import { orderFactory } from '@0xproject/order-utils/lib/src/order_factory'; import { BigNumber } from '@0xproject/utils'; import * as chai from 'chai'; import * as _ from 'lodash'; import 'mocha'; import { AssetBuyerError, OrdersAndFillableAmounts } from '../src/types'; import { buyQuoteCalculator } from '../src/utils/buy_quote_calculator'; import { chaiSetup } from './utils/chai_setup'; chaiSetup.configure(); const expect = chai.expect; const NULL_ADDRESS = '0x0000000000000000000000000000000000000000'; const NULL_BYTES = '0x'; // tslint:disable:custom-no-magic-numbers describe('buyQuoteCalculator', () => { describe('#calculate', () => { let ordersAndFillableAmounts: OrdersAndFillableAmounts; let smallFeeOrderAndFillableAmount: OrdersAndFillableAmounts; let allFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts; beforeEach(() => { // generate two orders for our desired maker asset // the first order has a rate of 4 makerAsset / WETH with a takerFee of 200 ZRX and has only 200 / 400 makerAsset units left to fill (half fillable) // the second order has a rate of 2 makerAsset / WETH with a takerFee of 100 ZRX and has 200 / 200 makerAsset units left to fill (completely fillable) // generate one order for fees // the fee order has a rate of 1 ZRX / WETH with no taker fee and has 100 ZRX left to fill (completely fillable) const firstOrder = orderFactory.createOrder( NULL_ADDRESS, new BigNumber(400), NULL_BYTES, new BigNumber(100), NULL_BYTES, NULL_ADDRESS, { takerFee: new BigNumber(200), }, ); const firstRemainingFillAmount = new BigNumber(200); const secondOrder = orderFactory.createOrder( NULL_ADDRESS, new BigNumber(200), NULL_BYTES, new BigNumber(100), NULL_BYTES, NULL_ADDRESS, { takerFee: new BigNumber(100), }, ); const secondRemainingFillAmount = secondOrder.makerAssetAmount; const signedOrders = _.map([firstOrder, secondOrder], order => { return { ...order, signature: NULL_BYTES, }; }); ordersAndFillableAmounts = { orders: signedOrders, remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount], }; const smallFeeOrder = orderFactory.createOrder( NULL_ADDRESS, new BigNumber(100), NULL_BYTES, new BigNumber(100), NULL_BYTES, NULL_ADDRESS, ); const signedSmallFeeOrder = { ...smallFeeOrder, signature: NULL_BYTES, }; smallFeeOrderAndFillableAmount = { orders: [signedSmallFeeOrder], remainingFillableMakerAssetAmounts: [signedSmallFeeOrder.makerAssetAmount], }; const largeFeeOrder = orderFactory.createOrder( NULL_ADDRESS, new BigNumber(100), NULL_BYTES, new BigNumber(200), NULL_BYTES, NULL_ADDRESS, ); const signedLargeFeeOrder = { ...largeFeeOrder, signature: NULL_BYTES, }; allFeeOrdersAndFillableAmounts = { orders: [signedSmallFeeOrder, signedLargeFeeOrder], remainingFillableMakerAssetAmounts: [ signedSmallFeeOrder.makerAssetAmount, largeFeeOrder.makerAssetAmount, ], }; }); it('should throw if not enough maker asset liquidity', () => { // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units expect(() => buyQuoteCalculator.calculate( ordersAndFillableAmounts, smallFeeOrderAndFillableAmount, new BigNumber(500), 0, 0, ), ).to.throw(AssetBuyerError.InsufficientAssetLiquidity); }); it('should throw if not enough ZRX liquidity', () => { // we request 300 makerAsset units but the ZRX order is only enough to fill the first order, which only has 200 makerAssetUnits available expect(() => buyQuoteCalculator.calculate( ordersAndFillableAmounts, smallFeeOrderAndFillableAmount, new BigNumber(300), 0, 0, ), ).to.throw(AssetBuyerError.InsufficientZrxLiquidity); }); it('calculates a correct buyQuote with no slippage', () => { // we request 200 makerAsset units which can be filled using the first order // the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder const assetBuyAmount = new BigNumber(200); const feePercentage = 0.02; const slippagePercentage = 0; const buyQuote = buyQuoteCalculator.calculate( ordersAndFillableAmounts, smallFeeOrderAndFillableAmount, assetBuyAmount, feePercentage, slippagePercentage, ); // test if orders are correct expect(buyQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]); expect(buyQuote.feeOrders).to.deep.equal([smallFeeOrderAndFillableAmount.orders[0]]); // test if rates are correct // 50 eth to fill the first order + 100 eth for fees const expectedMinEthToFill = new BigNumber(150); const expectedMinRate = assetBuyAmount.div(expectedMinEthToFill.mul(feePercentage + 1)); expect(buyQuote.minRate).to.bignumber.equal(expectedMinRate); // because we have no slippage protection, minRate is equal to maxRate expect(buyQuote.maxRate).to.bignumber.equal(expectedMinRate); // test if feePercentage gets passed through expect(buyQuote.feePercentage).to.equal(feePercentage); }); it('calculates a correct buyQuote with with slippage', () => { // we request 200 makerAsset units which can be filled using the first order // however with 50% slippage we are protecting the buy with 100 extra makerAssetUnits // so we need enough orders to fill 300 makerAssetUnits // 300 makerAssetUnits can only be filled using both orders // the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder const assetBuyAmount = new BigNumber(200); const feePercentage = 0.02; const slippagePercentage = 0.5; const buyQuote = buyQuoteCalculator.calculate( ordersAndFillableAmounts, allFeeOrdersAndFillableAmounts, assetBuyAmount, feePercentage, slippagePercentage, ); // test if orders are correct expect(buyQuote.orders).to.deep.equal(ordersAndFillableAmounts.orders); expect(buyQuote.feeOrders).to.deep.equal(allFeeOrdersAndFillableAmounts.orders); // test if rates are correct // 50 eth to fill the first order + 100 eth for fees const expectedMinEthToFill = new BigNumber(150); const expectedMinRate = assetBuyAmount.div(expectedMinEthToFill.mul(feePercentage + 1)); expect(buyQuote.minRate).to.bignumber.equal(expectedMinRate); // 100 eth to fill the first order + 200 eth for fees const expectedMaxEthToFill = new BigNumber(300); const expectedMaxRate = assetBuyAmount.div(expectedMaxEthToFill.mul(feePercentage + 1)); expect(buyQuote.maxRate).to.bignumber.equal(expectedMaxRate); // test if feePercentage gets passed through expect(buyQuote.feePercentage).to.equal(feePercentage); }); }); });