From e4b664bafa24c2ee788a343edecd0124f784780d Mon Sep 17 00:00:00 2001 From: fragosti Date: Mon, 24 Sep 2018 13:17:38 +0200 Subject: Add expiry buffer --- packages/asset-buyer/src/asset_buyer.ts | 45 +++++++++++++++++----- packages/asset-buyer/src/constants.ts | 1 + .../src/utils/order_provider_response_processor.ts | 14 +++++-- packages/asset-buyer/src/utils/order_utils.ts | 5 ++- 4 files changed, 51 insertions(+), 14 deletions(-) (limited to 'packages/asset-buyer') diff --git a/packages/asset-buyer/src/asset_buyer.ts b/packages/asset-buyer/src/asset_buyer.ts index 03f9b5a2b..409e34e74 100644 --- a/packages/asset-buyer/src/asset_buyer.ts +++ b/packages/asset-buyer/src/asset_buyer.ts @@ -29,6 +29,7 @@ export class AssetBuyer { public readonly orderProvider: OrderProvider; public readonly networkId: number; public readonly orderRefreshIntervalMs: number; + public readonly expiryBufferSeconds: number; private readonly _contractWrappers: ContractWrappers; private _lastRefreshTimeIfExists?: number; private _currentOrdersAndFillableAmountsIfExists?: AssetBuyerOrdersAndFillableAmounts; @@ -38,8 +39,9 @@ export class AssetBuyer { * @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). + * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. Defaults to 10000ms (10s). + * @param expiryBufferSeconds The number of seconds to add when calculating whether an order is expired or not. Defaults to 15s. + * * @return An instance of AssetBuyer */ public static getAssetBuyerForProvidedOrders( @@ -48,6 +50,7 @@ export class AssetBuyer { feeOrders: SignedOrder[] = [], networkId: number = constants.MAINNET_NETWORK_ID, orderRefreshIntervalMs: number = constants.DEFAULT_ORDER_REFRESH_INTERVAL_MS, + expiryBufferSeconds: number = constants.DEFAULT_EXPIRY_BUFFER_SECONDS, ): AssetBuyer { assert.isWeb3Provider('provider', provider); assert.doesConformToSchema('orders', orders, schemas.signedOrdersSchema); @@ -59,7 +62,14 @@ export class AssetBuyer { assert.assert(orders.length !== 0, `Expected orders to contain at least one order`); const assetData = orders[0].makerAssetData; const orderProvider = new BasicOrderProvider(_.concat(orders, feeOrders)); - const assetBuyer = new AssetBuyer(provider, assetData, orderProvider, networkId, orderRefreshIntervalMs); + const assetBuyer = new AssetBuyer( + provider, + assetData, + orderProvider, + networkId, + orderRefreshIntervalMs, + expiryBufferSeconds, + ); return assetBuyer; } /** @@ -68,8 +78,9 @@ export class AssetBuyer { * @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). + * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. Defaults to 10000ms (10s). + * @param expiryBufferSeconds The number of seconds to add when calculating whether an order is expired or not. Defaults to 15s. + * * @return An instance of AssetBuyer */ public static getAssetBuyerForAssetData( @@ -78,6 +89,7 @@ export class AssetBuyer { sraApiUrl: string, networkId: number = constants.MAINNET_NETWORK_ID, orderRefreshIntervalMs: number = constants.DEFAULT_ORDER_REFRESH_INTERVAL_MS, + expiryBufferSeconds: number = constants.DEFAULT_EXPIRY_BUFFER_SECONDS, ): AssetBuyer { assert.isWeb3Provider('provider', provider); assert.isHexString('assetData', assetData); @@ -85,7 +97,14 @@ export class AssetBuyer { assert.isNumber('networkId', networkId); assert.isNumber('orderRefreshIntervalMs', orderRefreshIntervalMs); const orderProvider = new StandardRelayerAPIOrderProvider(sraApiUrl); - const assetBuyer = new AssetBuyer(provider, assetData, orderProvider, networkId, orderRefreshIntervalMs); + const assetBuyer = new AssetBuyer( + provider, + assetData, + orderProvider, + networkId, + orderRefreshIntervalMs, + expiryBufferSeconds, + ); return assetBuyer; } /** @@ -94,8 +113,8 @@ export class AssetBuyer { * @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). + * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. Defaults to 10000ms (10s). + * @param expiryBufferSeconds The number of seconds to add when calculating whether an order is expired or not. Defaults to 15s. * @return An instance of AssetBuyer */ public static getAssetBuyerForERC20TokenAddress( @@ -104,6 +123,7 @@ export class AssetBuyer { sraApiUrl: string, networkId: number = constants.MAINNET_NETWORK_ID, orderRefreshIntervalMs: number = constants.DEFAULT_ORDER_REFRESH_INTERVAL_MS, + expiryBufferSeconds: number = constants.DEFAULT_EXPIRY_BUFFER_SECONDS, ): AssetBuyer { assert.isWeb3Provider('provider', provider); assert.isETHAddressHex('tokenAddress', tokenAddress); @@ -117,6 +137,7 @@ export class AssetBuyer { sraApiUrl, networkId, orderRefreshIntervalMs, + expiryBufferSeconds, ); return