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Merge pull request #219 from 0xProject/feature/rounding-validation

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Rounding validation
This commit is contained in:
Brandon Millman
2017-11-14 18:15:54 -05:00
committed by GitHub
parent ff0b0ae1ab dcfe8bae1c
commit c019280e85
3 changed files with 119 additions and 73 deletions
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1
packages/0x.js/src/types.ts
View File

@@ -490,6 +490,7 @@ export interface OrderRelevantState {
filledTakerTokenAmount: BigNumber;
cancelledTakerTokenAmount: BigNumber;
remainingFillableMakerTokenAmount: BigNumber;
remainingFillableTakerTokenAmount: BigNumber;
}
export interface OrderStateValid {

13
packages/0x.js/src/utils/order_state_utils.ts
View File

@@ -18,6 +18,8 @@ import {constants} from '../utils/constants';
import {OrderFilledCancelledLazyStore} from '../stores/order_filled_cancelled_lazy_store';
import {BalanceAndProxyAllowanceLazyStore} from '../stores/balance_proxy_allowance_lazy_store';
const ACCEPTABLE_RELATIVE_ROUNDING_ERROR = 0.0001;
export class OrderStateUtils {
private balanceAndProxyAllowanceLazyStore: BalanceAndProxyAllowanceLazyStore;
private orderFilledCancelledLazyStore: OrderFilledCancelledLazyStore;
@@ -78,6 +80,9 @@ export class OrderStateUtils {
.dividedToIntegerBy(totalTakerTokenAmount);
const fillableMakerTokenAmount = BigNumber.min([makerProxyAllowance, makerBalance]);
const remainingFillableMakerTokenAmount = BigNumber.min(fillableMakerTokenAmount, remainingMakerTokenAmount);
const remainingFillableTakerTokenAmount = remainingFillableMakerTokenAmount
.times(totalTakerTokenAmount)
.dividedToIntegerBy(totalMakerTokenAmount);
// TODO: Handle edge case where maker token is ZRX with fee
const orderRelevantState = {
makerBalance,
@@ -87,6 +92,7 @@ export class OrderStateUtils {
filledTakerTokenAmount,
cancelledTakerTokenAmount,
remainingFillableMakerTokenAmount,
remainingFillableTakerTokenAmount,
};
return orderRelevantState;
}
@@ -113,6 +119,13 @@ export class OrderStateUtils {
throw new Error(ExchangeContractErrs.InsufficientMakerFeeAllowance);
}
}
const minFillableTakerTokenAmountWithinNoRoundingErrorRange = signedOrder.takerTokenAmount
.dividedBy(ACCEPTABLE_RELATIVE_ROUNDING_ERROR)
.dividedBy(signedOrder.makerTokenAmount);
if (orderRelevantState.remainingFillableTakerTokenAmount
.lessThan(minFillableTakerTokenAmountWithinNoRoundingErrorRange)) {
throw new Error(ExchangeContractErrs.OrderFillRoundingError);
}
// TODO Add linear function solver when maker token is ZRX #badass
// Return the max amount that's fillable
}

