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import { marketUtils } 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';
import { forwarderHelperImplConfigUtils } from './utils/forwarder_helper_impl_config_utils';
const SLIPPAGE_PERCENTAGE = new BigNumber(0.2); // 20% slippage protection, possibly move this into request interface
export interface ForwarderHelperImplConfig {
orders: SignedOrder[];
feeOrders: SignedOrder[];
remainingFillableMakerAssetAmounts?: BigNumber[];
remainingFillableFeeAmounts?: BigNumber[];
}
export class ForwarderHelperImpl implements ForwarderHelper {
public readonly config: ForwarderHelperImplConfig;
constructor(config: ForwarderHelperImplConfig) {
this.config = forwarderHelperImplConfigUtils.sortedConfig(config);
}
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).round();
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
orders,
makerAssetFillAmount,
{
remainingFillableMakerAssetAmounts,
slippageBufferAmount,
},
);
if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(ForwarderHelperError.InsufficientMakerAssetLiquidity);
}
// 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
// TODO: optimize orders call data
return {
makerAssetFillAmount,
orders: resultOrders,
feeOrders: resultFeeOrders,
minEthAmount: constants.ZERO_AMOUNT,
maxEthAmount: constants.ZERO_AMOUNT,
feePercentage,
};
}
}
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