Addessed some review comments
This commit is contained in:
James Towle
Amir Bandeali
parent
416b1aee98
commit
c1985e6986
@ -52,7 +52,13 @@ contract MixinMatchOrders is
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nonReentrant
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returns (LibFillResults.BatchMatchedFillResults memory batchMatchedFillResults)
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{
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return _batchMatchOrders(leftOrders, rightOrders, leftSignatures, rightSignatures, false);
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return _batchMatchOrders(
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leftOrders,
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rightOrders,
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leftSignatures,
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rightSignatures,
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false
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);
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}
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/// @dev Match complementary orders that have a profitable spread.
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@ -74,7 +80,13 @@ contract MixinMatchOrders is
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nonReentrant
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returns (LibFillResults.BatchMatchedFillResults memory batchMatchedFillResults)
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{
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return _batchMatchOrders(leftOrders, rightOrders, leftSignatures, rightSignatures, true);
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return _batchMatchOrders(
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leftOrders,
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rightOrders,
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leftSignatures,
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rightSignatures,
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true
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);
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}
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/// @dev Calculates fill amounts for the matched orders.
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@ -85,18 +97,180 @@ contract MixinMatchOrders is
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/// @param rightOrder Second order to match.
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/// @param leftOrderTakerAssetFilledAmount Amount of left order already filled.
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/// @param rightOrderTakerAssetFilledAmount Amount of right order already filled.
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/// @param shouldMaximallyFillOrders A value that indicates whether or not this calculation should use
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/// the maximal fill order matching strategy.
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/// @param matchedFillResults Amounts to fill and fees to pay by maker and taker of matched orders.
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function calculateMatchedFillResults(
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LibOrder.Order memory leftOrder,
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LibOrder.Order memory rightOrder,
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uint256 leftOrderTakerAssetFilledAmount,
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uint256 rightOrderTakerAssetFilledAmount
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uint256 rightOrderTakerAssetFilledAmount,
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bool shouldMaximallyFillOrders
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)
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public
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pure
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returns (LibFillResults.MatchedFillResults memory matchedFillResults)
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{
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return _calculateMatchedFillResults(leftOrder, rightOrder, leftOrderTakerAssetFilledAmount, rightOrderTakerAssetFilledAmount, false);
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// Derive maker asset amounts for left & right orders, given store taker assert amounts
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uint256 leftTakerAssetAmountRemaining = _safeSub(leftOrder.takerAssetAmount, leftOrderTakerAssetFilledAmount);
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uint256 leftMakerAssetAmountRemaining = _safeGetPartialAmountFloor(
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leftOrder.makerAssetAmount,
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leftOrder.takerAssetAmount,
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leftTakerAssetAmountRemaining
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);
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uint256 rightTakerAssetAmountRemaining = _safeSub(rightOrder.takerAssetAmount, rightOrderTakerAssetFilledAmount);
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uint256 rightMakerAssetAmountRemaining = _safeGetPartialAmountFloor(
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rightOrder.makerAssetAmount,
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rightOrder.takerAssetAmount,
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rightTakerAssetAmountRemaining
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);
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// Maximally fill the orders and pay out profits to the matcher in one or both of the maker assets.
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if (shouldMaximallyFillOrders) {
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bool doesLeftMakerAssetProfitExist;
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bool doesRightMakerAssetProfitExist;
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// Calculate the maximum fill results for the maker and taker assets. At least one of the orders will be fully filled.
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//
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// The maximum that the left maker can possibly buy is the amount that the right order can sell.
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// The maximum that the right maker can possibly buy is the amount that the left order can sell.
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//
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// If the left order is fully filled, profit will be paid out in the left maker asset. If the right order is fully filled,
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// the profit will be out in the right maker asset.
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//
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// There are three cases to consider:
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// Case 1.
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// If the left maker can buy more than the right maker can sell, then only the right order is fully filled.
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// Case 2.
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// If the right maker can buy more than the left maker can sell, then only the right order is fully filled.
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// Case 3.
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// If the right maker can sell the max of what the left maker can buy and the left maker can sell the max of
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// what the right maker can buy, then both orders are fully filled.
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if (leftTakerAssetAmountRemaining > rightMakerAssetAmountRemaining) {
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// Case 1: Right order is fully filled with the profit paid in the left makerAsset
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matchedFillResults.right.makerAssetFilledAmount = rightMakerAssetAmountRemaining;
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matchedFillResults.right.takerAssetFilledAmount = rightTakerAssetAmountRemaining;
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matchedFillResults.left.takerAssetFilledAmount = rightMakerAssetAmountRemaining;
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// Round down to ensure the left maker's exchange rate does not exceed the price specified by the order.