178
packages/0x.js/test/order_state_watcher_test.ts
View File

@@ -47,7 +47,7 @@ describe('OrderStateWatcher', () => {
let taker: string;
let web3Wrapper: Web3Wrapper;
let signedOrder: SignedOrder;
const fillableAmount = new BigNumber(5);
const fillableAmount = ZeroEx.toBaseUnitAmount(new BigNumber(5), 18);
before(async () => {
web3 = web3Factory.create();
zeroEx = new ZeroEx(web3.currentProvider);
@@ -221,6 +221,8 @@ describe('OrderStateWatcher', () => {
const remainingFillable = fillableAmount.minus(fillAmountInBaseUnits);
expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
remainingFillable);
expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal(
remainingFillable);
expect(orderRelevantState.makerBalance).to.be.bignumber.equal(remainingMakerBalance);
if (eventCount === 2) {
done();
@@ -233,84 +235,92 @@ describe('OrderStateWatcher', () => {
);
})().catch(done);
});
describe('remainingFillableMakerTokenAmount', () => {
it('should calculate correct remaining fillable', (done: DoneCallback) => {
(async () => {
const takerFillableAmount = new BigNumber(10);
const makerFillableAmount = new BigNumber(20);
signedOrder = await fillScenarios.createAsymmetricFillableSignedOrderAsync(
makerToken.address, takerToken.address, maker, taker, makerFillableAmount, takerFillableAmount);
const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
const takerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, taker);
const fillAmountInBaseUnits = new BigNumber(2);
const orderHash = ZeroEx.getOrderHashHex(signedOrder);
zeroEx.orderStateWatcher.addOrder(signedOrder);
let eventCount = 0;
const callback = reportCallbackErrors(done)((orderState: OrderState) => {
eventCount++;
expect(orderState.isValid).to.be.true();
const validOrderState = orderState as OrderStateValid;
expect(validOrderState.orderHash).to.be.equal(orderHash);
const orderRelevantState = validOrderState.orderRelevantState;
expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
new BigNumber(16));
if (eventCount === 2) {
done();
}
});
zeroEx.orderStateWatcher.subscribe(callback);
const shouldThrowOnInsufficientBalanceOrAllowance = true;
await zeroEx.exchange.fillOrderAsync(
signedOrder, fillAmountInBaseUnits, shouldThrowOnInsufficientBalanceOrAllowance, taker,
);
})().catch(done);
});
it('should equal approved amount when approved amount is lowest', (done: DoneCallback) => {
(async () => {
signedOrder = await fillScenarios.createFillableSignedOrderAsync(
makerToken.address, takerToken.address, maker, taker, fillableAmount,
);
describe('remainingFillable(M|T)akerTokenAmount', () => {
it('should calculate correct remaining fillable', (done: DoneCallback) => {
(async () => {
const takerFillableAmount = ZeroEx.toBaseUnitAmount(new BigNumber(10), 18);
const makerFillableAmount = ZeroEx.toBaseUnitAmount(new BigNumber(20), 18);
signedOrder = await fillScenarios.createAsymmetricFillableSignedOrderAsync(
makerToken.address, takerToken.address, maker, taker, makerFillableAmount,
takerFillableAmount,
);
const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
const takerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, taker);
const fillAmountInBaseUnits = ZeroEx.toBaseUnitAmount(new BigNumber(2), 18);
const orderHash = ZeroEx.getOrderHashHex(signedOrder);
zeroEx.orderStateWatcher.addOrder(signedOrder);
let eventCount = 0;
const callback = reportCallbackErrors(done)((orderState: OrderState) => {
eventCount++;
expect(orderState.isValid).to.be.true();
const validOrderState = orderState as OrderStateValid;
expect(validOrderState.orderHash).to.be.equal(orderHash);
const orderRelevantState = validOrderState.orderRelevantState;
expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
ZeroEx.toBaseUnitAmount(new BigNumber(16), 18));
expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal(
ZeroEx.toBaseUnitAmount(new BigNumber(8), 18));
if (eventCount === 2) {
done();
}
});
zeroEx.orderStateWatcher.subscribe(callback);
const shouldThrowOnInsufficientBalanceOrAllowance = true;
await zeroEx.exchange.fillOrderAsync(
signedOrder, fillAmountInBaseUnits, shouldThrowOnInsufficientBalanceOrAllowance, taker,
);
})().catch(done);
});
it('should equal approved amount when approved amount is lowest', (done: DoneCallback) => {
(async () => {
signedOrder = await fillScenarios.createFillableSignedOrderAsync(
makerToken.address, takerToken.address, maker, taker, fillableAmount,
);
const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
