From 32ab4dcac723e189ce8a1be796f0539975a48eae Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Thu, 9 Aug 2018 15:52:30 -0400
Subject: Implement rate utils

---
 packages/order-utils/src/index.ts      |  1 +
 packages/order-utils/src/rate_utils.ts | 44 ++++++++++++++++++++++++++++++++++
 2 files changed, 45 insertions(+)
 create mode 100644 packages/order-utils/src/rate_utils.ts

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/src/index.ts b/packages/order-utils/src/index.ts
index 858f500c6..a52f936b6 100644
--- a/packages/order-utils/src/index.ts
+++ b/packages/order-utils/src/index.ts
@@ -33,3 +33,4 @@ export { EIP712Utils } from './eip712_utils';
 export { OrderValidationUtils } from './order_validation_utils';
 export { ExchangeTransferSimulator } from './exchange_transfer_simulator';
 export { marketUtils } from './market_utils';
+export { rateUtils } from './rate_utils';
diff --git a/packages/order-utils/src/rate_utils.ts b/packages/order-utils/src/rate_utils.ts
new file mode 100644
index 000000000..212431e0c
--- /dev/null
+++ b/packages/order-utils/src/rate_utils.ts
@@ -0,0 +1,44 @@
+import { schemas } from '@0xproject/json-schemas';
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+
+import { assert } from './assert';
+import { constants } from './constants';
+
+export const rateUtils = {
+    /**
+     * Takes a signed order and calculates the fee adjusted rate (takerAsset/makerAsset) by calculating how much takerAsset
+     * is required to cover the fees (feeRate * takerFee), adding the takerAssetAmount and dividing by makerAssetAmount
+     * @param   signedOrder     An object that conforms to the signedOrder interface
+     * @param   feeRate         The market rate of ZRX denominated in takerAssetAmount
+     *                          (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
+     * @return  The rate (takerAsset/makerAsset) of the order adjusted for fees
+     */
+    getFeeAdjustedRateOfOrder(signedOrder: SignedOrder, feeRate: BigNumber): BigNumber {
+        assert.doesConformToSchema('signedOrder', signedOrder, schemas.signedOrderSchema);
+        assert.isBigNumber('feeRate', feeRate);
+        assert.assert(feeRate.greaterThan(constants.ZERO_AMOUNT), `Expected feeRate: ${feeRate} to be greater than 0`);
+        const takerAssetAmountNeededToPayForFees = signedOrder.takerFee.mul(feeRate);
+        const totalTakerAssetAmount = takerAssetAmountNeededToPayForFees.plus(signedOrder.takerAssetAmount);
+        const rate = totalTakerAssetAmount.div(signedOrder.makerAssetAmount);
+        return rate;
+    },
+    /**
+     * Takes a signed fee order (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH) and calculates
+     * the fee adjusted rate (WETH/ZRX) by dividing the takerAssetAmount by the makerAmount minus the takerFee
+     * @param   signedFeeOrder    An object that conforms to the signedOrder interface
+     * @return  The rate (WETH/ZRX) of the fee order adjusted for fees
+     */
+    getFeeAdjustedRateOfFeeOrder(signedFeeOrder: SignedOrder): BigNumber {
+        assert.doesConformToSchema('signedFeeOrder', signedFeeOrder, schemas.signedOrderSchema);
+        const zrxAmountAfterFees = signedFeeOrder.makerAssetAmount.sub(signedFeeOrder.takerFee);
+        assert.assert(
+            zrxAmountAfterFees.greaterThan(constants.ZERO_AMOUNT),
+            `Expected takerFee: ${JSON.stringify(
+                signedFeeOrder.takerFee,
+            )} to be less than makerAssetAmount: ${JSON.stringify(signedFeeOrder.makerAssetAmount)}`,
+        );
+        const rate = signedFeeOrder.takerAssetAmount.div(zrxAmountAfterFees);
+        return rate;
+    },
+};
-- 
cgit v1.2.3


From a1860b076d9d3408e64d8ff5e6bc0657e9ff7e7b Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Thu, 9 Aug 2018 17:24:08 -0400
Subject: Add tests for rateUtils

---
 packages/order-utils/test/rate_utils_test.ts | 55 ++++++++++++++++++++++++++++
 1 file changed, 55 insertions(+)
 create mode 100644 packages/order-utils/test/rate_utils_test.ts

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/test/rate_utils_test.ts b/packages/order-utils/test/rate_utils_test.ts
new file mode 100644
index 000000000..2f321a7db
--- /dev/null
+++ b/packages/order-utils/test/rate_utils_test.ts
@@ -0,0 +1,55 @@
+import { BigNumber } from '@0xproject/utils';
+import * as chai from 'chai';
+import 'mocha';
+
+import { constants, rateUtils } from '../src';
+
+import { chaiSetup } from './utils/chai_setup';
+import { testOrderFactory } from './utils/test_order_factory';
+
+chaiSetup.configure();
+const expect = chai.expect;
+
+describe('rateUtils', () => {
+    const testOrder = testOrderFactory.generateTestSignedOrder({
+        makerAssetAmount: new BigNumber(100),
+        takerAssetAmount: new BigNumber(100),
+        takerFee: new BigNumber(20),
+    });
+    describe('#getFeeAdjustedRateOfOrder', () => {
+        it('throws when feeRate is zero', async () => {
+            const feeRate = constants.ZERO_AMOUNT;
+            expect(() => rateUtils.getFeeAdjustedRateOfOrder(testOrder, feeRate)).to.throw(
+                'Expected feeRate: 0 to be greater than 0',
+            );
+        });
+        it('throws when feeRate is less than zero', async () => {
+            const feeRate = new BigNumber(-1);
+            expect(() => rateUtils.getFeeAdjustedRateOfOrder(testOrder, feeRate)).to.throw(
+                'Expected feeRate: -1 to be greater than 0',
+            );
+        });
+        it('correctly calculates fee adjusted rate', async () => {
+            const feeRate = new BigNumber(2); // ZRX costs 2 units of takerAsset per 1 unit of ZRX
+            const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfOrder(testOrder, feeRate);
+            // the order actually takes 100 + (2 * 20) takerAsset units to fill 100 units of makerAsset
+            expect(feeAdjustedRate).to.bignumber.equal(new BigNumber(1.4));
+        });
+    });
+    describe('#getFeeAdjustedRateOfFeeOrder', () => {
+        it('throws when takerFee exceeds makerAssetAmount', async () => {
+            const badOrder = testOrderFactory.generateTestSignedOrder({
+                makerAssetAmount: new BigNumber(100),
+                takerFee: new BigNumber(101),
+            });
+            expect(() => rateUtils.getFeeAdjustedRateOfFeeOrder(badOrder)).to.throw(
+                'Expected takerFee: "101" to be less than makerAssetAmount: "100"',
+            );
+        });
+        it('correctly calculates fee adjusted rate', async () => {
+            const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfFeeOrder(testOrder);
+            // the order actually takes 100 takerAsset units to fill (100 - 20) units of makerAsset
+            expect(feeAdjustedRate).to.bignumber.equal(new BigNumber(1.25));
+        });
+    });
+});
-- 
cgit v1.2.3


From c0924d8067079f246c5cad32f7acb3d1f6cfd9b9 Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Thu, 9 Aug 2018 17:49:22 -0400
Subject: Implement sorting utils

---
 packages/order-utils/src/index.ts         |  1 +
 packages/order-utils/src/sorting_utils.ts | 69 +++++++++++++++++++++++++++++++
 2 files changed, 70 insertions(+)
 create mode 100644 packages/order-utils/src/sorting_utils.ts

