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Merge pull request #1176 from 0xProject/fix/asset-buyer/rounding-errors

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[asset-buyer] Fix calculation for ETH and ZRX amount to cover orders
This commit is contained in:
Brandon Millman
2018-10-24 14:30:18 -07:00
committed by GitHub
parent 979527a5ee da54fc3296
commit 85b7362073
7 changed files with 155 additions and 69 deletions
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8
packages/asset-buyer/src/asset_buyer.ts
View File

@@ -135,9 +135,14 @@ export class AssetBuyer {
assert.isBoolean('shouldForceOrderRefresh', shouldForceOrderRefresh);
assert.isNumber('slippagePercentage', slippagePercentage);
const zrxTokenAssetData = this._getZrxTokenAssetDataOrThrow();
const isMakerAssetZrxToken = assetData === zrxTokenAssetData;
// get the relevant orders for the makerAsset and fees
// if the requested assetData is ZRX, don't get the fee info
const [ordersAndFillableAmounts, feeOrdersAndFillableAmounts] = await Promise.all([
this._getOrdersAndFillableAmountsAsync(assetData, shouldForceOrderRefresh),
this._getOrdersAndFillableAmountsAsync(zrxTokenAssetData, shouldForceOrderRefresh),
isMakerAssetZrxToken
? Promise.resolve(constants.EMPTY_ORDERS_AND_FILLABLE_AMOUNTS)
: this._getOrdersAndFillableAmountsAsync(zrxTokenAssetData, shouldForceOrderRefresh),
shouldForceOrderRefresh,
]);
if (ordersAndFillableAmounts.orders.length === 0) {
@@ -149,6 +154,7 @@ export class AssetBuyer {
assetBuyAmount,
feePercentage,
slippagePercentage,
isMakerAssetZrxToken,
);
return buyQuote;
}

9
packages/asset-buyer/src/constants.ts
View File

@@ -1,6 +1,7 @@
import { SignedOrder } from '@0x/types';
import { BigNumber } from '@0x/utils';
import { AssetBuyerOpts, BuyQuoteExecutionOpts, BuyQuoteRequestOpts } from './types';
import { AssetBuyerOpts, BuyQuoteExecutionOpts, BuyQuoteRequestOpts, OrdersAndFillableAmounts } from './types';
const NULL_ADDRESS = '0x0000000000000000000000000000000000000000';
const MAINNET_NETWORK_ID = 1;
@@ -22,6 +23,11 @@ const DEFAULT_BUY_QUOTE_EXECUTION_OPTS: BuyQuoteExecutionOpts = {
feeRecipient: NULL_ADDRESS,
};
const EMPTY_ORDERS_AND_FILLABLE_AMOUNTS: OrdersAndFillableAmounts = {
orders: [] as SignedOrder[],
remainingFillableMakerAssetAmounts: [] as BigNumber[],
};
export const constants = {
ZERO_AMOUNT: new BigNumber(0),
NULL_ADDRESS,
@@ -31,4 +37,5 @@ export const constants = {
DEFAULT_BUY_QUOTE_EXECUTION_OPTS,
DEFAULT_BUY_QUOTE_REQUEST_OPTS,
MAX_PER_PAGE: 10000,
EMPTY_ORDERS_AND_FILLABLE_AMOUNTS,
};

2
packages/asset-buyer/src/order_providers/standard_relayer_api_order_provider.ts
View File

@@ -30,7 +30,7 @@ export class StandardRelayerAPIOrderProvider implements OrderProvider {
'remainingTakerAssetAmount',
order.takerAssetAmount,
);
const remainingFillableMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount(
const remainingFillableMakerAssetAmount = orderUtils.getRemainingMakerAmount(
order,
remainingFillableTakerAssetAmount,
);

