diff options
Diffstat (limited to 'packages')
29 files changed, 856 insertions, 437 deletions
diff --git a/packages/forwarder-helper/.npmignore b/packages/asset-buyer/.npmignore index 5333847e7..5333847e7 100644 --- a/packages/forwarder-helper/.npmignore +++ b/packages/asset-buyer/.npmignore diff --git a/packages/asset-buyer/CHANGELOG.json b/packages/asset-buyer/CHANGELOG.json new file mode 100644 index 000000000..2e4db1f6e --- /dev/null +++ b/packages/asset-buyer/CHANGELOG.json @@ -0,0 +1,10 @@ +[ + { + "version": "1.0.0-rc.1", + "changes": [ + { + "note": "Init" + } + ] + } +] diff --git a/packages/asset-buyer/CHANGELOG.md b/packages/asset-buyer/CHANGELOG.md new file mode 100644 index 000000000..8b1378917 --- /dev/null +++ b/packages/asset-buyer/CHANGELOG.md @@ -0,0 +1 @@ + diff --git a/packages/forwarder-helper/README.md b/packages/asset-buyer/README.md index c74526910..717849bf2 100644 --- a/packages/forwarder-helper/README.md +++ b/packages/asset-buyer/README.md @@ -1,25 +1,25 @@ -## @0xproject/forwarder-helper +## @0xproject/asset-buyer -Provides convenience objects to help work with the Forwarder Contract +Convenience package for buying assets -### Read the [Documentation](https://0xproject.com/docs/forwarder-helper). +### Read the [Documentation](https://0xproject.com/docs/asset-buyer). ## Installation ```bash -yarn add @0xproject/forwarder-helper +yarn add @0xproject/asset-buyer ``` **Import** ```typescript -import { forwarderHelperFactory } from '@0xproject/forwarder-helper'; +import { AssetBuyer } from '@0xproject/asset-buyer'; ``` or ```javascript -var forwarderHelperFactory = require('@0xproject/forwarder-helper').forwarderHelperFactory; +var AssetBuyer = require('@0xproject/asset-buyer').AssetBuyer; ``` If your project is in [TypeScript](https://www.typescriptlang.org/), add the following to your `tsconfig.json`: @@ -55,13 +55,13 @@ yarn install To build this package and all other monorepo packages that it depends on, run the following from the monorepo root directory: ```bash -PKG=@0xproject/forwarder-helper yarn build +PKG=@0xproject/asset-buyer yarn build ``` Or continuously rebuild on change: ```bash -PKG=@0xproject/forwarder-helper yarn watch +PKG=@0xproject/asset-buyer yarn watch ``` ### Clean diff --git a/packages/forwarder-helper/package.json b/packages/asset-buyer/package.json index 64613561d..f36044ae2 100644 --- a/packages/forwarder-helper/package.json +++ b/packages/asset-buyer/package.json @@ -1,10 +1,10 @@ { - "name": "@0xproject/forwarder-helper", - "version": "1.0.2", + "name": "@0xproject/asset-buyer", + "version": "1.0.0-rc.1", "engines": { "node": ">=6.12" }, - "description": "Convenience object for working with the forwarder contract", + "description": "Convenience package for buying assets", "main": "lib/src/index.js", "types": "lib/src/index.d.ts", "scripts": { @@ -34,21 +34,26 @@ "bugs": { "url": "https://github.com/0xProject/0x-monorepo/issues" }, - "homepage": "https://github.com/0xProject/0x-monorepo/packages/forwarder-helper/README.md", + "homepage": "https://github.com/0xProject/0x-monorepo/packages/asset-buyer/README.md", "dependencies": { "@0xproject/assert": "^1.0.8", + "@0xproject/connect": "^2.0.0", + "@0xproject/contract-wrappers": "^1.0.1", "@0xproject/json-schemas": "^1.0.1", "@0xproject/order-utils": "^1.0.1", + "@0xproject/subproviders": "^2.0.2", "@0xproject/types": "^1.0.1", "@0xproject/typescript-typings": "^2.0.0", "@0xproject/utils": "^1.0.8", - "@types/node": "^8.0.53", + "@0xproject/web3-wrapper": "^2.0.2", + "ethereum-types": "^1.0.6", "lodash": "^4.17.10" }, "devDependencies": { "@0xproject/tslint-config": "^1.0.7", "@types/lodash": "^4.14.116", "@types/mocha": "^2.2.42", + "@types/node": "^8.0.53", "chai": "^4.0.1", "chai-as-promised": "^7.1.0", "chai-bignumber": "^2.0.1", diff --git a/packages/asset-buyer/src/asset_buyer.ts b/packages/asset-buyer/src/asset_buyer.ts new file mode 100644 index 000000000..fa1118e18 --- /dev/null +++ b/packages/asset-buyer/src/asset_buyer.ts @@ -0,0 +1,318 @@ +import { ContractWrappers } from '@0xproject/contract-wrappers'; +import { schemas } from '@0xproject/json-schemas'; +import { assetDataUtils, SignedOrder } from '@0xproject/order-utils'; +import { BigNumber } from '@0xproject/utils'; +import { Web3Wrapper } from '@0xproject/web3-wrapper'; +import { Provider } from 'ethereum-types'; +import * as _ from 'lodash'; + +import { constants } from './constants'; +import { ProvidedOrderFetcher } from './order_fetchers/provided_order_fetcher'; +import { StandardRelayerAPIOrderFetcher } from './order_fetchers/standard_relayer_api_order_fetcher'; +import { + AssetBuyerError, + AssetBuyerOrdersAndFillableAmounts, + BuyQuote, + OrderFetcher, + OrderFetcherResponse, +} from './types'; + +import { assert } from './utils/assert'; +import { buyQuoteCalculator } from './utils/buy_quote_calculator'; +import { orderFetcherResponseProcessor } from './utils/order_fetcher_response_processor'; + +const SLIPPAGE_PERCENTAGE = 0.2; // 20% slippage protection, possibly move this into request interface +const DEFAULT_ORDER_REFRESH_INTERVAL_MS = 10000; // 10 seconds +const DEFAULT_FEE_PERCENTAGE = 0; +const ETHER_TOKEN_DECIMALS = 18; + +export class AssetBuyer { + public readonly provider: Provider; + public readonly assetData: string; + public readonly orderFetcher: OrderFetcher; + public readonly networkId: number; + public readonly orderRefreshIntervalMs: number; + private readonly _contractWrappers: ContractWrappers; + private _lastRefreshTimeIfExists?: number; + private _currentOrdersAndFillableAmountsIfExists?: AssetBuyerOrdersAndFillableAmounts; + /** + * Instantiates a new AssetBuyer instance + * @param provider The Provider instance you would like to use for interacting with the Ethereum network. + * @param orders A non-empty array of objects that conform to SignedOrder. All orders must have the same makerAssetData and takerAssetData (WETH). + * @param feeOrders A array of objects that conform to SignedOrder. All orders must have the same makerAssetData (ZRX) and takerAssetData (WETH). Defaults to an empty array. + * @param networkId The ethereum network id. Defaults to 1 (mainnet). + * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. + * Defaults to 10000ms (10s). + * @return An instance of AssetBuyer + */ + public static getAssetBuyerForProvidedOrders( + provider: Provider, + orders: SignedOrder[], + feeOrders: SignedOrder[] = [], + networkId: number = constants.MAINNET_NETWORK_ID, + orderRefreshIntervalMs: number = DEFAULT_ORDER_REFRESH_INTERVAL_MS, + ): AssetBuyer { + assert.isWeb3Provider('provider', provider); + assert.doesConformToSchema('orders', orders, schemas.signedOrdersSchema); + assert.doesConformToSchema('feeOrders', feeOrders, schemas.signedOrdersSchema); + assert.isNumber('networkId', networkId); + assert.isNumber('orderRefreshIntervalMs', orderRefreshIntervalMs); + assert.areValidProvidedOrders('orders', orders); + assert.areValidProvidedOrders('feeOrders', feeOrders); + assert.assert(orders.length !