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-rw-r--r--packages/order-utils/src/market_utils.ts85
-rw-r--r--packages/order-utils/test/market_utils_test.ts43
-rw-r--r--packages/order-utils/test/utils/test_order_factory.ts32
3 files changed, 69 insertions, 91 deletions
diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts
index 710eddf8a..d66448a0b 100644
--- a/packages/order-utils/src/market_utils.ts
+++ b/packages/order-utils/src/market_utils.ts
@@ -1,5 +1,5 @@
import { schemas } from '@0xproject/json-schemas';
-import { OrderRelevantState, SignedOrder } from '@0xproject/types';
+import { SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import * as _ from 'lodash';
@@ -11,24 +11,33 @@ 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.
+ * @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 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[],
+ remainingFillableMakerAssetAmounts: BigNumber[],
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);
+ _.forEach(remainingFillableMakerAssetAmounts, (amount, index) =>
+ assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount),
+ );
+ assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount);
+ assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount);
+ // other assertions
+ 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
@@ -38,8 +47,7 @@ export const marketUtils = {
if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) {
return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT };
} else {
- const orderState = orderStates[index];
- const makerAssetAmountAvailable = orderState.remainingFillableMakerAssetAmount;
+ 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 {
@@ -62,47 +70,64 @@ export const marketUtils = {
* 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.
+ * @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 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[],
+ remainingFillableMakerAssetAmounts: BigNumber[],
signedFeeOrders: SignedOrder[],
- feeOrderStates: OrderRelevantState[],
+ remainingFillableFeeAmounts: BigNumber[],
slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
// type assertions
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+ _.forEach(remainingFillableMakerAssetAmounts, (amount, index) =>
+ assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount),
+ );
assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
- assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
+ _.forEach(remainingFillableFeeAmounts, (amount, index) =>
+ assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount),
+ );
+ assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount);
+ // other assertions
+ 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 orderState = orderStates[index];
- const makerAssetAmountAvailable = orderState.remainingFillableMakerAssetAmount;
+ const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index];
const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
- .div(order.makerAssetAmount)
- .mul(order.takerFee);
+ .mul(order.takerFee)
+ .div(order.makerAssetAmount);
return accFees.plus(feeToFillMakerAssetAmountAvailable);
},
constants.ZERO_AMOUNT,
);
return marketUtils.findOrdersThatCoverMakerAssetFillAmount(
signedFeeOrders,
- feeOrderStates,
+ remainingFillableFeeAmounts,
totalFeeAmount,
slippageBufferAmount,
);
+ // 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/test/market_utils_test.ts b/packages/order-utils/test/market_utils_test.ts
index 93779d035..ac3fb9b93 100644
--- a/packages/order-utils/test/market_utils_test.ts
+++ b/packages/order-utils/test/market_utils_test.ts
@@ -1,10 +1,8 @@
-import { OrderRelevantState, SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import * as chai from 'chai';
-import * as _ from 'lodash';
import 'mocha';
-import { constants, marketUtils, orderFactory } from '../src';
+import { constants, marketUtils } from '../src';
import { chaiSetup } from './utils/chai_setup';
import { testOrderFactory } from './utils/test_order_factory';
@@ -37,19 +35,14 @@ describe('marketUtils', () => {
},
testOrderCount,
);
- // generate order states that cover the required fill amount
- const inputOrderStates = testOrderFactory.generateTestOrderRelevantStates(
- {
- remainingFillableMakerAssetAmount: makerAssetAmount,
- },
- testOrderCount,
- );
+ // generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
+ const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
it('returns input orders and zero remainingFillAmount when input exactly matches requested fill amount', async () => {
// try to fill 30 units of makerAsset
const fillAmount = new BigNumber(30);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- inputOrderStates,
+ remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal(inputOrders);