112
packages/asset-buyer/src/utils/buy_quote_calculator.ts
View File

@@ -1,10 +1,12 @@
import { marketUtils, rateUtils } from '@0x/order-utils';
import { marketUtils, SignedOrder } from '@0x/order-utils';
import { BigNumber } from '@0x/utils';
import * as _ from 'lodash';
import { constants } from '../constants';
import { AssetBuyerError, BuyQuote, BuyQuoteInfo, OrdersAndFillableAmounts } from '../types';
import { orderUtils } from './order_utils';
// Calculates a buy quote for orders that have WETH as the takerAsset
export const buyQuoteCalculator = {
calculate(
@@ -13,6 +15,7 @@ export const buyQuoteCalculator = {
assetBuyAmount: BigNumber,
feePercentage: number,
slippagePercentage: number,
isMakerAssetZrxToken: boolean,
): BuyQuote {
const orders = ordersAndFillableAmounts.orders;
const remainingFillableMakerAssetAmounts = ordersAndFillableAmounts.remainingFillableMakerAssetAmounts;
@@ -32,22 +35,31 @@ export const buyQuoteCalculator = {
if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
}
// if we are not buying ZRX:
// given the orders calculated above, find the fee-orders that cover the desired assetBuyAmount (with slippage)
// TODO(bmillman): optimization
// update this logic to find the minimum amount of feeOrders to cover the worst case as opposed to
// finding order that cover all fees, this will help with estimating ETH and minimizing gas usage
const {
resultFeeOrders,
remainingFeeAmount,
feeOrdersRemainingFillableMakerAssetAmounts,
} = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(resultOrders, feeOrders, {
let resultFeeOrders = [] as SignedOrder[];
let feeOrdersRemainingFillableMakerAssetAmounts = [] as BigNumber[];
if (!isMakerAssetZrxToken) {
const feeOrdersAndRemainingFeeAmount = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
resultOrders,
feeOrders,
{
remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts,
remainingFillableFeeAmounts,
});
},
);
// if we do not have enough feeOrders to cover the fees, throw
if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
if (feeOrdersAndRemainingFeeAmount.remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
}
resultFeeOrders = feeOrdersAndRemainingFeeAmount.resultFeeOrders;
feeOrdersRemainingFillableMakerAssetAmounts =
feeOrdersAndRemainingFeeAmount.feeOrdersRemainingFillableMakerAssetAmounts;
}
// assetData information for the result
const assetData = orders[0].makerAssetData;
// compile the resulting trimmed set of orders for makerAsset and feeOrders that are needed for assetBuyAmount
@@ -64,6 +76,7 @@ export const buyQuoteCalculator = {
trimmedFeeOrdersAndFillableAmounts,
assetBuyAmount,
feePercentage,
isMakerAssetZrxToken,
);
// in order to calculate the maxRate, reverse the ordersAndFillableAmounts such that they are sorted from worst rate to best rate
const worstCaseQuoteInfo = calculateQuoteInfo(
@@ -71,6 +84,7 @@ export const buyQuoteCalculator = {
reverseOrdersAndFillableAmounts(trimmedFeeOrdersAndFillableAmounts),
assetBuyAmount,
feePercentage,
isMakerAssetZrxToken,
);
return {
assetData,
@@ -89,22 +103,30 @@ function calculateQuoteInfo(
feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
assetBuyAmount: BigNumber,
feePercentage: number,
isMakerAssetZrxToken: boolean,
): BuyQuoteInfo {
// find the total eth and zrx needed to buy assetAmount from the resultOrders from left to right
const [ethAmountToBuyAsset, zrxAmountToBuyAsset] = findEthAndZrxAmountNeededToBuyAsset(
ordersAndFillableAmounts,
assetBuyAmount,
);
// find the total eth needed to buy fees
const ethAmountToBuyFees = findEthAmountNeededToBuyFees(feeOrdersAndFillableAmounts, zrxAmountToBuyAsset);
const affiliateFeeEthAmount = ethAmountToBuyAsset.mul(feePercentage);
const totalEthAmountWithoutAffiliateFee = ethAmountToBuyAsset.plus(ethAmountToBuyFees);
const totalEthAmount = totalEthAmountWithoutAffiliateFee.plus(affiliateFeeEthAmount);
let ethAmountToBuyAsset = constants.ZERO_AMOUNT;
let ethAmountToBuyZrx = constants.ZERO_AMOUNT;
if (isMakerAssetZrxToken) {
ethAmountToBuyAsset = findEthAmountNeededToBuyZrx(ordersAndFillableAmounts, assetBuyAmount);
} else {
// find eth and zrx amounts needed to buy
const ethAndZrxAmountToBuyAsset = findEthAndZrxAmountNeededToBuyAsset(ordersAndFillableAmounts, assetBuyAmount);
ethAmountToBuyAsset = ethAndZrxAmountToBuyAsset[0];
const zrxAmountToBuyAsset = ethAndZrxAmountToBuyAsset[1];
