refactoring and marketBuyTestAsync
This commit is contained in:
Michael Zhu
@@ -1,21 +1,16 @@
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import { ERC20Wrapper, ERC721Wrapper } from '@0x/contracts-asset-proxy';
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import { chaiSetup, constants, ERC20BalancesByOwner, web3Wrapper } from '@0x/contracts-test-utils';
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import { SignedOrder } from '@0x/types';
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import { chaiSetup, constants, ERC20BalancesByOwner, expectTransactionFailedAsync, web3Wrapper } from '@0x/contracts-test-utils';
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import { RevertReason, SignedOrder } from '@0x/types';
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import { BigNumber } from '@0x/utils';
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import * as chai from 'chai';
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import { TransactionReceiptWithDecodedLogs } from 'ethereum-types';
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import * as _ from 'lodash';
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import { ForwarderWrapper } from './forwarder_wrapper';
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chaiSetup.configure();
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const expect = chai.expect;
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// TODO: move these somewhere?
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const enum OrderFee {
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NoFee,
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Percentage,
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Weth,
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}
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interface ForwarderFillState {
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takerAssetFillAmount: BigNumber;
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makerAssetFillAmount: BigNumber;
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@@ -25,14 +20,63 @@ interface ForwarderFillState {
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maxOverboughtMakerAsset: BigNumber;
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}
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function getFeeType(order: SignedOrder): OrderFee {
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if (order.takerFee.eq(new BigNumber(0))) {
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return OrderFee.NoFee;
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} else if (order.takerFeeAssetData === order.makerAssetData) {
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return OrderFee.Percentage;
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} else {
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return OrderFee.Weth;
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}
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function computeExpectedResults(
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orders: SignedOrder[],
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fractionalNumberOfOrdersToFill: BigNumber,
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): ForwarderFillState {
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const currentState = {
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takerAssetFillAmount: constants.ZERO_AMOUNT,
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makerAssetFillAmount: constants.ZERO_AMOUNT,
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wethFees: constants.ZERO_AMOUNT,
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percentageFees: constants.ZERO_AMOUNT,
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maxOversoldWeth: constants.ZERO_AMOUNT,
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maxOverboughtMakerAsset: constants.ZERO_AMOUNT,
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};
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let remainingOrdersToFill = fractionalNumberOfOrdersToFill;
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_.forEach(orders, (order: SignedOrder): void => {
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if (remainingOrdersToFill.isEqualTo(constants.ZERO_AMOUNT)) {
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return;
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}
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let makerAssetAmount;
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let takerAssetAmount;
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let takerFee;
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if (remainingOrdersToFill.isLessThan(new BigNumber(1))) {
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const [partialFillNumerator, partialFillDenominator] = remainingOrdersToFill.toFraction();
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makerAssetAmount = order.makerAssetAmount.times(partialFillNumerator).dividedToIntegerBy(partialFillDenominator);
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takerAssetAmount = order.takerAssetAmount.times(partialFillNumerator).dividedToIntegerBy(partialFillDenominator);
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takerFee = order.takerFee.times(partialFillNumerator).dividedToIntegerBy(partialFillDenominator);
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} else {
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makerAssetAmount = order.makerAssetAmount;
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takerAssetAmount = order.takerAssetAmount;
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takerFee = order.takerFee;
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}
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currentState.takerAssetFillAmount = currentState.takerAssetFillAmount.plus(takerAssetAmount);
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currentState.makerAssetFillAmount = currentState.makerAssetFillAmount.plus(makerAssetAmount);
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if (order.takerFeeAssetData === order.makerAssetData) {
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currentState.percentageFees = currentState.percentageFees.plus(takerFee);
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} else if (order.takerFeeAssetData === order.takerAssetData) {
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currentState.wethFees = currentState.wethFees.plus(takerFee);
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// Up to 1 wei worth of WETH will be oversold per order
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currentState.maxOversoldWeth = currentState.maxOversoldWeth.plus(new BigNumber(1));
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// Equivalently, up to 1 wei worth of maker asset will be overbought per order
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currentState.maxOverboughtMakerAsset = currentState.maxOversoldWeth
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.times(makerAssetAmount)
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.dividedToIntegerBy(takerAssetAmount);
