From 0c91b66f45f0a6ec08cdfe6f2430f00c1291feb9 Mon Sep 17 00:00:00 2001 From: Leonid Logvinov Date: Mon, 13 Nov 2017 17:58:41 -0500 Subject: Add remainingFillableMakerAmount to types --- packages/0x.js/src/types.ts | 1 + 1 file changed, 1 insertion(+) (limited to 'packages/0x.js') diff --git a/packages/0x.js/src/types.ts b/packages/0x.js/src/types.ts index 11683378f..da1971387 100644 --- a/packages/0x.js/src/types.ts +++ b/packages/0x.js/src/types.ts @@ -490,6 +490,7 @@ export interface OrderRelevantState { filledTakerTokenAmount: BigNumber; canceledTakerTokenAmount: BigNumber; remainingFillableMakerTokenAmount: BigNumber; + remainingFillableTakerTokenAmount: BigNumber; } export interface OrderStateValid { -- cgit v1.2.3 From 315e4015de71c0b829ffd20e991108084bfc7bda Mon Sep 17 00:00:00 2001 From: Leonid Logvinov Date: Mon, 13 Nov 2017 17:59:18 -0500 Subject: Return remainingFillableTakerAmount --- packages/0x.js/src/utils/order_state_utils.ts | 4 ++++ 1 file changed, 4 insertions(+) (limited to 'packages/0x.js') diff --git a/packages/0x.js/src/utils/order_state_utils.ts b/packages/0x.js/src/utils/order_state_utils.ts index f82601cae..cc4933d39 100644 --- a/packages/0x.js/src/utils/order_state_utils.ts +++ b/packages/0x.js/src/utils/order_state_utils.ts @@ -78,6 +78,9 @@ export class OrderStateUtils { .dividedToIntegerBy(totalTakerTokenAmount); const fillableMakerTokenAmount = BigNumber.min([makerProxyAllowance, makerBalance]); const remainingFillableMakerTokenAmount = BigNumber.min(fillableMakerTokenAmount, remainingMakerTokenAmount); + const remainingFillableTakerTokenAmount = remainingFillableMakerTokenAmount + .times(totalTakerTokenAmount) + .dividedToIntegerBy(totalMakerTokenAmount); // TODO: Handle edge case where maker token is ZRX with fee const orderRelevantState = { makerBalance, @@ -87,6 +90,7 @@ export class OrderStateUtils { filledTakerTokenAmount, canceledTakerTokenAmount, remainingFillableMakerTokenAmount, + remainingFillableTakerTokenAmount, }; return orderRelevantState; } -- cgit v1.2.3 From f936363440bce82f544dc50b41056e09c5bcc9fd Mon Sep 17 00:00:00 2001 From: Leonid Logvinov Date: Mon, 13 Nov 2017 18:09:18 -0500 Subject: Add validation for rounding error --- packages/0x.js/src/utils/order_state_utils.ts | 7 +++++++ 1 file changed, 7 insertions(+) (limited to 'packages/0x.js') diff --git a/packages/0x.js/src/utils/order_state_utils.ts b/packages/0x.js/src/utils/order_state_utils.ts index cc4933d39..21d842a77 100644 --- a/packages/0x.js/src/utils/order_state_utils.ts +++ b/packages/0x.js/src/utils/order_state_utils.ts @@ -117,6 +117,13 @@ export class OrderStateUtils { throw new Error(ExchangeContractErrs.InsufficientMakerFeeAllowance); } } + const minimumFillableTakerTokenAmountWithingNoRoundingErrorRange = signedOrder.takerTokenAmount + .times(1000) + .dividedBy(signedOrder.makerTokenAmount); + if (orderRelevantState.remainingFillableTakerTokenAmount + .lessThan(minimumFillableTakerTokenAmountWithingNoRoundingErrorRange)) { + throw new Error(ExchangeContractErrs.OrderFillRoundingError); + } // TODO Add linear function solver when maker token is ZRX #badass // Return the max amount that's fillable } -- cgit v1.2.3 From 33f479c27187f63035d28f2ed76d5a308f0dcc71 Mon Sep 17 00:00:00 2001 From: Leonid Logvinov Date: Mon, 13 Nov 2017 18:10:00 -0500 Subject: Add assertions for fillableTakerAmount --- packages/0x.js/test/order_state_watcher_test.ts | 154 +++++++++++++----------- 1 file changed, 82 insertions(+), 72 deletions(-) (limited to 'packages/0x.js') diff --git a/packages/0x.js/test/order_state_watcher_test.ts b/packages/0x.js/test/order_state_watcher_test.ts index c8a4a8064..8236a6d6b 100644 --- a/packages/0x.js/test/order_state_watcher_test.ts +++ b/packages/0x.js/test/order_state_watcher_test.ts @@ -215,6 +215,8 @@ describe('OrderStateWatcher', () => { const remainingFillable = fillableAmount.minus(fillAmountInBaseUnits); expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal( remainingFillable); + expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal( + remainingFillable); expect(orderRelevantState.makerBalance).to.be.bignumber.equal(remainingMakerBalance); if (eventCount === 2) { done(); @@ -227,84 +229,92 @@ describe('OrderStateWatcher', () => { ); })().catch(done); }); - describe('remainingFillableMakerTokenAmount', () => { - it('should calculate correct remaining fillable', (done: DoneCallback) => { - (async () => { - const takerFillableAmount = new BigNumber(10); - const makerFillableAmount = new BigNumber(20); - signedOrder = await fillScenarios.createAsymmetricFillableSignedOrderAsync( - makerToken.address, takerToken.address, maker, taker, makerFillableAmount, takerFillableAmount); - const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker); - const takerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, taker); - const fillAmountInBaseUnits = new BigNumber(2); - const orderHash = ZeroEx.getOrderHashHex(signedOrder); - zeroEx.orderStateWatcher.addOrder(signedOrder); - let eventCount = 0; - const callback = reportCallbackErrors(done)((orderState: OrderState) => { - eventCount++; - expect(orderState.isValid).to.be.true(); - const validOrderState = orderState as OrderStateValid; - expect(validOrderState.orderHash).to.be.equal(orderHash); - const orderRelevantState = validOrderState.orderRelevantState; - expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal( - new BigNumber(16)); - if (eventCount === 2) { - done(); - } - }); - zeroEx.orderStateWatcher.subscribe(callback); - const shouldThrowOnInsufficientBalanceOrAllowance = true; - await zeroEx.exchange.fillOrderAsync( - signedOrder, fillAmountInBaseUnits, shouldThrowOnInsufficientBalanceOrAllowance, taker, - ); - })().catch(done); - }); - it('should equal approved amount when approved amount is lowest', (done: DoneCallback) => { - (async () => { - signedOrder = await fillScenarios.createFillableSignedOrderAsync( - makerToken.address, takerToken.address, maker, taker, fillableAmount, - ); + describe('remainingFillable(M|T)akerTokenAmount', () => { + it('should calculate correct remaining fillable', (done: DoneCallback) => { + (async () => { + const takerFillableAmount = new BigNumber(10); + const makerFillableAmount = new BigNumber(20); + signedOrder = await fillScenarios.createAsymmetricFillableSignedOrderAsync( + makerToken.address, takerToken.address, maker, taker, makerFillableAmount, + takerFillableAmount, + ); + const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker); + const takerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, taker); + const fillAmountInBaseUnits = new BigNumber(2); + const orderHash = ZeroEx.getOrderHashHex(signedOrder); + zeroEx.orderStateWatcher.addOrder(signedOrder); + let eventCount = 0; + const callback = reportCallbackErrors(done)((orderState: OrderState) => { + eventCount++; + expect(orderState.isValid).to.be.true(); + const validOrderState = orderState as OrderStateValid; + expect(validOrderState.orderHash).to.be.equal(orderHash); + const orderRelevantState = validOrderState.orderRelevantState; + expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal( + new BigNumber(16)); + expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal( + new BigNumber(8)); + if (eventCount === 2) { + done(); + } + }); + zeroEx.orderStateWatcher.subscribe(callback); + const shouldThrowOnInsufficientBalanceOrAllowance = true; + await zeroEx.exchange.fillOrderAsync( + signedOrder, fillAmountInBaseUnits, shouldThrowOnInsufficientBalanceOrAllowance, taker, + ); + })().catch(done); + }); + it('should equal approved amount when approved amount is lowest', (done: DoneCallback) => { + (async () => { + signedOrder = await fillScenarios.createFillableSignedOrderAsync( + makerToken.address, takerToken.address, maker, taker, fillableAmount, + ); - const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker); + const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker); - const changedMakerApprovalAmount = new BigNumber(3); - zeroEx.orderStateWatcher.addOrder(signedOrder); + const changedMakerApprovalAmount = new