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// We favor the left maker when the exchange rate must be rounded and the profit is being paid in the
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// left maker asset.
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matchedFillResults.left.makerAssetFilledAmount = _safeGetPartialAmountFloor(
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leftOrder.makerAssetAmount,
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leftOrder.takerAssetAmount,
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rightMakerAssetAmountRemaining
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);
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// Indicate that the profit should be set to the spread denominated in the left maker asset.
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doesLeftMakerAssetProfitExist = true;
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} else if (rightTakerAssetAmountRemaining > leftMakerAssetAmountRemaining) {
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// Case 2: Left order is fully filled with the profit paid in the right makerAsset.
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matchedFillResults.left.makerAssetFilledAmount = leftMakerAssetAmountRemaining;
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matchedFillResults.left.takerAssetFilledAmount = leftTakerAssetAmountRemaining;
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// Round down to ensure the right maker's exchange rate does not exceed the price specified by the order.
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// We favor the right maker when the exchange rate must be rounded and the profit is being paid in the
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// right maker asset.
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matchedFillResults.right.makerAssetFilledAmount = _safeGetPartialAmountFloor(
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rightOrder.makerAssetAmount,
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rightOrder.takerAssetAmount,
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leftMakerAssetAmountRemaining
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);
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matchedFillResults.right.takerAssetFilledAmount = leftMakerAssetAmountRemaining;
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// Indicate that the profit should be set to the spread denominated in the right maker asset.
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doesRightMakerAssetProfitExist = true;
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} else {
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// Case 3: The right and left orders are fully filled
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matchedFillResults.right.makerAssetFilledAmount = rightMakerAssetAmountRemaining;
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matchedFillResults.right.takerAssetFilledAmount = rightTakerAssetAmountRemaining;
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matchedFillResults.left.makerAssetFilledAmount = leftMakerAssetAmountRemaining;
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matchedFillResults.left.takerAssetFilledAmount = leftTakerAssetAmountRemaining;
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// Indicate that the profit should be set to the spread denominated in the left and the right maker assets.
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doesLeftMakerAssetProfitExist = true;
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doesRightMakerAssetProfitExist = true;
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}
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// Calculate amount given to taker in the left order's maker asset if the left spread will be part of the profit.
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if (doesLeftMakerAssetProfitExist) {
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matchedFillResults.leftMakerAssetSpreadAmount = _safeSub(
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matchedFillResults.left.makerAssetFilledAmount,
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matchedFillResults.right.takerAssetFilledAmount
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);
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}
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// Calculate amount given to taker in the right order's maker asset if the right spread will be part of the profit.
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if (doesRightMakerAssetProfitExist) {
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matchedFillResults.rightMakerAssetSpreadAmount = _safeSub(
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matchedFillResults.right.makerAssetFilledAmount,
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matchedFillResults.left.takerAssetFilledAmount
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);
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}
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} else {
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// Calculate fill results for maker and taker assets: at least one order will be fully filled.
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// The maximum amount the left maker can buy is `leftTakerAssetAmountRemaining`
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// The maximum amount the right maker can sell is `rightMakerAssetAmountRemaining`
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// We have two distinct cases for calculating the fill results:
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// Case 1.
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// If the left maker can buy more than the right maker can sell, then only the right order is fully filled.
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// If the left maker can buy exactly what the right maker can sell, then both orders are fully filled.
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// Case 2.
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// If the left maker cannot buy more than the right maker can sell, then only the left order is fully filled.
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if (leftTakerAssetAmountRemaining >= rightMakerAssetAmountRemaining) {
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// Case 1: Right order is fully filled
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matchedFillResults.right.makerAssetFilledAmount = rightMakerAssetAmountRemaining;
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matchedFillResults.right.takerAssetFilledAmount = rightTakerAssetAmountRemaining;
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matchedFillResults.left.takerAssetFilledAmount = rightMakerAssetAmountRemaining;
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// Round down to ensure the maker's exchange rate does not exceed the price specified by the order.
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// We favor the maker when the exchange rate must be rounded.