@@ -60,7 +53,7 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(25);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- inputOrderStates,
+ remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal(inputOrders);
@@ -71,7 +64,7 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(35);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- inputOrderStates,
+ remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal(inputOrders);
@@ -82,7 +75,7 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(10);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- inputOrderStates,
+ remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal([inputOrders[0]]);
@@ -93,7 +86,7 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(15);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- inputOrderStates,
+ remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal([inputOrders[0], inputOrders[1]]);
@@ -110,31 +103,17 @@ describe('marketUtils', () => {
},
testOrderCount,
);
- // generate order states that cover different scenarios
+ // generate remainingFillableMakerAssetAmounts that cover different partial fill scenarios
// 1. order is completely filled already
// 2. order is partially fillable
// 3. order is completely fillable
- const partialOrderStates: Array<Partial<OrderRelevantState>> = [
- {
- remainingFillableMakerAssetAmount: constants.ZERO_AMOUNT,
- },
- {
- remainingFillableMakerAssetAmount: new BigNumber(5),
- },
- {
- remainingFillableMakerAssetAmount: makerAssetAmount,
- },
- ];
- const inputOrderStates: OrderRelevantState[] = _.map(
- partialOrderStates,
- testOrderFactory.generateTestOrderRelevantState,
- );
+ const remainingFillableMakerAssetAmounts = [constants.ZERO_AMOUNT, new BigNumber(5), makerAssetAmount];
it('returns last 2 orders and non-zero remainingFillAmount when trying to fill original makerAssetAmounts', async () => {
// try to fill 30 units of makerAsset
const fillAmount = new BigNumber(30);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
- inputOrderStates,
+ remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal([inputOrders[1], inputOrders[2]]);
diff --git a/packages/order-utils/test/utils/test_order_factory.ts b/packages/order-utils/test/utils/test_order_factory.ts
index 2c5d8cf61..611e777ea 100644
--- a/packages/order-utils/test/utils/test_order_factory.ts
+++ b/packages/order-utils/test/utils/test_order_factory.ts
@@ -1,5 +1,4 @@
-import { Order, OrderRelevantState, SignedOrder } from '@0xproject/types';
-import { BigNumber } from '@0xproject/utils';
+import { Order, SignedOrder } from '@0xproject/types';
import * as _ from 'lodash';
import { constants, orderFactory } from '../../src';
@@ -21,43 +20,18 @@ const BASE_TEST_SIGNED_ORDER: SignedOrder = {
...BASE_TEST_ORDER,
signature: constants.NULL_BYTES,
};
-const BASE_TEST_ORDER_RELEVANT_STATE: OrderRelevantState = {
- makerBalance: constants.ZERO_AMOUNT,
- makerProxyAllowance: constants.ZERO_AMOUNT,
- makerFeeBalance: constants.ZERO_AMOUNT,
- makerFeeProxyAllowance: constants.ZERO_AMOUNT,
- filledTakerAssetAmount: constants.ZERO_AMOUNT,
- remainingFillableMakerAssetAmount: constants.ZERO_AMOUNT,
- remainingFillableTakerAssetAmount: constants.ZERO_AMOUNT,
-};
export const testOrderFactory = {
generateTestSignedOrder(partialOrder: Partial<SignedOrder>): SignedOrder {
return transformObject(BASE_TEST_SIGNED_ORDER, partialOrder);
},
generateTestSignedOrders(partialOrder: Partial<SignedOrder>, numOrders: number): SignedOrder[] {
- const baseTestOrders = generateArrayOfInput(BASE_TEST_SIGNED_ORDER, numOrders);
- return transformObjects(baseTestOrders, partialOrder);
- },
- generateTestOrderRelevantState(partialOrderRelevantState: Partial<OrderRelevantState>): OrderRelevantState {
- return transformObject(BASE_TEST_ORDER_RELEVANT_STATE, partialOrderRelevantState);
- },
- generateTestOrderRelevantStates(
- partialOrderRelevantState: Partial<OrderRelevantState>,
- numOrderStates: number,
- ): OrderRelevantState[] {
- const baseTestOrderStates = generateArrayOfInput(BASE_TEST_ORDER_RELEVANT_STATE, numOrderStates);
- return transformObjects(baseTestOrderStates, partialOrderRelevantState);
+ const baseTestOrders = _.map(_.range(numOrders), () => BASE_TEST_SIGNED_ORDER);
+ return _.map(baseTestOrders, order => transformObject(order, partialOrder));
},
};
-function generateArrayOfInput<T>(input: T, rangeLength: number): T[] {
- return _.map(_.range(rangeLength), () => input);
-}
function transformObject<T>(input: T, transformation: Partial<T>): T {
const copy = _.cloneDeep(input);
return _.assign(copy, transformation);
}
-function transformObjects<T>(inputs: T[], transformation: Partial<T>): T[] {
- return _.map(inputs, input => transformObject(input, transformation));
-}
generated by cgit v1.2.3 (git 2.25.1) at 2024-11-02 14:15:52 +0800