Make marketUtils interface compatible with Order and SignedOrder
This commit is contained in:
Brandon Millman
parent
a2192e62df
commit
6a2634d362
@ -1,5 +1,5 @@
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import { schemas } from '@0xproject/json-schemas';
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import { SignedOrder } from '@0xproject/types';
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import { Order } from '@0xproject/types';
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import { BigNumber } from '@0xproject/utils';
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import * as _ from 'lodash';
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@ -12,40 +12,40 @@ export const marketUtils = {
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* Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount
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* in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last order.
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* Sort the input by ascending rate in order to get the subset of orders that will cost the least ETH.
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* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify the same makerAsset.
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* @param orders An array of objects that extend the Order interface. All orders should specify the same makerAsset.
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* All orders should specify WETH as the takerAsset.
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* @param makerAssetFillAmount The amount of makerAsset desired to be filled.
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* @param opts Optional arguments this function accepts.
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* @return Resulting orders and remaining fill amount that could not be covered by the input.
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*/
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findOrdersThatCoverMakerAssetFillAmount(
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signedOrders: SignedOrder[],
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findOrdersThatCoverMakerAssetFillAmount<T extends Order>(
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orders: T[],
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makerAssetFillAmount: BigNumber,
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opts?: FindOrdersThatCoverMakerAssetFillAmountOpts,
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): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
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assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
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): { resultOrders: T[]; remainingFillAmount: BigNumber } {
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assert.doesConformToSchema('orders', orders, schemas.ordersSchema);
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assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount);
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// try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from signedOrders
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// try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from orders
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const remainingFillableMakerAssetAmounts = _.get(
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opts,
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'remainingFillableMakerAssetAmounts',
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_.map(signedOrders, order => order.makerAssetAmount),
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_.map(orders, order => order.makerAssetAmount),
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) as BigNumber[];
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_.forEach(remainingFillableMakerAssetAmounts, (amount, index) =>
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assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount),
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);
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assert.assert(
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signedOrders.length === remainingFillableMakerAssetAmounts.length,
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'Expected signedOrders.length to equal opts.remainingFillableMakerAssetAmounts.length',
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orders.length === remainingFillableMakerAssetAmounts.length,
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'Expected orders.length to equal opts.remainingFillableMakerAssetAmounts.length',
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);
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// try to get slippageBufferAmount from opts, if it's not there, default to 0
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const slippageBufferAmount = _.get(opts, 'slippageBufferAmount', constants.ZERO_AMOUNT) as BigNumber;
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assert.isValidBaseUnitAmount('opts.slippageBufferAmount', slippageBufferAmount);
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// calculate total amount of makerAsset needed to be filled
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const totalFillAmount = makerAssetFillAmount.plus(slippageBufferAmount);
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// iterate through the signedOrders input from left to right until we have enough makerAsset to fill totalFillAmount
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// iterate through the orders input from left to right until we have enough makerAsset to fill totalFillAmount
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const result = _.reduce(
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signedOrders,
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orders,
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({ resultOrders, remainingFillAmount }, order, index) => {
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if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) {
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return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT };
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@ -64,61 +64,61 @@ export const marketUtils = {
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};
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}
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},
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{ resultOrders: [] as SignedOrder[], remainingFillAmount: totalFillAmount },
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{ resultOrders: [] as T[], remainingFillAmount: totalFillAmount },
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);
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return result;
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},
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/**
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* Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX
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* in order to fill the takerFees required by signedOrders plus a slippageBufferAmount.
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* in order to fill the takerFees required by orders plus a slippageBufferAmount.
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* Iterates from first feeOrder to last. Sort the feeOrders by ascending rate in order to get the subset of
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* feeOrders that will cost the least ETH.
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* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
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* @param orders An array of objects that extend the Order interface. All orders should specify ZRX as
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* the makerAsset and WETH as the takerAsset.
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* @param signedFeeOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
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* @param feeOrders An array of objects that extend the Order interface. All orders should specify ZRX as
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* the makerAsset and WETH as the takerAsset.
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* @param opts Optional arguments this function accepts.
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* @return Resulting orders and remaining fee amount that could not be covered by the input.
