From a3d93d17cdefc2258a9f08e6fc680df1fb2b8456 Mon Sep 17 00:00:00 2001 From: Steve Klebanoff Date: Fri, 14 Dec 2018 10:23:01 -0800 Subject: Factor in slippage amount in InsufficientAssetLiquidityError error, and show in instant --- packages/asset-buyer/src/index.ts | 1 + packages/asset-buyer/src/types.ts | 6 ++--- .../asset-buyer/src/utils/buy_quote_calculator.ts | 17 +++++++++++-- .../asset-buyer/test/buy_quote_calculator_test.ts | 28 ++++++++++++++++++++++ packages/asset-buyer/test/utils/test_helpers.ts | 4 ++-- 5 files changed, 49 insertions(+), 7 deletions(-) (limited to 'packages/asset-buyer') diff --git a/packages/asset-buyer/src/index.ts b/packages/asset-buyer/src/index.ts index 8418edb42..59515e24f 100644 --- a/packages/asset-buyer/src/index.ts +++ b/packages/asset-buyer/src/index.ts @@ -18,6 +18,7 @@ export { BuyQuoteExecutionOpts, BuyQuoteInfo, BuyQuoteRequestOpts, + InsufficientAssetLiquidityError, OrderProvider, OrderProviderRequest, OrderProviderResponse, diff --git a/packages/asset-buyer/src/types.ts b/packages/asset-buyer/src/types.ts index dfa17a22d..d435f337e 100644 --- a/packages/asset-buyer/src/types.ts +++ b/packages/asset-buyer/src/types.ts @@ -118,10 +118,10 @@ export enum AssetBuyerError { } export class InsufficientAssetLiquidityError extends Error { - public numAssetsAvailable: BigNumber; - constructor(numAssetsAvailable: BigNumber) { + public amountAvailableToFill: BigNumber; + constructor(amountAvailableToFill: BigNumber) { super(AssetBuyerError.InsufficientAssetLiquidity); - this.numAssetsAvailable = numAssetsAvailable; + this.amountAvailableToFill = amountAvailableToFill; // Setting prototype so instanceof works. See https://github.com/Microsoft/TypeScript/wiki/Breaking-Changes#extending-built-ins-like-error-array-and-map-may-no-longer-work Object.setPrototypeOf(this, InsufficientAssetLiquidityError.prototype); } diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts index e52c9c5bf..23d3e9b24 100644 --- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts +++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts @@ -1,5 +1,6 @@ import { marketUtils, SignedOrder } from '@0x/order-utils'; import { BigNumber } from '@0x/utils'; +import { Web3Wrapper } from '@0x/web3-wrapper'; import * as _ from 'lodash'; import { constants } from '../constants'; @@ -39,8 +40,20 @@ export const buyQuoteCalculator = { }); // if we do not have enough orders to cover the desired assetBuyAmount, throw if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) { - const amountRemaining = assetBuyAmount.minus(remainingFillAmount); - throw new InsufficientAssetLiquidityError(amountRemaining); + // We needed the amount they requested to buy, plus the amount for slippage + const totalAmountRequested = assetBuyAmount.plus(slippageBufferAmount); + const amountUnableToFill = totalAmountRequested.minus(remainingFillAmount); + // multiplerNeededWithSlippage represents what we need to multiply the assetBuyAmount by + // in order to get the total amount needed considering slippage + // i.e. if slippagePercent was 0.2 (20%), multiplerNeededWithSlippage would be 1.2 + const multiplerNeededWithSlippage = new BigNumber(1).plus(slippagePercentage); + // Given amountAvailableToFillConsideringSlippage * multiplerNeededWithSlippage = amountUnableToFill + // We divide amountUnableToFill by multiplerNeededWithSlippage to determine amountAvailableToFillConsideringSlippage + const amountAvailableToFillConsideringSlippage = amountUnableToFill + .div(multiplerNeededWithSlippage) + .round(0, BigNumber.ROUND_DOWN); + + throw new InsufficientAssetLiquidityError(amountAvailableToFillConsideringSlippage); } // if we are not buying ZRX: // given the orders calculated above, find the fee-orders that cover the desired assetBuyAmount (with slippage) diff --git a/packages/asset-buyer/test/buy_quote_calculator_test.ts b/packages/asset-buyer/test/buy_quote_calculator_test.ts index 1dd829a0f..98458cd5b 100644 --- a/packages/asset-buyer/test/buy_quote_calculator_test.ts +++ b/packages/asset-buyer/test/buy_quote_calculator_test.ts @@ -81,6 +81,34 @@ describe('buyQuoteCalculator', () => { }; testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(400)); }); + it('should throw if not enough maker asset liquidity (multiple orders with 20% slippage)', () => { + // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units + const errorFunction = () => { + buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + new BigNumber(500), + 0, + 0.2, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(333)); + }); + it('should throw if not enough maker asset liquidity (multiple orders with 5% slippage)', () => { + // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units + const errorFunction = () => { + buyQuoteCalculator.calculate( + ordersAndFillableAmounts, + smallFeeOrderAndFillableAmount, + new BigNumber(600), + 0, + 0.05, + false, + ); + }; + testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(380)); + }); it('should throw if not enough maker asset liquidity (partially filled order)', () => { const firstOrderAndFillableAmount: OrdersAndFillableAmounts = { orders: [firstOrder], diff --git a/packages/asset-buyer/test/utils/test_helpers.ts b/packages/asset-buyer/test/utils/test_helpers.ts index fd1313ac8..b99906792 100644 --- a/packages/asset-buyer/test/utils/test_helpers.ts +++ b/packages/asset-buyer/test/utils/test_helpers.ts @@ -6,7 +6,7 @@ export const testHelpers = { expectInsufficientLiquidityError: ( expect: Chai.ExpectStatic, functionWhichTriggersError: () => void, - expectedNumAvailable: BigNumber, + expectedAmountAvailableToFill: BigNumber, ): void => { let errorThrown = false; try { @@ -14,7 +14,7 @@ export const testHelpers = { } catch (e) { errorThrown = true; expect(e).to.be.instanceOf(InsufficientAssetLiquidityError); - expect(e.numAssetsAvailable).to.be.bignumber.equal(expectedNumAvailable); + expect(e.amountAvailableToFill).to.be.bignumber.equal(expectedAmountAvailableToFill); } expect(errorThrown).to.be.true(); -- cgit v1.2.3