740 lines
40 KiB
TypeScript
740 lines
40 KiB
TypeScript
import { orderFactory } from '@0x/order-utils/lib/src/order_factory';
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import { SignedOrder } from '@0x/types';
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import { BigNumber } from '@0x/utils';
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import * as chai from 'chai';
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import * as _ from 'lodash';
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import 'mocha';
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import { constants } from '../src/constants';
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import { OrdersAndFillableAmounts, SwapQuoterError } from '../src/types';
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import { swapQuoteCalculator } from '../src/utils/swap_quote_calculator';
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import { chaiSetup } from './utils/chai_setup';
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import { testHelpers } from './utils/test_helpers';
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chaiSetup.configure();
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const expect = chai.expect;
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// tslint:disable:max-file-line-count
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// tslint:disable:custom-no-magic-numbers
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describe('swapQuoteCalculator', () => {
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describe('#calculateMarketSellSwapQuote', () => {
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let firstOrder: SignedOrder;
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let firstRemainingFillAmount: BigNumber;
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let secondOrder: SignedOrder;
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let secondRemainingFillAmount: BigNumber;
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let ordersAndFillableAmounts: OrdersAndFillableAmounts;
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let smallFeeOrderAndFillableAmount: OrdersAndFillableAmounts;
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let allFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts;
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beforeEach(() => {
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// generate two orders for our desired maker asset
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// the first order has a rate of 4 makerAsset / WETH with a takerFee of 200 ZRX and has only 200 / 400 makerAsset units left to fill (half fillable)
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// the second order has a rate of 2 makerAsset / WETH with a takerFee of 100 ZRX and has 200 / 200 makerAsset units left to fill (completely fillable)
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// generate one order for fees
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// the fee order has a rate of 1 ZRX / WETH with no taker fee and has 100 ZRX left to fill (completely fillable)
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firstOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(400),
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takerAssetAmount: new BigNumber(100),
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takerFee: new BigNumber(200),
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});
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firstRemainingFillAmount = new BigNumber(200);
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secondOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(200),
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takerAssetAmount: new BigNumber(100),
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takerFee: new BigNumber(100),
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});
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secondRemainingFillAmount = secondOrder.makerAssetAmount;
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ordersAndFillableAmounts = {
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orders: [firstOrder, secondOrder],
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remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount],
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};
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const smallFeeOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(100),
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takerAssetAmount: new BigNumber(100),
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});
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smallFeeOrderAndFillableAmount = {
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orders: [smallFeeOrder],
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remainingFillableMakerAssetAmounts: [smallFeeOrder.makerAssetAmount],
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};
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const largeFeeOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(113),
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takerAssetAmount: new BigNumber(200),
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takerFee: new BigNumber(11),
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});
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allFeeOrdersAndFillableAmounts = {
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orders: [smallFeeOrder, largeFeeOrder],
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remainingFillableMakerAssetAmounts: [
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smallFeeOrder.makerAssetAmount,
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largeFeeOrder.makerAssetAmount.minus(largeFeeOrder.takerFee),
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],
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};
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});
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describe('InsufficientLiquidityError', () => {
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it('should throw if not enough taker asset liquidity (multiple orders)', () => {
