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-rw-r--r--packages/order-utils/src/constants.ts2
-rw-r--r--packages/order-utils/src/market_utils.ts109
2 files changed, 110 insertions, 1 deletions
diff --git a/packages/order-utils/src/constants.ts b/packages/order-utils/src/constants.ts
index ea3f8b932..b18546a6c 100644
--- a/packages/order-utils/src/constants.ts
+++ b/packages/order-utils/src/constants.ts
@@ -10,6 +10,6 @@ export const constants = {
ERC721_ASSET_DATA_MINIMUM_BYTE_LENGTH: 53,
SELECTOR_LENGTH: 4,
BASE_16: 16,
- INFINITE_TIMESTAMP_SEC: new BigNumber(2524604400), // Close to infinite
+ INFINITE_TIMESTAMP_SEC: new BigNumber(2524604400), // Close to infinite,
ZERO_AMOUNT: new BigNumber(0),
};
diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts
new file mode 100644
index 000000000..4ddcc6ec8
--- /dev/null
+++ b/packages/order-utils/src/market_utils.ts
@@ -0,0 +1,109 @@
+import { schemas } from '@0xproject/json-schemas';
+import { OrderRelevantState, 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 orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
+ * relevant to that order.
+ * @param makerAssetFillAmount The amount of makerAsset desired to be filled.
+ * @param slippageBufferAmount An additional amount 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[],
+ orderStates: OrderRelevantState[],
+ makerAssetFillAmount: BigNumber,
+ slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
+ ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
+ // type assertions
+ assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+ assert.isBigNumber('makerAssetFillAmount', makerAssetFillAmount);
+ assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
+ // 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 orderState = orderStates[index];
+ const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState);
+ return {
+ resultOrders: _.concat(resultOrders, order),
+ remainingFillAmount: 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 orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
+ * relevant to 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 feeOrderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
+ * relevant to that order.
+ * @param makerAssetFillAmount The amount of makerAsset desired to be filled.
+ * @param slippageBufferAmount An additional amount 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.
+ */
+ findFeeOrdersThatCoverFeesForTargetOrders(
+ signedOrders: SignedOrder[],
+ orderStates: OrderRelevantState[],
+ signedFeeOrders: SignedOrder[],
+ feeOrderStates: OrderRelevantState[],
+ slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
+ ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
+ // type assertions
+ assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+ assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
+ assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
+ // calculate total amount of ZRX needed to fill signedOrders
+ const totalFeeAmount = _.reduce(
+ signedOrders,
+ (accFees, order, index) => {
+ const orderState = orderStates[index];
+ const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState);
+ const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
+ .div(order.makerAssetAmount)
+ .mul(order.takerFee);
+ return accFees.plus(feeToFillMakerAssetAmountAvailable);
+ },
+ constants.ZERO_AMOUNT,
+ );
+ return marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+ signedFeeOrders,
+ feeOrderStates,
+ totalFeeAmount,
+ slippageBufferAmount,
+ );
+ },
+};
+
+const getMakerAssetAmountAvailable = (orderState: OrderRelevantState) => {
+ return BigNumber.min(
+ orderState.makerBalance,
+ orderState.remainingFillableMakerAssetAmount,
+ orderState.makerProxyAllowance,
+ );
+};