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Calculate min and max rates in buy quote

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This commit is contained in:
fragosti
2018-09-19 15:58:30 +02:00
parent 93f7e33f6a
commit 60e2dfdbda
3 changed files with 70 additions and 33 deletions
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39
packages/order-utils/src/market_utils.ts
View File

@@ -51,17 +51,23 @@ export const marketUtils = {
// iterate through the orders input from left to right until we have enough makerAsset to fill totalFillAmount
const result = _.reduce(
orders,
({ resultOrders, remainingFillAmount }, order, index) => {
({ resultOrders, remainingFillAmount, ordersRemainingFillableMakerAssetAmounts }, order, index) => {
if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) {
return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT };
return {
resultOrders,
remainingFillAmount: constants.ZERO_AMOUNT,
ordersRemainingFillableMakerAssetAmounts,
};
} else {
const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index];
const shouldIncludeOrder = makerAssetAmountAvailable.gt(constants.ZERO_AMOUNT);
// 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,
resultOrders: shouldIncludeOrder ? _.concat(resultOrders, order) : resultOrders,
ordersRemainingFillableMakerAssetAmounts: shouldIncludeOrder
? _.concat(ordersRemainingFillableMakerAssetAmounts, makerAssetAmountAvailable)
: ordersRemainingFillableMakerAssetAmounts,
remainingFillAmount: BigNumber.max(
constants.ZERO_AMOUNT,
remainingFillAmount.minus(makerAssetAmountAvailable),
@@ -69,7 +75,11 @@ export const marketUtils = {
};
}
},
{ resultOrders: [] as T[], remainingFillAmount: totalFillAmount },
{
resultOrders: [] as T[],
remainingFillAmount: totalFillAmount,
ordersRemainingFillableMakerAssetAmounts: [] as BigNumber[],
},
);
return result;
},
@@ -133,17 +143,18 @@ export const marketUtils = {
},
constants.ZERO_AMOUNT,
);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
feeOrders,
totalFeeAmount,
{
remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts,
slippageBufferAmount,
},
);
const {
resultOrders,
remainingFillAmount,
ordersRemainingFillableMakerAssetAmounts,
} = marketUtils.findOrdersThatCoverMakerAssetFillAmount(feeOrders, totalFeeAmount, {
remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts,
slippageBufferAmount,
});
return {
resultFeeOrders: resultOrders,
remainingFeeAmount: remainingFillAmount,
feeOrdersRemainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts,
};
// 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

2
packages/order-utils/src/types.ts
View File

@@ -72,10 +72,12 @@ export interface FindFeeOrdersThatCoverFeesForTargetOrdersOpts {
export interface FeeOrdersAndRemainingFeeAmount<T> {
resultFeeOrders: T[];
feeOrdersRemainingFillableMakerAssetAmounts: BigNumber[];
remainingFeeAmount: BigNumber;
}
export interface OrdersAndRemainingFillAmount<T> {
resultOrders: T[];
ordersRemainingFillableMakerAssetAmounts: BigNumber[];
remainingFillAmount: BigNumber;
}