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/src/index.ts b/packages/order-utils/src/index.ts
index a52f936b6..359954641 100644
--- a/packages/order-utils/src/index.ts
+++ b/packages/order-utils/src/index.ts
@@ -34,3 +34,4 @@ export { OrderValidationUtils } from './order_validation_utils';
 export { ExchangeTransferSimulator } from './exchange_transfer_simulator';
 export { marketUtils } from './market_utils';
 export { rateUtils } from './rate_utils';
+export { sortingUtils } from './sorting_utils';
diff --git a/packages/order-utils/src/sorting_utils.ts b/packages/order-utils/src/sorting_utils.ts
new file mode 100644
index 000000000..7474a302f
--- /dev/null
+++ b/packages/order-utils/src/sorting_utils.ts
@@ -0,0 +1,69 @@
+import { schemas } from '@0xproject/json-schemas';
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { assert } from './assert';
+import { constants } from './constants';
+import { rateUtils } from './rate_utils';
+
+export const sortingUtils = {
+    /**
+     * Takes an array of signed orders and sorts them by takerAsset/makerAsset rate in ascending order (best rate first).
+     * Adjusts the rate of each order according to the feeRate and takerFee for 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   feeRate             The market rate of ZRX denominated in takerAssetAmount
+     *                              (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
+     * @return  The input orders sorted by rate in ascending order
+     */
+    sortOrdersByFeeAdjustedRate(signedOrders: SignedOrder[], feeRate: BigNumber): SignedOrder[] {
+        assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+        assert.isBigNumber('feeRate', feeRate);
+        assert.assert(feeRate.greaterThan(constants.ZERO_AMOUNT), `Expected feeRate: ${feeRate} to be greater than 0`);
+        const rateCalculator = (signedOrder: SignedOrder) => rateUtils.getFeeAdjustedRateOfOrder(signedOrder, feeRate);
+        const sortedOrders = sortOrders(signedOrders, rateCalculator);
+        return sortedOrders;
+    },
+    /**
+     * Takes an array of signed fee orders (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH)
+     * and sorts them by rate in ascending order (best rate first). Adjusts the rate according to the takerFee.
+     * @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.
+     * @return  The input orders sorted by rate in ascending order
+     */
+    sortFeeOrdersByFeeAdjustedRate(signedFeeOrders: SignedOrder[]): SignedOrder[] {
+        assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
+        const rateCalculator = rateUtils.getFeeAdjustedRateOfFeeOrder;
+        const sortedOrders = sortOrders(signedFeeOrders, rateCalculator);
+        return sortedOrders;
+    },
+};
+
+type RateCalculator = (signedOrder: SignedOrder) => BigNumber;
+
+// takes an array of orders, copies them, and sorts the copy based on the rate definition provided by rateCalculator
+const sortOrders = (signedOrders: SignedOrder[], rateCalculator: RateCalculator): SignedOrder[] => {
+    const copiedOrders = _.cloneDeep(signedOrders);
+    const feeOrderComparator = getOrderComparator(rateCalculator);
+    copiedOrders.sort(feeOrderComparator);
+    return copiedOrders;
+};
+
+type Comparator<T> = (first: T, second: T) => number;
+
+// takes a function that calculates rate for a signed order and returns a comparator that sorts based on rate
+const getOrderComparator = (rateCalculator: RateCalculator): Comparator<SignedOrder> => (
+    firstSignedOrder,
+    secondSignedOrder,
+) => {
+    const firstOrderRate = rateCalculator(firstSignedOrder);
+    const secondOrderRate = rateCalculator(secondSignedOrder);
+    if (firstOrderRate.lt(secondOrderRate)) {
+        return -1;
+    } else if (firstOrderRate.gt(secondOrderRate)) {
+        return 1;
+    } else {
+        return 0;
+    }
+};
-- 
cgit v1.2.3


From fcd57d2743e4b6a1363b8071696147a91d2afb00 Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Thu, 9 Aug 2018 18:43:31 -0400
Subject: Add tests for sortingUtils

---
 packages/order-utils/src/sorting_utils.ts       |  1 -
 packages/order-utils/test/sorting_utils_test.ts | 66 +++++++++++++++++++++++++
 2 files changed, 66 insertions(+), 1 deletion(-)
 create mode 100644 packages/order-utils/test/sorting_utils_test.ts

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/src/sorting_utils.ts b/packages/order-utils/src/sorting_utils.ts
index 7474a302f..2acd8180f 100644
--- a/packages/order-utils/src/sorting_utils.ts
+++ b/packages/order-utils/src/sorting_utils.ts
@@ -20,7 +20,6 @@ export const sortingUtils = {
     sortOrdersByFeeAdjustedRate(signedOrders: SignedOrder[], feeRate: BigNumber): SignedOrder[] {
         assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
         assert.isBigNumber('feeRate', feeRate);
-        assert.assert(feeRate.greaterThan(constants.ZERO_AMOUNT), `Expected feeRate: ${feeRate} to be greater than 0`);
         const rateCalculator = (signedOrder: SignedOrder) => rateUtils.getFeeAdjustedRateOfOrder(signedOrder, feeRate);
         const sortedOrders = sortOrders(signedOrders, rateCalculator);
         return sortedOrders;
diff --git a/packages/order-utils/test/sorting_utils_test.ts b/packages/order-utils/test/sorting_utils_test.ts
new file mode 100644
index 000000000..efce13d3f
--- /dev/null
+++ b/packages/order-utils/test/sorting_utils_test.ts
@@ -0,0 +1,66 @@
+import { BigNumber } from '@0xproject/utils';
+import * as chai from 'chai';
+import * as _ from 'lodash';
+import 'mocha';
+
+import { constants, rateUtils, sortingUtils } from '../src';
+
+import { chaiSetup } from './utils/chai_setup';
+import { testOrderFactory } from './utils/test_order_factory';
+
+chaiSetup.configure();
+const expect = chai.expect;
+
+describe('sortingUtils', () => {
+    describe('#sortOrdersByFeeAdjustedRate', () => {
+        // rate: 2 takerAsset / makerAsset
+        const testOrder1 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(200),
+        });
+        // rate: 1 takerAsset / makerAsset
+        const testOrder2 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(100),
+        });
+        // rate: 2.5 takerAsset / makerAsset
+        const testOrder3 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(200),
+            takerFee: new BigNumber(50),
+        });
+        it('correctly sorts by fee adjusted rate', async () => {
+            const feeRate = new BigNumber(1); // ZRX costs 1 unit of takerAsset per 1 unit of ZRX
+            const orders = [testOrder1, testOrder2, testOrder3];
+            const sortedOrders = sortingUtils.sortOrdersByFeeAdjustedRate(
+                [testOrder1, testOrder2, testOrder3],
+                feeRate,
+            );
+            expect(sortedOrders).to.deep.equal([testOrder2, testOrder1, testOrder3]);
+        });
+    });
+    describe('#sortFeeOrdersByFeeAdjustedRate', () => {
+        // rate: 200 takerAsset / makerAsset
+        const testOrder1 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(200),
+            takerFee: new BigNumber(99),
+        });
+        // rate: 1 takerAsset / makerAsset
+        const testOrder2 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(100),
+        });
+        // rate: 4 takerAsset / makerAsset
+        const testOrder3 = testOrderFactory.generateTestSignedOrder({
+            makerAssetAmount: new BigNumber(100),
+            takerAssetAmount: new BigNumber(200),
+            takerFee: new BigNumber(50),
+        });
+        it('correctly sorts by fee adjusted rate', async () => {
+            const orders = [testOrder1, testOrder2, testOrder3];
+            const sortedOrders = sortingUtils.sortFeeOrdersByFeeAdjustedRate([testOrder1, testOrder2, testOrder3]);
+            expect(sortedOrders).to.deep.equal([testOrder2, testOrder3, testOrder1]);
+        });
+    });
+});
-- 
cgit v1.2.3


From cbe639866ec9d6088cc7aa133033d2735524c5a0 Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Thu, 9 Aug 2018 18:54:17 -0400
Subject: Make feeRate optional with a default of 0

---
 packages/order-utils/src/rate_utils.ts       | 9 +++++++--
 packages/order-utils/src/sorting_utils.ts    | 6 +++++-
 packages/order-utils/test/rate_utils_test.ts | 8 +-------
 3 files changed, 13 insertions(+), 10 deletions(-)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/src/rate_utils.ts b/packages/order-utils/src/rate_utils.ts
index 212431e0c..72d11584a 100644
--- a/packages/order-utils/src/rate_utils.ts
+++ b/packages/order-utils/src/rate_utils.ts
@@ -1,6 +1,7 @@
 import { schemas } from '@0xproject/json-schemas';
 import { SignedOrder } from '@0xproject/types';
 import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
 
