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Update BuyQuote interface

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This commit is contained in:
Brandon Millman
2018-10-04 14:33:07 -07:00
parent 4394036e34
commit 63d97f4c88
5 changed files with 73 additions and 40 deletions
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15
packages/asset-buyer/src/asset_buyer.ts
View File

@@ -183,19 +183,19 @@ export class AssetBuyer {
buyQuote: BuyQuote,
options: Partial<BuyQuoteExecutionOpts> = {},
): Promise<string> {
const { rate, takerAddress, feeRecipient } = {
const { ethAmount, takerAddress, feeRecipient } = {
...constants.DEFAULT_BUY_QUOTE_EXECUTION_OPTS,
...options,
};
assert.isValidBuyQuote('buyQuote', buyQuote);
if (!_.isUndefined(rate)) {
assert.isBigNumber('rate', rate);
if (!_.isUndefined(ethAmount)) {
assert.isBigNumber('ethAmount', ethAmount);
}
if (!_.isUndefined(takerAddress)) {
assert.isETHAddressHex('takerAddress', takerAddress);
}
assert.isETHAddressHex('feeRecipient', feeRecipient);
const { orders, feeOrders, feePercentage, assetBuyAmount, maxRate } = buyQuote;
const { orders, feeOrders, feePercentage, assetBuyAmount, worstCaseQuoteInfo } = buyQuote;
// if no takerAddress is provided, try to get one from the provider
let finalTakerAddress;
if (!_.isUndefined(takerAddress)) {
@@ -210,15 +210,12 @@ export class AssetBuyer {
throw new Error(AssetBuyerError.NoAddressAvailable);
}
}
// if no rate is provided, default to the maxRate from buyQuote
const desiredRate = rate || maxRate;
// calculate how much eth is required to buy assetBuyAmount at the desired rate
const ethAmount = assetBuyAmount.dividedToIntegerBy(desiredRate);
// if no ethAmount is provided, default to the worst ethAmount from buyQuote
const txHash = await this._contractWrappers.forwarder.marketBuyOrdersWithEthAsync(
orders,
assetBuyAmount,
finalTakerAddress,
ethAmount,
ethAmount || worstCaseQuoteInfo.totalEthAmount,
feeOrders,
feePercentage,
feeRecipient,

27
packages/asset-buyer/src/types.ts
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@@ -35,21 +35,32 @@ export interface OrderProvider {
/**
* assetData: String that represents a specific asset (for more info: https://github.com/0xProject/0x-protocol-specification/blob/master/v2/v2-specification.md).
* assetBuyAmount: The amount of asset to buy.
* orders: An array of objects conforming to SignedOrder. These orders can be used to cover the requested assetBuyAmount plus slippage.
* feeOrders: An array of objects conforming to SignedOrder. These orders can be used to cover the fees for the orders param above.
* minRate: Min rate that needs to be paid in order to execute the buy.
* maxRate: Max rate that can be paid in order to execute the buy.
* assetBuyAmount: The amount of asset to buy.
* feePercentage: Optional affiliate fee percentage used to calculate the eth amounts above.
* bestCaseQuoteInfo: Info about the best case price for the asset.
* worstCaseQuoteInfo: Info about the worst case price for the asset.
*/
export interface BuyQuote {
assetData: string;
assetBuyAmount: BigNumber;
orders: SignedOrder[];
feeOrders: SignedOrder[];
minRate: BigNumber;
maxRate: BigNumber;
assetBuyAmount: BigNumber;
feePercentage?: number;
bestCaseQuoteInfo: BuyQuoteInfo;
worstCaseQuoteInfo: BuyQuoteInfo;
}
/**
* ethPerAssetPrice: The price of one unit of the desired asset in ETH
* feeEthAmount: The amount of eth required to pay the affiliate fee.
* totalEthAmount: the total amount of eth required to complete the buy. (Filling orders, feeOrders, and paying affiliate fee)
*/
export interface BuyQuoteInfo {
ethPerAssetPrice: BigNumber;
feeEthAmount: BigNumber;
totalEthAmount: BigNumber;
}
/**
@@ -64,12 +75,12 @@ export interface BuyQuoteRequestOpts {
}
/**
* rate: The desired rate to execute the buy at. Affects the amount of ETH sent with the transaction, defaults to buyQuote.maxRate.
* ethAmount: The desired amount of eth to spend. Defaults to buyQuote.worstCaseQuoteInfo.totalEthAmount.
* takerAddress: The address to perform the buy. Defaults to the first available address from the provider.
* feeRecipient: The address where affiliate fees are sent. Defaults to null address (0x000...000).
*/
export interface BuyQuoteExecutionOpts {
rate?: BigNumber;
ethAmount?: BigNumber;
takerAddress?: string;
feeRecipient: string;
}

