From e8a1950a7489e83f7f1a1127ee325f0c5c36483c Mon Sep 17 00:00:00 2001 From: Brandon Millman Date: Fri, 17 Aug 2018 13:00:54 -0700 Subject: Add ForwarderHelperImplConfig --- packages/forwarder-helper/package.json | 15 ++-- .../forwarder-helper/src/forwarder_helper_impl.ts | 94 +++++++++++++++++----- packages/order-utils/CHANGELOG.json | 3 + packages/order-utils/src/sorting_utils.ts | 2 +- packages/order-utils/test/market_utils_test.ts | 24 +++--- 5 files changed, 100 insertions(+), 38 deletions(-) (limited to 'packages') diff --git a/packages/forwarder-helper/package.json b/packages/forwarder-helper/package.json index e79154a52..d5f6c52b6 100644 --- a/packages/forwarder-helper/package.json +++ b/packages/forwarder-helper/package.json @@ -15,21 +15,22 @@ "test:coverage": "nyc npm run test --all && yarn coverage:report:lcov", "coverage:report:lcov": "nyc report --reporter=text-lcov > coverage/lcov.info", "test:circleci": "yarn test:coverage", - "run_mocha": - "mocha --require source-map-support/register --require make-promises-safe lib/test/**/*_test.js --exit", + "run_mocha": "mocha --require source-map-support/register --require make-promises-safe lib/test/**/*_test.js --exit", "clean": "shx rm -rf lib test_temp scripts", "build": "tsc && copyfiles -u 3 './lib/src/monorepo_scripts/**/*' ./scripts", "manual:postpublish": "yarn build; node ./scripts/postpublish.js", "docs:stage": "node scripts/stage_docs.js", "docs:json": "typedoc --excludePrivate --excludeExternals --target ES5 --json $JSON_FILE_PATH $PROJECT_FILES", - "upload_docs_json": - "aws s3 cp generated_docs/index.json $S3_URL --profile 0xproject --grants read=uri=http://acs.amazonaws.com/groups/global/AllUsers --content-type application/json" + "upload_docs_json": "aws s3 cp generated_docs/index.json $S3_URL --profile 0xproject --grants read=uri=http://acs.amazonaws.com/groups/global/AllUsers --content-type application/json" }, "config": { "postpublish": { "assets": [], "docPublishConfigs": { - "extraFileIncludes": ["../types/src/index.ts", "../ethereum-types/src/index.ts"], + "extraFileIncludes": [ + "../types/src/index.ts", + "../ethereum-types/src/index.ts" + ], "s3BucketPath": "s3://doc-jsons/forwarder-helper/", "s3StagingBucketPath": "s3://staging-doc-jsons/forwarder-helper/" } @@ -50,11 +51,13 @@ "@0xproject/types": "^1.0.1-rc.4", "@0xproject/typescript-typings": "^1.0.4", "@0xproject/utils": "^1.0.5", - "@types/node": "^8.0.53" + "@types/node": "^8.0.53", + "lodash": "^4.17.10" }, "devDependencies": { "@0xproject/monorepo-scripts": "^1.0.5", "@0xproject/tslint-config": "^1.0.5", + "@types/lodash": "^4.14.116", "@types/mocha": "^2.2.42", "chai": "^4.0.1", "chai-as-promised": "^7.1.0", diff --git a/packages/forwarder-helper/src/forwarder_helper_impl.ts b/packages/forwarder-helper/src/forwarder_helper_impl.ts index 0d03c9f76..8f4ec1c02 100644 --- a/packages/forwarder-helper/src/forwarder_helper_impl.ts +++ b/packages/forwarder-helper/src/forwarder_helper_impl.ts @@ -1,37 +1,93 @@ -import { marketUtils } from '@0xproject/order-utils'; +import { marketUtils, sortingUtils } from '@0xproject/order-utils'; import { SignedOrder } from '@0xproject/types'; import { BigNumber } from '@0xproject/utils'; +import * as _ from 'lodash'; import { constants } from './constants'; import { ForwarderHelper, ForwarderHelperError, MarketBuyOrdersInfo, MarketBuyOrdersInfoRequest } from './types'; const SLIPPAGE_PERCENTAGE = new BigNumber(0.2); // 20% slippage protection, possibly move this into request interface +interface SignedOrderWithAmount extends SignedOrder { + remainingFillAmount?: BigNumber; +} + +export interface ForwarderHelperImplConfig { + orders: SignedOrder[]; + feeOrders: SignedOrder[]; + remainingFillableMakerAssetAmounts?: BigNumber[]; + remainingFillableFeeAmounts?: BigNumber[]; +} + export class ForwarderHelperImpl implements ForwarderHelper { - private _orders: SignedOrder[]; - private _feeOrders: SignedOrder[]; - private _remainingFillableMakerAssetAmountsIfExists?: BigNumber[]; - private _remainingFillableFeeAmountsIfExists?: