Add buy_quote_calculator_test
This commit is contained in:
Brandon Millman
@@ -1,4 +1,4 @@
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import { marketUtils } from '@0xproject/order-utils';
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import { marketUtils, rateUtils } from '@0xproject/order-utils';
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import { BigNumber } from '@0xproject/utils';
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import * as _ from 'lodash';
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@@ -21,6 +21,7 @@ export const buyQuoteCalculator = {
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const feeOrders = feeOrdersAndFillableAmounts.orders;
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const remainingFillableFeeAmounts = feeOrdersAndFillableAmounts.remainingFillableMakerAssetAmounts;
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const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
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// find the orders that cover the desired assetBuyAmount (with slippage)
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const {
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resultOrders,
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remainingFillAmount,
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@@ -29,9 +30,11 @@ export const buyQuoteCalculator = {
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remainingFillableMakerAssetAmounts,
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slippageBufferAmount,
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});
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// if we do not have enough orders to cover the desired assetBuyAmount, throw
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if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
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throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
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}
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// given the orders calculated above, find the fee-orders that cover the desired assetBuyAmount (with slippage)
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// TODO(bmillman): optimization
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// update this logic to find the minimum amount of feeOrders to cover the worst case as opposed to
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// finding order that cover all fees, this will help with estimating ETH and minimizing gas usage
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@@ -40,49 +43,131 @@ export const buyQuoteCalculator = {
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remainingFeeAmount,
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feeOrdersRemainingFillableMakerAssetAmounts,
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} = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(resultOrders, feeOrders, {
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remainingFillableMakerAssetAmounts,
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remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts,
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remainingFillableFeeAmounts,
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});
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// if we do not have enough feeOrders to cover the fees, throw
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if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
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throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
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}
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// assetData information for the result
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const assetData = orders[0].makerAssetData;
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// calculate minRate and maxRate by calculating min and max eth usage and then dividing into
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// assetBuyAmount to get assetData / WETH, needs to take into account feePercentage as well
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// minEthAmount = (sum(takerAssetAmount[i]) until sum(makerAssetAmount[i]) >= assetBuyAmount ) * (1 + feePercentage)
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// maxEthAmount = (sum(takerAssetAmount[i]) until i == orders.length) * (1 + feePercentage)
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const allOrders = _.concat(resultOrders, resultFeeOrders);
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const allRemainingAmounts = _.concat(
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ordersRemainingFillableMakerAssetAmounts,
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feeOrdersRemainingFillableMakerAssetAmounts,
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// compile the resulting trimmed set of orders for makerAsset and feeOrders that are needed for assetBuyAmount
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const trimmedOrdersAndFillableAmounts: OrdersAndFillableAmounts = {
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orders: resultOrders,
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remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts,
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};
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const trimmedFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts = {
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orders: resultFeeOrders,
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remainingFillableMakerAssetAmounts: feeOrdersRemainingFillableMakerAssetAmounts,
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};
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const minRate = calculateRate(
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trimmedOrdersAndFillableAmounts,
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trimmedFeeOrdersAndFillableAmounts,
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assetBuyAmount,
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feePercentage,
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);
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// in order to calculate the maxRate, reverse the ordersAndFillableAmounts such that they are sorted from worst rate to best rate
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const maxRate = calculateRate(
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reverseOrdersAndFillableAmounts(trimmedOrdersAndFillableAmounts),
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reverseOrdersAndFillableAmounts(trimmedFeeOrdersAndFillableAmounts),
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assetBuyAmount,
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feePercentage,
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);
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let minEthAmount = constants.ZERO_AMOUNT;
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let maxEthAmount = constants.ZERO_AMOUNT;
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let cumulativeMakerAmount = constants.ZERO_AMOUNT;
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_.forEach(allOrders, (order, index) => {
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const remainingFillableMakerAssetAmount = allRemainingAmounts[index];
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const claimableTakerAssetAmount = orderUtils.calculateRemainingTakerAssetAmount(
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order,
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remainingFillableMakerAssetAmount,
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);
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// taker asset is always assumed to be WETH
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maxEthAmount = maxEthAmount.plus(claimableTakerAssetAmount);
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if (cumulativeMakerAmount.lessThan(assetBuyAmount)) {
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minEthAmount = minEthAmount.plus(claimableTakerAssetAmount);
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}
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cumulativeMakerAmount = cumulativeMakerAmount.plus(remainingFillableMakerAssetAmount);
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});
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const feeAdjustedMinRate = minEthAmount.mul(feePercentage + 1).div(assetBuyAmount);
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const feeAdjustedMaxRate = minEthAmount.mul(feePercentage + 1).div(assetBuyAmount);
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return {
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assetData,
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orders: resultOrders,
