import { marketUtils, rateUtils } from '@0xproject/order-utils'; import { BigNumber } from '@0xproject/utils'; import * as _ from 'lodash'; import { constants } from '../constants'; import { AssetBuyerError, BuyQuote, BuyQuoteInfo, OrdersAndFillableAmounts } from '../types'; // Calculates a buy quote for orders that have WETH as the takerAsset export const buyQuoteCalculator = { calculate( ordersAndFillableAmounts: OrdersAndFillableAmounts, feeOrdersAndFillableAmounts: OrdersAndFillableAmounts, assetBuyAmount: BigNumber, feePercentage: number, slippagePercentage: number, ): BuyQuote { const orders = ordersAndFillableAmounts.orders; const remainingFillableMakerAssetAmounts = ordersAndFillableAmounts.remainingFillableMakerAssetAmounts; const feeOrders = feeOrdersAndFillableAmounts.orders; const remainingFillableFeeAmounts = feeOrdersAndFillableAmounts.remainingFillableMakerAssetAmounts; const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round(); // find the orders that cover the desired assetBuyAmount (with slippage) const { resultOrders, remainingFillAmount, ordersRemainingFillableMakerAssetAmounts, } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(orders, assetBuyAmount, { remainingFillableMakerAssetAmounts, slippageBufferAmount, }); // if we do not have enough orders to cover the desired assetBuyAmount, throw if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) { throw new Error(AssetBuyerError.InsufficientAssetLiquidity); } // given the orders calculated above, find the fee-orders that cover the desired assetBuyAmount (with slippage) // TODO(bmillman): optimization // update this logic to find the minimum amount of feeOrders to cover the worst case as opposed to // finding order that cover all fees, this will help with estimating ETH and minimizing gas usage const { resultFeeOrders, remainingFeeAmount, feeOrdersRemainingFillableMakerAssetAmounts, } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(resultOrders, feeOrders, { remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts, remainingFillableFeeAmounts, }); // if we do not have enough feeOrders to cover the fees, throw if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) { throw new Error(AssetBuyerError.InsufficientZrxLiquidity); } // assetData information for the result const assetData = orders[0].makerAssetData; // compile the resulting trimmed set of orders for makerAsset and feeOrders that are needed for assetBuyAmount const trimmedOrdersAndFillableAmounts: OrdersAndFillableAmounts = { orders: resultOrders, remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts, }; const trimmedFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts = { orders: resultFeeOrders, remainingFillableMakerAssetAmounts: feeOrdersRemainingFillableMakerAssetAmounts, }; const bestCaseQuoteInfo = calculateQuoteInfo( trimmedOrdersAndFillableAmounts, trimmedFeeOrdersAndFillableAmounts, assetBuyAmount, feePercentage, ); // in order to calculate the maxRate, reverse the ordersAndFillableAmounts such that they are sorted from worst rate to best rate const worstCaseQuoteInfo = calculateQuoteInfo( reverseOrdersAndFillableAmounts(trimmedOrdersAndFillableAmounts), reverseOrdersAndFillableAmounts(trimmedFeeOrdersAndFillableAmounts), assetBuyAmount, feePercentage, ); return { assetData, orders: resultOrders, feeOrders: resultFeeOrders, bestCaseQuoteInfo, worstCaseQuoteInfo, assetBuyAmount, feePercentage, }; }, }; function calculateQuoteInfo( ordersAndFillableAmounts: OrdersAndFillableAmounts, feeOrdersAndFillableAmounts: OrdersAndFillableAmounts, assetBuyAmount: BigNumber, feePercentage: number, ): BuyQuoteInfo { // find the total eth and zrx needed to buy assetAmount from the resultOrders from left to right const [ethAmountToBuyAsset, zrxAmountToBuyAsset] = findEthAndZrxAmountNeededToBuyAsset( ordersAndFillableAmounts, assetBuyAmount, ); // find the total eth needed to buy fees const ethAmountToBuyFees = findEthAmountNeededToBuyFees(feeOrdersAndFillableAmounts, zrxAmountToBuyAsset); const ethAmountBeforeAffiliateFee = ethAmountToBuyAsset.plus(ethAmountToBuyFees); const totalEthAmount = ethAmountBeforeAffiliateFee.mul(feePercentage + 1); // divide into the assetBuyAmount in order to find rate of makerAsset / WETH const ethPerAssetPrice = ethAmountBeforeAffiliateFee.div(assetBuyAmount); return { totalEthAmount, feeEthAmount: totalEthAmount.minus(ethAmountBeforeAffiliateFee), ethPerAssetPrice, }; } // given an OrdersAndFillableAmounts, reverse the orders and remainingFillableMakerAssetAmounts properties function reverseOrdersAndFillableAmounts(ordersAndFillableAmounts: OrdersAndFillableAmounts): OrdersAndFillableAmounts { const ordersCopy = _.clone(ordersAndFillableAmounts.orders); const remainingFillableMakerAssetAmountsCopy = _.clone(ordersAndFillableAmounts.remainingFillableMakerAssetAmounts); return { orders: ordersCopy.reverse(), remainingFillableMakerAssetAmounts: remainingFillableMakerAssetAmountsCopy.reverse(), }; } function findEthAmountNeededToBuyFees( feeOrdersAndFillableAmounts: OrdersAndFillableAmounts, feeAmount: BigNumber, ): BigNumber { const { orders, remainingFillableMakerAssetAmounts } = feeOrdersAndFillableAmounts; const result = _.reduce( orders, (acc, order, index) => { const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index]; const amountToFill = BigNumber.min(acc.remainingFeeAmount, remainingFillableMakerAssetAmount); const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfFeeOrder(order); const ethAmountForThisOrder = feeAdjustedRate.mul(amountToFill); return { ethAmount: acc.ethAmount.plus(ethAmountForThisOrder), remainingFeeAmount: BigNumber.max(constants.ZERO_AMOUNT, acc.remainingFeeAmount.minus(amountToFill)), }; }, { ethAmount: constants.ZERO_AMOUNT, remainingFeeAmount: feeAmount, }, ); return result.ethAmount; } function findEthAndZrxAmountNeededToBuyAsset( ordersAndFillableAmounts: OrdersAndFillableAmounts, assetBuyAmount: BigNumber, ): [BigNumber, BigNumber] { const { orders, remainingFillableMakerAssetAmounts } = ordersAndFillableAmounts; const result = _.reduce( orders, (acc, order, index) => { const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index]; const amountToFill = BigNumber.min(acc.remainingAssetBuyAmount, remainingFillableMakerAssetAmount); // find the amount of eth required to fill amountToFill (amountToFill / makerAssetAmount) * takerAssetAmount const ethAmountForThisOrder = amountToFill .mul(order.takerAssetAmount) .dividedToIntegerBy(order.makerAssetAmount); // find the amount of zrx required to fill fees for amountToFill (amountToFill / makerAssetAmount) * takerFee const zrxAmountForThisOrder = amountToFill.mul(order.takerFee).dividedToIntegerBy(order.makerAssetAmount); return { ethAmount: acc.ethAmount.plus(ethAmountForThisOrder), zrxAmount: acc.zrxAmount.plus(zrxAmountForThisOrder), remainingAssetBuyAmount: BigNumber.max( constants.ZERO_AMOUNT, acc.remainingAssetBuyAmount.minus(amountToFill), ), }; }, { ethAmount: constants.ZERO_AMOUNT, zrxAmount: constants.ZERO_AMOUNT, remainingAssetBuyAmount: assetBuyAmount, }, ); return [result.ethAmount, result.zrxAmount]; }