== 0, `Expected orders to contain at least one order`); + const assetData = orders[0].makerAssetData; + const orderFetcher = new ProvidedOrderFetcher(_.concat(orders, feeOrders)); + const assetBuyer = new AssetBuyer(provider, assetData, orderFetcher, networkId, orderRefreshIntervalMs); + return assetBuyer; + } + /** + * Instantiates a new AssetBuyer instance + * @param provider The Provider instance you would like to use for interacting with the Ethereum network. + * @param assetData The assetData that identifies the desired asset to buy. + * @param sraApiUrl The standard relayer API base HTTP url you would like to source orders from. + * @param networkId The ethereum network id. Defaults to 1 (mainnet). + * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. + * Defaults to 10000ms (10s). + * @return An instance of AssetBuyer + */ + public static getAssetBuyerForAssetData( + provider: Provider, + assetData: string, + sraApiUrl: string, + networkId: number = constants.MAINNET_NETWORK_ID, + orderRefreshIntervalMs: number = DEFAULT_ORDER_REFRESH_INTERVAL_MS, + ): AssetBuyer { + assert.isWeb3Provider('provider', provider); + assert.isHexString('assetData', assetData); + assert.isWebUri('sraApiUrl', sraApiUrl); + assert.isNumber('networkId', networkId); + assert.isNumber('orderRefreshIntervalMs', orderRefreshIntervalMs); + const orderFetcher = new StandardRelayerAPIOrderFetcher(sraApiUrl); + const assetBuyer = new AssetBuyer(provider, assetData, orderFetcher, networkId, orderRefreshIntervalMs); + return assetBuyer; + } + /** + * Instantiates a new AssetBuyer instance + * @param provider The Provider instance you would like to use for interacting with the Ethereum network. + * @param tokenAddress The ERC20 token address that identifies the desired asset to buy. + * @param sraApiUrl The standard relayer API base HTTP url you would like to source orders from. + * @param networkId The ethereum network id. Defaults to 1 (mainnet). + * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. + * Defaults to 10000ms (10s). + * @return An instance of AssetBuyer + */ + public static getAssetBuyerForERC20TokenAddress( + provider: Provider, + tokenAddress: string, + sraApiUrl: string, + networkId: number = constants.MAINNET_NETWORK_ID, + orderRefreshIntervalMs: number = DEFAULT_ORDER_REFRESH_INTERVAL_MS, + ): AssetBuyer { + assert.isWeb3Provider('provider', provider); + assert.isETHAddressHex('tokenAddress', tokenAddress); + assert.isWebUri('sraApiUrl', sraApiUrl); + assert.isNumber('networkId', networkId); + assert.isNumber('orderRefreshIntervalMs', orderRefreshIntervalMs); + const assetData = assetDataUtils.encodeERC20AssetData(tokenAddress); + const assetBuyer = AssetBuyer.getAssetBuyerForAssetData( + provider, + assetData, + sraApiUrl, + networkId, + orderRefreshIntervalMs, + ); + return assetBuyer; + } + /** + * Instantiates a new AssetBuyer instance + * @param provider The Provider instance you would like to use for interacting with the Ethereum network. + * @param assetData The assetData of the desired asset to buy (for more info: https://github.com/0xProject/0x-protocol-specification/blob/master/v2/v2-specification.md). + * @param orderFetcher An object that conforms to OrderFetcher, see type for definition. + * @param networkId The ethereum network id. Defaults to 1 (mainnet). + * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. + * Defaults to 10000ms (10s). + * @return An instance of AssetBuyer + */ + constructor( + provider: Provider, + assetData: string, + orderFetcher: OrderFetcher, + networkId: number = constants.MAINNET_NETWORK_ID, + orderRefreshIntervalMs: number = DEFAULT_ORDER_REFRESH_INTERVAL_MS, + ) { + assert.isWeb3Provider('provider', provider); + assert.isString('assetData', assetData); + assert.isValidOrderFetcher('orderFetcher', orderFetcher); + assert.isNumber('networkId', networkId); + assert.isNumber('orderRefreshIntervalMs', orderRefreshIntervalMs); + this.provider = provider; + this.assetData = assetData; + this.orderFetcher = orderFetcher; + this.networkId = networkId; + this.orderRefreshIntervalMs = orderRefreshIntervalMs; + this._contractWrappers = new ContractWrappers(this.provider, { + networkId, + }); + } + /** + * Get a BuyQuote containing all information relevant to fulfilling a buy. + * Pass the BuyQuote to executeBuyQuoteAsync to execute the buy. + * @param assetBuyAmount The amount of asset to buy. + * @param feePercentage The affiliate fee percentage. Defaults to 0. + * @param forceOrderRefresh If set to true, new orders and state will be fetched instead of waiting for + * the next orderRefreshIntervalMs. Defaults to false. + * @return An object that conforms to BuyQuote that satisfies the request. See type definition for more information. + */ + public async getBuyQuoteAsync( + assetBuyAmount: BigNumber, + feePercentage: number = DEFAULT_FEE_PERCENTAGE, + forceOrderRefresh: boolean = false, + ): Promise<BuyQuote> { + assert.isBigNumber('assetBuyAmount', assetBuyAmount); + assert.isNumber('feePercentage', feePercentage); + assert.isBoolean('forceOrderRefresh', forceOrderRefresh); + // we should refresh if: + // we do not have any orders OR + // we are forced to OR + // we have some last refresh time AND that time was sufficiently long ago + const shouldRefresh = + _.isUndefined(this._currentOrdersAndFillableAmountsIfExists) || + forceOrderRefresh || + (!_.isUndefined(this._lastRefreshTimeIfExists) && + this._lastRefreshTimeIfExists + this.orderRefreshIntervalMs < Date.now()); + let ordersAndFillableAmounts: AssetBuyerOrdersAndFillableAmounts; + if (shouldRefresh) { + ordersAndFillableAmounts = await this._getLatestOrdersAndFillableAmountsAsync(); + this._lastRefreshTimeIfExists = Date.now(); + this._currentOrdersAndFillableAmountsIfExists = ordersAndFillableAmounts; + } else { + // it is safe to cast to AssetBuyerOrdersAndFillableAmounts because shouldRefresh catches the undefined case above + ordersAndFillableAmounts = this + ._currentOrdersAndFillableAmountsIfExists as AssetBuyerOrdersAndFillableAmounts; + } + // TODO: optimization + // make the slippage percentage customizable by integrator + const buyQuote = buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + assetBuyAmount, + feePercentage, + SLIPPAGE_PERCENTAGE, + ); + return buyQuote; + } + /** + * Given a BuyQuote and desired rate, attempt to execute the buy. + * @param buyQuote An object that conforms to BuyQuote. See type definition for more information. + * @param rate The desired rate to execute the buy at. Affects the amount of ETH sent with the transaction, defaults to buyQuote.maxRate. + * @param takerAddress The address to perform the buy. Defaults to the first available address from the provider. + * @param feeRecipient The address where affiliate fees are sent. Defaults to null address (0x000...000). + * @return A promise of the txHash. + */ + public async executeBuyQuoteAsync( + buyQuote: BuyQuote, + rate?: BigNumber, + takerAddress?: string, + feeRecipient: string = constants.NULL_ADDRESS, + ): Promise<string> { + assert.isValidBuyQuote('buyQuote', buyQuote); + if (!_.isUndefined(rate)) { + assert.isBigNumber('rate', rate); + } + if (!_.isUndefined(takerAddress)) { + assert.isETHAddressHex('takerAddress', takerAddress); + } + assert.isETHAddressHex('feeRecipient', feeRecipient); + const { orders, feeOrders, feePercentage, assetBuyAmount, maxRate } = buyQuote; + // if no takerAddress is provided, try to get one from the provider + let finalTakerAddress; + if (!_.isUndefined(takerAddress)) { + finalTakerAddress = takerAddress; + } else { + const web3Wrapper = new Web3Wrapper(this.provider); + const availableAddresses = await web3Wrapper.getAvailableAddressesAsync(); + const firstAvailableAddress = _.head(availableAddresses); + if (!