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feeOrders: resultFeeOrders,
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minRate: feeAdjustedMinRate,
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maxRate: feeAdjustedMaxRate,
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minRate,
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maxRate,
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assetBuyAmount,
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feePercentage,
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};
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},
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};
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function calculateRate(
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ordersAndFillableAmounts: OrdersAndFillableAmounts,
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feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
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assetBuyAmount: BigNumber,
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feePercentage: number,
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): BigNumber {
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// find the total eth and zrx needed to buy assetAmount from the resultOrders from left to right (best rate to worst rate)
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const [minEthAmountToBuyAsset, minZrxAmountToBuyAsset] = findEthAndZrxAmountNeededToBuyAsset(
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ordersAndFillableAmounts,
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assetBuyAmount,
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);
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// find the total eth needed to buy fees
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const minEthAmountToBuyFees = findEthAmountNeededToBuyFees(feeOrdersAndFillableAmounts, minZrxAmountToBuyAsset);
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const finalMinEthAmount = minEthAmountToBuyAsset.plus(minEthAmountToBuyFees).mul(feePercentage + 1);
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// divide into the assetBuyAmount in order to find rate of makerAsset / WETH
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const result = assetBuyAmount.div(finalMinEthAmount);
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return result;
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}
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// given an OrdersAndFillableAmounts, reverse the orders and remainingFillableMakerAssetAmounts properties
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function reverseOrdersAndFillableAmounts(ordersAndFillableAmounts: OrdersAndFillableAmounts): OrdersAndFillableAmounts {
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const ordersCopy = _.clone(ordersAndFillableAmounts.orders);
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const remainingFillableMakerAssetAmountsCopy = _.clone(ordersAndFillableAmounts.remainingFillableMakerAssetAmounts);
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return {
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orders: ordersCopy.reverse(),
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remainingFillableMakerAssetAmounts: remainingFillableMakerAssetAmountsCopy.reverse(),
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};
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}
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function findEthAmountNeededToBuyFees(
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feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
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feeAmount: BigNumber,
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): BigNumber {
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const { orders, remainingFillableMakerAssetAmounts } = feeOrdersAndFillableAmounts;
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const result = _.reduce(
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orders,
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(acc, order, index) => {
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const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
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const amountToFill = BigNumber.min(acc.remainingFeeAmount, remainingFillableMakerAssetAmount);
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const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfFeeOrder(order);
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const ethAmountForThisOrder = feeAdjustedRate.mul(amountToFill);
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return {
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ethAmount: acc.ethAmount.plus(ethAmountForThisOrder),
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remainingFeeAmount: BigNumber.max(constants.ZERO_AMOUNT, acc.remainingFeeAmount.minus(amountToFill)),
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};
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},
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{
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ethAmount: constants.ZERO_AMOUNT,
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remainingFeeAmount: feeAmount,
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},
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);
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return result.ethAmount;
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}
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function findEthAndZrxAmountNeededToBuyAsset(
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ordersAndFillableAmounts: OrdersAndFillableAmounts,
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assetBuyAmount: BigNumber,
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): [BigNumber, BigNumber] {
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const { orders, remainingFillableMakerAssetAmounts } = ordersAndFillableAmounts;
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const result = _.reduce(
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orders,
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(acc, order, index) => {
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const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
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const amountToFill = BigNumber.min(acc.remainingAssetBuyAmount, remainingFillableMakerAssetAmount);
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const ethAmountForThisOrder = amountToFill
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.mul(order.takerAssetAmount)
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.dividedToIntegerBy(order.makerAssetAmount);
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const zrxAmountForThisOrder = amountToFill.mul(order.takerFee).dividedToIntegerBy(order.makerAssetAmount);
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return {
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ethAmount: acc.ethAmount.plus(ethAmountForThisOrder),
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zrxAmount: acc.ethAmount.plus(zrxAmountForThisOrder),
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remainingAssetBuyAmount: BigNumber.max(
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constants.ZERO_AMOUNT,
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acc.remainingAssetBuyAmount.minus(amountToFill),
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),
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};
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},
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{
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ethAmount: constants.ZERO_AMOUNT,
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zrxAmount: constants.ZERO_AMOUNT,
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remainingAssetBuyAmount: assetBuyAmount,
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},
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);
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return [result.ethAmount, result.zrxAmount];
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}
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130
packages/asset-buyer/test/buy_quote_calculator_test.ts
Normal file
130
packages/asset-buyer/test/buy_quote_calculator_test.ts
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@@ -0,0 +1,130 @@
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import { orderFactory } from '@0xproject/order-utils/lib/src/order_factory';
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import { BigNumber } from '@0xproject/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 { AssetBuyerError, OrdersAndFillableAmounts } from '../src/types';
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import { buyQuoteCalculator } from '../src/utils/buy_quote_calculator';
