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Refactor into a calculator class

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This commit is contained in:
Jacob Evans
2017-11-21 10:30:29 +11:00
parent fb812d59b0
commit 4bd5789203
2 changed files with 76 additions and 93 deletions
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68
packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts Normal file
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@@ -0,0 +1,68 @@
import {
SignedOrder,
} from '../types';
import { BigNumber } from 'bignumber.js';
export class RemainingFillableCalculator {
private _signedOrder: SignedOrder;
private _isMakerTokenZRX: boolean;
private _transferrableMakerTokenAmount: BigNumber;
private _transferrableMakerFeeTokenAmount: BigNumber;
private _remainingMakerTokenAmount: BigNumber;
private _remainingMakerFeeAmount: BigNumber;
constructor(signedOrder: SignedOrder,
zrxAddress: string,
transferrableMakerTokenAmount: BigNumber,
transferrableMakerFeeTokenAmount: BigNumber,
remainingMakerTokenAmount: BigNumber) {
this._signedOrder = signedOrder;
this._isMakerTokenZRX = signedOrder.makerTokenAddress === zrxAddress;
this._transferrableMakerTokenAmount = transferrableMakerTokenAmount;
this._transferrableMakerFeeTokenAmount = transferrableMakerFeeTokenAmount;
this._remainingMakerTokenAmount = remainingMakerTokenAmount;
this._remainingMakerFeeAmount = remainingMakerTokenAmount.times(signedOrder.makerFee)
.dividedToIntegerBy(signedOrder.makerTokenAmount);
}
public computeRemainingMakerFillable(): BigNumber {
if (this.hasSufficientFundsForFeeAndTransferAmount()) {
return this._remainingMakerTokenAmount;
}
if (this._signedOrder.makerFee.isZero()) {
return BigNumber.min(this._remainingMakerTokenAmount, this._transferrableMakerTokenAmount);
} else {
return this.calculatePartiallyFillableMakerTokenAmount();
}
}
public computeRemainingTakerFillable(): BigNumber {
return this.computeRemainingMakerFillable().times(this._signedOrder.takerTokenAmount)
.dividedToIntegerBy(this._signedOrder.makerTokenAmount);
}
private hasSufficientFundsForFeeAndTransferAmount(): boolean {
if (this._isMakerTokenZRX) {
const totalZRXTransferAmount = this._remainingMakerTokenAmount.plus(this._remainingMakerFeeAmount);
return this._transferrableMakerTokenAmount.gte(totalZRXTransferAmount);
} else {
const hasSufficientFundsForTransferAmount = this._transferrableMakerTokenAmount.gte(
this._remainingMakerTokenAmount);
const hasSufficientFundsForFeeAmount = this._transferrableMakerFeeTokenAmount.gte(
this._remainingMakerFeeAmount);
return (hasSufficientFundsForTransferAmount && hasSufficientFundsForFeeAmount);
}
}
private calculatePartiallyFillableMakerTokenAmount(): BigNumber {
const orderToFeeRatio = this._signedOrder.makerTokenAmount.dividedToIntegerBy(this._signedOrder.makerFee);
const fillableTimesInFeeToken = BigNumber.min(this._transferrableMakerFeeTokenAmount,
this._remainingMakerFeeAmount);
let fillableTimesInMakerToken = this._transferrableMakerTokenAmount.dividedToIntegerBy(orderToFeeRatio);
if (this._isMakerTokenZRX) {
// when zrx == maker token transferrable maker == transfer
const totalZRXTokenPooled = this._transferrableMakerTokenAmount;
fillableTimesInMakerToken = totalZRXTokenPooled.dividedToIntegerBy(
orderToFeeRatio.plus(new BigNumber(1)));
}
const partiallyFillableMakerTokenAmount = fillableTimesInMakerToken.times(orderToFeeRatio);
const partiallyFillableFeeTokenAmount = fillableTimesInFeeToken.times(orderToFeeRatio);
return BigNumber.min(partiallyFillableMakerTokenAmount, partiallyFillableFeeTokenAmount);
}
}

