From c10c4cec1db2c5bc0b71177aea7590ee6fda8735 Mon Sep 17 00:00:00 2001 From: Brandon Millman Date: Thu, 9 Aug 2018 21:14:46 -0400 Subject: Update marketUtils api --- packages/order-utils/src/market_utils.ts | 93 ++++++++++++++++++-------------- packages/order-utils/src/types.ts | 28 ++++++++++ 2 files changed, 81 insertions(+), 40 deletions(-) (limited to 'packages/order-utils/src') diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts index 681059ddf..58e9ab7ba 100644 --- a/packages/order-utils/src/market_utils.ts +++ b/packages/order-utils/src/market_utils.ts @@ -5,37 +5,42 @@ import * as _ from 'lodash'; import { assert } from './assert'; import { constants } from './constants'; +import { FindFeeOrdersThatCoverFeesForTargetOrdersOpts, FindOrdersThatCoverMakerAssetFillAmountOpts } from './types'; 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. + * Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount + * in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last order. * 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 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 of 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 makerAssetFillAmount The amount of makerAsset desired to be filled. + * @param opts Optional arguments this function accepts. * @return Resulting orders and remaining fill amount that could not be covered by the input. */ findOrdersThatCoverMakerAssetFillAmount( signedOrders: SignedOrder[], - remainingFillableMakerAssetAmounts: BigNumber[], makerAssetFillAmount: BigNumber, - slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT, + opts?: FindOrdersThatCoverMakerAssetFillAmountOpts, ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } { assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema); + assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount); + // try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from signedOrders + const remainingFillableMakerAssetAmounts = _.get( + opts, + 'remainingFillableMakerAssetAmounts', + _.map(signedOrders, order => order.makerAssetAmount), + ) as BigNumber[]; _.forEach(remainingFillableMakerAssetAmounts, (amount, index) => assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount), ); - assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount); - assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount); assert.assert( signedOrders.length === remainingFillableMakerAssetAmounts.length, - 'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length', + 'Expected signedOrders.length to equal opts.remainingFillableMakerAssetAmounts.length', ); + // try to get slippageBufferAmount from opts, if it's not there, default to 0 + const slippageBufferAmount = _.get(opts, 'slippageBufferAmount', constants.ZERO_AMOUNT) as BigNumber; + assert.isValidBaseUnitAmount('opts.slippageBufferAmount', slippageBufferAmount); // 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 @@ -64,47 +69,53 @@ export const marketUtils = { return result; }, /** - * Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX (taking into account - * 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 + * Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX + * 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 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 of fee 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 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 opts Optional arguments this function accepts. * @return Resulting orders and remaining fee amount that could not be covered by the input. */ findFeeOrdersThatCoverFeesForTargetOrders( signedOrders: SignedOrder[], - remainingFillableMakerAssetAmounts: BigNumber[], signedFeeOrders: SignedOrder[], - remainingFillableFeeAmounts: BigNumber[], - slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT, + opts?: FindFeeOrdersThatCoverFeesForTargetOrdersOpts, ): { resultOrders: SignedOrder[]; remainingFeeAmount: BigNumber } { assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema); + assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema); + // try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from signedOrders + const remainingFillableMakerAssetAmounts = _.get( + opts, + 'remainingFillableMakerAssetAmounts', + _.map(signedOrders, order => order.makerAssetAmount), + ) as BigNumber[]; _.forEach(remainingFillableMakerAssetAmounts, (amount, index) => assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount), ); - assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema); - _.forEach(remainingFillableFeeAmounts, (amount, index) => - assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount), - ); - assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount); assert.assert( signedOrders.length === remainingFillableMakerAssetAmounts.length, - 'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length', + 'Expected signedOrders.length to equal opts.remainingFillableMakerAssetAmounts.length', + ); + // try to get remainingFillableFeeAmounts from opts, if it's not there, use makerAssetAmount values from signedFeeOrders + const remainingFillableFeeAmounts = _.get( + opts, + 'remainingFillableFeeAmounts', + _.map(signedFeeOrders, order => order.makerAssetAmount), + ) as BigNumber[]; + _.forEach(remainingFillableFeeAmounts, (amount, index) => + assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount), ); assert.assert( signedOrders.length === remainingFillableMakerAssetAmounts.length, - 'Expected signedFeeOrders.length to equal remainingFillableFeeAmounts.length', + 'Expected signedFeeOrders.length to equal opts.remainingFillableFeeAmounts.length', ); + // try to get slippageBufferAmount from opts, if it's not there, default to 0 + const slippageBufferAmount = _.get(opts, 'slippageBufferAmount', constants.ZERO_AMOUNT) as