_.isUndefined(firstAvailableAddress)) { + finalTakerAddress = firstAvailableAddress; + } else { + throw new Error(AssetBuyerError.NoAddressAvailable); + } + } + // if no rate is provided, default to the maxRate from buyQuote + const desiredRate = rate || maxRate; + // calculate how much eth is required to buy assetBuyAmount at the desired rate + const ethAmount = assetBuyAmount.dividedToIntegerBy(desiredRate); + // TODO: critical + // update the forwarder wrapper to take in feePercentage as a number instead of a BigNumber, verify with Amir that this is being done correctly + const feePercentageBigNumber = !_.isUndefined(feePercentage) + ? Web3Wrapper.toBaseUnitAmount(new BigNumber(1), ETHER_TOKEN_DECIMALS).mul(feePercentage) + : constants.ZERO_AMOUNT; + const txHash = await this._contractWrappers.forwarder.marketBuyOrdersWithEthAsync( + orders, + assetBuyAmount, + finalTakerAddress, + ethAmount, + feeOrders, + feePercentageBigNumber, + feeRecipient, + ); + return txHash; + } + /** + * Ask the order fetcher for orders and process them. + */ + private async _getLatestOrdersAndFillableAmountsAsync(): Promise<AssetBuyerOrdersAndFillableAmounts> { + // find ether token asset data + const etherTokenAssetData = this._getEtherTokenAssetData(); + // find zrx token asset data + const zrxTokenAssetData = this._getZrxTokenAssetData(); + // construct order fetcher requests + const targetOrderFetcherRequest = { + makerAssetData: this.assetData, + takerAssetData: etherTokenAssetData, + networkId: this.networkId, + }; + const feeOrderFetcherRequest = { + makerAssetData: zrxTokenAssetData, + takerAssetData: etherTokenAssetData, + networkId: this.networkId, + }; + const requests = [targetOrderFetcherRequest, feeOrderFetcherRequest]; + // fetch orders and possible fillable amounts + const [targetOrderFetcherResponse, feeOrderFetcherResponse] = await Promise.all( + _.map(requests, async request => this.orderFetcher.fetchOrdersAsync(request)), + ); + // process the responses into one object + const ordersAndFillableAmounts = await orderFetcherResponseProcessor.processAsync( + targetOrderFetcherResponse, + feeOrderFetcherResponse, + zrxTokenAssetData, + this._contractWrappers.orderValidator, + ); + return ordersAndFillableAmounts; + } + /** + * Get the assetData that represents the WETH token. + * Will throw if WETH does not exist for the current network. + */ + private _getEtherTokenAssetData(): string { + const etherTokenAddressIfExists = this._contractWrappers.etherToken.getContractAddressIfExists(); + if (_.isUndefined(etherTokenAddressIfExists)) { + throw new Error(AssetBuyerError.NoEtherTokenContractFound); + } + const etherTokenAssetData = assetDataUtils.encodeERC20AssetData(etherTokenAddressIfExists); + return etherTokenAssetData; + } + /** + * Get the assetData that represents the ZRX token. + * Will throw if ZRX does not exist for the current network. + */ + private _getZrxTokenAssetData(): string { + let zrxTokenAssetData: string; + try { + zrxTokenAssetData = this._contractWrappers.exchange.getZRXAssetData(); + } catch (err) { + throw new Error(AssetBuyerError.NoZrxTokenContractFound); + } + return zrxTokenAssetData; + } +} diff --git a/packages/forwarder-helper/src/constants.ts b/packages/asset-buyer/src/constants.ts index 0ad30e4c0..5785e705b 100644 --- a/packages/forwarder-helper/src/constants.ts +++ b/packages/asset-buyer/src/constants.ts @@ -2,4 +2,6 @@ import { BigNumber } from '@0xproject/utils'; export const constants = { ZERO_AMOUNT: new BigNumber(0), + NULL_ADDRESS: '0x0000000000000000000000000000000000000000', + MAINNET_NETWORK_ID: 1, }; diff --git a/packages/forwarder-helper/src/globals.d.ts b/packages/asset-buyer/src/globals.d.ts index 94e63a32d..94e63a32d 100644 --- a/packages/forwarder-helper/src/globals.d.ts +++ b/packages/asset-buyer/src/globals.d.ts diff --git a/packages/asset-buyer/src/index.ts b/packages/asset-buyer/src/index.ts new file mode 100644 index 000000000..efd3523fd --- /dev/null +++ b/packages/asset-buyer/src/index.ts @@ -0,0 +1,15 @@ +export { Provider } from 'ethereum-types'; +export { SignedOrder } from '@0xproject/types'; +export { BigNumber } from '@0xproject/utils'; + +export { AssetBuyer } from './asset_buyer'; +export { ProvidedOrderFetcher } from './order_fetchers/provided_order_fetcher'; +export { StandardRelayerAPIOrderFetcher } from './order_fetchers/standard_relayer_api_order_fetcher'; +export { + AssetBuyerError, + BuyQuote, + OrderFetcher, + OrderFetcherRequest, + OrderFetcherResponse, + SignedOrderWithRemainingFillableMakerAssetAmount, +} from './types'; diff --git a/packages/asset-buyer/src/order_fetchers/provided_order_fetcher.ts b/packages/asset-buyer/src/order_fetchers/provided_order_fetcher.ts new file mode 100644 index 000000000..7a7ffcdfe --- /dev/null +++ b/packages/asset-buyer/src/order_fetchers/provided_order_fetcher.ts @@ -0,0 +1,32 @@ +import { schemas } from '@0xproject/json-schemas'; +import { SignedOrder } from '@0xproject/types'; +import * as _ from 'lodash'; + +import { OrderFetcher, OrderFetcherRequest, OrderFetcherResponse } from '../types'; +import { assert } from '../utils/assert'; + +export class ProvidedOrderFetcher implements OrderFetcher { + public readonly providedOrders: SignedOrder[]; + /** + * Instantiates a new ProvidedOrderFetcher instance + * @param providedOrders An array of objects that conform to SignedOrder to fetch from. + * @return An instance of ProvidedOrderFetcher + */ + constructor(providedOrders: SignedOrder[]) { + assert.doesConformToSchema('providedOrders', providedOrders, schemas.signedOrdersSchema); + this.providedOrders = providedOrders; + } + /** + * Given an object that conforms to OrderFetcherRequest, return the corresponding OrderFetcherResponse that satisfies the request. + * @param orderFetchRequest An instance of OrderFetcherRequest. See type for more information. + * @return An instance of OrderFetcherResponse. See type for more information. + */ + public async fetchOrdersAsync(orderFetchRequest: OrderFetcherRequest): Promise<OrderFetcherResponse> { + assert.isValidOrderFetcherRequest('orderFetchRequest', orderFetchRequest); + const { makerAssetData, takerAssetData } = orderFetchRequest; + const orders = _.filter(this.providedOrders, order => { + return order.makerAssetData === makerAssetData && order.takerAssetData === takerAssetData; + }); + return { orders }; + } +} diff --git a/packages/asset-buyer/src/order_fetchers/standard_relayer_api_order_fetcher.ts b/packages/asset-buyer/src/order_fetchers/standard_relayer_api_order_fetcher.ts new file mode 100644 index 000000000..3b082b68d --- /dev/null +++ b/packages/asset-buyer/src/order_fetchers/standard_relayer_api_order_fetcher.ts @@ -0,0 +1,78 @@ +import { APIOrder, HttpClient, OrderbookResponse } from '@0xproject/connect'; +import * as _ from 'lodash'; + +import { + AssetBuyerError, + OrderFetcher, + OrderFetcherRequest, + OrderFetcherResponse, + SignedOrderWithRemainingFillableMakerAssetAmount, +} from '../types'; +import { assert } from '../utils/assert'; +import { orderUtils } from '../utils/order_utils'; + +export class StandardRelayerAPIOrderFetcher implements OrderFetcher { + public readonly apiUrl: string; + private readonly _sraClient: HttpClient; + /** + * Given an array of APIOrder objects from a standard relayer api, return an array + * of SignedOrderWithRemainingFillableMakerAssetAmounts + */ + private static _getSignedOrderWithRemainingFillableMakerAssetAmountFromApi( + apiOrders: APIOrder[], + ): SignedOrderWithRemainingFillableMakerAssetAmount[] { + const result = _.map(apiOrders, apiOrder => { + const { order, metaData } = apiOrder; + // calculate remainingFillableMakerAssetAmount from api metadata, else assume order is completely fillable + const remainingFillableTakerAssetAmount = _.get( + metaData, + 'remainingTakerAssetAmount', + order.takerAssetAmount, + ); + const remainingFillableMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount( + order, + remainingFillableTakerAssetAmount, + ); + const newOrder = { + ...order, + remainingFillableMakerAssetAmount, + }; + return newOrder; + }); + return result; + } + /** + * Instantiates a new StandardRelayerAPIOrderFetcher instance + * @param apiUrl The standard relayer API base HTTP url you would like to source orders from. + * @return An instance of StandardRelayerAPIOrderFetcher + */ + constructor(apiUrl: string) { + assert.isWebUri('apiUrl', apiUrl); + this.apiUrl = apiUrl; + this._sraClient = new HttpClient(apiUrl); + } + /** + * Given an object that conforms to OrderFetcherRequest, return the corresponding OrderFetcherResponse that satisfies the request. + * @param orderFetchRequest An instance of OrderFetcherRequest. See type for more information. + * @return An instance of OrderFetcherResponse. See type for more information. + */ + public async fetchOrdersAsync(orderFetchRequest: OrderFetcherRequest): Promise<OrderFetcherResponse> { + assert.isValidOrderFetcherRequest('orderFetchRequest', orderFetchRequest); + const { makerAssetData, takerAssetData, networkId } = orderFetchRequest; + const orderbookRequest = { baseAssetData: makerAssetData, quoteAssetData: takerAssetData }; + const requestOpts = { networkId }; + let orderbook: OrderbookResponse; + try { + orderbook = await this._sraClient.getOrderbookAsync(orderbookRequest, requestOpts); + } catch (err) { + throw new Error(AssetBuyerError.StandardRelayerApiError); + } + const apiOrders = orderbook.asks.records; + const orders = StandardRelayerAPIOrderFetcher._getSignedOrderWithRemainingFillableMakerAssetAmountFromApi( + apiOrders, + ); + return { + orders, + }; + } +} diff --git a/packages/asset-buyer/src/types.ts b/packages/asset-buyer/src/types.ts new file mode 100644 index 000000000..0da30f48d --- /dev/null +++ b/packages/asset-buyer/src/types.ts @@ -0,0 +1,72 @@ +import { SignedOrder } from '@0xproject/types'; +import { BigNumber } from '@0xproject/utils'; + +/** + * makerAssetData: The assetData representing the desired makerAsset. + * takerAssetData: The assetData representing the desired takerAsset. + * networkId: The networkId that the desired orders should be for. + */ +export interface OrderFetcherRequest { + makerAssetData: string; + takerAssetData: string; + networkId: number; +} + +/** + * orders: An array of orders with optional remaining fillable makerAsset amounts. See type for more info. + */ +export interface OrderFetcherResponse { + orders: SignedOrderWithRemainingFillableMakerAssetAmount[]; +} + +/** + * A normal SignedOrder with one extra optional property `remainingFillableMakerAssetAmount` + * remainingFillableMakerAssetAmount: The amount of the makerAsset that is available to be filled + */ +export interface SignedOrderWithRemainingFillableMakerAssetAmount extends SignedOrder { + remainingFillableMakerAssetAmount?: BigNumber; +} +/** + * Given an OrderFetchRequest, get an OrderFetchResponse. + */ +export interface OrderFetcher { + fetchOrdersAsync: (orderFetchRequest: OrderFetcherRequest) => Promise<OrderFetcherResponse>; +} + +/** + * assetData: String that represents a specific asset (for more info: https://github.com/0xProject/0x-protocol-specification/blob/master/v2/v2-specification.md). + * orders: An array of objects conforming to SignedOrder. These orders can be used to cover the requested assetBuyAmount plus slippage. + * feeOrders: An array of objects conforming to SignedOrder. These orders can be used to cover the fees for the orders param above. + * minRate: Min rate that needs to be paid in order to execute the buy. + * maxRate: Max rate that can be paid in order to execute the buy. + * assetBuyAmount: The amount of asset to buy. + * feePercentage: Optional affiliate fee percentage used to calculate the eth amounts above. + */ +export interface BuyQuote { + assetData: string; + orders: SignedOrder[]; + feeOrders: SignedOrder[]; + minRate: BigNumber; + maxRate: BigNumber; + assetBuyAmount: BigNumber; + feePercentage?: number; +} + +/** + * Possible errors thrown by an AssetBuyer instance or associated static methods. + */ +export enum AssetBuyerError { + NoEtherTokenContractFound = 'NO_ETHER_TOKEN_CONTRACT_FOUND', + NoZrxTokenContractFound = 'NO_ZRX_TOKEN_CONTRACT_FOUND', + StandardRelayerApiError = 'STANDARD_RELAYER_API_ERROR', + InsufficientAssetLiquidity = 'INSUFFICIENT_ASSET_LIQUIDITY', + InsufficientZrxLiquidity = 'INSUFFICIENT_ZRX_LIQUIDITY', + NoAddressAvailable = 'NO_ADDRESS_AVAILABLE', +} + +export interface AssetBuyerOrdersAndFillableAmounts { + orders: SignedOrderWithRemainingFillableMakerAssetAmount[]; + feeOrders: SignedOrderWithRemainingFillableMakerAssetAmount[]; + remainingFillableMakerAssetAmounts: BigNumber[]; + remainingFillableFeeAmounts: BigNumber[]; +} diff --git a/packages/asset-buyer/src/utils/assert.ts b/packages/asset-buyer/src/utils/assert.ts new file mode 100644 index 000000000..edc90608c --- /dev/null +++ b/packages/asset-buyer/src/utils/assert.ts @@ -0,0 +1,44 @@ +import { assert as sharedAssert } from '@0xproject/assert'; +import { schemas } from '@0xproject/json-schemas'; +import { SignedOrder } from '@0xproject/types'; +import * as _ from 'lodash'; + +import { BuyQuote, OrderFetcher, OrderFetcherRequest } from '../types'; + +export const assert = { + ...sharedAssert, + isValidBuyQuote(variableName: string, buyQuote: BuyQuote): void { + sharedAssert.isHexString(`${variableName}.assetData`, buyQuote.assetData); + sharedAssert.doesConformToSchema(`${variableName}.orders`, buyQuote.orders, schemas.signedOrdersSchema); + sharedAssert.doesConformToSchema(`${variableName}.feeOrders`, buyQuote.feeOrders, schemas.signedOrdersSchema); + sharedAssert.isBigNumber(`${variableName}.minRate`, buyQuote.minRate); + sharedAssert.isBigNumber(`${variableName}.maxRate`, buyQuote.maxRate); + sharedAssert.isBigNumber(`${variableName}.assetBuyAmount`, buyQuote.assetBuyAmount); + if (!_.isUndefined(buyQuote.feePercentage)) { + sharedAssert.isNumber(`${variableName}.feePercentage`, buyQuote.feePercentage); + } + }, + isValidOrderFetcher(variableName: string, orderFetcher: OrderFetcher): void { + sharedAssert.isFunction(`${variableName}.fetchOrdersAsync`, orderFetcher.fetchOrdersAsync); + }, + isValidOrderFetcherRequest(variableName: string, orderFetcherRequest: OrderFetcherRequest): void { + sharedAssert.isHexString(`${variableName}.makerAssetData`, orderFetcherRequest.makerAssetData); + sharedAssert.isHexString(`${variableName}.takerAssetData`, orderFetcherRequest.takerAssetData); + sharedAssert.isNumber(`${variableName}.networkId`, orderFetcherRequest.networkId); + }, + areValidProvidedOrders(variableName: string, orders: SignedOrder[]): void { + if (orders.length === 0) { + return; + } + const makerAssetData = orders[0].makerAssetData; + const takerAssetData = orders[0].takerAssetData; + const filteredOrders = _.filter( + orders, + order => order.makerAssetData === makerAssetData && order.takerAssetData === takerAssetData, + ); + sharedAssert.assert( + orders.length === filteredOrders.length, + `Expected all orders in ${variableName} to have the same makerAssetData and takerAssetData.