 import { assert } from './assert';
 import { constants } from './constants';
@@ -12,12 +13,16 @@ export const rateUtils = {
      * @param   signedOrder     An object that conforms to the signedOrder interface
      * @param   feeRate         The market rate of ZRX denominated in takerAssetAmount
      *                          (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
+     *                          Defaults to 0
      * @return  The rate (takerAsset/makerAsset) of the order adjusted for fees
      */
-    getFeeAdjustedRateOfOrder(signedOrder: SignedOrder, feeRate: BigNumber): BigNumber {
+    getFeeAdjustedRateOfOrder(signedOrder: SignedOrder, feeRate: BigNumber = constants.ZERO_AMOUNT): BigNumber {
         assert.doesConformToSchema('signedOrder', signedOrder, schemas.signedOrderSchema);
         assert.isBigNumber('feeRate', feeRate);
-        assert.assert(feeRate.greaterThan(constants.ZERO_AMOUNT), `Expected feeRate: ${feeRate} to be greater than 0`);
+        assert.assert(
+            feeRate.gte(constants.ZERO_AMOUNT),
+            `Expected feeRate: ${feeRate} to be greater than or equal to 0`,
+        );
         const takerAssetAmountNeededToPayForFees = signedOrder.takerFee.mul(feeRate);
         const totalTakerAssetAmount = takerAssetAmountNeededToPayForFees.plus(signedOrder.takerAssetAmount);
         const rate = totalTakerAssetAmount.div(signedOrder.makerAssetAmount);
diff --git a/packages/order-utils/src/sorting_utils.ts b/packages/order-utils/src/sorting_utils.ts
index 2acd8180f..8424060fc 100644
--- a/packages/order-utils/src/sorting_utils.ts
+++ b/packages/order-utils/src/sorting_utils.ts
@@ -15,9 +15,13 @@ export const sortingUtils = {
      *                              the makerAsset and WETH as the takerAsset.
      * @param   feeRate             The market rate of ZRX denominated in takerAssetAmount
      *                              (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
+     *                              Defaults to 0
      * @return  The input orders sorted by rate in ascending order
      */
-    sortOrdersByFeeAdjustedRate(signedOrders: SignedOrder[], feeRate: BigNumber): SignedOrder[] {
+    sortOrdersByFeeAdjustedRate(
+        signedOrders: SignedOrder[],
+        feeRate: BigNumber = constants.ZERO_AMOUNT,
+    ): SignedOrder[] {
         assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
         assert.isBigNumber('feeRate', feeRate);
         const rateCalculator = (signedOrder: SignedOrder) => rateUtils.getFeeAdjustedRateOfOrder(signedOrder, feeRate);
diff --git a/packages/order-utils/test/rate_utils_test.ts b/packages/order-utils/test/rate_utils_test.ts
index 2f321a7db..167a40465 100644
--- a/packages/order-utils/test/rate_utils_test.ts
+++ b/packages/order-utils/test/rate_utils_test.ts
@@ -17,16 +17,10 @@ describe('rateUtils', () => {
         takerFee: new BigNumber(20),
     });
     describe('#getFeeAdjustedRateOfOrder', () => {
-        it('throws when feeRate is zero', async () => {
-            const feeRate = constants.ZERO_AMOUNT;
-            expect(() => rateUtils.getFeeAdjustedRateOfOrder(testOrder, feeRate)).to.throw(
-                'Expected feeRate: 0 to be greater than 0',
-            );
-        });
         it('throws when feeRate is less than zero', async () => {
             const feeRate = new BigNumber(-1);
             expect(() => rateUtils.getFeeAdjustedRateOfOrder(testOrder, feeRate)).to.throw(
-                'Expected feeRate: -1 to be greater than 0',
+                'Expected feeRate: -1 to be greater than or equal to 0',
             );
         });
         it('correctly calculates fee adjusted rate', async () => {
-- 
cgit v1.2.3


From af52598d320462357d3ce40d37cf7de9a4f054ee Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Thu, 9 Aug 2018 18:59:29 -0400
Subject: Update tests for optional feeRate

---
 packages/order-utils/test/rate_utils_test.ts    | 8 +++++++-
 packages/order-utils/test/sorting_utils_test.ts | 9 +++++++--
 2 files changed, 14 insertions(+), 3 deletions(-)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/test/rate_utils_test.ts b/packages/order-utils/test/rate_utils_test.ts
index 167a40465..b23a6467a 100644
--- a/packages/order-utils/test/rate_utils_test.ts
+++ b/packages/order-utils/test/rate_utils_test.ts
@@ -23,12 +23,18 @@ describe('rateUtils', () => {
                 'Expected feeRate: -1 to be greater than or equal to 0',
             );
         });
-        it('correctly calculates fee adjusted rate', async () => {
+        it('correctly calculates fee adjusted rate when feeRate is provided', async () => {
             const feeRate = new BigNumber(2); // ZRX costs 2 units of takerAsset per 1 unit of ZRX
             const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfOrder(testOrder, feeRate);
             // the order actually takes 100 + (2 * 20) takerAsset units to fill 100 units of makerAsset
             expect(feeAdjustedRate).to.bignumber.equal(new BigNumber(1.4));
         });
+        it('correctly calculates fee adjusted rate when no feeRate is provided', async () => {
+            const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfOrder(testOrder);
+            // because no feeRate was provided we just assume 0 fees
+            // the order actually takes 100 takerAsset units to fill 100 units of makerAsset
+            expect(feeAdjustedRate).to.bignumber.equal(new BigNumber(1));
+        });
     });
     describe('#getFeeAdjustedRateOfFeeOrder', () => {
         it('throws when takerFee exceeds makerAssetAmount', async () => {
diff --git a/packages/order-utils/test/sorting_utils_test.ts b/packages/order-utils/test/sorting_utils_test.ts
index efce13d3f..5a33cb2ca 100644
--- a/packages/order-utils/test/sorting_utils_test.ts
+++ b/packages/order-utils/test/sorting_utils_test.ts
@@ -13,6 +13,7 @@ const expect = chai.expect;
 
 describe('sortingUtils', () => {
     describe('#sortOrdersByFeeAdjustedRate', () => {
+        const feeRate = new BigNumber(1); // ZRX costs 1 unit of takerAsset per 1 unit of ZRX
         // rate: 2 takerAsset / makerAsset
         const testOrder1 = testOrderFactory.generateTestSignedOrder({
             makerAssetAmount: new BigNumber(100),
@@ -29,8 +30,7 @@ describe('sortingUtils', () => {
             takerAssetAmount: new BigNumber(200),
             takerFee: new BigNumber(50),
         });
-        it('correctly sorts by fee adjusted rate', async () => {
-            const feeRate = new BigNumber(1); // ZRX costs 1 unit of takerAsset per 1 unit of ZRX
+        it('correctly sorts by fee adjusted rate when feeRate is Provided', async () => {
             const orders = [testOrder1, testOrder2, testOrder3];
             const sortedOrders = sortingUtils.sortOrdersByFeeAdjustedRate(
                 [testOrder1, testOrder2, testOrder3],
@@ -38,6 +38,11 @@ describe('sortingUtils', () => {
             );
             expect(sortedOrders).to.deep.equal([testOrder2, testOrder1, testOrder3]);
         });
+        it('correctly sorts by fee adjusted rate when no feeRate is Provided', async () => {
+            const orders = [testOrder1, testOrder2, testOrder3];
+            const sortedOrders = sortingUtils.sortOrdersByFeeAdjustedRate([testOrder1, testOrder2, testOrder3]);
+            expect(sortedOrders).to.deep.equal([testOrder2, testOrder1, testOrder3]);
+        });
     });
     describe('#sortFeeOrdersByFeeAdjustedRate', () => {
         // rate: 200 takerAsset / makerAsset
-- 
cgit v1.2.3


From b86210332f94ad90cdabcf2083ae4a99075daf33 Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Thu, 9 Aug 2018 19:10:57 -0400
Subject: Fix lint errors

---
 packages/order-utils/src/rate_utils.ts          |  1 -
 packages/order-utils/src/sorting_utils.ts       |  2 +-
 packages/order-utils/test/rate_utils_test.ts    |  2 +-
 packages/order-utils/test/sorting_utils_test.ts | 12 ++++--------
 4 files changed, 6 insertions(+), 11 deletions(-)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/src/rate_utils.ts b/packages/order-utils/src/rate_utils.ts
index 72d11584a..e82c03873 100644
--- a/packages/order-utils/src/rate_utils.ts
+++ b/packages/order-utils/src/rate_utils.ts
@@ -1,7 +1,6 @@
 import { schemas } from '@0xproject/json-schemas';
 import { SignedOrder } from '@0xproject/types';
 import { BigNumber } from '@0xproject/utils';
-import * as _ from 'lodash';
 
 import { assert } from './assert';
 import { constants } from './constants';
diff --git a/packages/order-utils/src/sorting_utils.ts b/packages/order-utils/src/sorting_utils.ts
index 8424060fc..f019aa4a8 100644
--- a/packages/order-utils/src/sorting_utils.ts
+++ b/packages/order-utils/src/sorting_utils.ts
@@ -37,7 +37,7 @@ export const sortingUtils = {
      */
     sortFeeOrdersByFeeAdjustedRate(signedFeeOrders: SignedOrder[]): SignedOrder[] {
         assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
-        const rateCalculator = rateUtils.getFeeAdjustedRateOfFeeOrder;
+        const rateCalculator = rateUtils.getFeeAdjustedRateOfFeeOrder.bind(rateUtils);
         const sortedOrders = sortOrders(signedFeeOrders, rateCalculator);
         return sortedOrders;
     },
diff --git a/packages/order-utils/test/rate_utils_test.ts b/packages/order-utils/test/rate_utils_test.ts
index b23a6467a..2e299c209 100644
--- a/packages/order-utils/test/rate_utils_test.ts
+++ b/packages/order-utils/test/rate_utils_test.ts
@@ -2,7 +2,7 @@ import { BigNumber } from '@0xproject/utils';
 import * as chai from 'chai';
 import 'mocha';
 