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matchedFillResults.left.makerAssetFilledAmount = _safeGetPartialAmountFloor(
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leftOrder.makerAssetAmount,
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leftOrder.takerAssetAmount,
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rightMakerAssetAmountRemaining // matchedFillResults.left.takerAssetFilledAmount
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);
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} else {
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// Case 2: Left order is fully filled
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matchedFillResults.left.makerAssetFilledAmount = leftMakerAssetAmountRemaining;
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matchedFillResults.left.takerAssetFilledAmount = leftTakerAssetAmountRemaining;
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matchedFillResults.right.makerAssetFilledAmount = leftTakerAssetAmountRemaining;
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// Round up to ensure the maker's exchange rate does not exceed the price specified by the order.
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// We favor the maker when the exchange rate must be rounded.
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matchedFillResults.right.takerAssetFilledAmount = _safeGetPartialAmountCeil(
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rightOrder.takerAssetAmount,
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rightOrder.makerAssetAmount,
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leftTakerAssetAmountRemaining // matchedFillResults.right.makerAssetFilledAmount
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);
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}
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// Calculate amount given to taker
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matchedFillResults.leftMakerAssetSpreadAmount = _safeSub(
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matchedFillResults.left.makerAssetFilledAmount,
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matchedFillResults.right.takerAssetFilledAmount
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);
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}
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// Compute fees for left order
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matchedFillResults.left.makerFeePaid = _safeGetPartialAmountFloor(
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matchedFillResults.left.makerAssetFilledAmount,
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leftOrder.makerAssetAmount,
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leftOrder.makerFee
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);
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matchedFillResults.left.takerFeePaid = _safeGetPartialAmountFloor(
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matchedFillResults.left.takerAssetFilledAmount,
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leftOrder.takerAssetAmount,
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leftOrder.takerFee
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);
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// Compute fees for right order
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matchedFillResults.right.makerFeePaid = _safeGetPartialAmountFloor(
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matchedFillResults.right.makerAssetFilledAmount,
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rightOrder.makerAssetAmount,
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rightOrder.makerFee
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);
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matchedFillResults.right.takerFeePaid = _safeGetPartialAmountFloor(
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matchedFillResults.right.takerAssetFilledAmount,
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rightOrder.takerAssetAmount,
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rightOrder.takerFee
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);
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// Return fill results
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return matchedFillResults;
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}
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/// @dev Match two complementary orders that have a profitable spread.
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@ -118,7 +292,13 @@ contract MixinMatchOrders is
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nonReentrant
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returns (LibFillResults.MatchedFillResults memory matchedFillResults)
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{
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return _matchOrders(leftOrder, rightOrder, leftSignature, rightSignature, false);
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return _matchOrders(
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leftOrder,
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rightOrder,
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leftSignature,
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rightSignature,
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false
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);
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}
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/// @dev Match two complementary orders that have a profitable spread.
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@ -140,7 +320,13 @@ contract MixinMatchOrders is
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nonReentrant
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returns (LibFillResults.MatchedFillResults memory matchedFillResults)
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{
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return _matchOrders(leftOrder, rightOrder, leftSignature, rightSignature, true);
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return _matchOrders(
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leftOrder,
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rightOrder,
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leftSignature,
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rightSignature,
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true
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);
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}
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/// @dev Validates context for matchOrders. Succeeds or throws.
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@ -178,7 +364,7 @@ contract MixinMatchOrders is
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/// @param rightOrders Set of orders to match against `leftOrders`
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/// @param leftSignatures Proof that left orders were created by the left makers.
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/// @param rightSignatures Proof that right orders were created by the right makers.
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/// @param withMaximalFill A value that indicates whether or not the order matching
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/// @param shouldMaximallyFillOrders A value that indicates whether or not the order matching
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/// should be done with maximal fill.
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/// @return batchMatchedFillResults Amounts filled and profit generated.
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function _batchMatchOrders(
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@ -186,7 +372,7 @@ contract MixinMatchOrders is
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LibOrder.Order[] memory rightOrders,
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bytes[] memory leftSignatures,
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bytes[] memory rightSignatures,
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bool withMaximalFill
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bool shouldMaximallyFillOrders
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)
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internal
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returns (LibFillResults.BatchMatchedFillResults memory batchMatchedFillResults)
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@ -235,7 +421,7 @@ contract MixinMatchOrders is
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rightOrder,
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leftSignatures[leftIdx],
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rightSignatures[rightIdx],
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withMaximalFill
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shouldMaximallyFillOrders
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);
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// Update the orderInfo structs with the updated takerAssetFilledAmount
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@ -296,190 +482,6 @@ contract MixinMatchOrders is
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return batchMatchedFillResults;
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}
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/// @dev Calculates fill amounts for the matched orders.
