Update marketUtils api
This commit is contained in:
Brandon Millman
parent
fadd292ecf
commit
c10c4cec1d
@ -5,37 +5,42 @@ import * as _ from 'lodash';
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import { assert } from './assert';
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import { constants } from './constants';
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import { FindFeeOrdersThatCoverFeesForTargetOrdersOpts, FindOrdersThatCoverMakerAssetFillAmountOpts } from './types';
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export const marketUtils = {
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/**
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* Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount (taking into account on-chain balances,
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* allowances, and partial fills) in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last.
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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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* All orders should specify WETH as the takerAsset.
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* @param remainingFillableMakerAssetAmounts An array of BigNumbers corresponding to the signedOrders parameter.
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* You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
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* for these values.
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* @param makerAssetFillAmount The amount of makerAsset desired to be filled.
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* @param slippageBufferAmount An additional amount of makerAsset to be covered by the result in case of trade collisions or partial fills.
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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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* 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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remainingFillableMakerAssetAmounts: BigNumber[],
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makerAssetFillAmount: BigNumber,
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slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
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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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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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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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) 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.isValidBaseUnitAmount('makerAssetFillAmount', makerAssetFillAmount);
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assert.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount);
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assert.assert(
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signedOrders.length === remainingFillableMakerAssetAmounts.length,
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'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length',
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'Expected signedOrders.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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@ -64,47 +69,53 @@ export const marketUtils = {
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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 (taking into account
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* on-chain balances, allowances, and partial fills) in order to fill the takerFees required by signedOrders plus a
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* slippageBufferAmount. Iterates from first feeOrder to last. Sort the feeOrders by ascending rate in order to get the subset of
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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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* 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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* the makerAsset and WETH as the takerAsset.
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* @param remainingFillableMakerAssetAmounts An array of BigNumbers corresponding to the signedOrders parameter.
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* You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
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* for these values.
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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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* the makerAsset and WETH as the takerAsset.
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* @param remainingFillableFeeAmounts An array of BigNumbers corresponding to the signedFeeOrders parameter.
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* You can use OrderStateUtils @0xproject/order-utils to perform blockchain lookups
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* for these values.
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* @param slippageBufferAmount An additional amount of fee to be covered by the result in case of trade collisions or partial fills.
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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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* 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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* 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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remainingFillableMakerAssetAmounts: BigNumber[],
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signedFeeOrders: SignedOrder[],
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remainingFillableFeeAmounts: BigNumber[],
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slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
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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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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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) 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.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
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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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);
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// try to get remainingFillableFeeAmounts from opts, if it's not there, use makerAssetAmount values from signedFeeOrders
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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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) 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.isValidBaseUnitAmount('slippageBufferAmount', slippageBufferAmount);
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assert.assert(
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signedOrders.length === remainingFillableMakerAssetAmounts.length,
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'Expected signedOrders.length to equal remainingFillableMakerAssetAmounts.length',
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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 remainingFillableFeeAmounts.length',
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'Expected signedFeeOrders.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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const totalFeeAmount = _.reduce(
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signedOrders,
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@ -119,9 +130,11 @@ export const marketUtils = {
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);
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const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
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signedFeeOrders,
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remainingFillableFeeAmounts,
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totalFeeAmount,
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slippageBufferAmount,
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{
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remainingFillableMakerAssetAmounts: remainingFillableFeeAmounts,
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slippageBufferAmount,
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},
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);
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return {
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resultOrders,
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@ -41,3 +41,31 @@ export interface CreateOrderOpts {
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salt?: BigNumber;
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expirationTimeSeconds?: BigNumber;
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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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* 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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* 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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export interface FindOrdersThatCoverMakerAssetFillAmountOpts {
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remainingFillableMakerAssetAmounts?: BigNumber[];
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slippageBufferAmount?: BigNumber;
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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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* 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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* 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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* 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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export interface FindFeeOrdersThatCoverFeesForTargetOrdersOpts {
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remainingFillableMakerAssetAmounts?: BigNumber[];
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remainingFillableFeeAmounts?: BigNumber[];
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slippageBufferAmount?: BigNumber;
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}
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@ -11,13 +11,12 @@ chaiSetup.configure();
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const expect = chai.expect;
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// tslint:disable: no-unused-expression
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describe('marketUtils', () => {
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describe.only('marketUtils', () => {
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describe('#findOrdersThatCoverMakerAssetFillAmount', () => {
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describe('no orders', () => {
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it('returns empty and unchanged remainingFillAmount', async () => {
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const fillAmount = new BigNumber(10);
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const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
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[],
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[],
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fillAmount,
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);
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@ -43,9 +42,11 @@ describe('marketUtils', () => {