-import { constants, rateUtils } from '../src';
+import { rateUtils } from '../src';
 
 import { chaiSetup } from './utils/chai_setup';
 import { testOrderFactory } from './utils/test_order_factory';
diff --git a/packages/order-utils/test/sorting_utils_test.ts b/packages/order-utils/test/sorting_utils_test.ts
index 5a33cb2ca..016432505 100644
--- a/packages/order-utils/test/sorting_utils_test.ts
+++ b/packages/order-utils/test/sorting_utils_test.ts
@@ -1,9 +1,8 @@
 import { BigNumber } from '@0xproject/utils';
 import * as chai from 'chai';
-import * as _ from 'lodash';
 import 'mocha';
 
-import { constants, rateUtils, sortingUtils } from '../src';
+import { sortingUtils } from '../src';
 
 import { chaiSetup } from './utils/chai_setup';
 import { testOrderFactory } from './utils/test_order_factory';
@@ -32,15 +31,12 @@ describe('sortingUtils', () => {
         });
         it('correctly sorts by fee adjusted rate when feeRate is Provided', async () => {
             const orders = [testOrder1, testOrder2, testOrder3];
-            const sortedOrders = sortingUtils.sortOrdersByFeeAdjustedRate(
-                [testOrder1, testOrder2, testOrder3],
-                feeRate,
-            );
+            const sortedOrders = sortingUtils.sortOrdersByFeeAdjustedRate(orders, feeRate);
             expect(sortedOrders).to.deep.equal([testOrder2, testOrder1, testOrder3]);
         });
         it('correctly sorts by fee adjusted rate when no feeRate is Provided', async () => {
             const orders = [testOrder1, testOrder2, testOrder3];
-            const sortedOrders = sortingUtils.sortOrdersByFeeAdjustedRate([testOrder1, testOrder2, testOrder3]);
+            const sortedOrders = sortingUtils.sortOrdersByFeeAdjustedRate(orders);
             expect(sortedOrders).to.deep.equal([testOrder2, testOrder1, testOrder3]);
         });
     });
@@ -64,7 +60,7 @@ describe('sortingUtils', () => {
         });
         it('correctly sorts by fee adjusted rate', async () => {
             const orders = [testOrder1, testOrder2, testOrder3];
-            const sortedOrders = sortingUtils.sortFeeOrdersByFeeAdjustedRate([testOrder1, testOrder2, testOrder3]);
+            const sortedOrders = sortingUtils.sortFeeOrdersByFeeAdjustedRate(orders);
             expect(sortedOrders).to.deep.equal([testOrder2, testOrder3, testOrder1]);
         });
     });
-- 
cgit v1.2.3


From ab64ea7377b4cd0a0a7e3ec219f958037c5fabbe Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Thu, 9 Aug 2018 19:20:07 -0400
Subject: Updated CHANGELOG

---
 packages/order-utils/CHANGELOG.json | 4 ++++
 1 file changed, 4 insertions(+)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/CHANGELOG.json b/packages/order-utils/CHANGELOG.json
index fa82976ad..ee0030b6b 100644
--- a/packages/order-utils/CHANGELOG.json
+++ b/packages/order-utils/CHANGELOG.json
@@ -13,6 +13,10 @@
             },
             {
                 "note": "Dependencies updated"
+            },
+            {
+                "note": "Added rateUtils and sortingUtils",
+                "pr": 953
             }
         ]
     },
-- 
cgit v1.2.3


From d8593998414aa3234533b8fa868b05495ac54457 Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Mon, 13 Aug 2018 17:45:50 -0700
Subject: Change rateUtils to use Order

---
 packages/order-utils/src/rate_utils.ts | 40 +++++++++++++++++-----------------
 1 file changed, 20 insertions(+), 20 deletions(-)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/src/rate_utils.ts b/packages/order-utils/src/rate_utils.ts
index e82c03873..c9ca72c59 100644
--- a/packages/order-utils/src/rate_utils.ts
+++ b/packages/order-utils/src/rate_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 { assert } from './assert';
@@ -7,42 +7,42 @@ import { constants } from './constants';
 
 export const rateUtils = {
     /**
-     * Takes a signed order and calculates the fee adjusted rate (takerAsset/makerAsset) by calculating how much takerAsset
+     * Takes an order and calculates the fee adjusted rate (takerAsset/makerAsset) by calculating how much takerAsset
      * is required to cover the fees (feeRate * takerFee), adding the takerAssetAmount and dividing by makerAssetAmount
-     * @param   signedOrder     An object that conforms to the signedOrder interface
-     * @param   feeRate         The market rate of ZRX denominated in takerAssetAmount
-     *                          (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
-     *                          Defaults to 0
+     * @param   order       An object that conforms to the order interface
+     * @param   feeRate     The market rate of ZRX denominated in takerAssetAmount
+     *                      (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
+     *                      Defaults to 0
      * @return  The rate (takerAsset/makerAsset) of the order adjusted for fees
      */
-    getFeeAdjustedRateOfOrder(signedOrder: SignedOrder, feeRate: BigNumber = constants.ZERO_AMOUNT): BigNumber {
-        assert.doesConformToSchema('signedOrder', signedOrder, schemas.signedOrderSchema);
+    getFeeAdjustedRateOfOrder(order: Order, feeRate: BigNumber = constants.ZERO_AMOUNT): BigNumber {
+        assert.doesConformToSchema('order', order, schemas.orderSchema);
         assert.isBigNumber('feeRate', feeRate);
         assert.assert(
             feeRate.gte(constants.ZERO_AMOUNT),
             `Expected feeRate: ${feeRate} to be greater than or equal to 0`,
         );
-        const takerAssetAmountNeededToPayForFees = signedOrder.takerFee.mul(feeRate);
-        const totalTakerAssetAmount = takerAssetAmountNeededToPayForFees.plus(signedOrder.takerAssetAmount);
-        const rate = totalTakerAssetAmount.div(signedOrder.makerAssetAmount);
+        const takerAssetAmountNeededToPayForFees = order.takerFee.mul(feeRate);
+        const totalTakerAssetAmount = takerAssetAmountNeededToPayForFees.plus(order.takerAssetAmount);
+        const rate = totalTakerAssetAmount.div(order.makerAssetAmount);
         return rate;
     },
     /**
-     * Takes a signed fee order (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH) and calculates
+     * Takes a fee order (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH) and calculates
      * the fee adjusted rate (WETH/ZRX) by dividing the takerAssetAmount by the makerAmount minus the takerFee
-     * @param   signedFeeOrder    An object that conforms to the signedOrder interface
+     * @param   feeOrder    An object that conforms to the order interface
      * @return  The rate (WETH/ZRX) of the fee order adjusted for fees
      */
-    getFeeAdjustedRateOfFeeOrder(signedFeeOrder: SignedOrder): BigNumber {
-        assert.doesConformToSchema('signedFeeOrder', signedFeeOrder, schemas.signedOrderSchema);
-        const zrxAmountAfterFees = signedFeeOrder.makerAssetAmount.sub(signedFeeOrder.takerFee);
+    getFeeAdjustedRateOfFeeOrder(feeOrder: Order): BigNumber {
+        assert.doesConformToSchema('feeOrder', feeOrder, schemas.orderSchema);
+        const zrxAmountAfterFees = feeOrder.makerAssetAmount.sub(feeOrder.takerFee);
         assert.assert(
             zrxAmountAfterFees.greaterThan(constants.ZERO_AMOUNT),
-            `Expected takerFee: ${JSON.stringify(
-                signedFeeOrder.takerFee,
-            )} to be less than makerAssetAmount: ${JSON.stringify(signedFeeOrder.makerAssetAmount)}`,
+            `Expected takerFee: ${JSON.stringify(feeOrder.takerFee)} to be less than makerAssetAmount: ${JSON.stringify(
+                feeOrder.makerAssetAmount,
+            )}`,
         );
-        const rate = signedFeeOrder.takerAssetAmount.div(zrxAmountAfterFees);
+        const rate = feeOrder.takerAssetAmount.div(zrxAmountAfterFees);
         return rate;
     },
 };
-- 
cgit v1.2.3


From 99b744ba52f538752bb0966e6d8b50d9f5a2f032 Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Mon, 13 Aug 2018 18:31:41 -0700
Subject: Update sortingUtils to support Order and SignedOrder

---
 packages/order-utils/src/sorting_utils.ts | 70 ++++++++++++-------------------
 1 file changed, 26 insertions(+), 44 deletions(-)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/src/sorting_utils.ts b/packages/order-utils/src/sorting_utils.ts
index f019aa4a8..8811bcaf8 100644
--- a/packages/order-utils/src/sorting_utils.ts
+++ b/packages/order-utils/src/sorting_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';
 
