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@0x/asset-swapper: Handle native orders in getSwapMinBuyAmount()

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This commit is contained in:
Lawrence Forman
2020-09-23 18:37:13 -04:00
parent de7f1fc207
commit d7de191947
3 changed files with 23 additions and 12 deletions
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26
packages/asset-swapper/src/quote_consumers/utils.ts
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@@ -2,6 +2,10 @@ import { BigNumber } from '@0x/utils';
import * as _ from 'lodash';
import { MarketOperation, SwapQuote } from '../types';
import { ERC20BridgeSource } from '../utils/market_operation_utils/types';
import { constants } from '../constants';
const { ZERO_AMOUNT } = constants;
/**
* Compute the mminimum buy token amount for market operations by inferring
@@ -10,19 +14,25 @@ import { MarketOperation, SwapQuote } from '../types';
* maximum slippage.
*/
export function getSwapMinBuyAmount(quote: SwapQuote): BigNumber {
// Infer the allowed maker asset slippage from the orders.
const totalOrderMakerAssetAmount = BigNumber.sum(...quote.orders.map(o => o.makerAssetAmount));
const totalFillMakerAssetAmount =
quote.type === MarketOperation.Sell
? BigNumber.sum(...quote.orders.map(o => BigNumber.sum(0, ...o.fills.map(f => f.output))))
: BigNumber.sum(...quote.orders.map(o => BigNumber.sum(0, ...o.fills.map(f => f.input))));
if (quote.isTwoHop || totalFillMakerAssetAmount.eq(0)) {
if (quote.type === MarketOperation.Buy || quote.isTwoHop) {
return quote.worstCaseQuoteInfo.makerAssetAmount;
}
// Infer the allowed maker asset slippage from the orders.
const totalOrderMakerAssetAmount = BigNumber.sum(...quote.orders.map(o => o.fillableMakerAssetAmount));
let totalFillMakerAssetAmount = ZERO_AMOUNT;
for (const o of quote.orders) {
if (o.fills.length === 0 || o.fills[0].source === ERC20BridgeSource.Native) {
// No slippage on natuve orders.
totalFillMakerAssetAmount = totalFillMakerAssetAmount.plus(o.fillableMakerAssetAmount);
} else {
totalFillMakerAssetAmount = totalFillMakerAssetAmount.plus(BigNumber.sum(...o.fills.map(f => f.output)));
}
}
if (totalOrderMakerAssetAmount.eq(totalFillMakerAssetAmount)) {
// No slippage allowed on bought tokens.
// No slippage allowed across all orders.
return quote.bestCaseQuoteInfo.makerAssetAmount;
}
const slipRatio = totalOrderMakerAssetAmount.div(totalFillMakerAssetAmount);
console.log(slipRatio);
return quote.bestCaseQuoteInfo.makerAssetAmount.times(slipRatio).integerValue(BigNumber.ROUND_DOWN);
}

2
packages/asset-swapper/src/utils/market_operation_utils/orders.ts
View File

@@ -291,7 +291,7 @@ function createBridgeOrder(
makerAssetData = assetDataUtils.encodeERC20BridgeAssetData(
makerToken,
bridgeAddress,
createBalancerBridgeData(takerToken, balancerFillData.poolAddress),
createBalancerBridgeData(takerToken, makerToken),
);
break;
case ERC20BridgeSource.Bancor:

7
packages/asset-swapper/test/exchange_proxy_swap_quote_consumer_test.ts
View File

@@ -18,6 +18,7 @@ import 'mocha';
import { constants } from '../src/constants';
import { ExchangeProxySwapQuoteConsumer } from '../src/quote_consumers/exchange_proxy_swap_quote_consumer';
import { getSwapMinBuyAmount } from '../src/quote_consumers/utils';
import { MarketBuySwapQuote, MarketOperation, MarketSellSwapQuote } from '../src/types';
import { OptimizedMarketOrder } from '../src/utils/market_operation_utils/types';
@@ -191,7 +192,7 @@ describe('ExchangeProxySwapQuoteConsumer', () => {
expect(callArgs.inputToken).to.eq(TAKER_TOKEN);
expect(callArgs.outputToken).to.eq(MAKER_TOKEN);
expect(callArgs.inputTokenAmount).to.bignumber.eq(quote.worstCaseQuoteInfo.totalTakerAssetAmount);
expect(callArgs.minOutputTokenAmount).to.bignumber.eq(quote.worstCaseQuoteInfo.makerAssetAmount);
expect(callArgs.minOutputTokenAmount).to.bignumber.eq(getSwapMinBuyAmount(quote));
expect(callArgs.transformations).to.be.length(2);
expect(
callArgs.transformations[0].deploymentNonce.toNumber() ===
@@ -220,7 +221,7 @@ describe('ExchangeProxySwapQuoteConsumer', () => {
expect(callArgs.inputToken).to.eq(TAKER_TOKEN);
expect(callArgs.outputToken).to.eq(MAKER_TOKEN);
expect(callArgs.inputTokenAmount).to.bignumber.eq(quote.worstCaseQuoteInfo.totalTakerAssetAmount);
expect(callArgs.minOutputTokenAmount).to.bignumber.eq(quote.worstCaseQuoteInfo.makerAssetAmount);
expect(callArgs.minOutputTokenAmount).to.bignumber.eq(getSwapMinBuyAmount(quote));
expect(callArgs.transformations).to.be.length(2);
expect(
callArgs.transformations[0].deploymentNonce.toNumber() ===
@@ -318,7 +319,7 @@ describe('ExchangeProxySwapQuoteConsumer', () => {
expect(callArgs.inputToken).to.eq(TAKER_TOKEN);
expect(callArgs.outputToken).to.eq(MAKER_TOKEN);
expect(callArgs.inputTokenAmount).to.bignumber.eq(quote.worstCaseQuoteInfo.totalTakerAssetAmount);
expect(callArgs.minOutputTokenAmount).to.bignumber.eq(quote.worstCaseQuoteInfo.makerAssetAmount);
expect(callArgs.minOutputTokenAmount).to.bignumber.eq(getSwapMinBuyAmount(quote));
expect(callArgs.transformations).to.be.length(3);
expect(
callArgs.transformations[0].deploymentNonce.toNumber() ===