BigNumber(3); + zeroEx.orderStateWatcher.addOrder(signedOrder); - const callback = reportCallbackErrors(done)((orderState: OrderState) => { - const validOrderState = orderState as OrderStateValid; - const orderRelevantState = validOrderState.orderRelevantState; - expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal( - changedMakerApprovalAmount); - done(); - }); - zeroEx.orderStateWatcher.subscribe(callback); - await zeroEx.token.setProxyAllowanceAsync(makerToken.address, maker, changedMakerApprovalAmount); - })().catch(done); - }); - it('should equal balance amount when balance amount is lowest', (done: DoneCallback) => { - (async () => { - signedOrder = await fillScenarios.createFillableSignedOrderAsync( - makerToken.address, takerToken.address, maker, taker, fillableAmount, - ); + const callback = reportCallbackErrors(done)((orderState: OrderState) => { + const validOrderState = orderState as OrderStateValid; + const orderRelevantState = validOrderState.orderRelevantState; + expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal( + changedMakerApprovalAmount); + expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal( + changedMakerApprovalAmount); + done(); + }); + zeroEx.orderStateWatcher.subscribe(callback); + await zeroEx.token.setProxyAllowanceAsync(makerToken.address, maker, changedMakerApprovalAmount); + })().catch(done); + }); + it('should equal balance amount when balance amount is lowest', (done: DoneCallback) => { + (async () => { + signedOrder = await fillScenarios.createFillableSignedOrderAsync( + makerToken.address, takerToken.address, maker, taker, fillableAmount, + ); - const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker); + const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker); - const remainingAmount = new BigNumber(1); - const transferAmount = makerBalance.sub(remainingAmount); - zeroEx.orderStateWatcher.addOrder(signedOrder); + const remainingAmount = new BigNumber(1); + const transferAmount = makerBalance.sub(remainingAmount); + zeroEx.orderStateWatcher.addOrder(signedOrder); - const callback = reportCallbackErrors(done)((orderState: OrderState) => { - const validOrderState = orderState as OrderStateValid; - const orderRelevantState = validOrderState.orderRelevantState; - expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal( - remainingAmount); - done(); - }); - zeroEx.orderStateWatcher.subscribe(callback); - await zeroEx.token.transferAsync( - makerToken.address, maker, ZeroEx.NULL_ADDRESS, transferAmount); - })().catch(done); - }); + const callback = reportCallbackErrors(done)((orderState: OrderState) => { + const validOrderState = orderState as OrderStateValid; + const orderRelevantState = validOrderState.orderRelevantState; + expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal( + remainingAmount); + expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal( + remainingAmount); + done(); + }); + zeroEx.orderStateWatcher.subscribe(callback); + await zeroEx.token.transferAsync( + makerToken.address, maker, ZeroEx.NULL_ADDRESS, transferAmount); + })().catch(done); + }); }); it('should emit orderStateInvalid when watched order cancelled', (done: DoneCallback) => { (async () => { -- cgit v1.2.3 From 02bbcf6b0e87925154d486ef9540c13e2a181a1c Mon Sep 17 00:00:00 2001 From: Leonid Logvinov Date: Mon, 13 Nov 2017 18:57:38 -0500 Subject: Add a test for rounding error --- packages/0x.js/test/order_state_watcher_test.ts | 23 +++++++++++++++++++++++ 1 file changed, 23 insertions(+) (limited to 'packages/0x.js') diff --git a/packages/0x.js/test/order_state_watcher_test.ts b/packages/0x.js/test/order_state_watcher_test.ts index 8236a6d6b..b7b5842c9 100644 --- a/packages/0x.js/test/order_state_watcher_test.ts +++ b/packages/0x.js/test/order_state_watcher_test.ts @@ -337,6 +337,29 @@ describe('OrderStateWatcher', () => { await zeroEx.exchange.cancelOrderAsync(signedOrder, fillableAmount); })().catch(done); }); + it('should emit orderStateInvalid when within rounding error range', (done: DoneCallback) => { + (async () => { + const