11
packages/asset-buyer/src/utils/assert.ts
View File

@@ -3,7 +3,7 @@ import { schemas } from '@0xproject/json-schemas';
import { SignedOrder } from '@0xproject/types';
import * as _ from 'lodash';
import { BuyQuote, OrderProvider, OrderProviderRequest } from '../types';
import { BuyQuote, BuyQuoteInfo, OrderProvider, OrderProviderRequest } from '../types';
export const assert = {
...sharedAssert,
@@ -11,13 +11,18 @@ export const assert = {
sharedAssert.isHexString(`${variableName}.assetData`, buyQuote.assetData);
sharedAssert.doesConformToSchema(`${variableName}.orders`, buyQuote.orders, schemas.signedOrdersSchema);
sharedAssert.doesConformToSchema(`${variableName}.feeOrders`, buyQuote.feeOrders, schemas.signedOrdersSchema);
sharedAssert.isBigNumber(`${variableName}.minRate`, buyQuote.minRate);
sharedAssert.isBigNumber(`${variableName}.maxRate`, buyQuote.maxRate);
assert.isValidBuyQuoteInfo(`${variableName}.bestCaseQuoteInfo`, buyQuote.bestCaseQuoteInfo);
assert.isValidBuyQuoteInfo(`${variableName}.worstCaseQuoteInfo`, buyQuote.worstCaseQuoteInfo);
sharedAssert.isBigNumber(`${variableName}.assetBuyAmount`, buyQuote.assetBuyAmount);
if (!_.isUndefined(buyQuote.feePercentage)) {
sharedAssert.isNumber(`${variableName}.feePercentage`, buyQuote.feePercentage);
}
},
isValidBuyQuoteInfo(variableName: string, buyQuoteInfo: BuyQuoteInfo): void {
sharedAssert.isBigNumber(`${variableName}.ethPerAssetPrice`, buyQuoteInfo.ethPerAssetPrice);
sharedAssert.isBigNumber(`${variableName}.feeEthAmount`, buyQuoteInfo.feeEthAmount);
sharedAssert.isBigNumber(`${variableName}.totalEthAmount`, buyQuoteInfo.totalEthAmount);
},
isValidOrderProvider(variableName: string, orderFetcher: OrderProvider): void {
sharedAssert.isFunction(`${variableName}.getOrdersAsync`, orderFetcher.getOrdersAsync);
},

26
packages/asset-buyer/src/utils/buy_quote_calculator.ts
View File

@@ -3,7 +3,7 @@ import { BigNumber } from '@0xproject/utils';
import * as _ from 'lodash';
import { constants } from '../constants';
import { AssetBuyerError, BuyQuote, OrdersAndFillableAmounts } from '../types';
import { AssetBuyerError, BuyQuote, BuyQuoteInfo, OrdersAndFillableAmounts } from '../types';
// Calculates a buy quote for orders that have WETH as the takerAsset
export const buyQuoteCalculator = {
@@ -59,37 +59,38 @@ export const buyQuoteCalculator = {
orders: resultFeeOrders,
remainingFillableMakerAssetAmounts: feeOrdersRemainingFillableMakerAssetAmounts,
};
const minRate = calculateRate(
const bestCaseQuoteInfo = calculateQuoteInfo(
trimmedOrdersAndFillableAmounts,
trimmedFeeOrdersAndFillableAmounts,
assetBuyAmount,
feePercentage,
);
// in order to calculate the maxRate, reverse the ordersAndFillableAmounts such that they are sorted from worst rate to best rate
const maxRate = calculateRate(
const worstCaseQuoteInfo = calculateQuoteInfo(
reverseOrdersAndFillableAmounts(trimmedOrdersAndFillableAmounts),
reverseOrdersAndFillableAmounts(trimmedFeeOrdersAndFillableAmounts),
assetBuyAmount,
feePercentage,
);
return {
assetData,
orders: resultOrders,
feeOrders: resultFeeOrders,
minRate,
maxRate,
bestCaseQuoteInfo,
worstCaseQuoteInfo,
assetBuyAmount,
feePercentage,
};
},
};
function calculateRate(
function calculateQuoteInfo(
ordersAndFillableAmounts: OrdersAndFillableAmounts,
feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
assetBuyAmount: BigNumber,
feePercentage: number,
): BigNumber {
): BuyQuoteInfo {
// find the total eth and zrx needed to buy assetAmount from the resultOrders from left to right
const [ethAmountToBuyAsset, zrxAmountToBuyAsset] = findEthAndZrxAmountNeededToBuyAsset(
ordersAndFillableAmounts,
@@ -97,10 +98,15 @@ function calculateRate(
);
// find the total eth needed to buy fees
const ethAmountToBuyFees = findEthAmountNeededToBuyFees(feeOrdersAndFillableAmounts, zrxAmountToBuyAsset);
const ethAmount = ethAmountToBuyAsset.plus(ethAmountToBuyFees).mul(feePercentage + 1);
const ethAmountBeforeAffiliateFee = ethAmountToBuyAsset.plus(ethAmountToBuyFees);
const totalEthAmount = ethAmountBeforeAffiliateFee.mul(feePercentage + 1);
// divide into the assetBuyAmount in order to find rate of makerAsset / WETH
const result = assetBuyAmount.div(ethAmount);
return result;
const ethPerAssetPrice = ethAmountBeforeAffiliateFee.div(assetBuyAmount);
return {
totalEthAmount,
feeEthAmount: totalEthAmount.minus(ethAmountBeforeAffiliateFee),
ethPerAssetPrice,
};
}
// given an OrdersAndFillableAmounts, reverse the orders and remainingFillableMakerAssetAmounts properties