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}
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remainingOrdersToFill = BigNumber.min(remainingOrdersToFill.minus(new BigNumber(1)), constants.ZERO_AMOUNT);
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});
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return currentState;
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}
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function expectBalanceWithin(balance: BigNumber, low: BigNumber, high: BigNumber): void {
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expect(balance).to.be.bignumber.gte(low);
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expect(balance).to.be.bignumber.lte(high);
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}
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export class ForwarderTestFactory {
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@@ -46,6 +90,12 @@ export class ForwarderTestFactory {
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private readonly _gasPrice: BigNumber;
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private readonly _wethAddress: string;
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public static getPercentageOfValue(value: BigNumber, percentage: BigNumber): BigNumber {
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const numerator = constants.PERCENTAGE_DENOMINATOR.times(percentage).dividedToIntegerBy(100);
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const newValue = value.times(numerator).dividedToIntegerBy(constants.PERCENTAGE_DENOMINATOR);
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return newValue;
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}
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constructor(
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forwarderWrapper: ForwarderWrapper,
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erc20Wrapper: ERC20Wrapper,
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@@ -68,82 +118,155 @@ export class ForwarderTestFactory {
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this._wethAddress = wethAddress;
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}
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// TODO: different assets (ERC721), rounding, forwarder fees
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public async generateTestAsync(
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public async marketBuyTestAsync(
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orders: SignedOrder[],
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fractionalNumberOfOrdersToFill: BigNumber,
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makerAssetAddress: string,
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takerEthBalanceBefore: BigNumber,
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erc20Balances: ERC20BalancesByOwner,
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ethValueAdjustment: BigNumber = constants.ZERO_AMOUNT,
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forwarderFeeOptions: {
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baseFeePercentage: BigNumber;
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forwarderFeeRecipientEthBalanceBefore: BigNumber;
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} = { baseFeePercentage: constants.ZERO_AMOUNT, forwarderFeeRecipientEthBalanceBefore: constants.ZERO_AMOUNT },
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): Promise<void> {
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// Simulates filling all but the last order, which will be partially filled
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const expectedResults = orders
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.reduce(
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(prev: ForwarderFillState, order: SignedOrder, currentIndex: number) => {
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const current = { ...prev };
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const { makerAssetAmount, takerAssetAmount, takerFee } = currentIndex === (orders.length - 1) ?
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{
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makerAssetAmount: order.makerAssetAmount.dividedToIntegerBy(2),
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takerAssetAmount: order.takerAssetAmount.dividedToIntegerBy(2),
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takerFee: order.takerFee.dividedToIntegerBy(2),
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} : order;
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const expectedResults = computeExpectedResults(orders, fractionalNumberOfOrdersToFill);
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const ethSpentOnForwarderFee = ForwarderTestFactory.getPercentageOfValue(
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expectedResults.takerAssetFillAmount,
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forwarderFeeOptions.baseFeePercentage,
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);
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const ethValue = expectedResults.takerAssetFillAmount
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.plus(expectedResults.wethFees)
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.plus(ethSpentOnForwarderFee)
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.plus(ethValueAdjustment);
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const feePercentage = ForwarderTestFactory.getPercentageOfValue(constants.PERCENTAGE_DENOMINATOR, forwarderFeeOptions.baseFeePercentage);
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current.takerAssetFillAmount = current.takerAssetFillAmount.plus(
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takerAssetAmount,
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);
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current.makerAssetFillAmount = current.makerAssetFillAmount.plus(
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makerAssetAmount,
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);
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switch (getFeeType(order)) {
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case OrderFee.Percentage:
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current.percentageFees = current.percentageFees.plus(takerFee);
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break;
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case OrderFee.Weth:
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current.wethFees = current.wethFees.plus(takerFee);
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current.maxOversoldWeth = current.maxOversoldWeth.plus(new BigNumber(1));
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current.maxOverboughtMakerAsset = current.maxOversoldWeth
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.times(makerAssetAmount)
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.dividedToIntegerBy(takerAssetAmount);
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break;
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default:
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}
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return current;
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},
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{
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takerAssetFillAmount: new BigNumber(0),
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makerAssetFillAmount: new BigNumber(0),
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wethFees: new BigNumber(0),
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percentageFees: new BigNumber(0),
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maxOversoldWeth: new BigNumber(0),
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maxOverboughtMakerAsset: new BigNumber(0),
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},
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if (ethValueAdjustment.isNegative()) {
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return expectTransactionFailedAsync(
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this._forwarderWrapper.marketBuyOrdersWithEthAsync(
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orders,
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expectedResults.makerAssetFillAmount, {
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value: ethValue,
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from: this._takerAddress,
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}),
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RevertReason.CompleteFillFailed,
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);
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}
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const ethValue = expectedResults.takerAssetFillAmount.plus(expectedResults.wethFees);
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const tx = await this._forwarderWrapper.marketSellOrdersWithEthAsync(orders, {
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value: ethValue,
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from: this._takerAddress,
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});
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const totalEthSpent = ethValue.plus(this._gasPrice.times(tx.gasUsed));
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const tx = await this._forwarderWrapper.marketBuyOrdersWithEthAsync(
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orders,
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expectedResults.makerAssetFillAmount,
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{
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value: ethValue,
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from: this._takerAddress,
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},
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{ feePercentage, feeRecipient: this._forwarderFeeRecipientAddress },
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);
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await this._checkResultsAsync(
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tx,
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expectedResults,
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forwarderFeeOptions.forwarderFeeRecipientEthBalanceBefore,
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takerEthBalanceBefore,
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erc20Balances,
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ethSpentOnForwarderFee,
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makerAssetAddress,
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);
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}
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public async marketSellTestAsync(
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orders: SignedOrder[],
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fractionalNumberOfOrdersToFill: BigNumber,
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makerAssetAddress: string,
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takerEthBalanceBefore: BigNumber,
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erc20Balances: ERC20BalancesByOwner,
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forwarderFeeOptions: {
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baseFeePercentage: BigNumber;
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forwarderFeeRecipientEthBalanceBefore: BigNumber;
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} = { baseFeePercentage: constants.ZERO_AMOUNT, forwarderFeeRecipientEthBalanceBefore: constants.ZERO_AMOUNT },
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): Promise<void> {
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const expectedResults = computeExpectedResults(orders, fractionalNumberOfOrdersToFill);
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const ethSpentOnForwarderFee = ForwarderTestFactory.getPercentageOfValue(
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expectedResults.takerAssetFillAmount,
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forwarderFeeOptions.baseFeePercentage,
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);
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const ethValue = expectedResults.takerAssetFillAmount
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.plus(expectedResults.wethFees)
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.plus(ethSpentOnForwarderFee);
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const feePercentage = ForwarderTestFactory.getPercentageOfValue(constants.PERCENTAGE_DENOMINATOR, forwarderFeeOptions.baseFeePercentage);
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const tx = await this._forwarderWrapper.marketSellOrdersWithEthAsync(
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orders,
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{
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value: ethValue,
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from: this._takerAddress,
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},
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{ feePercentage, feeRecipient: this._forwarderFeeRecipientAddress },
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);
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await this._checkResultsAsync(
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tx,
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expectedResults,
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forwarderFeeOptions.forwarderFeeRecipientEthBalanceBefore,
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takerEthBalanceBefore,
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erc20Balances,
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ethSpentOnForwarderFee,
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makerAssetAddress,
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);
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}
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private async _checkResultsAsync(
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tx: TransactionReceiptWithDecodedLogs,
