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Add ForwarderHelperImplConfig

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This commit is contained in:
Brandon Millman
2018-08-17 13:00:54 -07:00
parent 3c973ba9f6
commit e8a1950a74
6 changed files with 104 additions and 38 deletions
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15
packages/forwarder-helper/package.json
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@@ -15,21 +15,22 @@
"test:coverage": "nyc npm run test --all && yarn coverage:report:lcov",
"coverage:report:lcov": "nyc report --reporter=text-lcov > coverage/lcov.info",
"test:circleci": "yarn test:coverage",
"run_mocha":
"mocha --require source-map-support/register --require make-promises-safe lib/test/**/*_test.js --exit",
"run_mocha": "mocha --require source-map-support/register --require make-promises-safe lib/test/**/*_test.js --exit",
"clean": "shx rm -rf lib test_temp scripts",
"build": "tsc && copyfiles -u 3 './lib/src/monorepo_scripts/**/*' ./scripts",
"manual:postpublish": "yarn build; node ./scripts/postpublish.js",
"docs:stage": "node scripts/stage_docs.js",
"docs:json": "typedoc --excludePrivate --excludeExternals --target ES5 --json $JSON_FILE_PATH $PROJECT_FILES",
"upload_docs_json":
"aws s3 cp generated_docs/index.json $S3_URL --profile 0xproject --grants read=uri=http://acs.amazonaws.com/groups/global/AllUsers --content-type application/json"
"upload_docs_json": "aws s3 cp generated_docs/index.json $S3_URL --profile 0xproject --grants read=uri=http://acs.amazonaws.com/groups/global/AllUsers --content-type application/json"
},
"config": {
"postpublish": {
"assets": [],
"docPublishConfigs": {
"extraFileIncludes": ["../types/src/index.ts", "../ethereum-types/src/index.ts"],
"extraFileIncludes": [
"../types/src/index.ts",
"../ethereum-types/src/index.ts"
],
"s3BucketPath": "s3://doc-jsons/forwarder-helper/",
"s3StagingBucketPath": "s3://staging-doc-jsons/forwarder-helper/"
}
@@ -50,11 +51,13 @@
"@0xproject/types": "^1.0.1-rc.4",
"@0xproject/typescript-typings": "^1.0.4",
"@0xproject/utils": "^1.0.5",
"@types/node": "^8.0.53"
"@types/node": "^8.0.53",
"lodash": "^4.17.10"
},
"devDependencies": {
"@0xproject/monorepo-scripts": "^1.0.5",
"@0xproject/tslint-config": "^1.0.5",
"@types/lodash": "^4.14.116",
"@types/mocha": "^2.2.42",
"chai": "^4.0.1",
"chai-as-promised": "^7.1.0",

94
packages/forwarder-helper/src/forwarder_helper_impl.ts
View File

@@ -1,37 +1,93 @@
import { marketUtils } from '@0xproject/order-utils';
import { marketUtils, sortingUtils } from '@0xproject/order-utils';
import { SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import * as _ from 'lodash';
import { constants } from './constants';
import { ForwarderHelper, ForwarderHelperError, MarketBuyOrdersInfo, MarketBuyOrdersInfoRequest } from './types';
const SLIPPAGE_PERCENTAGE = new BigNumber(0.2); // 20% slippage protection, possibly move this into request interface
interface SignedOrderWithAmount extends SignedOrder {
remainingFillAmount?: BigNumber;
}
export interface ForwarderHelperImplConfig {
orders: SignedOrder[];
feeOrders: SignedOrder[];
remainingFillableMakerAssetAmounts?: BigNumber[];
remainingFillableFeeAmounts?: BigNumber[];
}
export class ForwarderHelperImpl implements ForwarderHelper {
private _orders: SignedOrder[];
private _feeOrders: SignedOrder[];
private _remainingFillableMakerAssetAmountsIfExists?: BigNumber[];
private _remainingFillableFeeAmountsIfExists?: BigNumber[];
constructor(
private _config: ForwarderHelperImplConfig;
private static _createSignedOrderWithAmounts(
orders: SignedOrder[],
feeOrders: SignedOrder[] = [] as SignedOrder[],
remainingFillableMakerAssetAmounts?: BigNumber[],
remainingFillableFeeAmounts?: BigNumber[],
) {
this._orders = orders;
this._feeOrders = feeOrders;
this._remainingFillableMakerAssetAmountsIfExists = remainingFillableMakerAssetAmounts;
this._remainingFillableFeeAmountsIfExists = remainingFillableFeeAmounts;
amounts?: BigNumber[],
): SignedOrderWithAmount[] {
const ordersAndAmounts = _.map(orders, (order, index) => {
return {
...order,
remainingFillAmount: _.nth(amounts, index),
};
});
return ordersAndAmounts;
}
private static _unbundleSignedOrderWithAmounts(
signedOrderWithAmounts: SignedOrderWithAmount[],
): { orders: SignedOrder[]; amounts?: BigNumber[] } {
const orders = _.map(signedOrderWithAmounts, order => {
const { remainingFillAmount, ...rest } = order;
return rest;
});
const amounts = _.map(signedOrderWithAmounts, order => {
const { remainingFillAmount, ...rest } = order;
return remainingFillAmount;
});
const compactAmounts = _.compact(amounts);
return {
orders,
amounts: compactAmounts.length > 0 ? compactAmounts : undefined,
};
}
private static _sortConfig(opts: ForwarderHelperImplConfig): ForwarderHelperImplConfig {
const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = opts;
const orderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts(
orders,
remainingFillableMakerAssetAmounts,
);
const sortedOrderWithAmounts = sortingUtils.sortOrdersByFeeAdjustedRate(orderWithAmounts);
const unbundledSortedOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts(
sortedOrderWithAmounts,
);
const feeOrderWithAmounts = ForwarderHelperImpl._createSignedOrderWithAmounts(
feeOrders,
remainingFillableFeeAmounts,
);
const sortedFeeOrderWithAmounts = sortingUtils.sortFeeOrdersByFeeAdjustedRate(feeOrderWithAmounts);
const unbundledSortedFeeOrderWithAmounts = ForwarderHelperImpl._unbundleSignedOrderWithAmounts(
sortedFeeOrderWithAmounts,
);
return {
orders: unbundledSortedOrderWithAmounts.orders,
feeOrders: unbundledSortedFeeOrderWithAmounts.orders,
remainingFillableMakerAssetAmounts: unbundledSortedOrderWithAmounts.amounts,
remainingFillableFeeAmounts: unbundledSortedFeeOrderWithAmounts.amounts,
};
}
constructor(opts: ForwarderHelperImplConfig) {
this._config = ForwarderHelperImpl._sortConfig(opts);
}
public getMarketBuyOrdersInfo(request: MarketBuyOrdersInfoRequest): MarketBuyOrdersInfo {
const { makerAssetFillAmount, feePercentage } = request;
const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = this._config;
// TODO: make the slippage percentage customizable
const slippageBufferAmount = makerAssetFillAmount.mul(SLIPPAGE_PERCENTAGE);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
this._orders,
orders,
makerAssetFillAmount,
{
remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists,
remainingFillableMakerAssetAmounts,
slippageBufferAmount,
},
);
@@ -42,10 +98,10 @@ export class ForwarderHelperImpl implements ForwarderHelper {
// finding order that cover all fees, this will help with estimating ETH and minimizing gas usage
const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
resultOrders,
this._feeOrders,
feeOrders,
{
remainingFillableMakerAssetAmounts: this._remainingFillableMakerAssetAmountsIfExists,
remainingFillableFeeAmounts: this._remainingFillableFeeAmountsIfExists,
remainingFillableMakerAssetAmounts,
remainingFillableFeeAmounts,
},
);
if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {

3
packages/order-utils/CHANGELOG.json
View File

@@ -18,6 +18,9 @@
{
"note":
"Rename `resultOrders` to `resultFeeOrders` for object returned by `findFeeOrdersThatCoverFeesForTargetOrders` in `marketUtils` api"
},
{
"note": "Make `sortFeeOrdersByFeeAdjustedRate` in `sortingUtils` generic"
}
]
},

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

@@ -32,7 +32,7 @@ export const sortingUtils = {
* the makerAsset and WETH as the takerAsset.
* @return The input orders sorted by rate in ascending order
*/
sortFeeOrdersByFeeAdjustedRate(feeOrders: Order[]): Order[] {
sortFeeOrdersByFeeAdjustedRate<T extends Order>(feeOrders: T[]): T[] {
assert.doesConformToSchema('feeOrders', feeOrders, schemas.ordersSchema);
const rateCalculator = rateUtils.getFeeAdjustedRateOfFeeOrder.bind(rateUtils);
const sortedOrders = sortOrders(feeOrders, rateCalculator);

24
packages/order-utils/test/market_utils_test.ts
View File

@@ -139,11 +139,11 @@ describe('marketUtils', () => {
);
describe('no target orders', () => {
it('returns empty and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
[],
inputFeeOrders,
);
expect(resultOrders).to.be.empty;
expect(resultFeeOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
@@ -162,14 +162,14 @@ describe('marketUtils', () => {
// generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
it('returns empty and non-zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
[],
{
remainingFillableMakerAssetAmounts,
},
);
expect(resultOrders).to.be.empty;
expect(resultFeeOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
});
});
@@ -183,11 +183,11 @@ describe('marketUtils', () => {
3,
);
it('returns empty and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
inputFeeOrders,
);
expect(resultOrders).to.be.empty;
expect(resultFeeOrders).to.be.empty;
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
@@ -204,11 +204,11 @@ describe('marketUtils', () => {
3,
);
it('returns input fee orders and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
inputFeeOrders,
);
expect(resultOrders).to.be.deep.equal(inputFeeOrders);
expect(resultFeeOrders).to.be.deep.equal(inputFeeOrders);
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
@@ -230,14 +230,14 @@ describe('marketUtils', () => {
// 3. order is completely fillable
const remainingFillableMakerAssetAmounts = [constants.ZERO_AMOUNT, new BigNumber(5), makerAssetAmount];
it('returns first two input fee orders and zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
inputFeeOrders,
{
remainingFillableMakerAssetAmounts,
},
);
expect(resultOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]);
expect(resultFeeOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]);
expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
});
});
@@ -254,11 +254,11 @@ describe('marketUtils', () => {
3,
);
it('returns input fee orders and non-zero remainingFeeAmount', async () => {
const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
const { resultFeeOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
inputOrders,
inputFeeOrders,
);
expect(resultOrders).to.be.deep.equal(inputFeeOrders);
expect(resultFeeOrders).to.be.deep.equal(inputFeeOrders);
expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
});
});

4
yarn.lock
View File

@@ -1036,6 +1036,10 @@
version "4.14.99"
resolved "https://registry.yarnpkg.com/@types/lodash/-/lodash-4.14.99.tgz#e6e10c0a4cc16c7409b3181f1e66880d2fb7d4dc"
"@types/lodash@^4.14.116":
version "4.14.116"
resolved "https://registry.yarnpkg.com/@types/lodash/-/lodash-4.14.116.tgz#5ccf215653e3e8c786a58390751033a9adca0eb9"
"@types/loglevel@^1.5.3":
version "1.5.3"
resolved "https://registry.yarnpkg.com/@types/loglevel/-/loglevel-1.5.3.tgz#adfce55383edc5998a2170ad581b3e23d6adb5b8"