crowetic/protocol
1
0
Fork 0
Code Issues Pull Requests Actions Packages Projects Releases Wiki Activity

Merge pull request #197 from 0xProject/fix/rounding

Browse Source 
Fix rounding of maker fill amount and correctly validate partial fees
This commit is contained in:
Leonid
2017-10-24 18:54:50 +03:00
committed by GitHub
parent cd1f0c74c1 1fd8c2a6e2
commit 8330dabda8
3 changed files with 74 additions and 13 deletions
Download Patch File Download Diff File Expand all files Collapse all files

4
CHANGELOG.md
View File

@@ -1,5 +1,9 @@
# CHANGELOG
v0.22.2 - _October 24, 2017_
------------------------
* Fixed rounding of maker fill amount and incorrect validation of partial fees (#197)
v0.22.0 - _October 16, 2017_
------------------------
* Started using `OrderFillRequest` interface instead of `OrderFillOrKillRequest` interface for `zeroEx.exchange.batchFillOrKill` (#187)

47
src/utils/order_validation_utils.ts
View File

@@ -27,13 +27,22 @@ export class OrderValidationUtils {
if (!_.isUndefined(expectedFillTakerTokenAmount)) {
fillTakerTokenAmount = expectedFillTakerTokenAmount;
}
const fillMakerTokenAmount = this.getFillMakerTokenAmount(signedOrder, fillTakerTokenAmount);
const fillMakerTokenAmount = this.getPartialAmount(
fillTakerTokenAmount,
signedOrder.takerTokenAmount,
signedOrder.makerTokenAmount,
);
await exchangeTradeEmulator.transferFromAsync(
signedOrder.makerTokenAddress, signedOrder.maker, signedOrder.taker, fillMakerTokenAmount,
TradeSide.Maker, TransferType.Trade,
);
const makerFeeAmount = this.getPartialAmount(
fillTakerTokenAmount,
signedOrder.takerTokenAmount,
signedOrder.makerFee,
);
await exchangeTradeEmulator.transferFromAsync(
zrxTokenAddress, signedOrder.maker, signedOrder.feeRecipient, signedOrder.makerFee,
zrxTokenAddress, signedOrder.maker, signedOrder.feeRecipient, makerFeeAmount,
TradeSide.Maker, TransferType.Fee,
);
}
@@ -100,7 +109,11 @@ export class OrderValidationUtils {
public async validateFillOrderBalancesAllowancesThrowIfInvalidAsync(
exchangeTradeEmulator: ExchangeTransferSimulator, signedOrder: SignedOrder,
fillTakerTokenAmount: BigNumber.BigNumber, senderAddress: string, zrxTokenAddress: string): Promise<void> {
const fillMakerTokenAmount = this.getFillMakerTokenAmount(signedOrder, fillTakerTokenAmount);
const fillMakerTokenAmount = this.getPartialAmount(
fillTakerTokenAmount,
signedOrder.takerTokenAmount,
signedOrder.makerTokenAmount,
);
await exchangeTradeEmulator.transferFromAsync(
signedOrder.makerTokenAddress, signedOrder.maker, senderAddress, fillMakerTokenAmount,
TradeSide.Maker, TransferType.Trade,
@@ -109,12 +122,22 @@ export class OrderValidationUtils {
signedOrder.takerTokenAddress, senderAddress, signedOrder.maker, fillTakerTokenAmount,
TradeSide.Taker, TransferType.Trade,
);
await exchangeTradeEmulator.transferFromAsync(
zrxTokenAddress, signedOrder.maker, signedOrder.feeRecipient, signedOrder.makerFee, TradeSide.Maker,
TransferType.Fee,
const makerFeeAmount = this.getPartialAmount(
fillTakerTokenAmount,
signedOrder.takerTokenAmount,
signedOrder.makerFee,
);
await exchangeTradeEmulator.transferFromAsync(
zrxTokenAddress, senderAddress, signedOrder.feeRecipient, signedOrder.takerFee, TradeSide.Taker,
zrxTokenAddress, signedOrder.maker, signedOrder.feeRecipient, makerFeeAmount, TradeSide.Maker,
TransferType.Fee,
);
const takerFeeAmount = this.getPartialAmount(
fillTakerTokenAmount,
signedOrder.takerTokenAmount,
signedOrder.takerFee,
);
await exchangeTradeEmulator.transferFromAsync(
zrxTokenAddress, senderAddress, signedOrder.feeRecipient, takerFeeAmount, TradeSide.Taker,
TransferType.Fee,
);
}
@@ -131,10 +154,12 @@ export class OrderValidationUtils {
throw new Error(ExchangeContractErrs.OrderFillExpired);
}
}
private getFillMakerTokenAmount(signedOrder: Order,
fillTakerTokenAmount: BigNumber.BigNumber): BigNumber.BigNumber {
const exchangeRate = signedOrder.takerTokenAmount.div(signedOrder.makerTokenAmount);
const fillMakerTokenAmount = fillTakerTokenAmount.div(exchangeRate);
private getPartialAmount(numerator: BigNumber.BigNumber, denominator: BigNumber.BigNumber,
target: BigNumber.BigNumber): BigNumber.BigNumber {
const fillMakerTokenAmount = numerator
.mul(target)
.div(denominator)
.round(0);
return fillMakerTokenAmount;
}
}