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// we have 150 takerAsset units available to sell but attempt to calculate a quote for 200 takerAsset units
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(200),
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0,
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false,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(150));
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});
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it('should throw if not enough taker asset liquidity (multiple orders with 20% slippage)', () => {
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// we have 150 takerAsset units available to sell but attempt to calculate a quote for 200 takerAsset units
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(200),
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0.2,
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false,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(125));
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});
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it('should throw if not enough taker asset liquidity (multiple orders with 5% slippage)', () => {
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// we have 150 takerAsset units available to fill but attempt to calculate a quote for 200 takerAsset units
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(200),
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0.05,
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false,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(142));
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});
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it('should throw if not enough taker asset liquidity (partially filled order)', () => {
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const firstOrderAndFillableAmount: OrdersAndFillableAmounts = {
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orders: [firstOrder],
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remainingFillableMakerAssetAmounts: [firstRemainingFillAmount],
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};
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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firstOrderAndFillableAmount,
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smallFeeOrderAndFillableAmount,
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new BigNumber(51),
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0,
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false,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(50));
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});
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it('should throw if not enough taker asset liquidity (completely fillable order)', () => {
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const completelyFillableOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(123),
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takerAssetAmount: new BigNumber(80),
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takerFee: new BigNumber(200),
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});
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const completelyFillableOrdersAndFillableAmount: OrdersAndFillableAmounts = {
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orders: [completelyFillableOrder],
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remainingFillableMakerAssetAmounts: [completelyFillableOrder.makerAssetAmount],
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};
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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completelyFillableOrdersAndFillableAmount,
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smallFeeOrderAndFillableAmount,
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new BigNumber(81),
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0,
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false,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(80));
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});
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it('should throw with 1 amount available if no slippage', () => {
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const smallOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(1),
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takerAssetAmount: new BigNumber(1),
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takerFee: new BigNumber(0),
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});
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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{ orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] },
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smallFeeOrderAndFillableAmount,
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new BigNumber(100),
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0,
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false,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(1));
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});
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it('should throw with 0 available to fill if amount rounds to 0', () => {
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const smallOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(1),
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takerAssetAmount: new BigNumber(1),
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takerFee: new BigNumber(0),
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});
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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{ orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] },
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smallFeeOrderAndFillableAmount,
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new BigNumber(100),
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0.2,
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false,
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false,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(0));
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});
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});