`, + ); + }, +}; diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts new file mode 100644 index 000000000..e05ab1e55 --- /dev/null +++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts @@ -0,0 +1,60 @@ +import { marketUtils } from '@0xproject/order-utils'; +import { BigNumber } from '@0xproject/utils'; + +import { constants } from '../constants'; +import { AssetBuyerError, AssetBuyerOrdersAndFillableAmounts, BuyQuote } from '../types'; + +export const buyQuoteCalculator = { + calculate( + ordersAndFillableAmounts: AssetBuyerOrdersAndFillableAmounts, + assetBuyAmount: BigNumber, + feePercentage: number, + slippagePercentage: number, + ): BuyQuote { + const { + orders, + feeOrders, + remainingFillableMakerAssetAmounts, + remainingFillableFeeAmounts, + } = ordersAndFillableAmounts; + const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round(); + const { resultOrders, remainingFillAmount } = 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, + }, + ); + 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 + return { + assetData, + orders: resultOrders, + feeOrders: resultFeeOrders, + minRate: constants.ZERO_AMOUNT, + maxRate: constants.ZERO_AMOUNT, + assetBuyAmount, + feePercentage, + }; + }, +}; diff --git a/packages/asset-buyer/src/utils/order_fetcher_response_processor.ts b/packages/asset-buyer/src/utils/order_fetcher_response_processor.ts new file mode 100644 index 000000000..f1116a80f --- /dev/null +++ b/packages/asset-buyer/src/utils/order_fetcher_response_processor.ts @@ -0,0 +1,184 @@ +import { OrderAndTraderInfo, OrderStatus, OrderValidatorWrapper } from '@0xproject/contract-wrappers'; +import { sortingUtils } from '@0xproject/order-utils'; +import { RemainingFillableCalculator } from '@0xproject/order-utils/lib/src/remaining_fillable_calculator'; +import { SignedOrder } from '@0xproject/types'; +import { BigNumber } from '@0xproject/utils'; +import * as _ from 'lodash'; + +import { constants } from '../constants'; +import { + AssetBuyerOrdersAndFillableAmounts, + OrderFetcherResponse, + SignedOrderWithRemainingFillableMakerAssetAmount, +} from '../types'; + +import { orderUtils } from './order_utils'; + +interface OrdersAndRemainingFillableMakerAssetAmounts { + orders: SignedOrder[]; + remainingFillableMakerAssetAmounts: BigNumber[]; +} + +export const orderFetcherResponseProcessor = { + /** + * Take the responses for the target orders to buy and fee orders and process them. + * Processing includes: + * - Drop orders that are expired or not open orders (null taker address) + * - If shouldValidateOnChain, attempt to grab fillable amounts from on-chain otherwise assume completely fillable + * - Sort by rate + */ + async processAsync( + targetOrderFetcherResponse: OrderFetcherResponse, + feeOrderFetcherResponse: OrderFetcherResponse, + zrxTokenAssetData: string, + orderValidator?: OrderValidatorWrapper, + ): Promise<AssetBuyerOrdersAndFillableAmounts> { + // drop orders that are expired or not open + const filteredTargetOrders = filterOutExpiredAndNonOpenOrders(targetOrderFetcherResponse.orders); + const filteredFeeOrders = filterOutExpiredAndNonOpenOrders(feeOrderFetcherResponse.orders); + // set the orders to be sorted equal to the filtered orders + let unsortedTargetOrders = filteredTargetOrders; + let unsortedFeeOrders = filteredFeeOrders; + // if an orderValidator is provided, use on chain information to calculate remaining fillable makerAsset amounts + if (!_.isUndefined(orderValidator)) { + // TODO: critical + // try catch these requests and throw a more domain specific error + // TODO: optimization + // reduce this to once RPC call buy combining orders into one array and then splitting up the response + const [targetOrdersAndTradersInfo, feeOrdersAndTradersInfo] = await Promise.all( + _.map([filteredTargetOrders, filteredFeeOrders], ordersToBeValidated => { + const takerAddresses = _.map(ordersToBeValidated, () => constants.NULL_ADDRESS); + return orderValidator.getOrdersAndTradersInfoAsync(ordersToBeValidated, takerAddresses); + }), + ); + // take orders + on chain information and find the valid orders and remaining fillable maker asset amounts + unsortedTargetOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain( + filteredTargetOrders, + targetOrdersAndTradersInfo, + zrxTokenAssetData, + ); + // take orders + on chain information and find the valid orders and remaining fillable maker asset amounts + unsortedFeeOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain( + filteredFeeOrders, + feeOrdersAndTradersInfo, + zrxTokenAssetData, + ); + } + // sort orders by rate + // TODO: optimization + // provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens + const sortedTargetOrders = sortingUtils.sortOrdersByFeeAdjustedRate(unsortedTargetOrders); + const sortedFeeOrders = sortingUtils.sortFeeOrdersByFeeAdjustedRate(unsortedFeeOrders); + // unbundle orders and fillable amounts and compile final result + const targetOrdersAndRemainingFillableMakerAssetAmounts = unbundleOrdersWithAmounts(sortedTargetOrders); + const feeOrdersAndRemainingFillableMakerAssetAmounts = unbundleOrdersWithAmounts(sortedFeeOrders); + return { + orders: targetOrdersAndRemainingFillableMakerAssetAmounts.orders, + feeOrders: feeOrdersAndRemainingFillableMakerAssetAmounts.orders, + remainingFillableMakerAssetAmounts: + targetOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts, + remainingFillableFeeAmounts: + feeOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts, + }; + }, +}; + +/** + * Given an array of orders, return a new array with expired and non open orders filtered out. + */ +function filterOutExpiredAndNonOpenOrders( + orders: SignedOrderWithRemainingFillableMakerAssetAmount[], +): SignedOrderWithRemainingFillableMakerAssetAmount[] { + const result = _.filter(orders, order => { + return orderUtils.isOpenOrder(order) && orderUtils.isOrderExpired(order); + }); + return result; +} + +/** + * Given an array of orders and corresponding on-chain infos, return a subset of the orders + * that are still fillable orders with their corresponding remainingFillableMakerAssetAmounts. + */ +function getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain( + inputOrders: SignedOrder[], + ordersAndTradersInfo: OrderAndTraderInfo[], + zrxAssetData: string, +): SignedOrderWithRemainingFillableMakerAssetAmount[] { + // iterate through the input orders and find the ones that are still fillable + // for the orders that are still fillable, calculate the remaining fillable maker asset amount + const result = _.reduce( + inputOrders, + (accOrders, order, index) => { + // get corresponding on-chain state for the order + const { orderInfo, traderInfo } = ordersAndTradersInfo[index]; + // if the order IS NOT fillable, do not add anything to the accumulations and continue iterating + if (orderInfo.orderStatus !