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const slippageBufferAmount = new BigNumber(10);
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const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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fillAmount,
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slippageBufferAmount,
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{
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remainingFillableMakerAssetAmounts,
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slippageBufferAmount,
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},
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);
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expect(resultOrders).to.be.deep.equal(inputOrders);
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expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
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@ -57,9 +58,11 @@ describe('marketUtils', () => {
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const slippageBufferAmount = new BigNumber(10);
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const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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fillAmount,
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slippageBufferAmount,
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{
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remainingFillableMakerAssetAmounts,
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slippageBufferAmount,
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},
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);
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expect(resultOrders).to.be.deep.equal(inputOrders);
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expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
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@ -71,9 +74,11 @@ describe('marketUtils', () => {
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const slippageBufferAmount = new BigNumber(5);
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const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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fillAmount,
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slippageBufferAmount,
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{
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remainingFillableMakerAssetAmounts,
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slippageBufferAmount,
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},
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);
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expect(resultOrders).to.be.deep.equal(inputOrders);
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expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(5));
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@ -83,8 +88,10 @@ describe('marketUtils', () => {
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const fillAmount = new BigNumber(10);
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const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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fillAmount,
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{
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remainingFillableMakerAssetAmounts,
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},
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);
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expect(resultOrders).to.be.deep.equal([inputOrders[0]]);
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expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
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@ -94,8 +101,10 @@ describe('marketUtils', () => {
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const fillAmount = new BigNumber(15);
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const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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fillAmount,
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{
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remainingFillableMakerAssetAmounts,
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},
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);
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expect(resultOrders).to.be.deep.equal([inputOrders[0], inputOrders[1]]);
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expect(remainingFillAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
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@ -120,8 +129,10 @@ describe('marketUtils', () => {
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const fillAmount = new BigNumber(30);
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const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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fillAmount,
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{
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remainingFillableMakerAssetAmounts,
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},
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);
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expect(resultOrders).to.be.deep.equal([inputOrders[1], inputOrders[2]]);
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expect(remainingFillAmount).to.be.bignumber.equal(new BigNumber(15));
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@ -142,10 +153,11 @@ describe('marketUtils', () => {
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describe('no target orders', () => {
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it('returns empty and zero remainingFeeAmount', async () => {
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const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
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[],
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[],
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inputFeeOrders,
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remainingFillableFeeAmounts,
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{
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remainingFillableFeeAmounts,
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},
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);
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expect(resultOrders).to.be.empty;
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expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
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@ -168,9 +180,10 @@ describe('marketUtils', () => {
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it('returns empty and non-zero remainingFeeAmount', async () => {
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const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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[],
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[],
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{
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remainingFillableMakerAssetAmounts,
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},
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);
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expect(resultOrders).to.be.empty;
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expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
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@ -190,9 +203,11 @@ describe('marketUtils', () => {
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it('returns empty and zero remainingFeeAmount', async () => {
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const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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inputFeeOrders,
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remainingFillableFeeAmounts,
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{
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remainingFillableMakerAssetAmounts,
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remainingFillableFeeAmounts,
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},
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);
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expect(resultOrders).to.be.empty;
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expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
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@ -215,9 +230,11 @@ describe('marketUtils', () => {
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it('returns input fee orders and zero remainingFeeAmount', async () => {
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const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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inputFeeOrders,
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remainingFillableFeeAmounts,
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{
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remainingFillableMakerAssetAmounts,
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remainingFillableFeeAmounts,
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},
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);
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expect(resultOrders).to.be.deep.equal(inputFeeOrders);
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expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
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@ -243,9 +260,11 @@ describe('marketUtils', () => {
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it('returns first two input fee orders and zero remainingFeeAmount', async () => {
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const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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inputFeeOrders,
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remainingFillableFeeAmounts,
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{
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remainingFillableMakerAssetAmounts,
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remainingFillableFeeAmounts,
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},
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);
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expect(resultOrders).to.be.deep.equal([inputFeeOrders[0], inputFeeOrders[1]]);
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expect(remainingFeeAmount).to.be.bignumber.equal(constants.ZERO_AMOUNT);
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@ -268,9 +287,11 @@ describe('marketUtils', () => {
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it('returns input fee orders and non-zero remainingFeeAmount', async () => {
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const { resultOrders, remainingFeeAmount } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
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inputOrders,
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remainingFillableMakerAssetAmounts,
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inputFeeOrders,
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remainingFillableFeeAmounts,
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{
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remainingFillableMakerAssetAmounts,
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remainingFillableFeeAmounts,
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},
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);
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expect(resultOrders).to.be.deep.equal(inputFeeOrders);
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expect(remainingFeeAmount).to.be.bignumber.equal(new BigNumber(30));
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