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it('should not throw if order is fillable', () => {
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expect(() =>
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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allFeeOrdersAndFillableAmounts,
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new BigNumber(125),
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0,
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false,
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false,
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),
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).to.not.throw();
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});
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it('should throw if not enough ZRX liquidity', () => {
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// we request 75 takerAsset units but the ZRX order is only enough to fill the first order, which only has 50 takerAsset units available
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expect(() =>
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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new BigNumber(75),
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0,
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false,
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false,
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),
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).to.throw(SwapQuoterError.InsufficientZrxLiquidity);
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});
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it('calculates a correct swapQuote with no slippage', () => {
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// we request 50 takerAsset units which can be filled using the first order
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// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
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const assetSellAmount = new BigNumber(50);
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const slippagePercentage = 0;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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assetSellAmount,
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slippagePercentage,
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false,
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false,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]);
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expect(swapQuote.feeOrders).to.deep.equal([smallFeeOrderAndFillableAmount.orders[0]]);
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// test if rates are correct
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// 50 takerAsset units to fill the first order + 100 takerAsset units for fees
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const expectedMakerAssetAmountForTakerAsset = new BigNumber(200);
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const expectedTakerAssetAmountForZrxFees = new BigNumber(100);
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const expectedTotalTakerAssetAmount = assetSellAmount.plus(expectedTakerAssetAmountForZrxFees);
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expect(swapQuote.bestCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(assetSellAmount);
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expect(swapQuote.bestCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.bestCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
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expectedTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.bestCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(expectedTotalTakerAssetAmount);
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// because we have no slippage protection, minRate is equal to maxRate
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expect(swapQuote.worstCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(assetSellAmount);
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expect(swapQuote.worstCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.worstCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
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expectedTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.worstCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(
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expectedTotalTakerAssetAmount,
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);
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});
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it('calculates a correct swapQuote with slippage', () => {
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// we request 50 takerAsset units which can be filled using the first order
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// however with 50% slippage we are protecting the buy with 25 extra takerAssetUnits
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// so we need enough orders to fill 75 takerAssetUnits
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// 75 takerAssetUnits can only be filled using both orders
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// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
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const assetSellAmount = new BigNumber(50);
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const slippagePercentage = 0.5;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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allFeeOrdersAndFillableAmounts,
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assetSellAmount,
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slippagePercentage,
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false,
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false,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal(ordersAndFillableAmounts.orders);
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expect(swapQuote.feeOrders).to.deep.equal(allFeeOrdersAndFillableAmounts.orders);
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// test if rates are correct