BigNumber[]; - constructor( + private _config: ForwarderHelperImplConfig; + private static _createSignedOrderWithAmounts( orders: SignedOrder[], - feeOrders: SignedOrder[] = [] as SignedOrder[], - remainingFillableMakerAssetAmounts?: BigNumber[], - remainingFillableFeeAmounts?: BigNumber[], - ) { - this._orders = orders; - this._feeOrders = feeOrders; - this._remainingFillableMakerAssetAmountsIfExists = remainingFillableMakerAssetAmounts; - this._remainingFillableFeeAmountsIfExists = remainingFillableFeeAmounts; + amounts?: BigNumber[], + ): SignedOrderWithAmount[] { + const ordersAndAmounts = _.map(orders, (order, index) => { + return { + ...order, + remainingFillAmount: _.nth(amounts, index), + }; + }); + return ordersAndAmounts; + } + private static _unbundleSignedOrderWithAmounts( + signedOrderWithAmounts: SignedOrderWithAmount[], + ): { orders: SignedOrder[]; amounts?: BigNumber[] } { + const orders = _.map(signedOrderWithAmounts, order => { + const { remainingFillAmount, ...rest } = order; + return rest; + }); + const amounts = _.map(signedOrderWithAmounts, order => { + const { remainingFillAmount, ...rest } = order; + return remainingFillAmount; + }); + const compactAmounts = _.compact(amounts); + return { + orders, + amounts: compactAmounts.length > 0 ? compactAmounts : undefined, + }; + } + private static _sortConfig(opts: ForwarderHelperImplConfig): ForwarderHelperImplConfig { + const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = opts; + const orderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts( + orders, + remainingFillableMakerAssetAmounts, + ); + const sortedOrderWithAmounts = sortingUtils.sortOrdersByFeeAdjustedRate(orderWithAmounts); + const unbundledSortedOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts( + sortedOrderWithAmounts, + ); + const feeOrderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts( + feeOrders, + remainingFillableFeeAmounts, + ); + const sortedFeeOrderWithAmounts = sortingUtils.sortFeeOrdersByFeeAdjustedRate(feeOrderWithAmounts); + const unbundledSortedFeeOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts( + sortedFeeOrderWithAmounts, + ); + return { + orders: unbundledSortedOrderWithAmounts.orders, + feeOrders: unbundledSortedFeeOrderWithAmounts.orders, + remainingFillableMakerAssetAmounts: unbundledSortedOrderWithAmounts.amounts, + remainingFillableFeeAmounts: unbundledSortedFeeOrderWithAmounts.amounts, + }; + } + constructor(opts: ForwarderHelperImplConfig) { + this._config = ForwarderHelperImpl._sortConfig(opts); } public getMarketBuyOrdersInfo(request: MarketBuyOrdersInfoRequest): MarketBuyOrdersInfo { const { makerAssetFillAmount, feePercentage } = request; + const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = this._config; // TODO: make the slippage percentage customizable const slippageBufferAmount = makerAssetFillAmount.mul(SLIPPAGE_PERCENTAGE); const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount( - this._orders, + orders, makerAssetFillAmount, { - remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists, + remainingFillableMakerAssetAmounts, slippageBufferAmount, }, ); @@ -42,10 +98,10 @@ export class ForwarderHelperImpl implements ForwarderHelper { // finding order that cover all fees, this will help with estimating ETH and minimizing gas usage const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( resultOrders, - this._feeOrders, + feeOrders, { - remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists, - remainingFillableFeeAmounts: this._remainingFillableFeeAmountsIfExists, + remainingFillableMakerAssetAmounts, + remainingFillableFeeAmounts, }, ); if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) { diff --git a/packages/order-utils/CHANGELOG.json b/packages/order-utils/CHANGELOG.json index 4acb3d233..c4260bc2f 100644 --- a/packages/order-utils/CHANGELOG.json +++ b/packages/order-utils/CHANGELOG.json @@ -18,6 +18,9 @@ { "note": "Rename `resultOrders` to `resultFeeOrders` for object returned by `findFeeOrdersThatCoverFeesForTargetOrders` in `marketUtils` api" + }, + { + "note": "Make `sortFeeOrdersByFeeAdjustedRate` in `sortingUtils` generic" } ] }, diff --git a/packages/order-utils/src/sorting_utils.ts b/packages/order-utils/src/sorting_utils.ts index 8811bcaf8..cd5163cf6 100644 --- a/packages/order-utils/src/sorting_utils.ts +++ b/packages/order-utils/src/sorting_utils.ts @@ -32,7 +32,7 @@ export const sortingUtils = { * the makerAsset and WETH as the takerAsset. * @return The input orders sorted by rate in ascending order */ - sortFeeOrdersByFeeAdjustedRate(feeOrders: Order[]): Order[] { + sortFeeOrdersByFeeAdjustedRate(feeOrders: T[]): T[] { assert.doesConformToSchema('feeOrders', feeOrders, schemas.ordersSchema); const rateCalculator = rateUtils.getFeeAdjustedRateOfFeeOrder.bind(rateUtils); const sortedOrders = sortOrders(feeOrders, rateCalculator); diff --git a/packages/order-utils/test/market_utils_test.ts b/packages/order-utils/test/market_utils_test.ts index 109420a02..0c0151e57 100644 --- a/packages/order-utils/test/market_utils_test.ts +++ b/packages/order-utils/test/market_utils_test.ts @@ -139,11 +139,11 @@ describe('marketUtils', () => { ); describe('no target orders', () => { it('returns empty and zero remainingFeeAmount', async () => { - const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( + const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( [], inputFeeOrders, ); - expect(resultOrders).to.be.empty; + expect(resultFeeOrders).to.be.empty; expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT); }); }); @@ -162,14 +162,14 @@ describe('marketUtils', () => { // generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount]; it('returns empty and non-zero remainingFeeAmount', async () => { - const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( + const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( inputOrders, [], { remainingFillableMakerAssetAmounts, }, ); - expect(resultOrders).to.be.empty; + expect(resultFeeOrders).to.be.empty; expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30)); }); }); @@ -183,11 +183,11 @@ describe('marketUtils', () => { 3, ); it('returns empty and zero remainingFeeAmount', async () => { - const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( + const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( inputOrders, inputFeeOrders, ); - expect(resultOrders).to.be.empty; + expect(resultFeeOrders).to.be.empty; expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT); }); }); @@ -204,11 +204,11 @@ describe('marketUtils', () => { 3, ); it('returns input fee orders and zero remainingFeeAmount', async () => { - const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( + const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( inputOrders, inputFeeOrders, ); - expect(resultOrders).to.be.deep.equal(inputFeeOrders); + expect(resultFeeOrders).to.be.deep.equal(inputFeeOrders); expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT); }); }); @@ -230,14 +230,14 @@ describe('marketUtils', () => { // 3. order is completely fillable const remainingFillableMakerAssetAmounts = [constants.ZERO_AMOUNT, new BigNumber(5), makerAssetAmount]; it('returns first two input fee orders and zero remainingFeeAmount', async () => { - const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( + const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( inputOrders, inputFeeOrders, { remainingFillableMakerAssetAmounts, }, ); - expect(resultOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]); + expect(resultFeeOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]); expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT); }); }); @@ -254,11 +254,11 @@ describe('marketUtils', () => { 3, ); it('returns input fee orders and non-zero remainingFeeAmount', async () => { - const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( + const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders( inputOrders, inputFeeOrders, ); - expect(resultOrders).to.be.deep.equal(inputFeeOrders); + expect(resultFeeOrders).to.be.deep.equal(inputFeeOrders); expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30)); }); }); -- cgit v1.2.3