101
packages/0x.js/src/utils/order_state_utils.ts
View File

@@ -17,6 +17,7 @@ import {utils} from '../utils/utils';
import {constants} from '../utils/constants';
import {OrderFilledCancelledLazyStore} from '../stores/order_filled_cancelled_lazy_store';
import {BalanceAndProxyAllowanceLazyStore} from '../stores/balance_proxy_allowance_lazy_store';
import {RemainingFillableCalculator} from '../order_watcher/remaining_fillable_calculator';
const ACCEPTABLE_RELATIVE_ROUNDING_ERROR = 0.0001;
@@ -78,19 +79,16 @@ export class OrderStateUtils {
const remainingTakerTokenAmount = totalTakerTokenAmount.minus(unavailableTakerTokenAmount);
const remainingMakerTokenAmount = remainingTakerTokenAmount.times(totalMakerTokenAmount)
.dividedToIntegerBy(totalTakerTokenAmount);
const remainingMakerFeeAmount = remainingTakerTokenAmount.times(signedOrder.makerFee)
.dividedToIntegerBy(totalTakerTokenAmount);
const transferrableMakerTokenAmount = BigNumber.min([makerProxyAllowance, makerBalance]);
const transferrableFeeTokenAmount = BigNumber.min([makerFeeProxyAllowance, makerFeeBalance]);
const remainingFillableMakerTokenAmount = this.calculateRemainingMakerTokenAmount(
transferrableMakerTokenAmount, transferrableFeeTokenAmount, remainingMakerTokenAmount,
remainingMakerFeeAmount, totalMakerTokenAmount, signedOrder.makerFee, signedOrder.makerTokenAddress,
zrxTokenAddress);
const remainingFillableTakerTokenAmount = remainingFillableMakerTokenAmount
.times(totalTakerTokenAmount)
.dividedToIntegerBy(totalMakerTokenAmount);
const remainingFillableCalculator = new RemainingFillableCalculator(signedOrder,
zrxTokenAddress,
transferrableMakerTokenAmount,
transferrableFeeTokenAmount,
remainingMakerTokenAmount);
const remainingFillableMakerTokenAmount = remainingFillableCalculator.computeRemainingMakerFillable();
const remainingFillableTakerTokenAmount = remainingFillableCalculator.computeRemainingTakerFillable();
const orderRelevantState = {
makerBalance,
makerProxyAllowance,
@@ -103,89 +101,6 @@ export class OrderStateUtils {
};
return orderRelevantState;
}
private calculateRemainingMakerTokenAmount(transferrableMakerTokenAmount: BigNumber,
transferrableMakerFeeTokenAmount: BigNumber,
remainingMakerAmount: BigNumber,
remainingMakerFeeAmount: BigNumber,
totalMakerAmount: BigNumber,
makerFeeAmount: BigNumber,
makerTokenAddress: string,
zrxTokenAddress: string): BigNumber {
if ((makerTokenAddress !== zrxTokenAddress || makerFeeAmount.isZero())) {
return this.computeFillableMakerTokenAmountWhenMakerTokenIsNotZRX(
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerAmount,
remainingMakerFeeAmount, totalMakerAmount, makerFeeAmount, makerTokenAddress,
zrxTokenAddress);
} else {
return this.computeFillableMakerTokenAmountWhenMakerTokenIsZRX(
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerAmount,
remainingMakerFeeAmount, totalMakerAmount, makerFeeAmount, makerTokenAddress,
zrxTokenAddress);
}
}
private computeFillableMakerTokenAmountWhenMakerTokenIsNotZRX(transferrableMakerTokenAmount: BigNumber,
transferrableMakerFeeTokenAmount: BigNumber,
remainingMakerAmount: BigNumber,
remainingMakerFeeAmount: BigNumber,
totalMakerAmount: BigNumber,
makerFeeAmount: BigNumber,
makerTokenAddress: string,
zrxTokenAddress: string): BigNumber {
const hasSufficientFundsForTransferAmount = transferrableMakerTokenAmount.gte(remainingMakerAmount);
const hasSufficientFundsForFeeAmount = transferrableMakerFeeTokenAmount.gte(remainingMakerFeeAmount);
const hasSufficientFundsForFeeAndTransferAmount = (hasSufficientFundsForTransferAmount &&
hasSufficientFundsForFeeAmount);
if (makerFeeAmount.isZero()) {
return BigNumber.min(remainingMakerAmount, transferrableMakerTokenAmount);
} else if (hasSufficientFundsForFeeAndTransferAmount) {
return remainingMakerAmount;
} else {
return this.calculatePartiallyFillableMakerTokenAmount(
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerAmount,
remainingMakerFeeAmount, totalMakerAmount, makerFeeAmount, makerTokenAddress,
zrxTokenAddress);
}
}
private computeFillableMakerTokenAmountWhenMakerTokenIsZRX(transferrableMakerTokenAmount: BigNumber,
transferrableMakerFeeTokenAmount: BigNumber,
remainingMakerAmount: BigNumber,
remainingMakerFeeAmount: BigNumber,
totalMakerAmount: BigNumber,
makerFeeAmount: BigNumber,
makerTokenAddress: string,
zrxTokenAddress: string): BigNumber {
const totalZRXTransferAmount = remainingMakerAmount.plus(remainingMakerFeeAmount);
const hasSufficientFundsForFeeAndTransferAmount = transferrableMakerTokenAmount.gte(totalZRXTransferAmount);
if (hasSufficientFundsForFeeAndTransferAmount) {
return remainingMakerAmount;
} else {
return this.calculatePartiallyFillableMakerTokenAmount(
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerAmount,
remainingMakerFeeAmount, totalMakerAmount, makerFeeAmount, makerTokenAddress,
zrxTokenAddress);
}
}
private calculatePartiallyFillableMakerTokenAmount(transferrableMakerTokenAmount: BigNumber,
transferrableMakerFeeTokenAmount: BigNumber,
remainingMakerAmount: BigNumber,
remainingMakerFeeAmount: BigNumber,
totalMakerAmount: BigNumber, makerFeeAmount: BigNumber,
makerTokenAddress: string, zrxTokenAddress: string): BigNumber {
const orderToFeeRatio = totalMakerAmount.dividedToIntegerBy(makerFeeAmount);
const fillableTimesInFeeToken = BigNumber.min(transferrableMakerFeeTokenAmount, remainingMakerFeeAmount);
let fillableTimesInMakerToken = transferrableMakerTokenAmount.dividedToIntegerBy(orderToFeeRatio);
if (makerTokenAddress === zrxTokenAddress) {
// when zrx == maker token transferrable maker == transfer
const totalZRXTokenPooled = transferrableMakerTokenAmount;
fillableTimesInMakerToken = totalZRXTokenPooled.dividedToIntegerBy(
orderToFeeRatio.plus(new BigNumber(1)));
}
const partiallyFillableMakerTokenAmount = fillableTimesInMakerToken.times(orderToFeeRatio);
const partiallyFillableFeeTokenAmount = fillableTimesInFeeToken.times(orderToFeeRatio);
return BigNumber.min(partiallyFillableMakerTokenAmount, partiallyFillableFeeTokenAmount);
}
private validateIfOrderIsValid(signedOrder: SignedOrder, orderRelevantState: OrderRelevantState): void {
const unavailableTakerTokenAmount = orderRelevantState.cancelledTakerTokenAmount.add(
orderRelevantState.filledTakerTokenAmount,