@@ -9,64 +9,46 @@ import { rateUtils } from './rate_utils';
 
 export const sortingUtils = {
     /**
-     * Takes an array of signed orders and sorts them by takerAsset/makerAsset rate in ascending order (best rate first).
+     * Takes an array of orders and sorts them by takerAsset/makerAsset rate in ascending order (best rate first).
      * Adjusts the rate of each order according to the feeRate and takerFee for 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   feeRate             The market rate of ZRX denominated in takerAssetAmount
-     *                              (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
-     *                              Defaults to 0
+     * @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   feeRate     The market rate of ZRX denominated in takerAssetAmount
+     *                      (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
+     *                      Defaults to 0
      * @return  The input orders sorted by rate in ascending order
      */
-    sortOrdersByFeeAdjustedRate(
-        signedOrders: SignedOrder[],
-        feeRate: BigNumber = constants.ZERO_AMOUNT,
-    ): SignedOrder[] {
-        assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+    sortOrdersByFeeAdjustedRate<T extends Order>(orders: T[], feeRate: BigNumber = constants.ZERO_AMOUNT): T[] {
+        assert.doesConformToSchema('orders', orders, schemas.ordersSchema);
         assert.isBigNumber('feeRate', feeRate);
-        const rateCalculator = (signedOrder: SignedOrder) => rateUtils.getFeeAdjustedRateOfOrder(signedOrder, feeRate);
-        const sortedOrders = sortOrders(signedOrders, rateCalculator);
+        const rateCalculator = (order: Order) => rateUtils.getFeeAdjustedRateOfOrder(order, feeRate);
+        const sortedOrders = sortOrders(orders, rateCalculator);
         return sortedOrders;
     },
     /**
-     * Takes an array of signed fee orders (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH)
+     * Takes an array of fee orders (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH)
      * and sorts them by rate in ascending order (best rate first). Adjusts the rate according to the takerFee.
-     * @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   feeOrders       An array of objects that extend the Order interface. All orders should specify ZRX as
+     *                          the makerAsset and WETH as the takerAsset.
      * @return  The input orders sorted by rate in ascending order
      */
-    sortFeeOrdersByFeeAdjustedRate(signedFeeOrders: SignedOrder[]): SignedOrder[] {
-        assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
+    sortFeeOrdersByFeeAdjustedRate(feeOrders: Order[]): Order[] {
+        assert.doesConformToSchema('feeOrders', feeOrders, schemas.ordersSchema);
         const rateCalculator = rateUtils.getFeeAdjustedRateOfFeeOrder.bind(rateUtils);
-        const sortedOrders = sortOrders(signedFeeOrders, rateCalculator);
+        const sortedOrders = sortOrders(feeOrders, rateCalculator);
         return sortedOrders;
     },
 };
 
-type RateCalculator = (signedOrder: SignedOrder) => BigNumber;
+type RateCalculator = (order: Order) => BigNumber;
 
 // takes an array of orders, copies them, and sorts the copy based on the rate definition provided by rateCalculator
-const sortOrders = (signedOrders: SignedOrder[], rateCalculator: RateCalculator): SignedOrder[] => {
-    const copiedOrders = _.cloneDeep(signedOrders);
-    const feeOrderComparator = getOrderComparator(rateCalculator);
-    copiedOrders.sort(feeOrderComparator);
+function sortOrders<T extends Order>(orders: T[], rateCalculator: RateCalculator): T[] {
+    const copiedOrders = _.cloneDeep(orders);
+    copiedOrders.sort((firstOrder, secondOrder) => {
+        const firstOrderRate = rateCalculator(firstOrder);
+        const secondOrderRate = rateCalculator(secondOrder);
+        return firstOrderRate.comparedTo(secondOrderRate);
+    });
     return copiedOrders;
-};
-
-type Comparator<T> = (first: T, second: T) => number;
-
-// takes a function that calculates rate for a signed order and returns a comparator that sorts based on rate
-const getOrderComparator = (rateCalculator: RateCalculator): Comparator<SignedOrder> => (
-    firstSignedOrder,
-    secondSignedOrder,
-) => {
-    const firstOrderRate = rateCalculator(firstSignedOrder);
-    const secondOrderRate = rateCalculator(secondSignedOrder);
-    if (firstOrderRate.lt(secondOrderRate)) {
-        return -1;
-    } else if (firstOrderRate.gt(secondOrderRate)) {
-        return 1;
-    } else {
-        return 0;
-    }
-};
+}
-- 
cgit v1.2.3


From c10c4cec1db2c5bc0b71177aea7590ee6fda8735 Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
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 ++++++++
 packages/order-utils/test/market_utils_test.ts | 67 ++++++++++++-------
 3 files changed, 125 insertions(+), 63 deletions(-)

(limited to 'packages/order-utils')

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;
+}
diff --git a/packages/order-utils/test/market_utils_test.ts b/packages/order-utils/test/market_utils_test.ts
index 21c0a4802..2f6bb7bd1 100644
--- a/packages/order-utils/test/market_utils_test.ts
+++ b/packages/order-utils/test/market_utils_test.ts
@@ -11,13 +11,12 @@ chaiSetup.configure();
 const expect = chai.expect;
 
 // tslint:disable: no-unused-expression
-describe('marketUtils', () => {
+describe.only('marketUtils', () => {
     describe('#findOrdersThatCoverMakerAssetFillAmount', () => {
         describe('no orders', () => {
             it('returns empty and unchanged remainingFillAmount', async () => {
                 const fillAmount = new BigNumber(10);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
-                    [],
                     [],
                     fillAmount,
                 );
@@ -43,9 +42,11 @@ describe('marketUtils', () => {
                 const slippageBufferAmount = new BigNumber(10);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
-                    slippageBufferAmount,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                        slippageBufferAmount,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal(inputOrders);
                 expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -57,9 +58,11 @@ describe('marketUtils', () => {
                 const slippageBufferAmount = new BigNumber(10);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
-                    slippageBufferAmount,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                        slippageBufferAmount,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal(inputOrders);
                 expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -71,9 +74,11 @@ describe('marketUtils', () => {
                 const slippageBufferAmount = new BigNumber(5);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
-                    slippageBufferAmount,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                        slippageBufferAmount,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal(inputOrders);
                 expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(5));
@@ -83,8 +88,10 @@ describe('marketUtils', () => {
                 const fillAmount = new BigNumber(10);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal([inputOrders[0]]);
                 expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -94,8 +101,10 @@ describe('marketUtils', () => {
                 const fillAmount = new BigNumber(15);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal([inputOrders[0], inputOrders[1]]);
                 expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -120,8 +129,10 @@ describe('marketUtils', () => {
                 const fillAmount = new BigNumber(30);
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     fillAmount,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal([inputOrders[1], inputOrders[2]]);
                 expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(15));
@@ -142,10 +153,11 @@ describe('marketUtils', () => {
         describe('no target orders', () => {
             it('returns empty and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
-                    [],
                     [],
                     inputFeeOrders,
-                    remainingFillableFeeAmounts,
+                    {
+                        remainingFillableFeeAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.empty;
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -168,9 +180,10 @@ describe('marketUtils', () => {
             it('returns empty and non-zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
-                    [],
                     [],
+                    {
+                        remainingFillableMakerAssetAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.empty;
                 expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
@@ -190,9 +203,11 @@ describe('marketUtils', () => {
             it('returns empty and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     inputFeeOrders,
-                    remainingFillableFeeAmounts,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                        remainingFillableFeeAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.empty;
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -215,9 +230,11 @@ describe('marketUtils', () => {
             it('returns input fee orders and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     inputFeeOrders,
-                    remainingFillableFeeAmounts,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                        remainingFillableFeeAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal(inputFeeOrders);
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -243,9 +260,11 @@ describe('marketUtils', () => {
             it('returns first two input fee orders and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     inputFeeOrders,
-                    remainingFillableFeeAmounts,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                        remainingFillableFeeAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]);
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -268,9 +287,11 @@ describe('marketUtils', () => {
             it('returns input fee orders and non-zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
-                    remainingFillableMakerAssetAmounts,
                     inputFeeOrders,
-                    remainingFillableFeeAmounts,
+                    {
+                        remainingFillableMakerAssetAmounts,
+                        remainingFillableFeeAmounts,
+                    },
                 );
                 expect(resultOrders).to.be.deep.equal(inputFeeOrders);
                 expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
-- 
cgit v1.2.3


From 66745c5260d2e2802211697980ce91a0cf084e83 Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Thu, 9 Aug 2018 21:18:13 -0400
Subject: Remove remaining amounts that are now defaults in tests

---
 packages/order-utils/test/market_utils_test.ts | 37 +-------------------------
 1 file changed, 1 insertion(+), 36 deletions(-)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/test/market_utils_test.ts b/packages/order-utils/test/market_utils_test.ts
index 2f6bb7bd1..109420a02 100644
--- a/packages/order-utils/test/market_utils_test.ts
+++ b/packages/order-utils/test/market_utils_test.ts
@@ -11,7 +11,7 @@ chaiSetup.configure();
 const expect = chai.expect;
 
