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Change orderStates param name to remaingFillableMakerAssetAmounts

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This commit is contained in:
Brandon Millman
2018-08-02 15:47:29 -07:00
parent 09c0fc94fc
commit bc5f8e52de
3 changed files with 69 additions and 91 deletions
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85
packages/order-utils/src/market_utils.ts
View File

@@ -1,5 +1,5 @@
import { schemas } from '@0xproject/json-schemas';
import { OrderRelevantState, SignedOrder } from '@0xproject/types';
import { SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import * as _ from 'lodash';
@@ -11,24 +11,33 @@ export const marketUtils = {
* Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount (taking into account on-chain balances,
* allowances, and partial fills) in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last.
* Sort the input by ascending rate in order to get the subset of orders that will cost the least ETH.
* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify the same makerAsset.
* All orders should specify WETH as the takerAsset.
* @param orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
* relevant to that order.
* @param makerAssetFillAmount The amount of makerAsset desired to be filled.
* @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills.
* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify the same makerAsset.
* All orders should specify WETH as the takerAsset.
* @param remainingFillableMakerAssetAmounts An array of BigNumbers corresponding to the signedOrders parameter.
* You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
* for these values.
* @param makerAssetFillAmount The amount of makerAsset desired to be filled.
* @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills.
* @return Resulting orders and remaining fill amount that could not be covered by the input.
*/
findOrdersThatCoverMakerAssetFillAmount(
signedOrders: SignedOrder[],
orderStates: OrderRelevantState[],
remainingFillableMakerAssetAmounts: BigNumber[],
makerAssetFillAmount: BigNumber,
slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
// type assertions
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
assert.isBigNumber('makerAssetFillAmount', makerAssetFillAmount);
assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
_.forEach(remainingFillableMakerAssetAmounts, (amount, index) =>
assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount),
);
assert.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount);
assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount);
// other assertions
assert.assert(
signedOrders.length === remainingFillableMakerAssetAmounts.length,
'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length',
);
// calculate total amount of makerAsset needed to be filled
const totalFillAmount = makerAssetFillAmount.plus(slippageBufferAmount);
// iterate through the signedOrders input from left to right until we have enough makerAsset to fill totalFillAmount
@@ -38,8 +47,7 @@ export const marketUtils = {
if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) {
return { resultOrders, remainingFillAmount: constants.ZERO_AMOUNT };
} else {
const orderState = orderStates[index];
const makerAssetAmountAvailable = orderState.remainingFillableMakerAssetAmount;
const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index];
// if there is no makerAssetAmountAvailable do not append order to resultOrders
// if we have exceeded the total amount we want to fill set remainingFillAmount to 0
return {
@@ -62,47 +70,64 @@ export const marketUtils = {
* on-chain balances, allowances, and partial fills) in order to fill the takerFees required by signedOrders plus a
* slippageBufferAmount. Iterates from first feeOrder to last. Sort the feeOrders by ascending rate in order to get the subset of
* feeOrders that will cost the least ETH.
* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
* the makerAsset and WETH as the takerAsset.
* @param orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
* relevant to 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 feeOrderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
* relevant to that order.
* @param makerAssetFillAmount The amount of makerAsset desired to be filled.
* @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills.
* @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
* the makerAsset and WETH as the takerAsset.
* @param remainingFillableMakerAssetAmounts An array of BigNumbers corresponding to the signedOrders parameter.
* You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
* for these values.
* @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 remainingFillableFeeAmounts An array of BigNumbers corresponding to the signedFeeOrders parameter.
* You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
* for these values.
* @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills.
* @return Resulting orders and remaining fill amount that could not be covered by the input.
*/
findFeeOrdersThatCoverFeesForTargetOrders(
signedOrders: SignedOrder[],
orderStates: OrderRelevantState[],
remainingFillableMakerAssetAmounts: BigNumber[],
signedFeeOrders: SignedOrder[],
feeOrderStates: OrderRelevantState[],
remainingFillableFeeAmounts: BigNumber[],
slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
// type assertions
assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
_.forEach(remainingFillableMakerAssetAmounts, (amount, index) =>
assert.isValidBaseUnitAmount(`remainingFillableMakerAssetAmount[${index}]`, amount),
);
assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
_.forEach(remainingFillableFeeAmounts, (amount, index) =>
assert.isValidBaseUnitAmount(`remainingFillableFeeAmounts[${index}]`, amount),
);
assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount);
// other assertions
assert.assert(
signedOrders.length === remainingFillableMakerAssetAmounts.length,
'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length',
);
assert.assert(
signedOrders.length === remainingFillableMakerAssetAmounts.length,
'Expected signedFeeOrders.length to equal remainingFillableFeeAmounts.length',
);
// calculate total amount of ZRX needed to fill signedOrders
const totalFeeAmount = _.reduce(
signedOrders,
(accFees, order, index) => {
const orderState = orderStates[index];
const makerAssetAmountAvailable = orderState.remainingFillableMakerAssetAmount;
const makerAssetAmountAvailable = remainingFillableMakerAssetAmounts[index];
const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
.div(order.makerAssetAmount)
.mul(order.takerFee);
.mul(order.takerFee)
.div(order.makerAssetAmount);
return accFees.plus(feeToFillMakerAssetAmountAvailable);
},
constants.ZERO_AMOUNT,
);
return marketUtils.findOrdersThatCoverMakerAssetFillAmount(
signedFeeOrders,
feeOrderStates,
remainingFillableFeeAmounts,
totalFeeAmount,
slippageBufferAmount,
);
// TODO: add more orders here to cover rounding
// https://github.com/0xProject/0x-protocol-specification/blob/master/v2/forwarding-contract-specification.md#over-buying-zrx
},
};

