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Update sortingUtils to support Order and SignedOrder

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This commit is contained in:
Brandon Millman
2018-08-13 18:31:41 -07:00
parent d859399841
commit 99b744ba52
1 changed files with 26 additions and 44 deletions
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70
packages/order-utils/src/sorting_utils.ts
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@@ -1,5 +1,5 @@
import { schemas } from '@0xproject/json-schemas';
import { SignedOrder } from '@0xproject/types';
import { Order } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import * as _ from 'lodash';
@@ -9,64 +9,46 @@ import { rateUtils } from './rate_utils';
export const sortingUtils = {
/**
* Takes an array of signed orders and sorts them by takerAsset/makerAsset rate in ascending order (best rate first).
* Takes an array of orders and sorts them by takerAsset/makerAsset rate in ascending order (best rate first).
* Adjusts the rate of each order according to the feeRate and takerFee for that order.
* @param signedFeeOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
* the makerAsset and WETH as the takerAsset.
* @param feeRate The market rate of ZRX denominated in takerAssetAmount
* (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
* Defaults to 0
* @param orders An array of objects that extend the Order interface. All orders should specify ZRX as
* the makerAsset and WETH as the takerAsset.
* @param feeRate The market rate of ZRX denominated in takerAssetAmount
* (ex. feeRate is 0.1 takerAsset/ZRX if it takes 1 unit of takerAsset to buy 10 ZRX)
* Defaults to 0
* @return The input orders sorted by rate in ascending order
*/
sortOrdersByFeeAdjustedRate(
signedOrders: SignedOrder[],
feeRate: BigNumber = constants.ZERO_AMOUNT,
): SignedOrder[] {
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
sortOrdersByFeeAdjustedRate<T extends Order>(orders: T[], feeRate: BigNumber = constants.ZERO_AMOUNT): T[] {
assert.doesConformToSchema('orders', orders, schemas.ordersSchema);
assert.isBigNumber('feeRate', feeRate);
const rateCalculator = (signedOrder: SignedOrder) => rateUtils.getFeeAdjustedRateOfOrder(signedOrder, feeRate);
const sortedOrders = sortOrders(signedOrders, rateCalculator);
const rateCalculator = (order: Order) => rateUtils.getFeeAdjustedRateOfOrder(order, feeRate);
const sortedOrders = sortOrders(orders, rateCalculator);
return sortedOrders;
},
/**
* Takes an array of signed fee orders (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH)
* Takes an array of fee orders (makerAssetData corresponds to ZRX and takerAssetData corresponds to WETH)
* and sorts them by rate in ascending order (best rate first). Adjusts the rate according to the takerFee.
* @param signedFeeOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
* the makerAsset and WETH as the takerAsset.
* @param feeOrders An array of objects that extend the Order interface. All orders should specify ZRX as
* the makerAsset and WETH as the takerAsset.
* @return The input orders sorted by rate in ascending order
*/
sortFeeOrdersByFeeAdjustedRate(signedFeeOrders: SignedOrder[]): SignedOrder[] {
assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
sortFeeOrdersByFeeAdjustedRate(feeOrders: Order[]): Order[] {
assert.doesConformToSchema('feeOrders', feeOrders, schemas.ordersSchema);
const rateCalculator = rateUtils.getFeeAdjustedRateOfFeeOrder.bind(rateUtils);
const sortedOrders = sortOrders(signedFeeOrders, rateCalculator);
const sortedOrders = sortOrders(feeOrders, rateCalculator);
return sortedOrders;
},
};
type RateCalculator = (signedOrder: SignedOrder) => BigNumber;
type RateCalculator = (order: Order) => BigNumber;
// takes an array of orders, copies them, and sorts the copy based on the rate definition provided by rateCalculator
const sortOrders = (signedOrders: SignedOrder[], rateCalculator: RateCalculator): SignedOrder[] => {
const copiedOrders = _.cloneDeep(signedOrders);
const feeOrderComparator = getOrderComparator(rateCalculator);
copiedOrders.sort(feeOrderComparator);
function sortOrders<T extends Order>(orders: T[], rateCalculator: RateCalculator): T[] {
const copiedOrders = _.cloneDeep(orders);
copiedOrders.sort((firstOrder, secondOrder) => {
const firstOrderRate = rateCalculator(firstOrder);
const secondOrderRate = rateCalculator(secondOrder);
return firstOrderRate.comparedTo(secondOrderRate);
});
return copiedOrders;
};
type Comparator<T> = (first: T, second: T) => number;
// takes a function that calculates rate for a signed order and returns a comparator that sorts based on rate
const getOrderComparator = (rateCalculator: RateCalculator): Comparator<SignedOrder> => (
firstSignedOrder,
secondSignedOrder,
) => {
const firstOrderRate = rateCalculator(firstSignedOrder);
const secondOrderRate = rateCalculator(secondSignedOrder);
if (firstOrderRate.lt(secondOrderRate)) {
return -1;
} else if (firstOrderRate.gt(secondOrderRate)) {
return 1;
} else {
return 0;
}
};
}