== OrderStatus.FILLABLE) { + return accOrders; + } + // if the order IS fillable, add the order and calculate the remaining fillable amount + const transferrableAssetAmount = BigNumber.min([traderInfo.makerAllowance, traderInfo.makerBalance]); + const transferrableFeeAssetAmount = BigNumber.min([ + traderInfo.makerZrxAllowance, + traderInfo.makerZrxBalance, + ]); + const remainingTakerAssetAmount = order.takerAssetAmount.minus(orderInfo.orderTakerAssetFilledAmount); + const remainingMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount( + order, + remainingTakerAssetAmount, + ); + const remainingFillableCalculator = new RemainingFillableCalculator( + order.makerFee, + order.makerAssetAmount, + order.makerAssetData === zrxAssetData, + transferrableAssetAmount, + transferrableFeeAssetAmount, + remainingMakerAssetAmount, + ); + const remainingFillableAmount = remainingFillableCalculator.computeRemainingFillable(); + // if the order does not have any remaining fillable makerAsset, do not add anything to the accumulations and continue iterating + if (remainingFillableAmount.lte(constants.ZERO_AMOUNT)) { + return accOrders; + } + const orderWithRemainingFillableMakerAssetAmount = { + ...order, + remainingFillableMakerAssetAmount: remainingFillableAmount, + }; + const newAccOrders = _.concat(accOrders, orderWithRemainingFillableMakerAssetAmount); + return newAccOrders; + }, + [] as SignedOrderWithRemainingFillableMakerAssetAmount[], + ); + return result; +} + +/** + * Given an array of orders with remaining fillable maker asset amounts. Unbundle into an instance of OrdersAndRemainingFillableMakerAssetAmounts. + * If an order is missing a corresponding remainingFillableMakerAssetAmount, assume it is completely fillable. + */ +function unbundleOrdersWithAmounts( + ordersWithAmounts: SignedOrderWithRemainingFillableMakerAssetAmount[], +): OrdersAndRemainingFillableMakerAssetAmounts { + const result = _.reduce( + ordersWithAmounts, + (acc, orderWithAmount) => { + const { orders, remainingFillableMakerAssetAmounts } = acc; + const { remainingFillableMakerAssetAmount, ...order } = orderWithAmount; + // if we are still missing a remainingFillableMakerAssetAmount, assume the order is completely fillable + const newRemainingAmount = remainingFillableMakerAssetAmount || order.makerAssetAmount; + // if remaining amount is less than or equal to zero, do not add it + if (newRemainingAmount.lte(constants.ZERO_AMOUNT)) { + return acc; + } + const newAcc = { + orders: _.concat(orders, order), + remainingFillableMakerAssetAmounts: _.concat(remainingFillableMakerAssetAmounts, newRemainingAmount), + }; + return newAcc; + }, + { + orders: [] as SignedOrder[], + remainingFillableMakerAssetAmounts: [] as BigNumber[], + }, + ); + return result; +} diff --git a/packages/asset-buyer/src/utils/order_utils.ts b/packages/asset-buyer/src/utils/order_utils.ts new file mode 100644 index 000000000..bb0bdb80f --- /dev/null +++ b/packages/asset-buyer/src/utils/order_utils.ts @@ -0,0 +1,21 @@ +import { SignedOrder } from '@0xproject/types'; +import { BigNumber } from '@0xproject/utils'; + +import { constants } from '../constants'; + +export const orderUtils = { + isOrderExpired(order: SignedOrder): boolean { + const millisecondsInSecond = 1000; + const currentUnixTimestampSec = new BigNumber(Date.now() / millisecondsInSecond).round(); + return order.expirationTimeSeconds.lessThan(currentUnixTimestampSec); + }, + calculateRemainingMakerAssetAmount(order: SignedOrder, remainingTakerAssetAmount: BigNumber): BigNumber { + const result = remainingTakerAssetAmount.eq(0) + ? constants.ZERO_AMOUNT + : remainingTakerAssetAmount.times(order.makerAssetAmount).dividedToIntegerBy(order.takerAssetAmount); + return result; + }, + isOpenOrder(order: SignedOrder): boolean { + return order.takerAddress === constants.NULL_ADDRESS; + }, +}; diff --git a/packages/forwarder-helper/test/utils/chai_setup.ts b/packages/asset-buyer/test/utils/chai_setup.ts index 1a8733093..1a8733093 100644 --- a/packages/forwarder-helper/test/utils/chai_setup.ts +++ b/packages/asset-buyer/test/utils/chai_setup.ts diff --git a/packages/forwarder-helper/tsconfig.json b/packages/asset-buyer/tsconfig.json index 2ee711adc..2ee711adc 100644 --- a/packages/forwarder-helper/tsconfig.json +++ b/packages/asset-buyer/tsconfig.json diff --git a/packages/forwarder-helper/tslint.json b/packages/asset-buyer/tslint.json index ffaefe83a..ffaefe83a 100644 --- a/packages/forwarder-helper/tslint.json +++ b/packages/asset-buyer/tslint.json diff --git a/packages/forwarder-helper/typedoc-tsconfig.json b/packages/asset-buyer/typedoc-tsconfig.json index c9b0af1ae..c9b0af1ae 100644 --- a/packages/forwarder-helper/typedoc-tsconfig.json +++ b/packages/asset-buyer/typedoc-tsconfig.json diff --git a/packages/connect/src/http_client.ts b/packages/connect/src/http_client.ts index 87d5c30be..bdcfdd8d2 100644 --- a/packages/connect/src/http_client.ts +++ b/packages/connect/src/http_client.ts @@ -29,7 +29,7 @@ const TRAILING_SLASHES_REGEX = /\/+$/; /** * This class includes all the functionality related to interacting with a set of HTTP endpoints - * that implement the standard relayer API v0 + * that implement the standard relayer API v2 */ export class HttpClient implements Client { private readonly _apiEndpointUrl: string; diff --git a/packages/forwarder-helper/CHANGELOG.json b/packages/forwarder-helper/CHANGELOG.json deleted file mode 100644 index b505cb7d1..000000000 --- a/packages/forwarder-helper/CHANGELOG.json +++ /dev/null @@ -1,39 +0,0 @@ -[ - { - "timestamp": 1537265493, - "version": "1.0.2", - "changes": [ - { - "note": "Dependencies updated" - } - ] - }, - { - "timestamp": 1536142250, - "version": "1.0.1", - "changes": [ - { - "note": "Dependencies updated" - } - ] - }, - { - "version": "1.0.1-rc.2", - "changes": [ - { - "note": "Dependencies updated" - } - ], - "timestamp": 1535377027 - }, - { - "version": "1.0.1-rc.1", - "changes": [ - { - "note": "Add initial forwarderHelperFactory", - "pr": 997 - } - ], - "timestamp": 1535133899 - } -] diff --git a/packages/forwarder-helper/CHANGELOG.md b/packages/forwarder-helper/CHANGELOG.md deleted file mode 100644 index 23cba8f46..000000000 --- a/packages/forwarder-helper/CHANGELOG.md +++ /dev/null @@ -1,22 +0,0 @@ -<!-- -changelogUtils.file is auto-generated using the monorepo-scripts package. Don't edit directly. -Edit the package's CHANGELOG.json file only. ---> - -CHANGELOG - -## v1.0.2 - _September 18, 2018_ - - * Dependencies updated - -## v1.0.1 - _September 5, 2018_ - - * Dependencies updated - -## v1.0.1-rc.2 - _August 27, 2018_ - - * Dependencies updated - -## v1.0.1-rc.1 - _August 24, 2018_ - - * Add initial forwarderHelperFactory (#997) diff --git a/packages/forwarder-helper/src/forwarder_helper_factory.ts b/packages/forwarder-helper/src/forwarder_helper_factory.ts deleted file mode 100644 index 95f11f555..000000000 --- a/packages/forwarder-helper/src/forwarder_helper_factory.ts +++ /dev/null @@ -1,25 +0,0 @@ -import { assert } from '@0xproject/assert'; -import { schemas } from '@0xproject/json-schemas'; -import { SignedOrder } from '@0xproject/types'; - -import { ForwarderHelperImpl, ForwarderHelperImplConfig } from './forwarder_helper_impl'; -import { ForwarderHelper } from './types'; - -export const forwarderHelperFactory = { - /** - * Given an array of orders and an array of feeOrders - * @param orders An array of objects conforming to SignedOrder. Each order should specify the same makerAssetData and takerAssetData - * @param feeOrders An array of objects conforming to SignedOrder. Each order should specify ZRX as makerAssetData WETH as takerAssetData - * @return A ForwarderHelper, see type for definition - */ - getForwarderHelperForOrders(orders: SignedOrder[], feeOrders: SignedOrder[] = []): ForwarderHelper { - assert.doesConformToSchema('orders', orders, schemas.signedOrdersSchema); - assert.doesConformToSchema('feeOrders', orders, schemas.signedOrdersSchema); - const config: ForwarderHelperImplConfig = { - orders, - feeOrders, - }; - const helper = new ForwarderHelperImpl(config); - return