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-rw-r--r--packages/asset-buyer/src/utils/buy_quote_calculator.ts62
-rw-r--r--packages/order-utils/src/market_utils.ts39
-rw-r--r--packages/order-utils/src/types.ts2
3 files changed, 70 insertions, 33 deletions
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
index e05ab1e55..52cecf8ad 100644
--- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -1,5 +1,6 @@
import { marketUtils } from '@0xproject/order-utils';
import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
import { constants } from '../constants';
import { AssetBuyerError, AssetBuyerOrdersAndFillableAmounts, BuyQuote } from '../types';
@@ -18,41 +19,64 @@ export const buyQuoteCalculator = {
remainingFillableFeeAmounts,
} = ordersAndFillableAmounts;
const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
- const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
- orders,
- assetBuyAmount,
- {
- remainingFillableMakerAssetAmounts,
- slippageBufferAmount,
- },
- );
+ const {
+ resultOrders,
+ remainingFillAmount,
+ ordersRemainingFillableMakerAssetAmounts,
+ } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(orders, assetBuyAmount, {
+ remainingFillableMakerAssetAmounts,
+ slippageBufferAmount,
+ });
if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
}
// TODO: optimization
// update this logic to find the minimum amount of feeOrders to cover the worst case as opposed to
// finding order that cover all fees, this will help with estimating ETH and minimizing gas usage
- const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
- resultOrders,
- feeOrders,
- {
- remainingFillableMakerAssetAmounts,
- remainingFillableFeeAmounts,
- },
- );
+ const {
+ resultFeeOrders,
+ remainingFeeAmount,
+ feeOrdersRemainingFillableMakerAssetAmounts,
+ } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(resultOrders, feeOrders, {
+ remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts,
+ });
if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
}
const assetData = orders[0].makerAssetData;
- // TODO: critical
+
// calculate minRate and maxRate by calculating min and max eth usage and then dividing into
// assetBuyAmount to get assetData / WETH, needs to take into account feePercentage as well
+ // minEthAmount = (sum(takerAssetAmount[i]) until sum(makerAssetAmount[i]) >= assetBuyAmount ) * (1 + feePercentage)
+ // maxEthAmount = (sum(takerAssetAmount[i]) until i == orders.length) * (1 + feePercentage)
+ const allOrders = _.concat(resultOrders, resultFeeOrders);
+ const allRemainingAmounts = _.concat(
+ ordersRemainingFillableMakerAssetAmounts,
+ feeOrdersRemainingFillableMakerAssetAmounts,
+ );
+ let minEthAmount = constants.ZERO_AMOUNT;
+ let maxEthAmount = constants.ZERO_AMOUNT;
+ let cumulativeMakerAmount = constants.ZERO_AMOUNT;
+ _.forEach(allOrders, (order, index) => {
+ const remainingFillableMakerAssetAmount = allRemainingAmounts[index];
+ const orderRate = order.takerAssetAmount.div(order.makerAssetAmount);
+ const claimableTakerAssetAmount = orderRate.mul(remainingFillableMakerAssetAmount);
+ // taker asset is always assumed to be WETH
+ maxEthAmount = maxEthAmount.plus(claimableTakerAssetAmount);
+ if (cumulativeMakerAmount.lessThan(assetBuyAmount)) {
+ minEthAmount = minEthAmount.plus(claimableTakerAssetAmount);
+ }
+ cumulativeMakerAmount = cumulativeMakerAmount.plus(remainingFillableMakerAssetAmount);
+ });
+ const feeAdjustedMinRate = minEthAmount.mul(feePercentage + 1).div(assetBuyAmount);
+ const feeAdjustedMaxRate = minEthAmount.mul(feePercentage + 1).div(assetBuyAmount);
return {
assetData,
orders: resultOrders,
feeOrders: resultFeeOrders,
- minRate: constants.ZERO_AMOUNT,
- maxRate: constants.ZERO_AMOUNT,
+ minRate: feeAdjustedMinRate,
+ maxRate: feeAdjustedMaxRate,
assetBuyAmount,
feePercentage,
};
diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts
index 4a664cb14..ed6af7d85 100644
--- a/packages/order-utils/src/market_utils.ts
+++ b/packages/order-utils/src/market_utils.ts
@@ -51,17 +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),
@@ -69,7 +75,11 @@ export const marketUtils = {
};
}
},
- { resultOrders: [] as T[], remainingFillAmount: totalFillAmount },
+ {
+ resultOrders: [] as T[],
+ remainingFillAmount: totalFillAmount,
+ ordersRemainingFillableMakerAssetAmounts: [] as BigNumber[],
+ },
);
return result;
},
@@ -133,17 +143,18 @@ export const marketUtils = {
},
constants.ZERO_AMOUNT,
);
- const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
- feeOrders,
- totalFeeAmount,
- {
- remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts,
- slippageBufferAmount,
- },
- );
+ 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
diff --git a/packages/order-utils/src/types.ts b/packages/order-utils/src/types.ts
index 09292e557..a843efaa4 100644
--- a/packages/order-utils/src/types.ts
+++ b/packages/order-utils/src/types.ts
@@ -72,10 +72,12 @@ export interface FindFeeOrdersThatCoverFeesForTargetOrdersOpts {
export interface FeeOrdersAndRemainingFeeAmount<T> {
resultFeeOrders: T[];
+ feeOrdersRemainingFillableMakerAssetAmounts: BigNumber[];
remainingFeeAmount: BigNumber;
}
export interface OrdersAndRemainingFillAmount<T> {
resultOrders: T[];
+ ordersRemainingFillableMakerAssetAmounts: BigNumber[];
remainingFillAmount: BigNumber;
}
generated by cgit v1.2.3 (git 2.25.1) at 2024-07-22 06:53:02 +0800