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Remove marketSell and add to marketBuy implementation

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This commit is contained in:
Brandon Millman
2018-08-17 00:15:52 -07:00
parent 2ef867f398
commit 3c973ba9f6
6 changed files with 51 additions and 65 deletions
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5
packages/forwarder-helper/src/constants.ts Normal file
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@@ -0,0 +1,5 @@
import { BigNumber } from '@0xproject/utils';
export const constants = {
ZERO_AMOUNT: new BigNumber(0),
};

60
packages/forwarder-helper/src/forwarder_helper_impl.ts
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@@ -1,13 +1,11 @@
import { marketUtils } from '@0xproject/order-utils';
import { SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import {
ForwarderHelper,
MarketBuyOrdersInfo,
MarketBuyOrdersInfoRequest,
MarketSellOrdersInfo,
MarketSellOrdersInfoRequest,
} from './types';
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[];
@@ -26,24 +24,40 @@ export class ForwarderHelperImpl implements ForwarderHelper {
this._remainingFillableFeeAmountsIfExists = remainingFillableFeeAmounts;
}
public getMarketBuyOrdersInfo(request: MarketBuyOrdersInfoRequest): MarketBuyOrdersInfo {
const { makerAssetFillAmount, feePercentage, acceptableEthAmountRange } = request;
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: this._orders,
feeOrders: this._feeOrders,
minEthAmount: new BigNumber(0),
maxEthAmount: new BigNumber(0),
feePercentage,
};
}
public getMarketSellOrdersInfo(request: MarketSellOrdersInfoRequest): MarketSellOrdersInfo {
const { ethAmount, feePercentage, acceptableFillAmountRange } = request;
return {
ethAmount,
orders: this._orders,
feeOrders: this._feeOrders,
minFillAmount: new BigNumber(0),
maxFillAmount: new BigNumber(0),
orders: resultOrders,
feeOrders: resultFeeOrders,
minEthAmount: constants.ZERO_AMOUNT,
maxEthAmount: constants.ZERO_AMOUNT,
feePercentage,
};
}

37
packages/forwarder-helper/src/types.ts
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@@ -9,13 +9,6 @@ export interface ForwarderHelper {
* @return An object that conforms to MarketBuyOrdersInfo that satisfies the request. See type definition for more information.
*/
getMarketBuyOrdersInfo: (request: MarketBuyOrdersInfoRequest) => MarketBuyOrdersInfo;
/**
* Given a MarketSellOrdersInfoRequest, returns a MarketSellOrdersInfo containing all information relevant to fulfilling the request
* using the ForwarderContract marketSellOrdersWithEth function.
* @param request An object that conforms to MarketSellOrdersInfoRequest. See type definition for more information.
* @return An object that conforms to MarketSellOrdersInfo that satisfies the request. See type definition for more information.
*/
getMarketSellOrdersInfo: (request: MarketSellOrdersInfoRequest) => MarketSellOrdersInfo;
}
export enum ForwarderHelperError {
@@ -26,12 +19,10 @@ export enum ForwarderHelperError {
/**
* makerAssetFillAmount: The amount of makerAsset requesting to be filled
* feePercentage: Optional affiliate percentage amount factoring into eth amount calculations
* acceptableEthAmountRange: maximum difference between min and max eth cost
*/
export interface MarketBuyOrdersInfoRequest {
makerAssetFillAmount: BigNumber;
feePercentage?: BigNumber;
acceptableEthAmountRange?: BigNumber;
}
/**
@@ -50,31 +41,3 @@ export interface MarketBuyOrdersInfo {
maxEthAmount: BigNumber;
feePercentage?: BigNumber;
}
/**
* ethAmount: The amount of eth used to fill
* feePercentage: Optional affiliate percentage amount factoring into eth amount calculations
* acceptableFillAmountRange: maximum difference between min and max asset filled
*/
export interface MarketSellOrdersInfoRequest {
ethAmount: BigNumber;
feePercentage?: BigNumber;
acceptableFillAmountRange?: BigNumber;
}
/**
* ethAmount: The amount of eth used to fill
* orders: An array of objects conforming to SignedOrder. These orders can be used to cover the requested ethAmount plus slippage
* feeOrders: An array of objects conforming to SignedOrder. These orders can be used to cover the fees for the orders param above
* minFillAmount: Amount of asset purchased in the worst case
* maxFillAmount: Amount of asset purchased in the best case
* feePercentage: Affiliate fee percentage used to calculate the eth amounts above. Passed thru directly from the request
*/
export interface MarketSellOrdersInfo {
ethAmount: BigNumber;
orders: SignedOrder[];
feeOrders: SignedOrder[];
minFillAmount: BigNumber;
maxFillAmount: BigNumber;
feePercentage?: BigNumber;
}

4
packages/order-utils/CHANGELOG.json
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@@ -14,6 +14,10 @@
"note":
"Update marketUtils api such that all optional parameters are bundled into one optional param and more defaults are provided",
"pr": 954
},
{
"note":
"Rename `resultOrders` to `resultFeeOrders` for object returned by `findFeeOrdersThatCoverFeesForTargetOrders` in `marketUtils` api"
}
]
},

4
packages/order-utils/src/market_utils.ts
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@@ -84,7 +84,7 @@ export const marketUtils = {
orders: T[],
feeOrders: T[],
opts?: FindFeeOrdersThatCoverFeesForTargetOrdersOpts,
): { resultOrders: T[]; remainingFeeAmount: BigNumber } {
): { resultFeeOrders: T[]; remainingFeeAmount: BigNumber } {
assert.doesConformToSchema('orders', orders, schemas.ordersSchema);
assert.doesConformToSchema('feeOrders', feeOrders, schemas.ordersSchema);
// try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from orders
@@ -137,7 +137,7 @@ export const marketUtils = {
},
);
return {
resultOrders,
resultFeeOrders: resultOrders,
remainingFeeAmount: remainingFillAmount,
};
// TODO: add more orders here to cover rounding

6
yarn.lock
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@@ -5256,9 +5256,9 @@ ethereumjs-wallet@~0.6.0:
utf8 "^3.0.0"
uuid "^3.3.2"
ethers@3.0.22:
version "3.0.22"
resolved "https://registry.yarnpkg.com/ethers/-/ethers-3.0.22.tgz#7fab1ea16521705837aa43c15831877b2716b436"
ethers@0xproject/ethers.js#eip-838-reasons, ethers@3.0.22:
version "3.0.18"
resolved "https://codeload.github.com/0xproject/ethers.js/tar.gz/b91342bd200d142af0165d6befddf783c8ae8447"
dependencies:
aes-js "3.0.0"
bn.js "^4.4.0"