fillableAmountInBaseUnits = new BigNumber(10).pow(18); + const remainingFillableAmountInBaseUnits = new BigNumber(10).pow(2); + signedOrder = await fillScenarios.createFillableSignedOrderAsync( + makerToken.address, takerToken.address, maker, taker, fillableAmountInBaseUnits, + ); + const orderHash = ZeroEx.getOrderHashHex(signedOrder); + zeroEx.orderStateWatcher.addOrder(signedOrder); + + const callback = reportCallbackErrors(done)((orderState: OrderState) => { + expect(orderState.isValid).to.be.false(); + const invalidOrderState = orderState as OrderStateInvalid; + expect(invalidOrderState.orderHash).to.be.equal(orderHash); + expect(invalidOrderState.error).to.be.equal(ExchangeContractErrs.OrderFillRoundingError); + done(); + }); + zeroEx.orderStateWatcher.subscribe(callback); + await zeroEx.exchange.cancelOrderAsync( + signedOrder, fillableAmountInBaseUnits.minus(remainingFillableAmountInBaseUnits), + ); + })().catch(done); + }); it('should emit orderStateValid when watched order partially cancelled', (done: DoneCallback) => { (async () => { signedOrder = await fillScenarios.createFillableSignedOrderAsync( -- cgit v1.2.3 From 24493a4556ab4cae07dabf459e6a556d7a46d022 Mon Sep 17 00:00:00 2001 From: Leonid Logvinov Date: Mon, 13 Nov 2017 19:33:01 -0500 Subject: Fix tests --- packages/0x.js/test/order_state_watcher_test.ts | 23 +++++++++++------------ 1 file changed, 11 insertions(+), 12 deletions(-) (limited to 'packages/0x.js') diff --git a/packages/0x.js/test/order_state_watcher_test.ts b/packages/0x.js/test/order_state_watcher_test.ts index b7b5842c9..03b1f36a4 100644 --- a/packages/0x.js/test/order_state_watcher_test.ts +++ b/packages/0x.js/test/order_state_watcher_test.ts @@ -47,7 +47,7 @@ describe('OrderStateWatcher', () => { let taker: string; let web3Wrapper: Web3Wrapper; let signedOrder: SignedOrder; - const fillableAmount = new BigNumber(5); + const fillableAmount = ZeroEx.toBaseUnitAmount(new BigNumber(5), 18); before(async () => { web3 = web3Factory.create(); zeroEx = new ZeroEx(web3.currentProvider); @@ -232,15 +232,15 @@ describe('OrderStateWatcher', () => { describe('remainingFillable(M|T)akerTokenAmount', () => { it('should calculate correct remaining fillable', (done: DoneCallback) => { (async () => { - const takerFillableAmount = new BigNumber(10); - const makerFillableAmount = new BigNumber(20); + const takerFillableAmount = ZeroEx.toBaseUnitAmount(new BigNumber(10), 18); + const makerFillableAmount = ZeroEx.toBaseUnitAmount(new BigNumber(20), 18); signedOrder = await fillScenarios.createAsymmetricFillableSignedOrderAsync( makerToken.address, takerToken.address, maker, taker, makerFillableAmount, takerFillableAmount, ); const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker); const takerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, taker); - const fillAmountInBaseUnits = new BigNumber(2); + const fillAmountInBaseUnits = ZeroEx.toBaseUnitAmount(new BigNumber(2), 18); const orderHash = ZeroEx.getOrderHashHex(signedOrder); zeroEx.orderStateWatcher.addOrder(signedOrder); let eventCount = 0; @@ -251,9 +251,9 @@ describe('OrderStateWatcher', () => { expect(validOrderState.orderHash).to.be.equal(orderHash); const orderRelevantState = validOrderState.orderRelevantState; expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal( - new BigNumber(16)); + ZeroEx.toBaseUnitAmount(new BigNumber(16), 18)); expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal( - new BigNumber(8)); + ZeroEx.toBaseUnitAmount(new BigNumber(8), 18)); if (eventCount === 2) { done(); } @@ -273,7 +273,7 @@ describe('OrderStateWatcher', () => { const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker); - const changedMakerApprovalAmount = new BigNumber(3); + const changedMakerApprovalAmount = ZeroEx.toBaseUnitAmount(new BigNumber(3), 18); zeroEx.orderStateWatcher.addOrder(signedOrder); const callback = reportCallbackErrors(done)((orderState: OrderState) => { @@ -297,7 +297,7 @@ describe('OrderStateWatcher', () => { const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker); - const