// find eth amount needed to buy zrx
ethAmountToBuyZrx = findEthAmountNeededToBuyZrx(feeOrdersAndFillableAmounts, zrxAmountToBuyAsset);
}
/// find the eth amount needed to buy the affiliate fee
const ethAmountToBuyAffiliateFee = ethAmountToBuyAsset.mul(feePercentage);
const totalEthAmountWithoutAffiliateFee = ethAmountToBuyAsset.plus(ethAmountToBuyZrx);
const ethAmountTotal = totalEthAmountWithoutAffiliateFee.plus(ethAmountToBuyAffiliateFee);
// divide into the assetBuyAmount in order to find rate of makerAsset / WETH
const ethPerAssetPrice = totalEthAmountWithoutAffiliateFee.div(assetBuyAmount);
return {
totalEthAmount,
feeEthAmount: affiliateFeeEthAmount,
totalEthAmount: ethAmountTotal,
feeEthAmount: ethAmountToBuyAffiliateFee,
ethPerAssetPrice,
};
}
@@ -119,29 +141,38 @@ function reverseOrdersAndFillableAmounts(ordersAndFillableAmounts: OrdersAndFill
};
}
function findEthAmountNeededToBuyFees(
function findEthAmountNeededToBuyZrx(
feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
feeAmount: BigNumber,
zrxBuyAmount: BigNumber,
): BigNumber {
const { orders, remainingFillableMakerAssetAmounts } = feeOrdersAndFillableAmounts;
const result = _.reduce(
orders,
(acc, order, index) => {
const { totalEthAmount, remainingZrxBuyAmount } = acc;
const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
const amountToFill = BigNumber.min(acc.remainingFeeAmount, remainingFillableMakerAssetAmount);
const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfFeeOrder(order);
const ethAmountForThisOrder = feeAdjustedRate.mul(amountToFill);
const makerFillAmount = BigNumber.min(remainingZrxBuyAmount, remainingFillableMakerAssetAmount);
const [takerFillAmount, adjustedMakerFillAmount] = orderUtils.getTakerFillAmountForFeeOrder(
order,
makerFillAmount,
);
const extraFeeAmount = remainingFillableMakerAssetAmount.greaterThanOrEqualTo(adjustedMakerFillAmount)
? constants.ZERO_AMOUNT
: adjustedMakerFillAmount.sub(makerFillAmount);
return {
ethAmount: acc.ethAmount.plus(ethAmountForThisOrder),
remainingFeeAmount: BigNumber.max(constants.ZERO_AMOUNT, acc.remainingFeeAmount.minus(amountToFill)),
totalEthAmount: totalEthAmount.plus(takerFillAmount),
remainingZrxBuyAmount: BigNumber.max(
constants.ZERO_AMOUNT,
remainingZrxBuyAmount.minus(makerFillAmount).plus(extraFeeAmount),
),
};
},
{
ethAmount: constants.ZERO_AMOUNT,
remainingFeeAmount: feeAmount,
totalEthAmount: constants.ZERO_AMOUNT,
remainingZrxBuyAmount: zrxBuyAmount,
},
);
return result.ethAmount;
return result.totalEthAmount;
}
function findEthAndZrxAmountNeededToBuyAsset(
@@ -152,28 +183,25 @@ function findEthAndZrxAmountNeededToBuyAsset(
const result = _.reduce(
orders,
(acc, order, index) => {
const { totalEthAmount, totalZrxAmount, remainingAssetBuyAmount } = acc;
const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
const amountToFill = BigNumber.min(acc.remainingAssetBuyAmount, remainingFillableMakerAssetAmount);
// find the amount of eth required to fill amountToFill (amountToFill / makerAssetAmount) * takerAssetAmount
const ethAmountForThisOrder = amountToFill
.mul(order.takerAssetAmount)
.dividedToIntegerBy(order.makerAssetAmount);
// find the amount of zrx required to fill fees for amountToFill (amountToFill / makerAssetAmount) * takerFee
const zrxAmountForThisOrder = amountToFill.mul(order.takerFee).dividedToIntegerBy(order.makerAssetAmount);
const makerFillAmount = BigNumber.min(acc.remainingAssetBuyAmount, remainingFillableMakerAssetAmount);
const takerFillAmount = orderUtils.getTakerFillAmount(order, makerFillAmount);
const takerFeeAmount = orderUtils.getTakerFeeAmount(order, takerFillAmount);
return {
ethAmount: acc.ethAmount.plus(ethAmountForThisOrder),
zrxAmount: acc.zrxAmount.plus(zrxAmountForThisOrder),
totalEthAmount: totalEthAmount.plus(takerFillAmount),
totalZrxAmount: totalZrxAmount.plus(takerFeeAmount),
remainingAssetBuyAmount: BigNumber.max(
constants.ZERO_AMOUNT,
acc.remainingAssetBuyAmount.minus(amountToFill),
remainingAssetBuyAmount.minus(makerFillAmount),
),
};
},
{
ethAmount: constants.ZERO_AMOUNT,
zrxAmount: constants.ZERO_AMOUNT,
totalEthAmount: constants.ZERO_AMOUNT,
totalZrxAmount: constants.ZERO_AMOUNT,
remainingAssetBuyAmount: assetBuyAmount,
},
);
return [result.ethAmount, result.zrxAmount];
return [result.totalEthAmount, result.totalZrxAmount];
}

