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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 _config: ForwarderHelperImplConfig;
private static _createSignedOrderWithAmounts(
orders: SignedOrder[],
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(
orders,
makerAssetFillAmount,
{
remainingFillableMakerAssetAmounts,
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,
feeOrders,
{
remainingFillableMakerAssetAmounts,
remainingFillableFeeAmounts,
},
);
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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