BigNumber; + assert.isValidBaseUnitAmount('opts.slippageBufferAmount', slippageBufferAmount); // calculate total amount of ZRX needed to fill signedOrders const totalFeeAmount = _.reduce( signedOrders, @@ -119,9 +130,11 @@ export const marketUtils = { ); const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount( signedFeeOrders, - remainingFillableFeeAmounts, totalFeeAmount, - slippageBufferAmount, + { + remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts, + slippageBufferAmount, + }, ); return { resultOrders, diff --git a/packages/order-utils/src/types.ts b/packages/order-utils/src/types.ts index 1fbd8cf7b..8a9a4cafe 100644 --- a/packages/order-utils/src/types.ts +++ b/packages/order-utils/src/types.ts @@ -41,3 +41,31 @@ export interface CreateOrderOpts { salt?: BigNumber; expirationTimeSeconds?: BigNumber; } + +/** + * remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `signedOrders` parameter. + * You can use `OrderStateUtils` `@0xproject/order-utils` to perform blockchain lookups for these values. + * Defaults to `makerAssetAmount` values from the signedOrders param. + * slippageBufferAmount: An additional amount of makerAsset to be covered by the result in case of trade collisions or partial fills. + * Defaults to 0 + */ +export interface FindOrdersThatCoverMakerAssetFillAmountOpts { + remainingFillableMakerAssetAmounts?: BigNumber[]; + slippageBufferAmount?: BigNumber; +} + +/** + * remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `signedOrders` parameter. + * You can use `OrderStateUtils` `@0xproject/order-utils` to perform blockchain lookups for these values. + * Defaults to `makerAssetAmount` values from the signedOrders 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. + * Defaults to `makerAssetAmount` values from the signedFeeOrders param. + * slippageBufferAmount: An additional amount of fee to be covered by the result in case of trade collisions or partial fills. + * Defaults to 0 + */ +export interface FindFeeOrdersThatCoverFeesForTargetOrdersOpts { + remainingFillableMakerAssetAmounts?: BigNumber[]; + remainingFillableFeeAmounts?: BigNumber[]; + slippageBufferAmount?: BigNumber; +} -- cgit v1.2.3 From 6a2634d362e50e5a611f388c0785df3209cee308 Mon Sep 17 00:00:00 2001 From: Brandon Millman Date: Mon, 13 Aug 2018 21:29:35 -0700 Subject: Make marketUtils interface compatible with Order and SignedOrder --- packages/order-utils/src/market_utils.ts | 72 ++++++++++++++++---------------- packages/order-utils/src/types.ts | 12 +++--- 2 files changed, 42 insertions(+), 42 deletions(-) (limited to 'packages/order-utils/src') diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts index 58e9ab7ba..a0a827546 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 { SignedOrder } from '@0xproject/types'; +import { Order } from '@0xproject/types'; import { BigNumber } from '@0xproject/utils'; import * as _ from 'lodash'; @@ -12,40 +12,40 @@ export const marketUtils = { * Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount * in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last order. * 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. + * @param orders An array of objects that extend the Order interface. All orders should specify the same makerAsset. * All orders should specify WETH as the takerAsset. * @param makerAssetFillAmount The amount of makerAsset desired to be filled. * @param opts Optional arguments this function accepts. * @return Resulting orders and remaining fill amount that could not be covered by the input. */ - findOrdersThatCoverMakerAssetFillAmount( - signedOrders: SignedOrder[], + findOrdersThatCoverMakerAssetFillAmount( + orders: T[], makerAssetFillAmount: BigNumber, opts?: FindOrdersThatCoverMakerAssetFillAmountOpts, - ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } { - assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema); + ): { resultOrders: T[]; remainingFillAmount: BigNumber } { + assert.doesConformToSchema('orders', orders, schemas.ordersSchema); assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount); - // try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from signedOrders + // try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from orders const remainingFillableMakerAssetAmounts = _.get( opts, 'remainingFillableMakerAssetAmounts', - _.map(signedOrders, order => order.makerAssetAmount), + _.map(orders, order => order.makerAssetAmount), ) as BigNumber[]; _.forEach(remainingFillableMakerAssetAmounts, (amount, index) => assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount), ); assert.assert( - signedOrders.length === remainingFillableMakerAssetAmounts.length, - 'Expected signedOrders.length to equal opts.remainingFillableMakerAssetAmounts.length', + orders.length === remainingFillableMakerAssetAmounts.length, + 'Expected orders.length to equal opts.remainingFillableMakerAssetAmounts.length', ); // try to get slippageBufferAmount from opts, if it's not there, default to 0 const slippageBufferAmount = _.get(opts, 'slippageBufferAmount', constants.ZERO_AMOUNT) as BigNumber; assert.isValidBaseUnitAmount('opts.slippageBufferAmount', slippageBufferAmount); // 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 + // iterate through the orders input from left to right until we have enough makerAsset to fill totalFillAmount const result = _.reduce( - signedOrders, + orders, ({ resultOrders, remainingFillAmount }, order, index) => { if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) { return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT }; @@ -64,61 +64,61 @@ export const marketUtils = { }; } }, - { resultOrders: [] as SignedOrder[], remainingFillAmount: totalFillAmount }, + { resultOrders: [] as T[], remainingFillAmount: totalFillAmount }, ); return result; }, /** * Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX - * in order to fill the