const changedMakerApprovalAmount = new BigNumber(3);
zeroEx.orderStateWatcher.addOrder(signedOrder);
const changedMakerApprovalAmount = ZeroEx.toBaseUnitAmount(new BigNumber(3), 18);
zeroEx.orderStateWatcher.addOrder(signedOrder);
const callback = reportCallbackErrors(done)((orderState: OrderState) => {
const validOrderState = orderState as OrderStateValid;
const orderRelevantState = validOrderState.orderRelevantState;
expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
changedMakerApprovalAmount);
done();
});
zeroEx.orderStateWatcher.subscribe(callback);
await zeroEx.token.setProxyAllowanceAsync(makerToken.address, maker, changedMakerApprovalAmount);
})().catch(done);
});
it('should equal balance amount when balance amount is lowest', (done: DoneCallback) => {
(async () => {
signedOrder = await fillScenarios.createFillableSignedOrderAsync(
makerToken.address, takerToken.address, maker, taker, fillableAmount,
);
const callback = reportCallbackErrors(done)((orderState: OrderState) => {
const validOrderState = orderState as OrderStateValid;
const orderRelevantState = validOrderState.orderRelevantState;
expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
changedMakerApprovalAmount);
expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal(
changedMakerApprovalAmount);
done();
});
zeroEx.orderStateWatcher.subscribe(callback);
await zeroEx.token.setProxyAllowanceAsync(makerToken.address, maker, changedMakerApprovalAmount);
})().catch(done);
});
it('should equal balance amount when balance amount is lowest', (done: DoneCallback) => {
(async () => {
signedOrder = await fillScenarios.createFillableSignedOrderAsync(
makerToken.address, takerToken.address, maker, taker, fillableAmount,
);
const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
const remainingAmount = new BigNumber(1);
const transferAmount = makerBalance.sub(remainingAmount);
zeroEx.orderStateWatcher.addOrder(signedOrder);
const remainingAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), 18);
const transferAmount = makerBalance.sub(remainingAmount);
zeroEx.orderStateWatcher.addOrder(signedOrder);
const callback = reportCallbackErrors(done)((orderState: OrderState) => {
const validOrderState = orderState as OrderStateValid;
const orderRelevantState = validOrderState.orderRelevantState;
expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
remainingAmount);
done();
});
zeroEx.orderStateWatcher.subscribe(callback);
await zeroEx.token.transferAsync(
makerToken.address, maker, ZeroEx.NULL_ADDRESS, transferAmount);
})().catch(done);
});
const callback = reportCallbackErrors(done)((orderState: OrderState) => {
const validOrderState = orderState as OrderStateValid;
const orderRelevantState = validOrderState.orderRelevantState;
expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
remainingAmount);
expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal(
remainingAmount);
done();
});
zeroEx.orderStateWatcher.subscribe(callback);
await zeroEx.token.transferAsync(
makerToken.address, maker, ZeroEx.NULL_ADDRESS, transferAmount);
})().catch(done);
});
});
it('should emit orderStateInvalid when watched order cancelled', (done: DoneCallback) => {
(async () => {
@@ -333,6 +343,28 @@ describe('OrderStateWatcher', () => {
await zeroEx.exchange.cancelOrderAsync(signedOrder, fillableAmount);
})().catch(done);
});
it('should emit orderStateInvalid when within rounding error range', (done: DoneCallback) => {
(async () => {
const remainingFillableAmountInBaseUnits = new BigNumber(100);
signedOrder = await fillScenarios.createFillableSignedOrderAsync(
makerToken.address, takerToken.address, maker, taker, fillableAmount,
);
const orderHash = ZeroEx.getOrderHashHex(signedOrder);
zeroEx.orderStateWatcher.addOrder(signedOrder);
const callback = reportCallbackErrors(done)((orderState: OrderState) => {
expect(orderState.isValid).to.be.false();
const invalidOrderState = orderState as OrderStateInvalid;
expect(invalidOrderState.orderHash).to.be.equal(orderHash);
expect(invalidOrderState.error).to.be.equal(ExchangeContractErrs.OrderFillRoundingError);
done();
});
zeroEx.orderStateWatcher.subscribe(callback);
await zeroEx.exchange.cancelOrderAsync(
signedOrder, fillableAmount.minus(remainingFillableAmountInBaseUnits),
);
})().catch(done);
});
it('should emit orderStateValid when watched order partially cancelled', (done: DoneCallback) => {
(async () => {
signedOrder = await fillScenarios.createFillableSignedOrderAsync(