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Removed calculateFillResults from matchOrders workflow. Eliminates compounded rounding errors.

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Greg Hysen
2018-08-20 13:13:38 -07:00
parent f938c989e3
commit 407f63ef20
1 changed files with 29 additions and 38 deletions
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67
packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol vendored
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@@ -109,7 +109,7 @@ contract MixinMatchOrders is
rightOrderInfo.orderTakerAssetFilledAmount,
matchedFillResults.right
);
// Settle matched orders. Succeeds or throws.
settleMatchedOrders(
leftOrder,
@@ -169,52 +169,43 @@ contract MixinMatchOrders is
// The amount saved by the left maker goes to the taker.
// Either the left or right order will be fully filled; possibly both.
// The left order is fully filled iff the right order can sell more than left can buy.
// That is: the amount required to fill the left order is less than or equal to
// the amount we can spend from the right order:
// <leftTakerAssetAmountRemaining> <= <rightTakerAssetAmountRemaining> * <rightMakerToTakerRatio>
// <leftTakerAssetAmountRemaining> <= <rightTakerAssetAmountRemaining> * <rightOrder.makerAssetAmount> / <rightOrder.takerAssetAmount>
// <leftTakerAssetAmountRemaining> * <rightOrder.takerAssetAmount> <= <rightTakerAssetAmountRemaining> * <rightOrder.makerAssetAmount>
// Derive maker asset amounts for left & right orders, given store taker assert amounts
uint256 leftTakerAssetAmountRemaining = safeSub(leftOrder.takerAssetAmount, leftOrderTakerAssetFilledAmount);
uint256 leftMakerAssetAmountRemaining = getPartialAmountFloor(
leftOrder.makerAssetAmount,
leftOrder.takerAssetAmount,
leftTakerAssetAmountRemaining
);
uint256 rightTakerAssetAmountRemaining = safeSub(rightOrder.takerAssetAmount, rightOrderTakerAssetFilledAmount);
uint256 leftTakerAssetFilledAmount;
uint256 rightTakerAssetFilledAmount;
if (
safeMul(leftTakerAssetAmountRemaining, rightOrder.takerAssetAmount) <=
safeMul(rightTakerAssetAmountRemaining, rightOrder.makerAssetAmount)
) {
// Left order will be fully filled: maximally fill left
leftTakerAssetFilledAmount = leftTakerAssetAmountRemaining;
uint256 rightMakerAssetAmountRemaining = getPartialAmountFloor(
rightOrder.makerAssetAmount,
rightOrder.takerAssetAmount,
rightTakerAssetAmountRemaining
);
// The right order receives an amount proportional to how much was spent.
rightTakerAssetFilledAmount = getPartialAmountFloor(
rightOrder.takerAssetAmount,
rightOrder.makerAssetAmount,
leftTakerAssetFilledAmount
if (leftTakerAssetAmountRemaining >= rightMakerAssetAmountRemaining) {
// Case 1: Right order is fully filled: maximally fill right
matchedFillResults.right.makerAssetFilledAmount = rightMakerAssetAmountRemaining;
matchedFillResults.right.takerAssetFilledAmount = rightTakerAssetAmountRemaining;
matchedFillResults.left.makerAssetFilledAmount = getPartialAmountFloor(
leftOrder.makerAssetAmount,
leftOrder.takerAssetAmount,
matchedFillResults.right.makerAssetFilledAmount
);
matchedFillResults.left.takerAssetFilledAmount = matchedFillResults.right.makerAssetFilledAmount;
} else {
// Right order will be fully filled: maximally fill right
rightTakerAssetFilledAmount = rightTakerAssetAmountRemaining;
// The left order receives an amount proportional to how much was spent.
leftTakerAssetFilledAmount = getPartialAmountFloor(
rightOrder.makerAssetAmount,
// Case 2: Left order is fully filled: maximall fill left
matchedFillResults.left.makerAssetFilledAmount = leftMakerAssetAmountRemaining;
matchedFillResults.left.takerAssetFilledAmount = leftTakerAssetAmountRemaining;
matchedFillResults.right.makerAssetFilledAmount = matchedFillResults.left.takerAssetFilledAmount;
matchedFillResults.right.takerAssetFilledAmount = getPartialAmountCeil(
rightOrder.takerAssetAmount,
rightTakerAssetFilledAmount
rightOrder.makerAssetAmount,
matchedFillResults.left.takerAssetFilledAmount
);
}
// Calculate fill results for left order
matchedFillResults.left = calculateFillResults(
leftOrder,
leftTakerAssetFilledAmount
);
// Calculate fill results for right order
matchedFillResults.right = calculateFillResults(
rightOrder,
rightTakerAssetFilledAmount
);
// Calculate amount given to taker
matchedFillResults.leftMakerAssetSpreadAmount = safeSub(
matchedFillResults.left.makerAssetFilledAmount,