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Move helper functions into order-utils

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This commit is contained in:
Brandon Millman
2018-08-02 11:21:05 -07:00
parent a016747c36
commit d9933237a0
3 changed files with 111 additions and 100 deletions
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100
packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts
View File

@@ -1,5 +1,5 @@
import { schemas } from '@0xproject/json-schemas';
import { AssetProxyId, OrderRelevantState, SignedOrder } from '@0xproject/types';
import { AssetProxyId, SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import { Web3Wrapper } from '@0xproject/web3-wrapper';
import { ContractAbi } from 'ethereum-types';
@@ -24,104 +24,6 @@ export class ForwarderWrapper extends ContractWrapper {
private _forwarderContractIfExists?: ForwarderContract;
private _contractAddressIfExists?: string;
private _zrxContractAddressIfExists?: string;
/**
* Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount (taking into account on-chain balances,
* allowances, and partial fills) in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last.
* Sort the input by ascending rate in order to get the subset of orders that will cost the least ETH.
* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify the same makerAsset.
* All orders should specify WETH as the takerAsset.
* @param orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
* relevant to that order.
* @param makerAssetFillAmount The amount of makerAsset desired to be filled.
* @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills.
* @return Resulting orders and remaining fill amount that could not be covered by the input.
*/
public static findOrdersThatCoverMakerAssetFillAmount(
signedOrders: SignedOrder[],
orderStates: OrderRelevantState[],
makerAssetFillAmount: BigNumber,
slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
// type assertions
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
assert.isBigNumber('makerAssetFillAmount', makerAssetFillAmount);
assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
// calculate total amount of makerAsset needed to be filled
const totalFillAmount = makerAssetFillAmount.plus(slippageBufferAmount);
// iterate through the signedOrders input from left to right until we have enough makerAsset to fill totalFillAmount
const result = _.reduce(
signedOrders,
({ resultOrders, remainingFillAmount }, order, index) => {
if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) {
return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT };
} else {
const orderState = orderStates[index];
const makerAssetAmountAvailable = ForwarderWrapper._getMakerAssetAmountAvailable(orderState);
return {
resultOrders: _.concat(resultOrders, order),
remainingFillAmount: remainingFillAmount.minus(makerAssetAmountAvailable),
};
}
},
{ resultOrders: [] as SignedOrder[], remainingFillAmount: totalFillAmount },
);
return result;
}
/**
* Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX (taking into account
* on-chain balances, allowances, and partial fills) in order to fill the takerFees required by signedOrders plus a
* slippageBufferAmount. Iterates from first feeOrder to last. Sort the feeOrders by ascending rate in order to get the subset of
* feeOrders that will cost the least ETH.
* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
* the makerAsset and WETH as the takerAsset.
* @param orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
* relevant to that order.
* @param signedFeeOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
* the makerAsset and WETH as the takerAsset.
* @param feeOrderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
* relevant to that order.
* @param makerAssetFillAmount The amount of makerAsset desired to be filled.
* @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills.
* @return Resulting orders and remaining fill amount that could not be covered by the input.
*/
public static findFeeOrdersThatCoverFeesForTargetOrders(
signedOrders: SignedOrder[],
orderStates: OrderRelevantState[],
signedFeeOrders: SignedOrder[],
feeOrderStates: OrderRelevantState[],
slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
// type assertions
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
// calculate total amount of ZRX needed to fill signedOrders
const totalFeeAmount = _.reduce(
signedOrders,
(accFees, order, index) => {
const orderState = orderStates[index];
const makerAssetAmountAvailable = ForwarderWrapper._getMakerAssetAmountAvailable(orderState);
const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
.div(order.makerAssetAmount)
.mul(order.takerFee);
return feeToFillMakerAssetAmountAvailable;
},
constants.ZERO_AMOUNT,
);
return ForwarderWrapper.findOrdersThatCoverMakerAssetFillAmount(
signedFeeOrders,
feeOrderStates,
totalFeeAmount,
slippageBufferAmount,
);
}
private static _getMakerAssetAmountAvailable(orderState: OrderRelevantState): BigNumber {
return BigNumber.min(
orderState.makerBalance,
orderState.remainingFillableMakerAssetAmount,
orderState.makerProxyAllowance,
);
}
constructor(
web3Wrapper: Web3Wrapper,
networkId: number,

