From 60e2dfdbda1e089ee4d4419243167eaeb769ff6a Mon Sep 17 00:00:00 2001 From: fragosti Date: Wed, 19 Sep 2018 15:58:30 +0200 Subject: Calculate min and max rates in buy quote --- packages/order-utils/src/market_utils.ts | 39 ++++++++++++++++++++------------ packages/order-utils/src/types.ts | 2 ++ 2 files changed, 27 insertions(+), 14 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 4a664cb14..ed6af7d85 100644 --- a/packages/order-utils/src/market_utils.ts +++ b/packages/order-utils/src/market_utils.ts @@ -51,17 +51,23 @@ export const marketUtils = { // iterate through the orders input from left to right until we have enough makerAsset to fill totalFillAmount const result = _.reduce( orders, - ({ resultOrders, remainingFillAmount }, order, index) => { + ({ resultOrders, remainingFillAmount, ordersRemainingFillableMakerAssetAmounts }, order, index) => { if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) { - return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT }; + return { + resultOrders, + remainingFillAmount: constants.ZERO_AMOUNT, + ordersRemainingFillableMakerAssetAmounts, + }; } else { const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index]; + const shouldIncludeOrder = makerAssetAmountAvailable.gt(constants.ZERO_AMOUNT); // if there is no makerAssetAmountAvailable do not append order to resultOrders // if we have exceeded the total amount we want to fill set remainingFillAmount to 0 return { - resultOrders: makerAssetAmountAvailable.gt(constants.ZERO_AMOUNT) - ? _.concat(resultOrders, order) - : resultOrders, + resultOrders: shouldIncludeOrder ? _.concat(resultOrders, order) : resultOrders, + ordersRemainingFillableMakerAssetAmounts: shouldIncludeOrder + ? _.concat(ordersRemainingFillableMakerAssetAmounts, makerAssetAmountAvailable) + : ordersRemainingFillableMakerAssetAmounts, remainingFillAmount: BigNumber.max( constants.ZERO_AMOUNT, remainingFillAmount.minus(makerAssetAmountAvailable), @@ -69,7 +75,11 @@ export const marketUtils = { }; } }, - { resultOrders: [] as T[], remainingFillAmount: totalFillAmount }, + { + resultOrders: [] as T[], + remainingFillAmount: totalFillAmount, + ordersRemainingFillableMakerAssetAmounts: [] as BigNumber[], + }, ); return result; }, @@ -133,17 +143,18 @@ export const marketUtils = { }, constants.ZERO_AMOUNT, ); - const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount( - feeOrders, - totalFeeAmount, - { - remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts, - slippageBufferAmount, - }, - ); + const { + resultOrders, + remainingFillAmount, + ordersRemainingFillableMakerAssetAmounts, + } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(feeOrders, totalFeeAmount, { + remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts, + slippageBufferAmount, + }); return { resultFeeOrders: resultOrders, remainingFeeAmount: remainingFillAmount, + feeOrdersRemainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts, }; // TODO: add more orders here to cover rounding // https://github.com/0xProject/0x-protocol-specification/blob/master/v2/forwarding-contract-specification.md#over-buying-zrx diff --git a/packages/order-utils/src/types.ts b/packages/order-utils/src/types.ts index 09292e557..a843efaa4 100644 --- a/packages/order-utils/src/types.ts +++ b/packages/order-utils/src/types.ts @@ -72,10 +72,12 @@ export interface FindFeeOrdersThatCoverFeesForTargetOrdersOpts { export interface FeeOrdersAndRemainingFeeAmount { resultFeeOrders: T[]; + feeOrdersRemainingFillableMakerAssetAmounts: BigNumber[]; remainingFeeAmount: BigNumber; } export interface OrdersAndRemainingFillAmount { resultOrders: T[]; + ordersRemainingFillableMakerAssetAmounts: BigNumber[]; remainingFillAmount: BigNumber; } -- cgit v1.2.3 From 411813d8d9f23d535f10dd3fdd9e824b244bf187 Mon Sep 17 00:00:00 2001 From: Leonid Logvinov Date: Tue, 25 Sep 2018 13:48:44 +0200 Subject: Updated CHANGELOGS --- packages/order-utils/CHANGELOG.json | 9 +++++++++ packages/order-utils/CHANGELOG.md | 4 ++++ 2 files changed, 13 insertions(+) (limited to 'packages/order-utils') diff --git a/packages/order-utils/CHANGELOG.json b/packages/order-utils/CHANGELOG.json index 5bf538c1f..d6742df2e 100644 --- a/packages/order-utils/CHANGELOG.json +++ b/packages/order-utils/CHANGELOG.json @@ -1,4 +1,13 @@ [ + { + "timestamp": 1537875740, + "version": "1.0.4", + "changes": [ + { + "note": "Dependencies updated" + } + ] + }, { "timestamp": 1537541580, "version": "1.0.3", diff --git a/packages/order-utils/CHANGELOG.md b/packages/order-utils/CHANGELOG.md index e35867fa6..67e5a54a6 100644 --- a/packages/order-utils/CHANGELOG.md +++ b/packages/order-utils/CHANGELOG.md @@ -5,6 +5,10 @@ Edit the package's CHANGELOG.json file only. CHANGELOG +## v1.0.4 - _September 25, 2018_ + + * Dependencies updated + ## v1.0.3 - _September 21, 2018_ * Dependencies updated -- cgit v1.2.3 From 78ef98c27ce954f7e46b261b0809ff9d8d70519b Mon Sep 17 00:00:00 2001 From: Leonid Logvinov Date: Tue, 25 Sep 2018 13:48:55 +0200 Subject: Publish - 0x.js@1.0.5 - @0xproject/abi-gen@1.0.10 - @0xproject/assert@1.0.10 - @0xproject/asset-buyer@1.0.0 - @0xproject/base-contract@2.0.4 - @0xproject/connect@2.0.3 - @0xproject/contract-wrappers@1.0.5 - contracts@2.1.46 - @0xproject/dev-utils@1.0.9 - @0xproject/fill-scenarios@1.0.4 - @0xproject/json-schemas@1.0.3 - @0xproject/metacoin@0.0.20 - @0xproject/migrations@1.0.11 - @0xproject/order-utils@1.0.4 - @0xproject/order-watcher@1.0.5 - @0xproject/react-docs@1.0.10 - @0xproject/react-shared@1.0.11 - @0xproject/sol-compiler@1.1.4 - @0xproject/sol-cov@2.1.4 - @0xproject/sol-resolver@1.0.10 - @0xproject/sra-report@1.0.10 - @0xproject/sra-spec@1.0.3 - @0xproject/subproviders@2.0.4 - @0xproject/testnet-faucets@1.0.48 - @0xproject/types@1.1.0 - @0xproject/utils@1.0.10 - @0xproject/web3-wrapper@3.0.0 - @0xproject/website@0.0.51 --- packages/order-utils/package.json | 16 ++++++++-------- 1 file changed, 8 insertions(+), 8 deletions(-) (limited to 'packages/order-utils') diff --git a/packages/order-utils/package.json b/packages/order-utils/package.json index c9620bffa..167d32608 100644 --- a/packages/order-utils/package.json +++ b/packages/order-utils/package.json @@ -1,6 +1,6 @@ { "name": "@0xproject/order-utils", - "version": "1.0.3", + "version": "1.0.4", "engines": { "node": ">=6.12" }, @@ -38,7 +38,7 @@ }, "homepage": "https://github.com/0xProject/0x-monorepo/packages/order-utils/README.md", "devDependencies": { - "@0xproject/dev-utils": "^1.0.8", + "@0xproject/dev-utils": "^1.0.9", "@0xproject/tslint-config": "^1.0.7", "@types/bn.js": "^4.11.0", "@types/lodash": "4.14.104", @@ -57,13 +57,13 @@ "typescript": "3.0.1" }, "dependencies": { - "@0xproject/assert": "^1.0.9", - "@0xproject/base-contract": "^2.0.3", - "@0xproject/json-schemas": "^1.0.2", - "@0xproject/types": "^1.0.2", + "@0xproject/assert": "^1.0.10", + "@0xproject/base-contract": "^2.0.4", + "@0xproject/json-schemas": "^1.0.3", + "@0xproject/types": "^1.1.0", "@0xproject/typescript-typings": "^2.0.1", - "@0xproject/utils": "^1.0.9", - "@0xproject/web3-wrapper": "^2.0.3", + "@0xproject/utils": "^1.0.10", + "@0xproject/web3-wrapper": "^3.0.0", "@types/node": "*", "bn.js": "^4.11.8", "ethereum-types": "^1.0.7", -- cgit v1.2.3