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-rw-r--r--packages/forwarder-helper/package.json15
-rw-r--r--packages/forwarder-helper/src/forwarder_helper_impl.ts94
-rw-r--r--packages/order-utils/CHANGELOG.json3
-rw-r--r--packages/order-utils/src/sorting_utils.ts2
-rw-r--r--packages/order-utils/test/market_utils_test.ts24
5 files changed, 100 insertions, 38 deletions
diff --git a/packages/forwarder-helper/package.json b/packages/forwarder-helper/package.json
index e79154a52..d5f6c52b6 100644
--- a/packages/forwarder-helper/package.json
+++ b/packages/forwarder-helper/package.json
@@ -15,21 +15,22 @@
"test:coverage": "nyc npm run test --all && yarn coverage:report:lcov",
"coverage:report:lcov": "nyc report --reporter=text-lcov > coverage/lcov.info",
"test:circleci": "yarn test:coverage",
- "run_mocha":
- "mocha --require source-map-support/register --require make-promises-safe lib/test/**/*_test.js --exit",
+ "run_mocha": "mocha --require source-map-support/register --require make-promises-safe lib/test/**/*_test.js --exit",
"clean": "shx rm -rf lib test_temp scripts",
"build": "tsc && copyfiles -u 3 './lib/src/monorepo_scripts/**/*' ./scripts",
"manual:postpublish": "yarn build; node ./scripts/postpublish.js",
"docs:stage": "node scripts/stage_docs.js",
"docs:json": "typedoc --excludePrivate --excludeExternals --target ES5 --json $JSON_FILE_PATH $PROJECT_FILES",
- "upload_docs_json":
- "aws s3 cp generated_docs/index.json $S3_URL --profile 0xproject --grants read=uri=http://acs.amazonaws.com/groups/global/AllUsers --content-type application/json"
+ "upload_docs_json": "aws s3 cp generated_docs/index.json $S3_URL --profile 0xproject --grants read=uri=http://acs.amazonaws.com/groups/global/AllUsers --content-type application/json"
},
"config": {
"postpublish": {
"assets": [],
"docPublishConfigs": {
- "extraFileIncludes": ["../types/src/index.ts", "../ethereum-types/src/index.ts"],
+ "extraFileIncludes": [
+ "../types/src/index.ts",
+ "../ethereum-types/src/index.ts"
+ ],
"s3BucketPath": "s3://doc-jsons/forwarder-helper/",
"s3StagingBucketPath": "s3://staging-doc-jsons/forwarder-helper/"
}
@@ -50,11 +51,13 @@
"@0xproject/types": "^1.0.1-rc.4",
"@0xproject/typescript-typings": "^1.0.4",
"@0xproject/utils": "^1.0.5",
- "@types/node": "^8.0.53"
+ "@types/node": "^8.0.53",
+ "lodash": "^4.17.10"
},
"devDependencies": {
"@0xproject/monorepo-scripts": "^1.0.5",
"@0xproject/tslint-config": "^1.0.5",
+ "@types/lodash": "^4.14.116",
"@types/mocha": "^2.2.42",
"chai": "^4.0.1",
"chai-as-promised": "^7.1.0",
diff --git a/packages/forwarder-helper/src/forwarder_helper_impl.ts b/packages/forwarder-helper/src/forwarder_helper_impl.ts
index 0d03c9f76..8f4ec1c02 100644
--- a/packages/forwarder-helper/src/forwarder_helper_impl.ts
+++ b/packages/forwarder-helper/src/forwarder_helper_impl.ts
@@ -1,37 +1,93 @@
-import { marketUtils } from '@0xproject/order-utils';
+import { marketUtils, sortingUtils } 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';
const SLIPPAGE_PERCENTAGE = new BigNumber(0.2); // 20% slippage protection, possibly move this into request interface
+interface SignedOrderWithAmount extends SignedOrder {
+ remainingFillAmount?: BigNumber;
+}
+
+export interface ForwarderHelperImplConfig {
+ orders: SignedOrder[];
+ feeOrders: SignedOrder[];
+ remainingFillableMakerAssetAmounts?: BigNumber[];
+ remainingFillableFeeAmounts?: BigNumber[];
+}
+
export class ForwarderHelperImpl implements ForwarderHelper {
- private _orders: SignedOrder[];
- private _feeOrders: SignedOrder[];
- private _remainingFillableMakerAssetAmountsIfExists?: BigNumber[];
- private _remainingFillableFeeAmountsIfExists?: BigNumber[];
- constructor(
+ private _config: ForwarderHelperImplConfig;
+ private static _createSignedOrderWithAmounts(