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*/
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findFeeOrdersThatCoverFeesForTargetOrders(
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signedOrders: SignedOrder[],
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signedFeeOrders: SignedOrder[],
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findFeeOrdersThatCoverFeesForTargetOrders<T extends Order>(
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orders: T[],
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feeOrders: T[],
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opts?: FindFeeOrdersThatCoverFeesForTargetOrdersOpts,
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): { resultOrders: SignedOrder[]; remainingFeeAmount: BigNumber } {
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assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
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assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
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// try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from signedOrders
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): { resultOrders: T[]; remainingFeeAmount: BigNumber } {
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assert.doesConformToSchema('orders', orders, schemas.ordersSchema);
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assert.doesConformToSchema('feeOrders', feeOrders, schemas.ordersSchema);
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// try to get remainingFillableMakerAssetAmounts from opts, if it's not there, use makerAssetAmount values from orders
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const remainingFillableMakerAssetAmounts = _.get(
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opts,
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'remainingFillableMakerAssetAmounts',
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_.map(signedOrders, order => order.makerAssetAmount),
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_.map(orders, order => order.makerAssetAmount),
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) as BigNumber[];
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_.forEach(remainingFillableMakerAssetAmounts, (amount, index) =>
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assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount),
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);
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assert.assert(
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signedOrders.length === remainingFillableMakerAssetAmounts.length,
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'Expected signedOrders.length to equal opts.remainingFillableMakerAssetAmounts.length',
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orders.length === remainingFillableMakerAssetAmounts.length,
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'Expected orders.length to equal opts.remainingFillableMakerAssetAmounts.length',
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);
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// try to get remainingFillableFeeAmounts from opts, if it's not there, use makerAssetAmount values from signedFeeOrders
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// try to get remainingFillableFeeAmounts from opts, if it's not there, use makerAssetAmount values from feeOrders
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const remainingFillableFeeAmounts = _.get(
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opts,
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'remainingFillableFeeAmounts',
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_.map(signedFeeOrders, order => order.makerAssetAmount),
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_.map(feeOrders, order => order.makerAssetAmount),
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) as BigNumber[];
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_.forEach(remainingFillableFeeAmounts, (amount, index) =>
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assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount),
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);
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assert.assert(
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signedOrders.length === remainingFillableMakerAssetAmounts.length,
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'Expected signedFeeOrders.length to equal opts.remainingFillableFeeAmounts.length',
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feeOrders.length === remainingFillableFeeAmounts.length,
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'Expected feeOrders.length to equal opts.remainingFillableFeeAmounts.length',
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);
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// try to get slippageBufferAmount from opts, if it's not there, default to 0
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const slippageBufferAmount = _.get(opts, 'slippageBufferAmount', constants.ZERO_AMOUNT) as BigNumber;
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assert.isValidBaseUnitAmount('opts.slippageBufferAmount', slippageBufferAmount);
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// calculate total amount of ZRX needed to fill signedOrders
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// calculate total amount of ZRX needed to fill orders
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const totalFeeAmount = _.reduce(
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signedOrders,
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orders,
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(accFees, order, index) => {
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const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index];
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const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
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@ -129,7 +129,7 @@ export const marketUtils = {
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constants.ZERO_AMOUNT,
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);
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const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
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signedFeeOrders,
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feeOrders,
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totalFeeAmount,
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{
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remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts,
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@ -43,9 +43,9 @@ export interface CreateOrderOpts {
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}
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/**
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* remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `signedOrders` parameter.
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* remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `orders` parameter.
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* You can use `OrderStateUtils` `@0xproject/order-utils` to perform blockchain lookups for these values.
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* Defaults to `makerAssetAmount` values from the signedOrders param.
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* Defaults to `makerAssetAmount` values from the orders param.
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* slippageBufferAmount: An additional amount of makerAsset to be covered by the result in case of trade collisions or partial fills.
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* Defaults to 0
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*/
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@ -55,12 +55,12 @@ export interface FindOrdersThatCoverMakerAssetFillAmountOpts {
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}
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/**
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* remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `signedOrders` parameter.
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* remainingFillableMakerAssetAmount: An array of BigNumbers corresponding to the `orders` parameter.
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* You can use `OrderStateUtils` `@0xproject/order-utils` to perform blockchain lookups for these values.
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* Defaults to `makerAssetAmount` values from the signedOrders param.
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* remainingFillableFeeAmounts: An array of BigNumbers corresponding to the signedFeeOrders parameter.
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* Defaults to `makerAssetAmount` values from the orders param.
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* remainingFillableFeeAmounts: An array of BigNumbers corresponding to the feeOrders parameter.
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* You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups for these values.
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* Defaults to `makerAssetAmount` values from the signedFeeOrders param.
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* Defaults to `makerAssetAmount` values from the feeOrders param.
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* slippageBufferAmount: An additional amount of fee to be covered by the result in case of trade collisions or partial fills.
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* Defaults to 0
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*/
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