36
test/order_validation_test.ts
View File

@@ -210,14 +210,14 @@ describe('OrderValidation', () => {
});
describe('#validateFillOrderBalancesAllowancesThrowIfInvalidAsync', () => {
let exchangeTransferSimulator: ExchangeTransferSimulator;
let transferFromAsync: any;
let transferFromAsync: Sinon.SinonSpy;
const bigNumberMatch = (expected: BigNumber.BigNumber) => {
return Sinon.match((value: BigNumber.BigNumber) => value.eq(expected));
};
beforeEach('create exchangeTransferSimulator', async () => {
exchangeTransferSimulator = new ExchangeTransferSimulator(zeroEx.token);
transferFromAsync = Sinon.spy();
exchangeTransferSimulator.transferFromAsync = transferFromAsync;
exchangeTransferSimulator.transferFromAsync = transferFromAsync as any;
});
it('should call exchangeTransferSimulator.transferFrom in a correct order', async () => {
const makerFee = new BigNumber(2);
@@ -291,5 +291,37 @@ describe('OrderValidation', () => {
),
).to.be.true();
});
it('should correctly round the fillMakerTokenAmount', async () => {
const makerTokenAmount = new BigNumber(3);
const takerTokenAmount = new BigNumber(1);
const signedOrder = await fillScenarios.createAsymmetricFillableSignedOrderAsync(
makerTokenAddress, takerTokenAddress, makerAddress, takerAddress, makerTokenAmount, takerTokenAmount,
);
await orderValidationUtils.validateFillOrderBalancesAllowancesThrowIfInvalidAsync(
exchangeTransferSimulator, signedOrder, takerTokenAmount, takerAddress, zrxTokenAddress,
);
expect(transferFromAsync.callCount).to.be.equal(4);
const makerFillAmount = transferFromAsync.getCall(0).args[3];
expect(makerFillAmount).to.be.bignumber.equal(makerTokenAmount);
});
it('should correctly round the makerFeeAmount', async () => {
const makerFee = new BigNumber(2);
const takerFee = new BigNumber(4);
const signedOrder = await fillScenarios.createFillableSignedOrderWithFeesAsync(
makerTokenAddress, takerTokenAddress, makerFee, takerFee, makerAddress, takerAddress,
fillableAmount, ZeroEx.NULL_ADDRESS,
);
const fillTakerTokenAmount = fillableAmount.div(2).round(0);
await orderValidationUtils.validateFillOrderBalancesAllowancesThrowIfInvalidAsync(
exchangeTransferSimulator, signedOrder, fillTakerTokenAmount, takerAddress, zrxTokenAddress,
);
const makerPartialFee = makerFee.div(2);
const takerPartialFee = takerFee.div(2);
expect(transferFromAsync.callCount).to.be.equal(4);
const partialMakerFee = transferFromAsync.getCall(2).args[3];
expect(partialMakerFee).to.be.bignumber.equal(makerPartialFee);
const partialTakerFee = transferFromAsync.getCall(3).args[3];
expect(partialTakerFee).to.be.bignumber.equal(takerPartialFee);
});
});
});