orders: SignedOrder[],
- feeOrders: SignedOrder[] = [] as SignedOrder[],
- remainingFillableMakerAssetAmounts?: BigNumber[],
- remainingFillableFeeAmounts?: BigNumber[],
- ) {
- this._orders = orders;
- this._feeOrders = feeOrders;
- this._remainingFillableMakerAssetAmountsIfExists = remainingFillableMakerAssetAmounts;
- this._remainingFillableFeeAmountsIfExists = remainingFillableFeeAmounts;
+ amounts?: BigNumber[],
+ ): SignedOrderWithAmount[] {
+ const ordersAndAmounts = _.map(orders, (order, index) => {
+ return {
+ ...order,
+ remainingFillAmount: _.nth(amounts, index),
+ };
+ });
+ return ordersAndAmounts;
+ }
+ private static _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, ...rest } = order;
+ return remainingFillAmount;
+ });
+ const compactAmounts = _.compact(amounts);
+ return {
+ orders,
+ amounts: compactAmounts.length > 0 ? compactAmounts : undefined,
+ };
+ }
+ private static _sortConfig(opts: ForwarderHelperImplConfig): ForwarderHelperImplConfig {
+ const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = opts;
+ const orderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts(
+ orders,
+ remainingFillableMakerAssetAmounts,
+ );
+ const sortedOrderWithAmounts = sortingUtils.sortOrdersByFeeAdjustedRate(orderWithAmounts);
+ const unbundledSortedOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts(
+ sortedOrderWithAmounts,
+ );
+ const feeOrderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts(
+ feeOrders,
+ remainingFillableFeeAmounts,
+ );
+ const sortedFeeOrderWithAmounts = sortingUtils.sortFeeOrdersByFeeAdjustedRate(feeOrderWithAmounts);
+ const unbundledSortedFeeOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts(
+ sortedFeeOrderWithAmounts,
+ );
+ return {
+ orders: unbundledSortedOrderWithAmounts.orders,
+ feeOrders: unbundledSortedFeeOrderWithAmounts.orders,
+ remainingFillableMakerAssetAmounts: unbundledSortedOrderWithAmounts.amounts,
+ remainingFillableFeeAmounts: unbundledSortedFeeOrderWithAmounts.amounts,
+ };
+ }
+ constructor(opts: ForwarderHelperImplConfig) {
+ this._config = ForwarderHelperImpl._sortConfig(opts);
}
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);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
- this._orders,
+ orders,
makerAssetFillAmount,
{
- remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists,
+ remainingFillableMakerAssetAmounts,
slippageBufferAmount,
},
);
@@ -42,10 +98,10 @@ export class ForwarderHelperImpl implements ForwarderHelper {
// finding order that cover all fees, this will help with estimating ETH and minimizing gas usage
const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
resultOrders,
- this._feeOrders,
+ feeOrders,
{
- remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists,
- remainingFillableFeeAmounts: this._remainingFillableFeeAmountsIfExists,
+ remainingFillableMakerAssetAmounts,
+ remainingFillableFeeAmounts,
},
);
if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
diff --git a/packages/order-utils/CHANGELOG.json b/packages/order-utils/CHANGELOG.json
index 4acb3d233..c4260bc2f 100644
--- a/packages/order-utils/CHANGELOG.json
+++ b/packages/order-utils/CHANGELOG.json
@@ -18,6 +18,9 @@
{
"note":
"Rename `resultOrders` to `resultFeeOrders` for object returned by `findFeeOrdersThatCoverFeesForTargetOrders` in `marketUtils` api"
+ },
+ {
+ "note": "Make `sortFeeOrdersByFeeAdjustedRate` in `sortingUtils` generic"
}
]
},
diff --git a/packages/order-utils/src/sorting_utils.ts b/packages/order-utils/src/sorting_utils.ts
index 8811bcaf8..cd5163cf6 100644
--- a/packages/order-utils/src/sorting_utils.ts
+++ b/packages/order-utils/src/sorting_utils.ts
@@ -32,7 +32,7 @@ export const sortingUtils = {
* the makerAsset and WETH as the takerAsset.