2
packages/order-utils/src/constants.ts
View File

@@ -10,6 +10,6 @@ export const constants = {
ERC721_ASSET_DATA_MINIMUM_BYTE_LENGTH: 53,
SELECTOR_LENGTH: 4,
BASE_16: 16,
INFINITE_TIMESTAMP_SEC: new BigNumber(2524604400), // Close to infinite
INFINITE_TIMESTAMP_SEC: new BigNumber(2524604400), // Close to infinite,
ZERO_AMOUNT: new BigNumber(0),
};

109
packages/order-utils/src/market_utils.ts Normal file
View File

@@ -0,0 +1,109 @@
import { schemas } from '@0xproject/json-schemas';
import { OrderRelevantState, SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import * as _ from 'lodash';
import { assert } from './assert';
import { constants } from './constants';
export const marketUtils = {
/**
* Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount (taking into account on-chain balances,
* allowances, and partial fills) in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last.
* Sort the input by ascending rate in order to get the subset of orders that will cost the least ETH.
* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify the same makerAsset.
* All orders should specify WETH as the takerAsset.
* @param orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
* relevant to that order.
* @param makerAssetFillAmount The amount of makerAsset desired to be filled.
* @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills.
* @return Resulting orders and remaining fill amount that could not be covered by the input.
*/
findOrdersThatCoverMakerAssetFillAmount(
signedOrders: SignedOrder[],
orderStates: OrderRelevantState[],
makerAssetFillAmount: BigNumber,
slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
// type assertions
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
assert.isBigNumber('makerAssetFillAmount', makerAssetFillAmount);
assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
// calculate total amount of makerAsset needed to be filled
const totalFillAmount = makerAssetFillAmount.plus(slippageBufferAmount);
// iterate through the signedOrders input from left to right until we have enough makerAsset to fill totalFillAmount
const result = _.reduce(
signedOrders,
({ resultOrders, remainingFillAmount }, order, index) => {
if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) {
return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT };
} else {
const orderState = orderStates[index];
const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState);
return {
resultOrders: _.concat(resultOrders, order),
remainingFillAmount: remainingFillAmount.minus(makerAssetAmountAvailable),
};
}
},
{ resultOrders: [] as SignedOrder[], remainingFillAmount: totalFillAmount },
);
return result;
},
/**
* Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX (taking into account
* on-chain balances, allowances, and partial fills) in order to fill the takerFees required by signedOrders plus a
* slippageBufferAmount. Iterates from first feeOrder to last. Sort the feeOrders by ascending rate in order to get the subset of
* feeOrders that will cost the least ETH.
* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
* the makerAsset and WETH as the takerAsset.
* @param orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
* relevant to that order.
* @param signedFeeOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
* the makerAsset and WETH as the takerAsset.
* @param feeOrderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
* relevant to that order.
* @param makerAssetFillAmount The amount of makerAsset desired to be filled.
* @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills.
* @return Resulting orders and remaining fill amount that could not be covered by the input.
*/
findFeeOrdersThatCoverFeesForTargetOrders(
signedOrders: SignedOrder[],
orderStates: OrderRelevantState[],
signedFeeOrders: SignedOrder[],
feeOrderStates: OrderRelevantState[],
slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
// type assertions
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
// calculate total amount of ZRX needed to fill signedOrders
const totalFeeAmount = _.reduce(
signedOrders,
(accFees, order, index) => {
const orderState = orderStates[index];
const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState);
const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
.div(order.makerAssetAmount)
.mul(order.takerFee);
return accFees.plus(feeToFillMakerAssetAmountAvailable);
},
constants.ZERO_AMOUNT,
);
return marketUtils.findOrdersThatCoverMakerAssetFillAmount(
signedFeeOrders,
feeOrderStates,
totalFeeAmount,
slippageBufferAmount,
);
},
};
const getMakerAssetAmountAvailable = (orderState: OrderRelevantState) => {
return BigNumber.min(
orderState.makerBalance,
orderState.remainingFillableMakerAssetAmount,
orderState.makerProxyAllowance,
);
};