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import { marketUtils } from '@0xproject/order-utils';
import { SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
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
export class ForwarderHelperImpl implements ForwarderHelper {
private _orders: SignedOrder[];
private _feeOrders: SignedOrder[];
private _remainingFillableMakerAssetAmountsIfExists?: BigNumber[];
private _remainingFillableFeeAmountsIfExists?: BigNumber[];
constructor(
orders: SignedOrder[],
feeOrders: SignedOrder[] = [] as SignedOrder[],
remainingFillableMakerAssetAmounts?: BigNumber[],
remainingFillableFeeAmounts?: BigNumber[],
) {
this._orders = orders;
this._feeOrders = feeOrders;
this._remainingFillableMakerAssetAmountsIfExists = remainingFillableMakerAssetAmounts;
this._remainingFillableFeeAmountsIfExists = remainingFillableFeeAmounts;
}
public getMarketBuyOrdersInfo(request: MarketBuyOrdersInfoRequest): MarketBuyOrdersInfo {
const { makerAssetFillAmount, feePercentage } = request;
// TODO: make the slippage percentage customizable
const slippageBufferAmount = makerAssetFillAmount.mul(SLIPPAGE_PERCENTAGE);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
this._orders,
makerAssetFillAmount,
{
remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists,
slippageBufferAmount,
},
);
if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(ForwarderHelperError.InsufficientLiquidity);
}
// TODO: 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 } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
resultOrders,
this._feeOrders,
{
remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists,
remainingFillableFeeAmounts: this._remainingFillableFeeAmountsIfExists,
},
);
if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(ForwarderHelperError.InsufficientZrxLiquidity);
}
// TODO: calculate min and max eth usage
return {
makerAssetFillAmount,
orders: resultOrders,
feeOrders: resultFeeOrders,
minEthAmount: constants.ZERO_AMOUNT,
maxEthAmount: constants.ZERO_AMOUNT,
feePercentage,
};
}
}
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