remainingAmount = new BigNumber(1); + const remainingAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), 18); const transferAmount = makerBalance.sub(remainingAmount); zeroEx.orderStateWatcher.addOrder(signedOrder); @@ -339,10 +339,9 @@ describe('OrderStateWatcher', () => { }); it('should emit orderStateInvalid when within rounding error range', (done: DoneCallback) => { (async () => { - const fillableAmountInBaseUnits = new BigNumber(10).pow(18); - const remainingFillableAmountInBaseUnits = new BigNumber(10).pow(2); + const remainingFillableAmountInBaseUnits = new BigNumber(100); signedOrder = await fillScenarios.createFillableSignedOrderAsync( - makerToken.address, takerToken.address, maker, taker, fillableAmountInBaseUnits, + makerToken.address, takerToken.address, maker, taker, fillableAmount, ); const orderHash = ZeroEx.getOrderHashHex(signedOrder); zeroEx.orderStateWatcher.addOrder(signedOrder); @@ -356,7 +355,7 @@ describe('OrderStateWatcher', () => { }); zeroEx.orderStateWatcher.subscribe(callback); await zeroEx.exchange.cancelOrderAsync( - signedOrder, fillableAmountInBaseUnits.minus(remainingFillableAmountInBaseUnits), + signedOrder, fillableAmount.minus(remainingFillableAmountInBaseUnits), ); })().catch(done); }); -- cgit v1.2.3 From 61496d77a5d3d50d7b41a0732af375fd973fa384 Mon Sep 17 00:00:00 2001 From: Leonid Logvinov Date: Tue, 14 Nov 2017 11:03:01 -0500 Subject: Fix namings --- packages/0x.js/src/utils/order_state_utils.ts | 4 ++-- 1 file changed, 2 insertions(+), 2 deletions(-) (limited to 'packages/0x.js') diff --git a/packages/0x.js/src/utils/order_state_utils.ts b/packages/0x.js/src/utils/order_state_utils.ts index 21d842a77..8f5c379cd 100644 --- a/packages/0x.js/src/utils/order_state_utils.ts +++ b/packages/0x.js/src/utils/order_state_utils.ts @@ -117,11 +117,11 @@ export class OrderStateUtils { throw new Error(ExchangeContractErrs.InsufficientMakerFeeAllowance); } } - const minimumFillableTakerTokenAmountWithingNoRoundingErrorRange = signedOrder.takerTokenAmount + const minFillableTakerTokenAmountWithinNoRoundingErrorRange = signedOrder.takerTokenAmount .times(1000) .dividedBy(signedOrder.makerTokenAmount); if (orderRelevantState.remainingFillableTakerTokenAmount - .lessThan(minimumFillableTakerTokenAmountWithingNoRoundingErrorRange)) { + .lessThan(minFillableTakerTokenAmountWithinNoRoundingErrorRange)) { throw new Error(ExchangeContractErrs.OrderFillRoundingError); } // TODO Add linear function solver when maker token is ZRX #badass -- cgit v1.2.3 From dcfe8bae1cf0dfa483ad0a3e8800dcb2b38940c7 Mon Sep 17 00:00:00 2001 From: Leonid Logvinov Date: Tue, 14 Nov 2017 11:11:09 -0500 Subject: Name a constant --- packages/0x.js/src/utils/order_state_utils.ts | 6 ++++-- 1 file changed, 4 insertions(+), 2 deletions(-) (limited to 'packages/0x.js') diff --git a/packages/0x.js/src/utils/order_state_utils.ts b/packages/0x.js/src/utils/order_state_utils.ts index 8f5c379cd..af6392c81 100644 --- a/packages/0x.js/src/utils/order_state_utils.ts +++ b/packages/0x.js/src/utils/order_state_utils.ts @@ -18,6 +18,8 @@ import {constants} from '../utils/constants'; import {OrderFilledCancelledLazyStore} from '../stores/order_filled_cancelled_lazy_store'; import {BalanceAndProxyAllowanceLazyStore} from '../stores/balance_proxy_allowance_lazy_store'; +const ACCEPTABLE_RELATIVE_ROUNDING_ERROR = 0.0001; + export class OrderStateUtils { private balanceAndProxyAllowanceLazyStore: BalanceAndProxyAllowanceLazyStore; private orderFilledCancelledLazyStore: OrderFilledCancelledLazyStore; @@ -118,8 +120,8 @@ export class OrderStateUtils { } } const minFillableTakerTokenAmountWithinNoRoundingErrorRange = signedOrder.takerTokenAmount - .times(1000) - .dividedBy(signedOrder.makerTokenAmount); + .dividedBy(ACCEPTABLE_RELATIVE_ROUNDING_ERROR) + .dividedBy(signedOrder.makerTokenAmount); if (orderRelevantState.remainingFillableTakerTokenAmount .lessThan(minFillableTakerTokenAmountWithinNoRoundingErrorRange)) { throw new Error(ExchangeContractErrs.OrderFillRoundingError); -- cgit v1.2.3