5
packages/asset-buyer/src/utils/order_provider_response_processor.ts
View File

@@ -110,10 +110,7 @@ function getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
traderInfo.makerZrxBalance,
]);
const remainingTakerAssetAmount = order.takerAssetAmount.minus(orderInfo.orderTakerAssetFilledAmount);
const remainingMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount(
order,
remainingTakerAssetAmount,
);
const remainingMakerAssetAmount = orderUtils.getRemainingMakerAmount(order, remainingTakerAssetAmount);
const remainingFillableCalculator = new RemainingFillableCalculator(
order.makerFee,
order.makerAssetAmount,

68
packages/asset-buyer/src/utils/order_utils.ts
View File

@@ -12,19 +12,63 @@ export const orderUtils = {
const currentUnixTimestampSec = new BigNumber(Date.now() / millisecondsInSecond).round();
return order.expirationTimeSeconds.lessThan(currentUnixTimestampSec.plus(secondsFromNow));
},
calculateRemainingMakerAssetAmount(order: SignedOrder, remainingTakerAssetAmount: BigNumber): BigNumber {
if (remainingTakerAssetAmount.eq(0)) {
return constants.ZERO_AMOUNT;
}
return remainingTakerAssetAmount.times(order.makerAssetAmount).dividedToIntegerBy(order.takerAssetAmount);
},
calculateRemainingTakerAssetAmount(order: SignedOrder, remainingMakerAssetAmount: BigNumber): BigNumber {
if (remainingMakerAssetAmount.eq(0)) {
return constants.ZERO_AMOUNT;
}
return remainingMakerAssetAmount.times(order.takerAssetAmount).dividedToIntegerBy(order.makerAssetAmount);
},
isOpenOrder(order: SignedOrder): boolean {
return order.takerAddress === constants.NULL_ADDRESS;
},
// given a remaining amount of takerAsset, calculate how much makerAsset is available
getRemainingMakerAmount(order: SignedOrder, remainingTakerAmount: BigNumber): BigNumber {
const remainingMakerAmount = remainingTakerAmount
.times(order.makerAssetAmount)
.div(order.takerAssetAmount)
.floor();
return remainingMakerAmount;
},
// given a desired amount of makerAsset, calculate how much takerAsset is required to fill that amount
getTakerFillAmount(order: SignedOrder, makerFillAmount: BigNumber): BigNumber {
// Round up because exchange rate favors Maker
const takerFillAmount = makerFillAmount
.mul(order.takerAssetAmount)
.div(order.makerAssetAmount)
.ceil();
return takerFillAmount;
},
// given a desired amount of takerAsset to fill, calculate how much fee is required by the taker to fill that amount
getTakerFeeAmount(order: SignedOrder, takerFillAmount: BigNumber): BigNumber {
// Round down because Taker fee rate favors Taker
const takerFeeAmount = takerFillAmount
.mul(order.takerFee)
.div(order.takerAssetAmount)
.floor();
return takerFeeAmount;
},
// given a desired amount of takerAsset to fill, calculate how much makerAsset will be filled
getMakerFillAmount(order: SignedOrder, takerFillAmount: BigNumber): BigNumber {
// Round down because exchange rate favors Maker
const makerFillAmount = takerFillAmount
.mul(order.makerAssetAmount)
.div(order.takerAssetAmount)
.floor();
return makerFillAmount;
},
// given a desired amount of makerAsset, calculate how much fee is required by the maker to fill that amount
getMakerFeeAmount(order: SignedOrder, makerFillAmount: BigNumber): BigNumber {
// Round down because Maker fee rate favors Maker
const makerFeeAmount = makerFillAmount
.mul(order.makerFee)
.div(order.makerAssetAmount)
.floor();
return makerFeeAmount;
},
// given a desired amount of ZRX from a fee order, calculate how much takerAsset is required to fill that amount
// also calculate how much ZRX needs to be bought in order fill the desired amount + takerFee
getTakerFillAmountForFeeOrder(order: SignedOrder, makerFillAmount: BigNumber): [BigNumber, BigNumber] {
// For each unit of TakerAsset we buy (MakerAsset - TakerFee)
const adjustedTakerFillAmount = makerFillAmount
.mul(order.takerAssetAmount)
.div(order.makerAssetAmount.sub(order.takerFee))
.ceil();
// The amount that we buy will be greater than makerFillAmount, since we buy some amount for fees.
const adjustedMakerFillAmount = orderUtils.getMakerFillAmount(order, adjustedTakerFillAmount);
return [adjustedTakerFillAmount, adjustedMakerFillAmount];
},
};