helper; - }, -}; diff --git a/packages/forwarder-helper/src/forwarder_helper_impl.ts b/packages/forwarder-helper/src/forwarder_helper_impl.ts deleted file mode 100644 index a90edb0bb..000000000 --- a/packages/forwarder-helper/src/forwarder_helper_impl.ts +++ /dev/null @@ -1,64 +0,0 @@ -import { marketUtils } from '@0xproject/order-utils'; -import { SignedOrder } from '@0xproject/types'; -import { BigNumber } from '@0xproject/utils'; -import * as _ from 'lodash'; - -import { constants } from './constants'; -import { ForwarderHelper, ForwarderHelperError, MarketBuyOrdersInfo, MarketBuyOrdersInfoRequest } from './types'; -import { forwarderHelperImplConfigUtils } from './utils/forwarder_helper_impl_config_utils'; - -const SLIPPAGE_PERCENTAGE = new BigNumber(0.2); // 20% slippage protection, possibly move this into request interface - -export interface ForwarderHelperImplConfig { - orders: SignedOrder[]; - feeOrders: SignedOrder[]; - remainingFillableMakerAssetAmounts?: BigNumber[]; - remainingFillableFeeAmounts?: BigNumber[]; -} - -export class ForwarderHelperImpl implements ForwarderHelper { - public readonly config: ForwarderHelperImplConfig; - constructor(config: ForwarderHelperImplConfig) { - this.config = forwarderHelperImplConfigUtils.sortedConfig(config); - } - public getMarketBuyOrdersInfo(request: MarketBuyOrdersInfoRequest): MarketBuyOrdersInfo { - const { makerAssetFillAmount, feePercentage } = request; - const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = this.config; - // TODO: make the slippage percentage customizable - const slippageBufferAmount = makerAssetFillAmount.mul(SLIPPAGE_PERCENTAGE).round(); - const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount( - orders, - makerAssetFillAmount, - { - remainingFillableMakerAssetAmounts, - slippageBufferAmount, - }, - ); - if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) { - throw new Error(ForwarderHelperError.InsufficientMakerAssetLiquidity); - } - // TODO: 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, - }, - ); - if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) { - throw new Error(ForwarderHelperError.InsufficientZrxLiquidity); - } - // TODO: calculate min and max eth usage - // TODO: optimize orders call data - return { - makerAssetFillAmount, - orders: resultOrders, - feeOrders: resultFeeOrders, - minEthAmount: constants.ZERO_AMOUNT, - maxEthAmount: constants.ZERO_AMOUNT, - feePercentage, - }; - } -} diff --git a/packages/forwarder-helper/src/index.ts b/packages/forwarder-helper/src/index.ts deleted file mode 100644 index eb3a34bd5..000000000 --- a/packages/forwarder-helper/src/index.ts +++ /dev/null @@ -1,2 +0,0 @@ -export { forwarderHelperFactory } from './forwarder_helper_factory'; -export { ForwarderHelper, ForwarderHelperError, MarketBuyOrdersInfoRequest, MarketBuyOrdersInfo } from './types'; diff --git a/packages/forwarder-helper/src/types.ts b/packages/forwarder-helper/src/types.ts deleted file mode 100644 index fb171cc90..000000000 --- a/packages/forwarder-helper/src/types.ts +++ /dev/null @@ -1,43 +0,0 @@ -import { SignedOrder } from '@0xproject/types'; -import { BigNumber } from '@0xproject/utils'; - -export interface ForwarderHelper { - /** - * Given a MarketBuyOrdersInfoRequest, returns a MarketBuyOrdersInfo containing all information relevant to fulfilling the request - * using the ForwarderContract marketBuyOrdersWithEth function. - * @param request An object that conforms to MarketBuyOrdersInfoRequest. See type definition for more information. - * @return An object that conforms to MarketBuyOrdersInfo that satisfies the request. See type definition for more information. - */ - getMarketBuyOrdersInfo: (request: MarketBuyOrdersInfoRequest) => MarketBuyOrdersInfo; -} - -export enum ForwarderHelperError { - InsufficientMakerAssetLiquidity = 'INSUFFICIENT_MAKER_ASSET_LIQUIDITY', - InsufficientZrxLiquidity = 'INSUFFICIENT_ZRX_LIQUIDITY', -} - -/** - * makerAssetFillAmount: The amount of makerAsset requesting to be filled - * feePercentage: Optional affiliate percentage amount factoring into eth amount calculations - */ -export interface MarketBuyOrdersInfoRequest { - makerAssetFillAmount: BigNumber; - feePercentage?: BigNumber; -} - -/** - * makerAssetFillAmount: The amount of makerAsset requesting to be filled - * orders: An array of objects conforming to SignedOrder. These orders can be used to cover the requested makerAssetFillAmount plus slippage - * feeOrders: An array of objects conforming to SignedOrder. These orders can be used to cover the fees for the orders param above - * minEthAmount: Amount of eth in wei to send with the tx for the most optimistic case - * maxEthAmount: Amount of eth in wei to send with the tx for the worst case - * feePercentage: Affiliate fee percentage used to calculate the eth amounts above. Passed thru directly from the request - */ -export interface MarketBuyOrdersInfo { - makerAssetFillAmount: BigNumber; - orders: SignedOrder[]; - feeOrders: SignedOrder[]; - minEthAmount: BigNumber; - maxEthAmount: BigNumber; - feePercentage?: BigNumber; -} diff --git a/packages/forwarder-helper/src/utils/forwarder_helper_impl_config_utils.ts b/packages/forwarder-helper/src/utils/forwarder_helper_impl_config_utils.ts deleted file mode 100644 index 253384f65..000000000 --- a/packages/forwarder-helper/src/utils/forwarder_helper_impl_config_utils.ts +++ /dev/null @@ -1,92 +0,0 @@ -import { sortingUtils } from '@0xproject/order-utils'; -import { SignedOrder } from '@0xproject/types'; -import { BigNumber } from '@0xproject/utils'; -import * as _ from 'lodash'; - -import { ForwarderHelperImplConfig } from '../forwarder_helper_impl'; - -interface SignedOrderWithAmount extends SignedOrder { - remainingFillAmount: BigNumber; -} - -export const forwarderHelperImplConfigUtils = { - sortedConfig(config: ForwarderHelperImplConfig): ForwarderHelperImplConfig { - const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = config; - // TODO: provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens - const orderSorter = (ordersToSort: SignedOrder[]) => { - return sortingUtils.sortOrdersByFeeAdjustedRate(ordersToSort); - }; - const sortOrdersResult = sortOrdersAndRemainingFillAmounts( - orderSorter, - orders, - remainingFillableMakerAssetAmounts, - ); - const feeOrderSorter = (ordersToSort: SignedOrder[]) => { - return sortingUtils.sortFeeOrdersByFeeAdjustedRate(ordersToSort); - }; - const sortFeeOrdersResult = sortOrdersAndRemainingFillAmounts( - feeOrderSorter, - feeOrders, - remainingFillableFeeAmounts, - ); - return { - orders: sortOrdersResult.orders, - feeOrders: sortFeeOrdersResult.orders, - remainingFillableMakerAssetAmounts: sortOrdersResult.remainingFillAmounts, - remainingFillableFeeAmounts: sortFeeOrdersResult.remainingFillAmounts, - }; - }, -}; - -type OrderSorter = (orders: SignedOrder[]) => SignedOrder[]; - -function sortOrdersAndRemainingFillAmounts( - orderSorter: OrderSorter, - orders: SignedOrder[], - remainingFillAmounts?: BigNumber[], -): { orders: SignedOrder[]; remainingFillAmounts?: BigNumber[] } { - if (!