From bc5f8e52de9dfe920ce1d0e6b44c90a5a5826cbe Mon Sep 17 00:00:00 2001 From: Brandon Millman Date: Thu, 2 Aug 2018 15:47:29 -0700 Subject: Change orderStates param name to remaingFillableMakerAssetAmounts --- packages/order-utils/src/market_utils.ts | 85 ++++++++++++++-------- packages/order-utils/test/market_utils_test.ts | 43 +++-------- .../order-utils/test/utils/test_order_factory.ts | 32 +------- 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> = [ - { - 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 { return transformObject(BASE_TEST_SIGNED_ORDER, partialOrder); }, generateTestSignedOrders(partialOrder: Partial, numOrders: number): SignedOrder[] { - const baseTestOrders = generateArrayOfInput(BASE_TEST_SIGNED_ORDER, numOrders); - return transformObjects(baseTestOrders, partialOrder); - }, - generateTestOrderRelevantState(partialOrderRelevantState: Partial): OrderRelevantState { - return transformObject(BASE_TEST_ORDER_RELEVANT_STATE, partialOrderRelevantState); - }, - generateTestOrderRelevantStates( - partialOrderRelevantState: Partial, - 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(input: T, rangeLength: number): T[] { - return _.map(_.range(rangeLength), () => input); -} function transformObject(input: T, transformation: Partial): T { const copy = _.cloneDeep(input); return _.assign(copy, transformation); } -function transformObjects(inputs: T[], transformation: Partial): T[] { - return _.map(inputs, input => transformObject(input, transformation)); -} -- cgit v1.2.3