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const expectedMakerAssetAmountForTakerAsset = new BigNumber(200);
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const expectedTakerAssetAmountForZrxFees = new BigNumber(100);
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const expectedTotalTakerAssetAmount = assetSellAmount.plus(expectedTakerAssetAmountForZrxFees);
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expect(swapQuote.bestCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(assetSellAmount);
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expect(swapQuote.bestCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.bestCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
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expectedTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.bestCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(expectedTotalTakerAssetAmount);
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const expectedWorstMakerAssetAmountForTakerAsset = new BigNumber(100);
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const expectedWorstTakerAssetAmountForZrxFees = new BigNumber(99);
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const expectedWorstTotalTakerAssetAmount = assetSellAmount.plus(expectedWorstTakerAssetAmountForZrxFees);
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expect(swapQuote.worstCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(assetSellAmount);
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expect(swapQuote.worstCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedWorstMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.worstCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
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expectedWorstTakerAssetAmountForZrxFees,
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);
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expect(swapQuote.worstCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(
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expectedWorstTotalTakerAssetAmount,
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);
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});
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it('calculates a correct swapQuote (with fee calculations disabled) with no slippage', () => {
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// we request 50 takerAsset units which can be filled using the first order
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const assetSellAmount = new BigNumber(50);
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const slippagePercentage = 0;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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smallFeeOrderAndFillableAmount,
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assetSellAmount,
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slippagePercentage,
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false,
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true,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]);
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expect(swapQuote.feeOrders).to.deep.equal([]);
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// test if rates are correct
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const expectedMakerAssetAmountForTakerAsset = new BigNumber(200);
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const expectedTotalTakerAssetAmount = assetSellAmount;
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expect(swapQuote.bestCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(assetSellAmount);
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expect(swapQuote.bestCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.bestCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(constants.ZERO_AMOUNT);
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expect(swapQuote.bestCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(expectedTotalTakerAssetAmount);
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// because we have no slippage protection, minRate is equal to maxRate
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expect(swapQuote.worstCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(assetSellAmount);
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expect(swapQuote.worstCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.worstCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(constants.ZERO_AMOUNT);
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expect(swapQuote.worstCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(
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expectedTotalTakerAssetAmount,
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);
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});
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it('calculates a correct swapQuote (with fee calculatations disabled) with slippage', () => {
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// we request 50 takerAsset units which can be filled using the first order
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// however with 50% slippage we are protecting the buy with 25 extra takerAssetUnits
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// so we need enough orders to fill 75 takerAssetUnits
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// 50 takerAssetUnits can only be filled using both orders
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// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
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const assetSellAmount = new BigNumber(50);
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const slippagePercentage = 0.5;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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ordersAndFillableAmounts,
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allFeeOrdersAndFillableAmounts,
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assetSellAmount,
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slippagePercentage,
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false,
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true,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal(ordersAndFillableAmounts.orders);