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expectedResults: ForwarderFillState,
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forwarderFeeRecipientEthBalanceBefore: BigNumber,
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takerEthBalanceBefore: BigNumber,
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erc20Balances: ERC20BalancesByOwner,
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ethSpentOnForwarderFee: BigNumber,
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makerAssetAddress: string,
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): Promise<void> {
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const totalEthSpent = expectedResults.takerAssetFillAmount
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.plus(expectedResults.wethFees)
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.plus(ethSpentOnForwarderFee)
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.plus(this._gasPrice.times(tx.gasUsed));
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const takerEthBalanceAfter = await web3Wrapper.getBalanceInWeiAsync(this._takerAddress);
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const forwarderEthBalance = await web3Wrapper.getBalanceInWeiAsync(this._forwarderAddress);
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const fowarderFeeRecipientEthBalanceAfter = await web3Wrapper.getBalanceInWeiAsync(this._forwarderFeeRecipientAddress);
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const newBalances = await this._erc20Wrapper.getBalancesAsync();
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expect(takerEthBalanceAfter).to.be.bignumber.equal(takerEthBalanceBefore.minus(totalEthSpent));
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if (ethSpentOnForwarderFee.gt(0)) {
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expect(fowarderFeeRecipientEthBalanceAfter).to.be.bignumber.equal(
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forwarderFeeRecipientEthBalanceBefore.plus(ethSpentOnForwarderFee),
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);
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}
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expect(newBalances[this._makerAddress][makerAssetAddress]).to.be.bignumber.equal(
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expectBalanceWithin(
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newBalances[this._makerAddress][makerAssetAddress],
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erc20Balances[this._makerAddress][makerAssetAddress]
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.minus(expectedResults.makerAssetFillAmount)
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.minus(expectedResults.maxOverboughtMakerAsset),
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erc20Balances[this._makerAddress][makerAssetAddress].minus(expectedResults.makerAssetFillAmount),
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);
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expect(newBalances[this._takerAddress][makerAssetAddress]).to.be.bignumber.equal(
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erc20Balances[this._takerAddress][makerAssetAddress].plus(expectedResults.makerAssetFillAmount).minus(expectedResults.percentageFees),
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expectBalanceWithin(
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newBalances[this._takerAddress][makerAssetAddress],
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erc20Balances[this._takerAddress][makerAssetAddress]
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.plus(expectedResults.makerAssetFillAmount)
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.minus(expectedResults.percentageFees),
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erc20Balances[this._takerAddress][makerAssetAddress]
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.plus(expectedResults.makerAssetFillAmount)
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.minus(expectedResults.percentageFees)
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.plus(expectedResults.maxOverboughtMakerAsset),
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);
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expect(newBalances[this._orderFeeRecipientAddress][makerAssetAddress]).to.be.bignumber.equal(
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erc20Balances[this._orderFeeRecipientAddress][makerAssetAddress].plus(expectedResults.percentageFees),
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);
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expect(newBalances[this._makerAddress][this._wethAddress]).to.be.bignumber.equal(
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erc20Balances[this._makerAddress][this._wethAddress].plus(expectedResults.takerAssetFillAmount).minus(expectedResults.wethFees),
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expectBalanceWithin(
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newBalances[this._makerAddress][this._wethAddress],
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erc20Balances[this._makerAddress][this._wethAddress].plus(expectedResults.takerAssetFillAmount),
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erc20Balances[this._makerAddress][this._wethAddress]
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.plus(expectedResults.takerAssetFillAmount)
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.plus(expectedResults.maxOversoldWeth),
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);
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expect(newBalances[this._orderFeeRecipientAddress][this._wethAddress]).to.be.bignumber.equal(
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erc20Balances[this._orderFeeRecipientAddress][this._wethAddress].plus(expectedResults.wethFees),
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@@ -15,11 +15,6 @@ export class ForwarderWrapper {
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private readonly _web3Wrapper: Web3Wrapper;
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private readonly _forwarderContract: ForwarderContract;
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private readonly _logDecoder: LogDecoder;
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public static getPercentageOfValue(value: BigNumber, percentage: number): BigNumber {
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const numerator = constants.PERCENTAGE_DENOMINATOR.times(percentage).dividedToIntegerBy(100);
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const newValue = value.times(numerator).dividedToIntegerBy(constants.PERCENTAGE_DENOMINATOR);
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return newValue;
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}
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constructor(contractInstance: ForwarderContract, provider: Web3ProviderEngine) {
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this._forwarderContract = contractInstance;
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this._web3Wrapper = new Web3Wrapper(provider);
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