + _.forEach(remainingFillableMakerAssetAmounts, (amount, index) => + assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount), + ); + assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema); + _.forEach(remainingFillableFeeAmounts, (amount, index) => + assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount), + ); + assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount); + assert.assert( + signedOrders.length === remainingFillableMakerAssetAmounts.length, + 'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length', + ); + assert.assert( + signedOrders.length === remainingFillableMakerAssetAmounts.length, + 'Expected signedFeeOrders.length to equal remainingFillableFeeAmounts.length', + ); + // calculate total amount of ZRX needed to fill signedOrders + const totalFeeAmount = _.reduce( + signedOrders, + (accFees, order, index) => { + const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index]; + const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable + .mul(order.takerFee) + .div(order.makerAssetAmount); + return accFees.plus(feeToFillMakerAssetAmountAvailable); + }, + constants.ZERO_AMOUNT, + ); + const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount( + signedFeeOrders, + remainingFillableFeeAmounts, + totalFeeAmount, + slippageBufferAmount, + ); + return { + resultOrders, + remainingFeeAmount: remainingFillAmount, + }; + // 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 + }, +}; |