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expect(swapQuote.feeOrders).to.deep.equal([]);
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// test if rates are correct
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const expectedMakerAssetAmountForTakerAsset = new BigNumber(200);
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const expectedTotalTakerAssetAmount = assetSellAmount;
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expect(swapQuote.bestCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(assetSellAmount);
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expect(swapQuote.bestCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.bestCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(constants.ZERO_AMOUNT);
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expect(swapQuote.bestCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(expectedTotalTakerAssetAmount);
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// 100 eth to fill the first order + 208 eth for fees
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const expectedWorstMakerAssetAmountForTakerAsset = new BigNumber(100);
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const expectedWorstTotalTakerAssetAmount = assetSellAmount;
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expect(swapQuote.worstCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(assetSellAmount);
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expect(swapQuote.worstCaseQuoteInfo.makerTokenAmount).to.bignumber.equal(
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expectedWorstMakerAssetAmountForTakerAsset,
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);
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expect(swapQuote.worstCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(constants.ZERO_AMOUNT);
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expect(swapQuote.worstCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(
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expectedWorstTotalTakerAssetAmount,
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);
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});
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});
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describe('#calculateMarketBuySwapQuote', () => {
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let firstOrder: SignedOrder;
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let firstRemainingFillAmount: BigNumber;
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let secondOrder: SignedOrder;
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let secondRemainingFillAmount: BigNumber;
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let ordersAndFillableAmounts: OrdersAndFillableAmounts;
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let smallFeeOrderAndFillableAmount: OrdersAndFillableAmounts;
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let allFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts;
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beforeEach(() => {
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// generate two orders for our desired maker asset
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// the first order has a rate of 4 makerAsset / WETH with a takerFee of 200 ZRX and has only 200 / 400 makerAsset units left to fill (half fillable)
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// the second order has a rate of 2 makerAsset / WETH with a takerFee of 100 ZRX and has 200 / 200 makerAsset units left to fill (completely fillable)
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// generate one order for fees
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// the fee order has a rate of 1 ZRX / WETH with no taker fee and has 100 ZRX left to fill (completely fillable)
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firstOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(400),
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takerAssetAmount: new BigNumber(100),
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takerFee: new BigNumber(200),
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});
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firstRemainingFillAmount = new BigNumber(200);
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secondOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(200),
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takerAssetAmount: new BigNumber(100),
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takerFee: new BigNumber(100),
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});
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secondRemainingFillAmount = secondOrder.makerAssetAmount;
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ordersAndFillableAmounts = {
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orders: [firstOrder, secondOrder],
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remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount],
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};
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const smallFeeOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(100),
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takerAssetAmount: new BigNumber(100),
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});
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smallFeeOrderAndFillableAmount = {
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orders: [smallFeeOrder],
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remainingFillableMakerAssetAmounts: [smallFeeOrder.makerAssetAmount],
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};
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const largeFeeOrder = orderFactory.createSignedOrderFromPartial({
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makerAssetAmount: new BigNumber(113),
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takerAssetAmount: new BigNumber(200),
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takerFee: new BigNumber(11),
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});
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allFeeOrdersAndFillableAmounts = {