_.isUndefined(remainingFillAmounts)) { - // Bundle orders together with their remainingFillAmounts so that we can sort them together - const orderWithAmounts = bundleSignedOrderWithAmounts(orders, remainingFillAmounts); - // Sort - const sortedOrderWithAmounts = orderSorter(orderWithAmounts) as SignedOrderWithAmount[]; - // Unbundle after sorting - const unbundledSortedOrderWithAmounts = unbundleSignedOrderWithAmounts(sortedOrderWithAmounts); - return { - orders: unbundledSortedOrderWithAmounts.orders, - remainingFillAmounts: unbundledSortedOrderWithAmounts.amounts, - }; - } else { - const sortedOrders = orderSorter(orders); - return { - orders: sortedOrders, - }; - } -} - -function bundleSignedOrderWithAmounts(orders: SignedOrder[], amounts: BigNumber[]): SignedOrderWithAmount[] { - const ordersAndAmounts = _.map(orders, (order, index) => { - return { - ...order, - remainingFillAmount: amounts[index], - }; - }); - return ordersAndAmounts; -} - -function unbundleSignedOrderWithAmounts( - signedOrderWithAmounts: SignedOrderWithAmount[], -): { orders: SignedOrder[]; amounts: BigNumber[] } { - const orders = _.map(signedOrderWithAmounts, order => { - const { remainingFillAmount, ...rest } = order; - return rest; - }); - const amounts = _.map(signedOrderWithAmounts, order => { - const { remainingFillAmount } = order; - return remainingFillAmount; - }); - return { - orders, - amounts, - }; -} diff --git a/packages/forwarder-helper/test/forwarder_helper_impl_test.ts b/packages/forwarder-helper/test/forwarder_helper_impl_test.ts deleted file mode 100644 index 3c3b6db92..000000000 --- a/packages/forwarder-helper/test/forwarder_helper_impl_test.ts +++ /dev/null @@ -1,136 +0,0 @@ -import { testOrderFactory } from '@0xproject/order-utils/lib/test/utils/test_order_factory'; -import { BigNumber } from '@0xproject/utils'; -import * as chai from 'chai'; -import * as _ from 'lodash'; -import 'mocha'; - -import { ForwarderHelperImpl, ForwarderHelperImplConfig } from '../src/forwarder_helper_impl'; -import { ForwarderHelperError } from '../src/types'; - -import { chaiSetup } from './utils/chai_setup'; - -chaiSetup.configure(); -const expect = chai.expect; - -describe('ForwarderHelperImpl', () => { - // rate: 2 takerAsset / makerAsset - const testOrder1 = testOrderFactory.generateTestSignedOrder({ - makerAssetAmount: new BigNumber(100), - takerAssetAmount: new BigNumber(200), - }); - // rate: 1 takerAsset / makerAsset - const testOrder2 = testOrderFactory.generateTestSignedOrder({ - makerAssetAmount: new BigNumber(100), - takerAssetAmount: new BigNumber(100), - }); - // rate: 3 takerAsset / makerAsset - const testOrder3 = testOrderFactory.generateTestSignedOrder({ - makerAssetAmount: new BigNumber(100), - takerAssetAmount: new BigNumber(300), - takerFee: new BigNumber(1), - }); - // rate: 3 WETH / ZRX - const testFeeOrder1 = testOrderFactory.generateTestSignedOrder({ - makerAssetAmount: new BigNumber(100), - takerAssetAmount: new BigNumber(300), - }); - // rate: 2 WETH / ZRX - const testFeeOrder2 = testOrderFactory.generateTestSignedOrder({ - makerAssetAmount: new BigNumber(100), - takerAssetAmount: new BigNumber(200), - }); - // rate: 1 WETH / ZRX - const testFeeOrder3 = testOrderFactory.generateTestSignedOrder({ - makerAssetAmount: new BigNumber(100), - takerAssetAmount: new BigNumber(100), - }); - const inputForwarderHelperConfig: ForwarderHelperImplConfig = { - orders: [testOrder1, testOrder2, testOrder3], - feeOrders: [testFeeOrder1, testFeeOrder2, testFeeOrder3], - remainingFillableMakerAssetAmounts: [new BigNumber(1), new BigNumber(2), new BigNumber(3)], - remainingFillableFeeAmounts: [new BigNumber(4), new BigNumber(5), new BigNumber(6)], - }; - describe('#constructor', () => { - const inputForwarderHelperConfigNoRemainingAmounts: ForwarderHelperImplConfig = { - orders: [testOrder1, testOrder2, testOrder3], - feeOrders: [testFeeOrder1, testFeeOrder2, testFeeOrder3], - }; - it('sorts orders', () => { - const forwarderHelper = new ForwarderHelperImpl(inputForwarderHelperConfig); - expect(forwarderHelper.config.orders).deep.equals([testOrder2, testOrder1, testOrder3]); - }); - it('sorts fee orders', () => { - const forwarderHelper = new ForwarderHelperImpl(inputForwarderHelperConfig); - expect(forwarderHelper.config.feeOrders).deep.equals([testFeeOrder3, testFeeOrder2, testFeeOrder1]); - }); - it('sorts remainingFillableMakerAssetAmounts', () => { - const forwarderHelper = new ForwarderHelperImpl(inputForwarderHelperConfig); - expect(forwarderHelper.config.remainingFillableMakerAssetAmounts).to.be.not.undefined(); - expect(_.nth(forwarderHelper.config.remainingFillableMakerAssetAmounts, 0)).to.bignumber.equal( - new BigNumber(2), - ); - expect(_.nth(forwarderHelper.config.remainingFillableMakerAssetAmounts, 1)).to.bignumber.equal( - new BigNumber(1), - ); - expect(_.nth(forwarderHelper.config.remainingFillableMakerAssetAmounts, 2)).to.bignumber.equal( - new BigNumber(3), - ); - }); - it('sorts remainingFillableFeeAmounts', () => { - const forwarderHelper = new ForwarderHelperImpl(inputForwarderHelperConfig); - expect(forwarderHelper.config.remainingFillableFeeAmounts).to.be.not.undefined(); - expect(_.nth(forwarderHelper.config.remainingFillableFeeAmounts, 0)).to.bignumber.equal(new BigNumber(6)); - expect(_.nth(forwarderHelper.config.remainingFillableFeeAmounts, 1)).to.bignumber.equal(new BigNumber(5)); - expect(_.nth(forwarderHelper.config.remainingFillableFeeAmounts, 2)).to.bignumber.equal(new BigNumber(4)); - }); - it('remainingFillableMakerAssetAmounts is undefined if none provided', () => { - const forwarderHelper = new ForwarderHelperImpl(inputForwarderHelperConfigNoRemainingAmounts); - expect(forwarderHelper.config.remainingFillableMakerAssetAmounts).to.be.undefined(); - }); - it('remainingFillableFeeAmounts is undefined if none provided', () => { - const forwarderHelper = new ForwarderHelperImpl(inputForwarderHelperConfigNoRemainingAmounts); - expect(forwarderHelper.config.remainingFillableFeeAmounts).to.be.undefined(); - }); - }); - describe('#getMarketBuyOrdersInfo', () => { - it('throws if not enough makerAsset liquidity', () => { - const forwarderHelper = new ForwarderHelperImpl(inputForwarderHelperConfig); - expect(() => { - // request for 6 makerAsset units, because we have exactly 6 available we should throw because there is a built in slippage buffer - forwarderHelper.getMarketBuyOrdersInfo({ - makerAssetFillAmount: new BigNumber(6), - }); - }).to.throw(ForwarderHelperError.InsufficientMakerAssetLiquidity); - }); - it('throws if not enough ZRX liquidity', () => { - const inputForwarderHelperConfigNoFees: ForwarderHelperImplConfig = { - orders: [testOrder1, testOrder2, testOrder3], - feeOrders: [], - }; - const forwarderHelper = new ForwarderHelperImpl(inputForwarderHelperConfigNoFees); - expect(() => { - // request for 4 makerAsset units, we need fees but no fee orders exist, show we should throw - forwarderHelper.getMarketBuyOrdersInfo({ - makerAssetFillAmount: new BigNumber(250), - }); - }).to.throw(ForwarderHelperError.InsufficientZrxLiquidity); - }); - it('passes the makerAssetFillAmount from the request to the info response', () => { - const forwarderHelper = new ForwarderHelperImpl(inputForwarderHelperConfig); - const makerAssetFillAmount = new BigNumber(4); - const info = forwarderHelper.getMarketBuyOrdersInfo({ - makerAssetFillAmount, - }); - expect(info.makerAssetFillAmount).to.bignumber.equal(makerAssetFillAmount); - }); - it('passes the feePercentage from the request to the info response', () => { - const forwarderHelper = new ForwarderHelperImpl(inputForwarderHelperConfig); - const feePercentage = new BigNumber(0.2); - const info = forwarderHelper.getMarketBuyOrdersInfo({ - makerAssetFillAmount: new BigNumber(4), - feePercentage, - }); - expect(info.feePercentage).to.bignumber.equal(feePercentage); - }); - }); -}); |