assetBuyer; } @@ -126,8 +147,9 @@ export class AssetBuyer { * @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 orderProvider An object that conforms to OrderProvider, 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). + * @param orderRefreshIntervalMs The interval in ms that getBuyQuoteAsync should trigger an refresh of orders and order states. Defaults to 10000ms (10s). + * @param expiryBufferSeconds The number of seconds to add when calculating whether an order is expired or not. Defaults to 15s. + * * @return An instance of AssetBuyer */ constructor( @@ -136,6 +158,7 @@ export class AssetBuyer { orderProvider: OrderProvider, networkId: number = constants.MAINNET_NETWORK_ID, orderRefreshIntervalMs: number = constants.DEFAULT_ORDER_REFRESH_INTERVAL_MS, + expiryBufferSeconds: number = constants.DEFAULT_EXPIRY_BUFFER_SECONDS, ) { assert.isWeb3Provider('provider', provider); assert.isString('assetData', assetData); @@ -146,6 +169,7 @@ export class AssetBuyer { this.assetData = assetData; this.orderProvider = orderProvider; this.networkId = networkId; + this.expiryBufferSeconds = expiryBufferSeconds; this.orderRefreshIntervalMs = orderRefreshIntervalMs; this._contractWrappers = new ContractWrappers(this.provider, { networkId, @@ -278,6 +302,7 @@ export class AssetBuyer { targetOrderProviderResponse, feeOrderProviderResponse, zrxTokenAssetData, + this.expiryBufferSeconds, this._contractWrappers.orderValidator, ); return ordersAndFillableAmounts; diff --git a/packages/asset-buyer/src/constants.ts b/packages/asset-buyer/src/constants.ts index 0ebe0f8e2..79b5d9052 100644 --- a/packages/asset-buyer/src/constants.ts +++ b/packages/asset-buyer/src/constants.ts @@ -16,4 +16,5 @@ export const constants = { ETHER_TOKEN_DECIMALS: 18, DEFAULT_BUY_QUOTE_REQUEST_OPTS, MAX_PER_PAGE: 10000, + DEFAULT_EXPIRY_BUFFER_SECONDS: 15, }; diff --git a/packages/asset-buyer/src/utils/order_provider_response_processor.ts b/packages/asset-buyer/src/utils/order_provider_response_processor.ts index 9e54300b3..31fdcc182 100644 --- a/packages/asset-buyer/src/utils/order_provider_response_processor.ts +++ b/packages/asset-buyer/src/utils/order_provider_response_processor.ts @@ -41,11 +41,18 @@ export const orderProviderResponseProcessor = { targetOrderProviderResponse: OrderProviderResponse, feeOrderProviderResponse: OrderProviderResponse, zrxTokenAssetData: string, + expiryBufferSeconds: number, orderValidator?: OrderValidatorWrapper, ): Promise { // drop orders that are expired or not open - const filteredTargetOrders = filterOutExpiredAndNonOpenOrders(targetOrderProviderResponse.orders); - const filteredFeeOrders = filterOutExpiredAndNonOpenOrders(feeOrderProviderResponse.orders); + const filteredTargetOrders = filterOutExpiredAndNonOpenOrders( + targetOrderProviderResponse.orders, + expiryBufferSeconds, + ); + const filteredFeeOrders = filterOutExpiredAndNonOpenOrders( + feeOrderProviderResponse.orders, + expiryBufferSeconds, + ); // set the orders to be sorted equal to the filtered orders let unsortedTargetOrders = filteredTargetOrders; let unsortedFeeOrders = filteredFeeOrders; @@ -98,9 +105,10 @@ export const orderProviderResponseProcessor = { */ function filterOutExpiredAndNonOpenOrders( orders: SignedOrderWithRemainingFillableMakerAssetAmount[], + expiryBufferSeconds: number, ): SignedOrderWithRemainingFillableMakerAssetAmount[] { const result = _.filter(orders, order => { - return orderUtils.isOpenOrder(order) && !orderUtils.isOrderExpired(order); + return orderUtils.isOpenOrder(order) && !orderUtils.willOrderExpire(order, expiryBufferSeconds); }); return result; } diff --git a/packages/asset-buyer/src/utils/order_utils.ts b/packages/asset-buyer/src/utils/order_utils.ts index 27db73257..62166eb76 100644 --- a/packages/asset-buyer/src/utils/order_utils.ts +++ b/packages/asset-buyer/src/utils/order_utils.ts @@ -5,9 +5,12 @@ import { constants } from '../constants'; export const orderUtils = { isOrderExpired(order: SignedOrder): boolean { + return orderUtils.willOrderExpire(order, 0); + }, + willOrderExpire(order: SignedOrder, secondsFromNow: number): boolean { const millisecondsInSecond = 1000; const currentUnixTimestampSec = new BigNumber(Date.now() / millisecondsInSecond).round(); - return order.expirationTimeSeconds.lessThan(currentUnixTimestampSec); + return order.expirationTimeSeconds.lessThan(currentUnixTimestampSec.minus(secondsFromNow)); }, calculateRemainingMakerAssetAmount(order: SignedOrder, remainingTakerAssetAmount: BigNumber): BigNumber { if (remainingTakerAssetAmount.eq(0)) { -- cgit v1.2.3