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orders: [smallFeeOrder, largeFeeOrder],
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remainingFillableMakerAssetAmounts: [
|
|
smallFeeOrder.makerAssetAmount,
|
|
largeFeeOrder.makerAssetAmount.minus(largeFeeOrder.takerFee),
|
|
],
|
|
};
|
|
});
|
|
describe('InsufficientLiquidityError', () => {
|
|
it('should throw if not enough maker asset liquidity (multiple orders)', () => {
|
|
// we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
ordersAndFillableAmounts,
|
|
smallFeeOrderAndFillableAmount,
|
|
new BigNumber(500),
|
|
0,
|
|
false,
|
|
false,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(400));
|
|
});
|
|
it('should throw if not enough maker asset liquidity (multiple orders with 20% slippage)', () => {
|
|
// we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
ordersAndFillableAmounts,
|
|
smallFeeOrderAndFillableAmount,
|
|
new BigNumber(500),
|
|
0.2,
|
|
false,
|
|
false,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(333));
|
|
});
|
|
it('should throw if not enough maker asset liquidity (multiple orders with 5% slippage)', () => {
|
|
// we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
ordersAndFillableAmounts,
|
|
smallFeeOrderAndFillableAmount,
|
|
new BigNumber(600),
|
|
0.05,
|
|
false,
|
|
false,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(380));
|
|
});
|
|
it('should throw if not enough maker asset liquidity (partially filled order)', () => {
|
|
const firstOrderAndFillableAmount: OrdersAndFillableAmounts = {
|
|
orders: [firstOrder],
|
|
remainingFillableMakerAssetAmounts: [firstRemainingFillAmount],
|
|
};
|
|
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
firstOrderAndFillableAmount,
|
|
smallFeeOrderAndFillableAmount,
|
|
new BigNumber(201),
|
|
0,
|
|
false,
|
|
false,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(200));
|
|
});
|
|
it('should throw if not enough maker asset liquidity (completely fillable order)', () => {
|
|
const completelyFillableOrder = orderFactory.createSignedOrderFromPartial({
|
|
makerAssetAmount: new BigNumber(123),
|
|
takerAssetAmount: new BigNumber(100),
|
|
takerFee: new BigNumber(200),
|
|
});
|
|
const completelyFillableOrdersAndFillableAmount: OrdersAndFillableAmounts = {
|
|
orders: [completelyFillableOrder],
|
|
remainingFillableMakerAssetAmounts: [completelyFillableOrder.makerAssetAmount],
|
|
};
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
completelyFillableOrdersAndFillableAmount,
|
|
smallFeeOrderAndFillableAmount,
|
|
new BigNumber(124),
|
|
0,
|
|
false,
|
|
false,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(123));
|
|
});
|
|
it('should throw with 1 amount available if no slippage', () => {
|
|
const smallOrder = orderFactory.createSignedOrderFromPartial({
|
|
makerAssetAmount: new BigNumber(1),
|
|
takerAssetAmount: new BigNumber(1),
|
|
takerFee: new BigNumber(0),
|
|
});
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
{ orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] },
|
|
smallFeeOrderAndFillableAmount,
|
|
new BigNumber(600),
|
|
0,
|
|
false,
|
|
false,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(1));
|
|
});
|
|
it('should throw with 0 available to fill if amount rounds to 0', () => {
|
|
const smallOrder = orderFactory.createSignedOrderFromPartial({
|
|
makerAssetAmount: new BigNumber(1),
|
|
takerAssetAmount: new BigNumber(1),
|
|
takerFee: new BigNumber(0),
|
|
});
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
{ orders: [smallOrder], remainingFillableMakerAssetAmounts: [smallOrder.makerAssetAmount] },
|
|
smallFeeOrderAndFillableAmount,
|
|
new BigNumber(600),
|
|
0.2,
|
|
false,
|
|
false,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(0));
|
|
});
|
|
});
|
|
it('should not throw if order is fillable', () => {
|
|
expect(() =>
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
ordersAndFillableAmounts,
|
|
allFeeOrdersAndFillableAmounts,
|
|
new BigNumber(300),
|
|
0,
|
|
false,
|
|
false,
|
|
),
|
|
).to.not.throw();
|
|
});
|
|
it('should throw if not enough ZRX liquidity', () => {
|
|
// we request 300 makerAsset units but the ZRX order is only enough to fill the first order, which only has 200 makerAssetUnits available
|
|
expect(() =>
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
ordersAndFillableAmounts,
|
|
smallFeeOrderAndFillableAmount,
|
|
new BigNumber(300),
|
|
0,
|
|
false,
|
|
false,
|
|
),
|
|
).to.throw(SwapQuoterError.InsufficientZrxLiquidity);
|
|
});
|
|
it('calculates a correct swapQuote with no slippage', () => {
|
|
// we request 200 makerAsset units which can be filled using the first order
|
|
// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
|
|
const assetBuyAmount = new BigNumber(200);
|
|
const slippagePercentage = 0;
|
|
const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
ordersAndFillableAmounts,
|
|
smallFeeOrderAndFillableAmount,
|
|
assetBuyAmount,
|
|
slippagePercentage,
|
|
false,
|
|
false,
|
|
);
|
|
// test if orders are correct
|
|
expect(swapQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]);
|
|
expect(swapQuote.feeOrders).to.deep.equal([smallFeeOrderAndFillableAmount.orders[0]]);
|
|
// test if rates are correct
|
|
// 50 eth to fill the first order + 100 eth for fees
|
|
const expectedTakerAssetAmountForMakerAsset = new BigNumber(50);
|
|
const expectedTakerAssetAmountForZrxFees = new BigNumber(100);
|
|
const expectedTotalTakerAssetAmount = expectedTakerAssetAmountForMakerAsset.plus(
|
|
expectedTakerAssetAmountForZrxFees,
|
|
);
|
|
expect(swapQuote.bestCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
|
|
expectedTakerAssetAmountForMakerAsset,
|
|
);
|
|
expect(swapQuote.bestCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
|
|
expectedTakerAssetAmountForZrxFees,
|
|
);
|
|
expect(swapQuote.bestCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(expectedTotalTakerAssetAmount);
|
|
// because we have no slippage protection, minRate is equal to maxRate
|
|
expect(swapQuote.worstCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
|
|
expectedTakerAssetAmountForMakerAsset,
|
|
);
|
|
expect(swapQuote.worstCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
|
|
expectedTakerAssetAmountForZrxFees,
|
|
);
|
|
