import { schemas } from '@0xproject/json-schemas'; import { OrderRelevantState, SignedOrder } from '@0xproject/types'; import { BigNumber } from '@0xproject/utils'; import * as _ from 'lodash'; import { assert } from './assert'; import { constants } from './constants'; 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. * 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 orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state * relevant to that order. * @param makerAssetFillAmount The amount of makerAsset desired to be filled. * @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills. * @return Resulting orders and remaining fill amount that could not be covered by the input. */ findOrdersThatCoverMakerAssetFillAmount( signedOrders: SignedOrder[], orderStates: OrderRelevantState[], makerAssetFillAmount: BigNumber, slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT, ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } { // type assertions assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema); assert.isBigNumber('makerAssetFillAmount', makerAssetFillAmount); assert.isBigNumber('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 const result = _.reduce( signedOrders, ({ resultOrders, remainingFillAmount }, order, index) => { if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) { return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT }; } else { const orderState = orderStates[index]; const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState); return { resultOrders: _.concat(resultOrders, order), remainingFillAmount: remainingFillAmount.minus(makerAssetAmountAvailable), }; } }, { resultOrders: [] as SignedOrder[], remainingFillAmount: totalFillAmount }, ); 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 * 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 orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state * relevant to 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 feeOrderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state * relevant to that order. * @param makerAssetFillAmount The amount of makerAsset desired to be filled. * @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills. * @return Resulting orders and remaining fill amount that could not be covered by the input. */ findFeeOrdersThatCoverFeesForTargetOrders( signedOrders: SignedOrder[], orderStates: OrderRelevantState[], signedFeeOrders: SignedOrder[], feeOrderStates: OrderRelevantState[], slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT, ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } { // type assertions assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema); assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema); assert.isBigNumber('slippageBufferAmount', slippageBufferAmount); // calculate total amount of ZRX needed to fill signedOrders const totalFeeAmount = _.reduce( signedOrders, (accFees, order, index) => { const orderState = orderStates[index]; const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState); const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable .div(order.makerAssetAmount) .mul(order.takerFee); return accFees.plus(feeToFillMakerAssetAmountAvailable); }, constants.ZERO_AMOUNT, ); return marketUtils.findOrdersThatCoverMakerAssetFillAmount( signedFeeOrders, feeOrderStates, totalFeeAmount, slippageBufferAmount, ); }, }; const getMakerAssetAmountAvailable = (orderState: OrderRelevantState) => { return BigNumber.min( orderState.makerBalance, orderState.remainingFillableMakerAssetAmount, orderState.makerProxyAllowance, ); };