takerFees required by signedOrders plus a slippageBufferAmount. + * in order to fill the takerFees required by orders 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 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 opts Optional arguments this function accepts. + * @param orders An array of objects that extend the Order interface. All orders should specify ZRX as + * the makerAsset and WETH as the takerAsset. + * @param feeOrders An array of objects that extend the Order interface. All orders should specify ZRX as + * the makerAsset and WETH as the takerAsset. + * @param opts Optional arguments this function accepts. * @return Resulting orders and remaining fee amount that could not be covered by the input. */ - findFeeOrdersThatCoverFeesForTargetOrders( - signedOrders: SignedOrder[], - signedFeeOrders: SignedOrder[], + findFeeOrdersThatCoverFeesForTargetOrders( + orders: T[], + feeOrders: T[], opts?: FindFeeOrdersThatCoverFeesForTargetOrdersOpts, - ): { resultOrders: SignedOrder[]; remainingFeeAmount: BigNumber } { - assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema); - assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema); - // try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from signedOrders + ): { resultOrders: T[]; remainingFeeAmount: BigNumber } { + assert.doesConformToSchema('orders', orders, schemas.ordersSchema); + assert.doesConformToSchema('feeOrders', feeOrders, schemas.ordersSchema); + // try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from orders const remainingFillableMakerAssetAmounts = _.get( opts, 'remainingFillableMakerAssetAmounts', - _.map(signedOrders, order => order.makerAssetAmount), + _.map(orders, order => order.makerAssetAmount), ) as BigNumber[]; _.forEach(remainingFillableMakerAssetAmounts, (amount, index) => assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount), ); assert.assert( - signedOrders.length === remainingFillableMakerAssetAmounts.length, - 'Expected signedOrders.length to equal opts.remainingFillableMakerAssetAmounts.length', + orders.length === remainingFillableMakerAssetAmounts.length, + 'Expected orders.length to equal opts.remainingFillableMakerAssetAmounts.length', ); - // try to get remainingFillableFeeAmounts from opts, if it's not there, use makerAssetAmount values from signedFeeOrders + // try to get remainingFillableFeeAmounts from opts, if it's not there, use makerAssetAmount values from feeOrders const remainingFillableFeeAmounts = _.get( opts, 'remainingFillableFeeAmounts', - _.map(signedFeeOrders, order => order.makerAssetAmount), + _.map(feeOrders, order => order.makerAssetAmount), ) as BigNumber[]; _.forEach(remainingFillableFeeAmounts, (amount, index) => assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount), ); assert.assert( - signedOrders.length === remainingFillableMakerAssetAmounts.length, - 'Expected signedFeeOrders.length to equal opts.remainingFillableFeeAmounts.length', + feeOrders.length === remainingFillableFeeAmounts.length, + 'Expected feeOrders.length to equal opts.remainingFillableFeeAmounts.length', ); // try to get slippageBufferAmount from opts, if it's not there, default to 0 const slippageBufferAmount = _.get(opts, 'slippageBufferAmount', constants.ZERO_AMOUNT) as BigNumber; assert.isValidBaseUnitAmount('opts.slippageBufferAmount', slippageBufferAmount); - // calculate total amount of ZRX needed to fill signedOrders + // calculate total amount of ZRX needed to fill orders const totalFeeAmount = _.reduce( - signedOrders, + orders, (accFees, order, index) => { const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index]; const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable @@ -129,7 +129,7 @@ export const marketUtils = { constants.ZERO_AMOUNT, ); const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount( - signedFeeOrders, + feeOrders, totalFeeAmount, { remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts, diff --git a/packages/order-utils/src/types.ts b/packages/order-utils/src/types.ts index 8a9a4cafe..2e9c79d80 100644 --- a/packages/order-utils/src/types.ts +++ b/packages/order-utils/src/types.ts @@ -43,9 +43,9 @@ export interface CreateOrderOpts { } /** - * remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `signedOrders` parameter. + * remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `orders` parameter. * You can use `OrderStateUtils` `@0xproject/order-utils` to perform blockchain lookups for these values. - * Defaults to `makerAssetAmount` values from the signedOrders param. + * Defaults to `makerAssetAmount` values from the orders param. * slippageBufferAmount: An additional amount of makerAsset to be covered by the result in case of trade collisions or partial fills. * Defaults to 0 */ @@ -55,12 +55,12 @@ export interface FindOrdersThatCoverMakerAssetFillAmountOpts { } /** - * remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `signedOrders` parameter. + * remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `orders` parameter. * You can use `OrderStateUtils` `@0xproject/order-utils` to perform blockchain lookups for these values. - * Defaults to `makerAssetAmount` values from the signedOrders param. - * remainingFillableFeeAmounts: An array of BigNumbers corresponding to the signedFeeOrders parameter. + * Defaults to `makerAssetAmount` values from the orders param. + * remainingFillableFeeAmounts: An array of BigNumbers corresponding to the feeOrders parameter. * You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups for these values. - * Defaults to `makerAssetAmount` values from the signedFeeOrders param. + * Defaults to `makerAssetAmount` values from the feeOrders param. * slippageBufferAmount: An additional amount of fee to be covered by the result in case of trade collisions or partial fills. * Defaults to 0 */ -- cgit v1.2.3