 // tslint:disable: no-unused-expression
-describe.only('marketUtils', () => {
+describe('marketUtils', () => {
     describe('#findOrdersThatCoverMakerAssetFillAmount', () => {
         describe('no orders', () => {
             it('returns empty and unchanged remainingFillAmount', async () => {
@@ -33,8 +33,6 @@ describe.only('marketUtils', () => {
                 },
                 3,
             );
-            // 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 20 units of makerAsset
                 // include 10 units of slippageBufferAmount
@@ -44,7 +42,6 @@ describe.only('marketUtils', () => {
                     inputOrders,
                     fillAmount,
                     {
-                        remainingFillableMakerAssetAmounts,
                         slippageBufferAmount,
                     },
                 );
@@ -60,7 +57,6 @@ describe.only('marketUtils', () => {
                     inputOrders,
                     fillAmount,
                     {
-                        remainingFillableMakerAssetAmounts,
                         slippageBufferAmount,
                     },
                 );
@@ -76,7 +72,6 @@ describe.only('marketUtils', () => {
                     inputOrders,
                     fillAmount,
                     {
-                        remainingFillableMakerAssetAmounts,
                         slippageBufferAmount,
                     },
                 );
@@ -89,9 +84,6 @@ describe.only('marketUtils', () => {
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
                     fillAmount,
-                    {
-                        remainingFillableMakerAssetAmounts,
-                    },
                 );
                 expect(resultOrders).to.be.deep.equal([inputOrders[0]]);
                 expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -102,9 +94,6 @@ describe.only('marketUtils', () => {
                 const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
                     inputOrders,
                     fillAmount,
-                    {
-                        remainingFillableMakerAssetAmounts,
-                    },
                 );
                 expect(resultOrders).to.be.deep.equal([inputOrders[0], inputOrders[1]]);
                 expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -148,16 +137,11 @@ describe.only('marketUtils', () => {
             },
             3,
         );
-        // generate remainingFillableFeeAmounts that equal the zrxAmount
-        const remainingFillableFeeAmounts = [zrxAmount, zrxAmount, zrxAmount];
         describe('no target orders', () => {
             it('returns empty and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     [],
                     inputFeeOrders,
-                    {
-                        remainingFillableFeeAmounts,
-                    },
                 );
                 expect(resultOrders).to.be.empty;
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -198,16 +182,10 @@ describe.only('marketUtils', () => {
                 },
                 3,
             );
-            // generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
-            const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
             it('returns empty and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
                     inputFeeOrders,
-                    {
-                        remainingFillableMakerAssetAmounts,
-                        remainingFillableFeeAmounts,
-                    },
                 );
                 expect(resultOrders).to.be.empty;
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -225,16 +203,10 @@ describe.only('marketUtils', () => {
                 },
                 3,
             );
-            // generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
-            const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
             it('returns input fee orders and zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
                     inputFeeOrders,
-                    {
-                        remainingFillableMakerAssetAmounts,
-                        remainingFillableFeeAmounts,
-                    },
                 );
                 expect(resultOrders).to.be.deep.equal(inputFeeOrders);
                 expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
@@ -263,7 +235,6 @@ describe.only('marketUtils', () => {
                     inputFeeOrders,
                     {
                         remainingFillableMakerAssetAmounts,
-                        remainingFillableFeeAmounts,
                     },
                 );
                 expect(resultOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]);
@@ -282,16 +253,10 @@ describe.only('marketUtils', () => {
                 },
                 3,
             );
-            // generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
-            const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
             it('returns input fee orders and non-zero remainingFeeAmount', async () => {
                 const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
                     inputOrders,
                     inputFeeOrders,
-                    {
-                        remainingFillableMakerAssetAmounts,
-                        remainingFillableFeeAmounts,
-                    },
                 );
                 expect(resultOrders).to.be.deep.equal(inputFeeOrders);
                 expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
-- 
cgit v1.2.3


From a2192e62df56efd95a0e3540296cd17a23cb2033 Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
Date: Thu, 9 Aug 2018 21:26:45 -0400
Subject: Update CHANGELOG

---
 packages/order-utils/CHANGELOG.json | 5 +++++
 1 file changed, 5 insertions(+)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/CHANGELOG.json b/packages/order-utils/CHANGELOG.json
index a81eb077d..7cefc1670 100644
--- a/packages/order-utils/CHANGELOG.json
+++ b/packages/order-utils/CHANGELOG.json
@@ -18,6 +18,11 @@
             },
             {
                 "note": "Dependencies updated"
+            },
+            {
+                "note":
+                    "Update marketUtils api such that all optional parameters are bundled into one optional param and more defaults are provided",
+                "pr": 954
             }
         ],
         "timestamp": 1534210131
-- 
cgit v1.2.3


From 6a2634d362e50e5a611f388c0785df3209cee308 Mon Sep 17 00:00:00 2001
From: Brandon Millman <brandon.millman@gmail.com>
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')

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<T extends Order>(
+        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<T extends Order>(
+        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


From 6baa5ef311112941ccaec3fb8a877dd57b63627b Mon Sep 17 00:00:00 2001
From: Alex Browne <stephenalexbrowne@gmail.com>
Date: Mon, 13 Aug 2018 12:46:43 -0700
Subject: feat: Upgrade TypeScript to 3.0.1

---
 packages/order-utils/package.json | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/package.json b/packages/order-utils/package.json
index fa8f3563e..bedbdc6d2 100644
--- a/packages/order-utils/package.json
+++ b/packages/order-utils/package.json
@@ -70,7 +70,7 @@
         "sinon": "^4.0.0",
         "tslint": "5.11.0",
         "typedoc": "0xProject/typedoc",
-        "typescript": "2.9.2"
+        "typescript": "3.0.1"
     },
     "dependencies": {
         "@0xproject/assert": "^1.0.5",
-- 
cgit v1.2.3


From b6cdc00a3145e6b13102676b2a881d0fe52b3a61 Mon Sep 17 00:00:00 2001
From: "dependabot[bot]" <support@dependabot.com>
Date: Tue, 14 Aug 2018 21:51:13 +0000
Subject: Bump copyfiles from 1.2.0 to 2.0.0

Bumps [copyfiles](https://github.com/calvinmetcalf/copyfiles) from 1.2.0 to 2.0.0.
- [Release notes](https://github.com/calvinmetcalf/copyfiles/releases)
- [Commits](https://github.com/calvinmetcalf/copyfiles/compare/v1.2.0...v2.0.0)

Signed-off-by: dependabot[bot] <support@dependabot.com>
---
 packages/order-utils/package.json | 2 +-
 1 file changed, 1 insertion(+), 1 deletion(-)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/package.json b/packages/order-utils/package.json
index bedbdc6d2..07d6fa1b6 100644
--- a/packages/order-utils/package.json
+++ b/packages/order-utils/package.json
@@ -61,7 +61,7 @@
         "chai": "^4.0.1",
         "chai-as-promised": "^7.1.0",
         "chai-bignumber": "^2.0.1",
-        "copyfiles": "^1.2.0",
+        "copyfiles": "^2.0.0",
         "dirty-chai": "^2.0.1",
         "make-promises-safe": "^1.1.0",
         "mocha": "^4.1.0",
-- 
cgit v1.2.3


From 622509c508272790e3e69c09cf1a1f9696815147 Mon Sep 17 00:00:00 2001
From: Jacob Evans <jacob@dekz.net>
Date: Mon, 13 Aug 2018 12:23:29 +1000
Subject: [Order-utils] Order is valid when maker amount is very small

Previously our min fillable calculation would throw a rounding error
when encountering a valid order (with a small maker amount). This was
inconsistent with the on-chain logic which allowed this order to be
filled.
---
 packages/order-utils/CHANGELOG.json                |   4 +
 packages/order-utils/src/order_state_utils.ts      |  36 +++---
 .../order-utils/test/order_state_utils_test.ts     | 122 +++++++++++++++++++++
 3 files changed, 143 insertions(+), 19 deletions(-)
 create mode 100644 packages/order-utils/test/order_state_utils_test.ts