12
packages/asset-buyer/test/buy_quote_calculator_test.ts
View File

@@ -49,9 +49,9 @@ describe('buyQuoteCalculator', () => {
remainingFillableMakerAssetAmounts: [smallFeeOrder.makerAssetAmount],
};
const largeFeeOrder = orderFactory.createSignedOrderFromPartial({
makerAssetAmount: new BigNumber(110),
makerAssetAmount: new BigNumber(113),
takerAssetAmount: new BigNumber(200),
takerFee: new BigNumber(10),
takerFee: new BigNumber(11),
});
allFeeOrdersAndFillableAmounts = {
orders: [smallFeeOrder, largeFeeOrder],
@@ -70,6 +70,7 @@ describe('buyQuoteCalculator', () => {
new BigNumber(500),
0,
0,
false,
),
).to.throw(AssetBuyerError.InsufficientAssetLiquidity);
});
@@ -82,6 +83,7 @@ describe('buyQuoteCalculator', () => {
new BigNumber(300),
0,
0,
false,
),
).to.throw(AssetBuyerError.InsufficientZrxLiquidity);
});
@@ -97,6 +99,7 @@ describe('buyQuoteCalculator', () => {
assetBuyAmount,
feePercentage,
slippagePercentage,
false,
);
// test if orders are correct
expect(buyQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]);
@@ -134,6 +137,7 @@ describe('buyQuoteCalculator', () => {
assetBuyAmount,
feePercentage,
slippagePercentage,
false,
);
// test if orders are correct
expect(buyQuote.orders).to.deep.equal(ordersAndFillableAmounts.orders);
@@ -149,9 +153,9 @@ describe('buyQuoteCalculator', () => {
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
// 100 eth to fill the first order + 208 eth for fees
const expectedWorstEthAmountForAsset = new BigNumber(100);
const expectedWorstEthAmountForZrxFees = new BigNumber(200);
const expectedWorstEthAmountForZrxFees = new BigNumber(208);
const expectedWorstFillEthAmount = expectedWorstEthAmountForAsset.plus(expectedWorstEthAmountForZrxFees);
const expectedWorstFeeEthAmount = expectedWorstEthAmountForAsset.mul(feePercentage);
const expectedWorstTotalEthAmount = expectedWorstFillEthAmount.plus(expectedWorstFeeEthAmount);