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import { chaiSetup } from './utils/chai_setup';
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chaiSetup.configure();
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const expect = chai.expect;
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const NULL_ADDRESS = '0x0000000000000000000000000000000000000000';
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const NULL_BYTES = '0x';
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// tslint:disable:custom-no-magic-numbers
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describe('buyQuoteCalculator', () => {
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describe('#calculate', () => {
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let ordersAndFillableAmounts: OrdersAndFillableAmounts;
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let feeOrdersAndFillableAmounts: 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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const firstOrder = orderFactory.createOrder(
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NULL_ADDRESS,
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new BigNumber(400),
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NULL_BYTES,
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new BigNumber(100),
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NULL_BYTES,
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NULL_ADDRESS,
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{
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takerFee: new BigNumber(200),
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},
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);
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const firstRemainingFillAmount = new BigNumber(200);
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const secondOrder = orderFactory.createOrder(
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NULL_ADDRESS,
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new BigNumber(200),
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NULL_BYTES,
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new BigNumber(100),
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NULL_BYTES,
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NULL_ADDRESS,
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{
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takerFee: new BigNumber(100),
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},
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);
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const secondRemainingFillAmount = secondOrder.makerAssetAmount;
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const signedOrders = _.map([firstOrder, secondOrder], order => {
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return {
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...order,
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signature: NULL_BYTES,
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};
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});
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ordersAndFillableAmounts = {
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orders: signedOrders,
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remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount],
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};
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const feeOrder = orderFactory.createOrder(
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NULL_ADDRESS,
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new BigNumber(100),
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NULL_BYTES,
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new BigNumber(100),
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NULL_BYTES,
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NULL_ADDRESS,
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);
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const signedFeeOrder = {
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...feeOrder,
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signature: NULL_BYTES,
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};
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feeOrdersAndFillableAmounts = {
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orders: [signedFeeOrder],
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remainingFillableMakerAssetAmounts: [signedFeeOrder.makerAssetAmount],
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};
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});
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it('should throw if not enough maker asset liquidity', () => {
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// we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
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expect(() =>
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buyQuoteCalculator.calculate(
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ordersAndFillableAmounts,
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feeOrdersAndFillableAmounts,
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new BigNumber(500),
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0,
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0,
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),
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).to.throw(AssetBuyerError.InsufficientAssetLiquidity);
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});
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it('should throw if not enough ZRX liquidity', () => {
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// we request 300 makerAsset units but the ZRX order is only enough to fill the first order, which only has 200 makerAssetUnits available
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expect(() =>
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buyQuoteCalculator.calculate(
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ordersAndFillableAmounts,
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feeOrdersAndFillableAmounts,
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new BigNumber(300),
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0,
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0,
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),
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).to.throw(AssetBuyerError.InsufficientZrxLiquidity);
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});
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it('calculates a correct buyQuote', () => {
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// we request 200 makerAsset 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 assetBuyAmount = new BigNumber(200);
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const feePercentage = 0.02;
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const slippagePercentage = 0;
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const buyQuote = buyQuoteCalculator.calculate(
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ordersAndFillableAmounts,
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feeOrdersAndFillableAmounts,
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assetBuyAmount,
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feePercentage,
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slippagePercentage,
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);
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// test if orders are correct
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expect(buyQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]);
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expect(buyQuote.feeOrders).to.deep.equal([feeOrdersAndFillableAmounts.orders[0]]);
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// test if rates are correct
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const expectedMinEthToFill = new BigNumber(150);
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const expectedMinRate = assetBuyAmount.div(expectedMinEthToFill.mul(feePercentage + 1));
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expect(buyQuote.minRate).to.bignumber.equal(expectedMinRate);
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// because we have no slippage protection, minRate is equal to maxRate
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expect(buyQuote.maxRate).to.bignumber.equal(expectedMinRate);
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// test if feePercentage gets passed through
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expect(buyQuote.feePercentage).to.equal(feePercentage);
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});
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});
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});
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