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/CHANGELOG.json b/packages/order-utils/CHANGELOG.json
index 6b49d2ee6..86f0da65a 100644
--- a/packages/order-utils/CHANGELOG.json
+++ b/packages/order-utils/CHANGELOG.json
@@ -2,6 +2,10 @@
     {
         "version": "1.0.1-rc.4",
         "changes": [
+            {
+                "note": "Remove rounding error being thrown when maker amount is very small",
+                "pr": 959
+            },
             {
                 "note": "Added rateUtils and sortingUtils",
                 "pr": 953
diff --git a/packages/order-utils/src/order_state_utils.ts b/packages/order-utils/src/order_state_utils.ts
index 189bf4180..7974d5d0b 100644
--- a/packages/order-utils/src/order_state_utils.ts
+++ b/packages/order-utils/src/order_state_utils.ts
@@ -11,6 +11,7 @@ import { BigNumber } from '@0xproject/utils';
 import { AbstractBalanceAndProxyAllowanceFetcher } from './abstract/abstract_balance_and_proxy_allowance_fetcher';
 import { AbstractOrderFilledCancelledFetcher } from './abstract/abstract_order_filled_cancelled_fetcher';
 import { orderHashUtils } from './order_hash';
+import { OrderValidationUtils } from './order_validation_utils';
 import { RemainingFillableCalculator } from './remaining_fillable_calculator';
 import { utils } from './utils';
 
@@ -22,10 +23,9 @@ interface SidedOrderRelevantState {
     traderFeeProxyAllowance: BigNumber;
     filledTakerAssetAmount: BigNumber;
     remainingFillableAssetAmount: BigNumber;
+    isOrderCancelled: boolean;
 }
 
-const ACCEPTABLE_RELATIVE_ROUNDING_ERROR = 0.0001;
-
 export class OrderStateUtils {
     private readonly _balanceAndProxyAllowanceFetcher: AbstractBalanceAndProxyAllowanceFetcher;
     private readonly _orderFilledCancelledFetcher: AbstractOrderFilledCancelledFetcher;
@@ -34,6 +34,9 @@ export class OrderStateUtils {
         sidedOrderRelevantState: SidedOrderRelevantState,
     ): void {
         const isMakerSide = sidedOrderRelevantState.isMakerSide;
+        if (sidedOrderRelevantState.isOrderCancelled) {
+            throw new Error(ExchangeContractErrs.OrderAlreadyCancelledOrFilled);
+        }
         const availableTakerAssetAmount = signedOrder.takerAssetAmount.minus(
             sidedOrderRelevantState.filledTakerAssetAmount,
         );
@@ -71,23 +74,15 @@ export class OrderStateUtils {
                 );
             }
         }
-
-        let minFillableTakerAssetAmountWithinNoRoundingErrorRange;
-        if (isMakerSide) {
-            minFillableTakerAssetAmountWithinNoRoundingErrorRange = signedOrder.takerAssetAmount
-                .dividedBy(ACCEPTABLE_RELATIVE_ROUNDING_ERROR)
-                .dividedBy(signedOrder.makerAssetAmount);
-        } else {
-            minFillableTakerAssetAmountWithinNoRoundingErrorRange = signedOrder.makerAssetAmount
-                .dividedBy(ACCEPTABLE_RELATIVE_ROUNDING_ERROR)
-                .dividedBy(signedOrder.takerAssetAmount);
-        }
-
-        if (
-            sidedOrderRelevantState.remainingFillableAssetAmount.lessThan(
-                minFillableTakerAssetAmountWithinNoRoundingErrorRange,
-            )
-        ) {
+        const remainingTakerAssetAmount = signedOrder.takerAssetAmount.minus(
+            sidedOrderRelevantState.filledTakerAssetAmount,
+        );
+        const isRoundingError = OrderValidationUtils.isRoundingError(
+            remainingTakerAssetAmount,
+            signedOrder.takerAssetAmount,
+            signedOrder.makerAssetAmount,
+        );
+        if (isRoundingError) {
             throw new Error(ExchangeContractErrs.OrderFillRoundingError);
         }
     }
@@ -101,6 +96,7 @@ export class OrderStateUtils {
     public async getOpenOrderStateAsync(signedOrder: SignedOrder): Promise<OrderState> {
         const orderRelevantState = await this.getOpenOrderRelevantStateAsync(signedOrder);
         const orderHash = orderHashUtils.getOrderHashHex(signedOrder);
+        const isOrderCancelled = await this._orderFilledCancelledFetcher.isOrderCancelledAsync(orderHash);
         const sidedOrderRelevantState = {
             isMakerSide: true,
             traderBalance: orderRelevantState.makerBalance,
@@ -109,6 +105,7 @@ export class OrderStateUtils {
             traderFeeProxyAllowance: orderRelevantState.makerFeeProxyAllowance,
             filledTakerAssetAmount: orderRelevantState.filledTakerAssetAmount,
             remainingFillableAssetAmount: orderRelevantState.remainingFillableMakerAssetAmount,
+            isOrderCancelled,
         };
         try {
             OrderStateUtils._validateIfOrderIsValid(signedOrder, sidedOrderRelevantState);
@@ -278,6 +275,7 @@ export class OrderStateUtils {
             traderFeeProxyAllowance,
             filledTakerAssetAmount,
             remainingFillableAssetAmount,
+            isOrderCancelled,
         };
         return sidedOrderRelevantState;
     }
diff --git a/packages/order-utils/test/order_state_utils_test.ts b/packages/order-utils/test/order_state_utils_test.ts
new file mode 100644
index 000000000..9292c40a4
--- /dev/null
+++ b/packages/order-utils/test/order_state_utils_test.ts
@@ -0,0 +1,122 @@
+import { BigNumber } from '@0xproject/utils';
+import * as chai from 'chai';
+import 'mocha';
+
+import { AbstractBalanceAndProxyAllowanceFetcher, AbstractOrderFilledCancelledFetcher, OrderStateUtils } from '../src';
+
+import { chaiSetup } from './utils/chai_setup';
+import { testOrderFactory } from './utils/test_order_factory';
+
+chaiSetup.configure();
+const expect = chai.expect;
+
+describe('OrderStateUtils', () => {
+    describe('#getOpenOrderStateAsync', () => {
+        const buildMockBalanceFetcher = (takerBalance: BigNumber): AbstractBalanceAndProxyAllowanceFetcher => {
+            const balanceFetcher = {
+                async getBalanceAsync(_assetData: string, _userAddress: string): Promise<BigNumber> {
+                    return takerBalance;
+                },
+                async getProxyAllowanceAsync(_assetData: string, _userAddress: string): Promise<BigNumber> {
+                    return takerBalance;
+                },
+            };
+            return balanceFetcher;
+        };
+        const buildMockOrderFilledFetcher = (
+            filledAmount: BigNumber = new BigNumber(0),
+            cancelled: boolean = false,
+        ): AbstractOrderFilledCancelledFetcher => {
+            const orderFetcher = {
+                async getFilledTakerAmountAsync(_orderHash: string): Promise<BigNumber> {
+                    return filledAmount;
+                },
+                async isOrderCancelledAsync(_orderHash: string): Promise<boolean> {
+                    return cancelled;
+                },
+                getZRXAssetData(): string {
+                    return '';
+                },
+            };
+            return orderFetcher;
+        };
+        it('should have valid order state if order can be fully filled with small maker amount', async () => {
+            const makerAssetAmount = new BigNumber(10);
+            const takerAssetAmount = new BigNumber(10000000000000000);
+            const takerBalance = takerAssetAmount;
+            const orderFilledAmount = new BigNumber(0);
+            const mockBalanceFetcher = buildMockBalanceFetcher(takerBalance);
+            const mockOrderFilledFetcher = buildMockOrderFilledFetcher(orderFilledAmount);
+            const [signedOrder] = testOrderFactory.generateTestSignedOrders(
+                {
+                    makerAssetAmount,
+                    takerAssetAmount,
+                },
+                1,
+            );
+
+            const orderStateUtils = new OrderStateUtils(mockBalanceFetcher, mockOrderFilledFetcher);
+            const orderState = await orderStateUtils.getOpenOrderStateAsync(signedOrder);
+            expect(orderState.isValid).to.eq(true);
+        });
+        it('should be invalid when an order is partially filled where only a rounding error remains', async () => {
+            const makerAssetAmount = new BigNumber(1001);
+            const takerAssetAmount = new BigNumber(3);
+            const takerBalance = takerAssetAmount;
+            const orderFilledAmount = new BigNumber(2);
+            const mockBalanceFetcher = buildMockBalanceFetcher(takerBalance);
+            const mockOrderFilledFetcher = buildMockOrderFilledFetcher(orderFilledAmount);
+            const [signedOrder] = testOrderFactory.generateTestSignedOrders(
+                {
+                    makerAssetAmount,
+                    takerAssetAmount,
+                },
+                1,
+            );
+
+            const orderStateUtils = new OrderStateUtils(mockBalanceFetcher, mockOrderFilledFetcher);
+            const orderState = await orderStateUtils.getOpenOrderStateAsync(signedOrder);
+            expect(orderState.isValid).to.eq(false);
+        });
+        it('should be invalid when an order is cancelled', async () => {
+            const makerAssetAmount = new BigNumber(1000);
+            const takerAssetAmount = new BigNumber(2);
+            const takerBalance = takerAssetAmount;
+            const orderFilledAmount = new BigNumber(0);
+            const isCancelled = true;
+            const mockBalanceFetcher = buildMockBalanceFetcher(takerBalance);
+            const mockOrderFilledFetcher = buildMockOrderFilledFetcher(orderFilledAmount, isCancelled);
+            const [signedOrder] = testOrderFactory.generateTestSignedOrders(
+                {
+                    makerAssetAmount,
+                    takerAssetAmount,
+                },
+                1,
+            );
+
+            const orderStateUtils = new OrderStateUtils(mockBalanceFetcher, mockOrderFilledFetcher);
+            const orderState = await orderStateUtils.getOpenOrderStateAsync(signedOrder);
+            expect(orderState.isValid).to.eq(false);
+        });
+        it('should be invalid when an order is fully filled', async () => {
+            const makerAssetAmount = new BigNumber(1000);
+            const takerAssetAmount = new BigNumber(2);
+            const takerBalance = takerAssetAmount;
+            const orderFilledAmount = takerAssetAmount;
+            const isCancelled = false;
+            const mockBalanceFetcher = buildMockBalanceFetcher(takerBalance);
+            const mockOrderFilledFetcher = buildMockOrderFilledFetcher(orderFilledAmount, isCancelled);
+            const [signedOrder] = testOrderFactory.generateTestSignedOrders(
+                {
+                    makerAssetAmount,
+                    takerAssetAmount,
+                },
+                1,
+            );
+
+            const orderStateUtils = new OrderStateUtils(mockBalanceFetcher, mockOrderFilledFetcher);
+            const orderState = await orderStateUtils.getOpenOrderStateAsync(signedOrder);
+            expect(orderState.isValid).to.eq(false);
+        });
+    });
+});
-- 
cgit v1.2.3


