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import { schemas } from '@0xproject/json-schemas';
import { 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 remainingFillableMakerAssetAmounts An array of BigNumbers corresponding to the signedOrders parameter.
* You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
* for these values.
* @param makerAssetFillAmount The amount of makerAsset desired to be filled.
* @param slippageBufferAmount An additional amount of 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[],
remainingFillableMakerAssetAmounts: BigNumber[],
makerAssetFillAmount: BigNumber,
slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
// type assertions
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
_.forEach(remainingFillableMakerAssetAmounts, (amount, index) =>
assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount),
);
assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount);
assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount);
// other assertions
assert.assert(
signedOrders.length === remainingFillableMakerAssetAmounts.length,
'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length',
);
// 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 makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index];
// if there is no makerAssetAmountAvailable do not append order to resultOrders
// if we have exceeded the total amount we want to fill set remainingFillAmount to 0
return {
resultOrders: makerAssetAmountAvailable.gt(constants.ZERO_AMOUNT)
? _.concat(resultOrders, order)
: resultOrders,
remainingFillAmount: BigNumber.max(
constants.ZERO_AMOUNT,
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 remainingFillableMakerAssetAmounts An array of BigNumbers corresponding to the signedOrders parameter.
* You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
* for these values.
* @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 remainingFillableFeeAmounts An array of BigNumbers corresponding to the signedFeeOrders parameter.
* You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
* for these values.
* @param slippageBufferAmount An additional amount of fee to be covered by the result in case of trade collisions or partial fills.
* @return Resulting orders and remaining fee amount that could not be covered by the input.
*/
findFeeOrdersThatCoverFeesForTargetOrders(
signedOrders: SignedOrder[],
remainingFillableMakerAssetAmounts: BigNumber[],
signedFeeOrders: SignedOrder[],
remainingFillableFeeAmounts: BigNumber[],
slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
): { resultOrders: SignedOrder[]; remainingFeeAmount: BigNumber } {
// type assertions
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
_.forEach(remainingFillableMakerAssetAmounts, (amount, index) =>
assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount),
);
assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
_.forEach(remainingFillableFeeAmounts, (amount, index) =>
assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount),
);
assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount);
// other assertions
assert.assert(
signedOrders.length === remainingFillableMakerAssetAmounts.length,
'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length',
);
assert.assert(
signedOrders.length === remainingFillableMakerAssetAmounts.length,
'Expected signedFeeOrders.length to equal remainingFillableFeeAmounts.length',
);
// calculate total amount of ZRX needed to fill signedOrders
const totalFeeAmount = _.reduce(
signedOrders,
(accFees, order, index) => {
const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index];
const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
.mul(order.takerFee)
.div(order.makerAssetAmount);
return accFees.plus(feeToFillMakerAssetAmountAvailable);
},
constants.ZERO_AMOUNT,
);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
signedFeeOrders,
remainingFillableFeeAmounts,
totalFeeAmount,
slippageBufferAmount,
);
return {
resultOrders,
remainingFeeAmount: remainingFillAmount,
};
// TODO: add more orders here to cover rounding
// https://github.com/0xProject/0x-protocol-specification/blob/master/v2/forwarding-contract-specification.md#over-buying-zrx
},
};
|