34
packages/asset-buyer/test/buy_quote_calculator_test.ts
View File

@@ -103,11 +103,17 @@ describe('buyQuoteCalculator', () => {
expect(buyQuote.feeOrders).to.deep.equal([smallFeeOrderAndFillableAmount.orders[0]]);
// test if rates are correct
// 50 eth to fill the first order + 100 eth for fees
const expectedMinEthToFill = new BigNumber(150);
const expectedMinRate = assetBuyAmount.div(expectedMinEthToFill.mul(feePercentage + 1));
expect(buyQuote.minRate).to.bignumber.equal(expectedMinRate);
const expectedFillEthAmount = new BigNumber(150);
const expectedTotalEthAmount = expectedFillEthAmount.mul(feePercentage + 1);
const expectedFeeEthAmount = expectedTotalEthAmount.minus(expectedFillEthAmount);
const expectedEthPerAssetPrice = expectedFillEthAmount.div(assetBuyAmount);
expect(buyQuote.bestCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount);
expect(buyQuote.bestCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount);
expect(buyQuote.bestCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedEthPerAssetPrice);
// because we have no slippage protection, minRate is equal to maxRate
expect(buyQuote.maxRate).to.bignumber.equal(expectedMinRate);
expect(buyQuote.worstCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount);
expect(buyQuote.worstCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount);
expect(buyQuote.worstCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedEthPerAssetPrice);
// test if feePercentage gets passed through
expect(buyQuote.feePercentage).to.equal(feePercentage);
});
@@ -132,13 +138,21 @@ describe('buyQuoteCalculator', () => {
expect(buyQuote.feeOrders).to.deep.equal(allFeeOrdersAndFillableAmounts.orders);
// test if rates are correct
// 50 eth to fill the first order + 100 eth for fees
const expectedMinEthToFill = new BigNumber(150);
const expectedMinRate = assetBuyAmount.div(expectedMinEthToFill.mul(feePercentage + 1));
expect(buyQuote.minRate).to.bignumber.equal(expectedMinRate);
const expectedFillEthAmount = new BigNumber(150);
const expectedTotalEthAmount = expectedFillEthAmount.mul(feePercentage + 1);
const expectedFeeEthAmount = expectedTotalEthAmount.minus(expectedFillEthAmount);
const expectedEthPerAssetPrice = expectedFillEthAmount.div(assetBuyAmount);
expect(buyQuote.bestCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount);
expect(buyQuote.bestCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount);
expect(buyQuote.bestCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedEthPerAssetPrice);
// 100 eth to fill the first order + 200 eth for fees
const expectedMaxEthToFill = new BigNumber(300);
const expectedMaxRate = assetBuyAmount.div(expectedMaxEthToFill.mul(feePercentage + 1));
expect(buyQuote.maxRate).to.bignumber.equal(expectedMaxRate);
const expectedWorstFillEthAmount = new BigNumber(300);
const expectedWorstTotalEthAmount = expectedWorstFillEthAmount.mul(feePercentage + 1);
const expectedWorstFeeEthAmount = expectedWorstTotalEthAmount.minus(expectedWorstFillEthAmount);
const expectedWorstEthPerAssetPrice = expectedWorstFillEthAmount.div(assetBuyAmount);
expect(buyQuote.worstCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedWorstFeeEthAmount);
expect(buyQuote.worstCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedWorstTotalEthAmount);
expect(buyQuote.worstCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedWorstEthPerAssetPrice);
// test if feePercentage gets passed through
expect(buyQuote.feePercentage).to.equal(feePercentage);
});