From 88c99396a2d1b880bffb21ef19507d02b474ba9b Mon Sep 17 00:00:00 2001
From: Jacob Evans <jacob@dekz.net>
Date: Wed, 15 Aug 2018 13:03:31 +1000
Subject: Rename OrderAlreadyCancelledOrFilled -> OrderCancelled.

Remove try catch of throwing errors in favour of returning the Errors in a OrderValidationResult
---
 packages/order-utils/src/order_state_utils.ts      | 61 ++++++++++++----------
 .../order-utils/test/order_state_utils_test.ts     |  4 +-
 2 files changed, 36 insertions(+), 29 deletions(-)

(limited to 'packages/order-utils')

diff --git a/packages/order-utils/src/order_state_utils.ts b/packages/order-utils/src/order_state_utils.ts
index 7974d5d0b..18fc18bf6 100644
--- a/packages/order-utils/src/order_state_utils.ts
+++ b/packages/order-utils/src/order_state_utils.ts
@@ -25,6 +25,14 @@ interface SidedOrderRelevantState {
     remainingFillableAssetAmount: BigNumber;
     isOrderCancelled: boolean;
 }
+interface OrderValidResult {
+    isValid: true;
+}
+interface OrderInvalidResult {
+    isValid: false;
+    error: ExchangeContractErrs;
+}
+type OrderValidationResult = OrderValidResult | OrderInvalidResult;
 
 export class OrderStateUtils {
     private readonly _balanceAndProxyAllowanceFetcher: AbstractBalanceAndProxyAllowanceFetcher;
@@ -32,46 +40,42 @@ export class OrderStateUtils {
     private static _validateIfOrderIsValid(
         signedOrder: SignedOrder,
         sidedOrderRelevantState: SidedOrderRelevantState,
-    ): void {
+    ): OrderValidationResult {
         const isMakerSide = sidedOrderRelevantState.isMakerSide;
         if (sidedOrderRelevantState.isOrderCancelled) {
-            throw new Error(ExchangeContractErrs.OrderAlreadyCancelledOrFilled);
+            return { isValid: false, error: ExchangeContractErrs.OrderCancelled };
         }
         const availableTakerAssetAmount = signedOrder.takerAssetAmount.minus(
             sidedOrderRelevantState.filledTakerAssetAmount,
         );
         if (availableTakerAssetAmount.eq(0)) {
-            throw new Error(ExchangeContractErrs.OrderRemainingFillAmountZero);
+            return { isValid: false, error: ExchangeContractErrs.OrderRemainingFillAmountZero };
         }
 
         if (sidedOrderRelevantState.traderBalance.eq(0)) {
-            throw new Error(
-                isMakerSide
-                    ? ExchangeContractErrs.InsufficientMakerBalance
-                    : ExchangeContractErrs.InsufficientTakerBalance,
-            );
+            const error = isMakerSide
+                ? ExchangeContractErrs.InsufficientMakerBalance
+                : ExchangeContractErrs.InsufficientTakerBalance;
+            return { isValid: false, error };
         }
         if (sidedOrderRelevantState.traderProxyAllowance.eq(0)) {
-            throw new Error(
-                isMakerSide
-                    ? ExchangeContractErrs.InsufficientMakerAllowance
-                    : ExchangeContractErrs.InsufficientTakerAllowance,
-            );
+            const error = isMakerSide
+                ? ExchangeContractErrs.InsufficientMakerAllowance
+                : ExchangeContractErrs.InsufficientTakerAllowance;
+            return { isValid: false, error };
         }
         if (!signedOrder.makerFee.eq(0)) {
             if (sidedOrderRelevantState.traderFeeBalance.eq(0)) {
-                throw new Error(
-                    isMakerSide
-                        ? ExchangeContractErrs.InsufficientMakerFeeBalance
-                        : ExchangeContractErrs.InsufficientTakerFeeBalance,
-                );
+                const error = isMakerSide
+                    ? ExchangeContractErrs.InsufficientMakerFeeBalance
+                    : ExchangeContractErrs.InsufficientTakerFeeBalance;
+                return { isValid: false, error };
             }
             if (sidedOrderRelevantState.traderFeeProxyAllowance.eq(0)) {
-                throw new Error(
-                    isMakerSide
-                        ? ExchangeContractErrs.InsufficientMakerFeeAllowance
-                        : ExchangeContractErrs.InsufficientTakerFeeAllowance,
-                );
+                const error = isMakerSide
+                    ? ExchangeContractErrs.InsufficientMakerFeeAllowance
+                    : ExchangeContractErrs.InsufficientTakerFeeAllowance;
+                return { isValid: false, error };
             }
         }
         const remainingTakerAssetAmount = signedOrder.takerAssetAmount.minus(
@@ -83,8 +87,9 @@ export class OrderStateUtils {
             signedOrder.makerAssetAmount,
         );
         if (isRoundingError) {
-            throw new Error(ExchangeContractErrs.OrderFillRoundingError);
+            return { isValid: false, error: ExchangeContractErrs.OrderFillRoundingError };
         }
+        return { isValid: true };
     }
     constructor(
         balanceAndProxyAllowanceFetcher: AbstractBalanceAndProxyAllowanceFetcher,
@@ -107,19 +112,19 @@ export class OrderStateUtils {
             remainingFillableAssetAmount: orderRelevantState.remainingFillableMakerAssetAmount,
             isOrderCancelled,
         };
-        try {
-            OrderStateUtils._validateIfOrderIsValid(signedOrder, sidedOrderRelevantState);
+        const orderValidationResult = OrderStateUtils._validateIfOrderIsValid(signedOrder, sidedOrderRelevantState);
+        if (orderValidationResult.isValid) {
             const orderState: OrderStateValid = {
                 isValid: true,
                 orderHash,
                 orderRelevantState,
             };
             return orderState;
-        } catch (err) {
+        } else {
             const orderState: OrderStateInvalid = {
                 isValid: false,
                 orderHash,
-                error: err.message,
+                error: orderValidationResult.error,
             };
             return orderState;
         }
diff --git a/packages/order-utils/test/order_state_utils_test.ts b/packages/order-utils/test/order_state_utils_test.ts
index 9292c40a4..91ef23b69 100644
--- a/packages/order-utils/test/order_state_utils_test.ts
+++ b/packages/order-utils/test/order_state_utils_test.ts
@@ -2,7 +2,9 @@ import { BigNumber } from '@0xproject/utils';
 import * as chai from 'chai';
 import 'mocha';
 
-import { AbstractBalanceAndProxyAllowanceFetcher, AbstractOrderFilledCancelledFetcher, OrderStateUtils } from '../src';
+import { AbstractBalanceAndProxyAllowanceFetcher } from '../src/abstract/abstract_balance_and_proxy_allowance_fetcher';
+import { AbstractOrderFilledCancelledFetcher } from '../src/abstract/abstract_order_filled_cancelled_fetcher';
+import { OrderStateUtils } from '../src/order_state_utils';
 
 import { chaiSetup } from './utils/chai_setup';
 import { testOrderFactory } from './utils/test_order_factory';
-- 
cgit v1.2.3