expect(swapQuote.worstCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(
|
|
expectedTotalTakerAssetAmount,
|
|
);
|
|
});
|
|
it('calculates a correct swapQuote with slippage', () => {
|
|
// we request 200 makerAsset units which can be filled using the first order
|
|
// however with 50% slippage we are protecting the buy with 100 extra makerAssetUnits
|
|
// so we need enough orders to fill 300 makerAssetUnits
|
|
// 300 makerAssetUnits can only be filled using both orders
|
|
// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
|
|
const assetBuyAmount = new BigNumber(200);
|
|
const slippagePercentage = 0.5;
|
|
const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
ordersAndFillableAmounts,
|
|
allFeeOrdersAndFillableAmounts,
|
|
assetBuyAmount,
|
|
slippagePercentage,
|
|
false,
|
|
false,
|
|
);
|
|
// test if orders are correct
|
|
expect(swapQuote.orders).to.deep.equal(ordersAndFillableAmounts.orders);
|
|
expect(swapQuote.feeOrders).to.deep.equal(allFeeOrdersAndFillableAmounts.orders);
|
|
// test if rates are correct
|
|
// 50 eth to fill the first order + 100 eth for fees
|
|
const expectedTakerAssetAmountForMakerAsset = new BigNumber(50);
|
|
const expectedTakerAssetAmountForZrxFees = new BigNumber(100);
|
|
const expectedTotalTakerAssetAmount = expectedTakerAssetAmountForMakerAsset.plus(
|
|
expectedTakerAssetAmountForZrxFees,
|
|
);
|
|
expect(swapQuote.bestCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
|
|
expectedTakerAssetAmountForMakerAsset,
|
|
);
|
|
expect(swapQuote.bestCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
|
|
expectedTakerAssetAmountForZrxFees,
|
|
);
|
|
expect(swapQuote.bestCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(expectedTotalTakerAssetAmount);
|
|
// 100 eth to fill the first order + 208 eth for fees
|
|
const expectedWorstTakerAssetAmountForMakerAsset = new BigNumber(100);
|
|
const expectedWorstTakerAssetAmountForZrxFees = new BigNumber(208);
|
|
const expectedWorstTotalTakerAssetAmount = expectedWorstTakerAssetAmountForMakerAsset.plus(
|
|
expectedWorstTakerAssetAmountForZrxFees,
|
|
);
|
|
expect(swapQuote.worstCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
|
|
expectedWorstTakerAssetAmountForMakerAsset,
|
|
);
|
|
expect(swapQuote.worstCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(
|
|
expectedWorstTakerAssetAmountForZrxFees,
|
|
);
|
|
expect(swapQuote.worstCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(
|
|
expectedWorstTotalTakerAssetAmount,
|
|
);
|
|
});
|
|
it('calculates a correct swapQuote (with fee calculations disabled) with no slippage', () => {
|
|
// we request 200 makerAsset units which can be filled using the first order
|
|
// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
|
|
const assetBuyAmount = new BigNumber(200);
|
|
const slippagePercentage = 0;
|
|
const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
ordersAndFillableAmounts,
|
|
smallFeeOrderAndFillableAmount,
|
|
assetBuyAmount,
|
|
slippagePercentage,
|
|
false,
|
|
true,
|
|
);
|
|
// test if orders are correct
|
|
expect(swapQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]);
|
|
expect(swapQuote.feeOrders).to.deep.equal([]);
|
|
// test if rates are correct
|
|
// 50 eth to fill the first order + 100 eth for fees
|
|
const expectedTakerAssetAmountForMakerAsset = new BigNumber(50);
|
|
const expectedTotalTakerAssetAmount = expectedTakerAssetAmountForMakerAsset;
|
|
expect(swapQuote.bestCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
|
|
expectedTakerAssetAmountForMakerAsset,
|
|
);
|
|
expect(swapQuote.bestCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(constants.ZERO_AMOUNT);
|
|
expect(swapQuote.bestCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(expectedTotalTakerAssetAmount);
|
|
// because we have no slippage protection, minRate is equal to maxRate
|
|
expect(swapQuote.worstCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
|
|
expectedTakerAssetAmountForMakerAsset,
|
|
);
|
|
expect(swapQuote.worstCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(constants.ZERO_AMOUNT);
|
|
expect(swapQuote.worstCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(
|
|
expectedTotalTakerAssetAmount,
|
|
);
|
|
});
|
|
it('calculates a correct swapQuote (with fee calculations disabled) with slippage', () => {
|
|
// we request 200 makerAsset units which can be filled using the first order
|
|
// however with 50% slippage we are protecting the buy with 100 extra makerAssetUnits
|
|
// so we need enough orders to fill 300 makerAssetUnits
|
|
// 300 makerAssetUnits can only be filled using both orders
|
|
// the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
|
|
const assetBuyAmount = new BigNumber(200);
|
|
const slippagePercentage = 0.5;
|
|
const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
ordersAndFillableAmounts,
|
|
allFeeOrdersAndFillableAmounts,
|
|
assetBuyAmount,
|
|
slippagePercentage,
|
|
false,
|
|
true,
|
|
);
|
|
// test if orders are correct
|
|
expect(swapQuote.orders).to.deep.equal(ordersAndFillableAmounts.orders);
|
|
expect(swapQuote.feeOrders).to.deep.equal([]);
|
|
// test if rates are correct
|
|
// 50 eth to fill the first order + 100 eth for fees
|
|
const expectedTakerAssetAmountForMakerAsset = new BigNumber(50);
|
|
const expectedTotalTakerAssetAmount = expectedTakerAssetAmountForMakerAsset;
|
|
expect(swapQuote.bestCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
|
|
expectedTakerAssetAmountForMakerAsset,
|
|
);
|
|
expect(swapQuote.bestCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(constants.ZERO_AMOUNT);
|
|
expect(swapQuote.bestCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(expectedTotalTakerAssetAmount);
|
|
// 100 eth to fill the first order + 208 eth for fees
|
|
const expectedWorstTakerAssetAmountForMakerAsset = new BigNumber(100);
|
|
const expectedWorstTotalTakerAssetAmount = expectedWorstTakerAssetAmountForMakerAsset;
|
|
expect(swapQuote.worstCaseQuoteInfo.takerTokenAmount).to.bignumber.equal(
|
|
expectedWorstTakerAssetAmountForMakerAsset,
|
|
);
|
|
expect(swapQuote.worstCaseQuoteInfo.feeTakerTokenAmount).to.bignumber.equal(constants.ZERO_AMOUNT);
|
|
expect(swapQuote.worstCaseQuoteInfo.totalTakerTokenAmount).to.bignumber.equal(
|
|
expectedWorstTotalTakerAssetAmount,
|
|
);
|
|
});
|
|
});
|
|
});
|