* @return The input orders sorted by rate in ascending order
*/
- sortFeeOrdersByFeeAdjustedRate(feeOrders: Order[]): Order[] {
+ sortFeeOrdersByFeeAdjustedRate<T extends Order>(feeOrders: T[]): T[] {
assert.doesConformToSchema('feeOrders', feeOrders, schemas.ordersSchema);
const rateCalculator = rateUtils.getFeeAdjustedRateOfFeeOrder.bind(rateUtils);
const sortedOrders = sortOrders(feeOrders, rateCalculator);
diff --git a/packages/order-utils/test/market_utils_test.ts b/packages/order-utils/test/market_utils_test.ts
index 109420a02..0c0151e57 100644
--- a/packages/order-utils/test/market_utils_test.ts
+++ b/packages/order-utils/test/market_utils_test.ts
@@ -139,11 +139,11 @@ describe('marketUtils', () => {
);
describe('no target orders', () => {
it('returns empty and zero remainingFeeAmount', async () => {
- const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
+ const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
[],
inputFeeOrders,
);
- expect(resultOrders).to.be.empty;
+ expect(resultFeeOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
@@ -162,14 +162,14 @@ describe('marketUtils', () => {
// generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
it('returns empty and non-zero remainingFeeAmount', async () => {
- const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
+ const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
[],
{
remainingFillableMakerAssetAmounts,
},
);
- expect(resultOrders).to.be.empty;
+ expect(resultFeeOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
});
});
@@ -183,11 +183,11 @@ describe('marketUtils', () => {
3,
);
it('returns empty and zero remainingFeeAmount', async () => {
- const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
+ const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
inputFeeOrders,
);
- expect(resultOrders).to.be.empty;
+ expect(resultFeeOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
@@ -204,11 +204,11 @@ describe('marketUtils', () => {
3,
);
it('returns input fee orders and zero remainingFeeAmount', async () => {
- const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
+ const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
inputFeeOrders,
);
- expect(resultOrders).to.be.deep.equal(inputFeeOrders);
+ expect(resultFeeOrders).to.be.deep.equal(inputFeeOrders);
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
@@ -230,14 +230,14 @@ describe('marketUtils', () => {
// 3. order is completely fillable
const remainingFillableMakerAssetAmounts = [constants.ZERO_AMOUNT, new BigNumber(5), makerAssetAmount];
it('returns first two input fee orders and zero remainingFeeAmount', async () => {
- const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
+ const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
inputFeeOrders,
{
remainingFillableMakerAssetAmounts,
},
);
- expect(resultOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]);
+ expect(resultFeeOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]);
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
@@ -254,11 +254,11 @@ describe('marketUtils', () => {
3,
);
it('returns input fee orders and non-zero remainingFeeAmount', async () => {
- const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
+ const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
inputFeeOrders,
);
- expect(resultOrders).to.be.deep.equal(inputFeeOrders);
+ expect(resultFeeOrders).to.be.deep.equal(inputFeeOrders);
expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
});
});
generated by cgit v1.2.3 (git 2.25.1) at 2024-11-02 22:45:05 +0800