43
packages/order-utils/test/market_utils_test.ts
View File

@@ -1,10 +1,8 @@
import { OrderRelevantState, SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import * as chai from 'chai';
import * as _ from 'lodash';
import 'mocha';
import { constants, marketUtils, orderFactory } from '../src';
import { constants, marketUtils } from '../src';
import { chaiSetup } from './utils/chai_setup';
import { testOrderFactory } from './utils/test_order_factory';
@@ -37,19 +35,14 @@ describe('marketUtils', () => {
},
testOrderCount,
);
// generate order states that cover the required fill amount
const inputOrderStates = testOrderFactory.generateTestOrderRelevantStates(
{
remainingFillableMakerAssetAmount: makerAssetAmount,
},
testOrderCount,
);
// generate remainingFillableMakerAssetAmounts that equal the makerAssetAmount
const remainingFillableMakerAssetAmounts = [makerAssetAmount, makerAssetAmount, makerAssetAmount];
it('returns input orders and zero remainingFillAmount when input exactly matches requested fill amount', async () => {
// try to fill 30 units of makerAsset
const fillAmount = new BigNumber(30);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
inputOrderStates,
remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal(inputOrders);
@@ -60,7 +53,7 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(25);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
inputOrderStates,
remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal(inputOrders);
@@ -71,7 +64,7 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(35);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
inputOrderStates,
remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal(inputOrders);
@@ -82,7 +75,7 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(10);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
inputOrderStates,
remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal([inputOrders[0]]);
@@ -93,7 +86,7 @@ describe('marketUtils', () => {
const fillAmount = new BigNumber(15);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
inputOrderStates,
remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal([inputOrders[0], inputOrders[1]]);
@@ -110,31 +103,17 @@ describe('marketUtils', () => {
},
testOrderCount,
);
// generate order states that cover different scenarios
// generate remainingFillableMakerAssetAmounts that cover different partial fill scenarios
// 1. order is completely filled already
// 2. order is partially fillable
// 3. order is completely fillable
const partialOrderStates: Array<Partial<OrderRelevantState>> = [
{
remainingFillableMakerAssetAmount: constants.ZERO_AMOUNT,
},
{
remainingFillableMakerAssetAmount: new BigNumber(5),
},
{
remainingFillableMakerAssetAmount: makerAssetAmount,
},
];
const inputOrderStates: OrderRelevantState[] = _.map(
partialOrderStates,
testOrderFactory.generateTestOrderRelevantState,
);
const remainingFillableMakerAssetAmounts = [constants.ZERO_AMOUNT, new BigNumber(5), makerAssetAmount];
it('returns last 2 orders and non-zero remainingFillAmount when trying to fill original makerAssetAmounts', async () => {
// try to fill 30 units of makerAsset
const fillAmount = new BigNumber(30);
const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
inputOrders,
inputOrderStates,
remainingFillableMakerAssetAmounts,
fillAmount,
);
expect(resultOrders).to.be.deep.equal([inputOrders[1], inputOrders[2]]);

32
packages/order-utils/test/utils/test_order_factory.ts
View File

@@ -1,5 +1,4 @@
import { Order, OrderRelevantState, SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import { Order, SignedOrder } from '@0xproject/types';
import * as _ from 'lodash';
import { constants, orderFactory } from '../../src';
@@ -21,43 +20,18 @@ const BASE_TEST_SIGNED_ORDER: SignedOrder = {
...BASE_TEST_ORDER,
signature: constants.NULL_BYTES,
};
const BASE_TEST_ORDER_RELEVANT_STATE: OrderRelevantState = {
makerBalance: constants.ZERO_AMOUNT,
makerProxyAllowance: constants.ZERO_AMOUNT,
makerFeeBalance: constants.ZERO_AMOUNT,
makerFeeProxyAllowance: constants.ZERO_AMOUNT,
filledTakerAssetAmount: constants.ZERO_AMOUNT,
remainingFillableMakerAssetAmount: constants.ZERO_AMOUNT,
remainingFillableTakerAssetAmount: constants.ZERO_AMOUNT,
};
export const testOrderFactory = {
generateTestSignedOrder(partialOrder: Partial<SignedOrder>): SignedOrder {
return transformObject(BASE_TEST_SIGNED_ORDER, partialOrder);
},
generateTestSignedOrders(partialOrder: Partial<SignedOrder>, numOrders: number): SignedOrder[] {
const baseTestOrders = generateArrayOfInput(BASE_TEST_SIGNED_ORDER, numOrders);
return transformObjects(baseTestOrders, partialOrder);
},
generateTestOrderRelevantState(partialOrderRelevantState: Partial<OrderRelevantState>): OrderRelevantState {
return transformObject(BASE_TEST_ORDER_RELEVANT_STATE, partialOrderRelevantState);
},
generateTestOrderRelevantStates(
partialOrderRelevantState: Partial<OrderRelevantState>,
numOrderStates: number,
): OrderRelevantState[] {
const baseTestOrderStates = generateArrayOfInput(BASE_TEST_ORDER_RELEVANT_STATE, numOrderStates);
return transformObjects(baseTestOrderStates, partialOrderRelevantState);
const baseTestOrders = _.map(_.range(numOrders), () => BASE_TEST_SIGNED_ORDER);
return _.map(baseTestOrders, order => transformObject(order, partialOrder));
},
};
function generateArrayOfInput<T>(input: T, rangeLength: number): T[] {
return _.map(_.range(rangeLength), () => input);
}
function transformObject<T>(input: T, transformation: Partial<T>): T {
const copy = _.cloneDeep(input);
return _.assign(copy, transformation);
}
function transformObjects<T>(inputs: T[], transformation: Partial<T>): T[] {
return _.map(inputs, input => transformObject(input, transformation));
}