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/// Each order is filled at their respective price point. However, the calculations are
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/// carried out as though the orders are both being filled at the right order's price point.
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/// The profit made by the leftOrder order goes to the taker (who matched the two orders).
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/// @param leftOrder First order to match.
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/// @param rightOrder Second order to match.
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/// @param leftOrderTakerAssetFilledAmount Amount of left order already filled.
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/// @param rightOrderTakerAssetFilledAmount Amount of right order already filled.
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/// @param matchedFillResults Amounts to fill and fees to pay by maker and taker of matched orders.
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/// @param withMaximalFill A boolean indicating whether or not this calculation should use the maximal
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/// fill strategy for order matching.
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function _calculateMatchedFillResults(
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LibOrder.Order memory leftOrder,
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LibOrder.Order memory rightOrder,
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uint256 leftOrderTakerAssetFilledAmount,
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uint256 rightOrderTakerAssetFilledAmount,
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bool withMaximalFill
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)
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internal
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pure
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returns (LibFillResults.MatchedFillResults memory matchedFillResults)
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{
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// Derive maker asset amounts for left & right orders, given store taker assert amounts
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uint256 leftTakerAssetAmountRemaining = _safeSub(leftOrder.takerAssetAmount, leftOrderTakerAssetFilledAmount);
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uint256 leftMakerAssetAmountRemaining = _safeGetPartialAmountFloor(
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leftOrder.makerAssetAmount,
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leftOrder.takerAssetAmount,
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leftTakerAssetAmountRemaining
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);
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uint256 rightTakerAssetAmountRemaining = _safeSub(rightOrder.takerAssetAmount, rightOrderTakerAssetFilledAmount);
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uint256 rightMakerAssetAmountRemaining = _safeGetPartialAmountFloor(
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rightOrder.makerAssetAmount,
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rightOrder.takerAssetAmount,
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rightTakerAssetAmountRemaining
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);
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// Maximally fill the orders and pay out profits to the matcher in one or both of the maker assets.
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if (withMaximalFill) {
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bool leftSpread;
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bool rightSpread;
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// Calculate the maximum fill results for the maker and taker assets. At least one of the orders will be fully filled.
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//
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// The maximum that the left maker can possibly buy is the amount that the right order can sell.
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// The maximum that the right maker can possibly buy is the amount that the left order can sell.
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//
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// If the left order is fully filled, profit will be paid out in the left maker asset. If the right order is fully filled,
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// the profit will be out in the right maker asset.
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//
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// There are three cases to consider:
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// Case 1.
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// If the left maker can buy more than the right maker can sell, then only the right order is fully filled.
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// Case 2.
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// If the right maker can buy more than the left maker can sell, then only the right order is fully filled.
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// Case 3.
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// If the right maker can sell the max of what the left maker can buy and the left maker can sell the max of
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// what the right maker can buy, then both orders are fully filled.
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if (leftTakerAssetAmountRemaining > rightMakerAssetAmountRemaining) {
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// Case 1: Right order is fully filled with the profit paid in the left makerAsset
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matchedFillResults.right.makerAssetFilledAmount = rightMakerAssetAmountRemaining;
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matchedFillResults.right.takerAssetFilledAmount = rightTakerAssetAmountRemaining;
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matchedFillResults.left.takerAssetFilledAmount = rightMakerAssetAmountRemaining;
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// Round down to ensure the left maker's exchange rate does not exceed the price specified by the order.
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// We favor the left maker when the exchange rate must be rounded and the profit is being paid in the
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// left maker asset.
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matchedFillResults.left.makerAssetFilledAmount = _safeGetPartialAmountFloor(
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leftMakerAssetAmountRemaining,
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leftTakerAssetAmountRemaining,
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rightMakerAssetAmountRemaining
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);
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// Indicate that the profit should be set to the spread denominated in the left maker asset.
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leftSpread = true;
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} else if (rightTakerAssetAmountRemaining > leftMakerAssetAmountRemaining) {
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// Case 2: Left order is fully filled with the profit paid in the right makerAsset.
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matchedFillResults.left.makerAssetFilledAmount = leftMakerAssetAmountRemaining;
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matchedFillResults.left.takerAssetFilledAmount = leftTakerAssetAmountRemaining;
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// Round down to ensure the right maker's exchange rate does not exceed the price specified by the order.
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// We favor the right maker when the exchange rate must be rounded and the profit is being paid in the
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// right maker asset.
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matchedFillResults.right.makerAssetFilledAmount = _safeGetPartialAmountFloor(
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rightMakerAssetAmountRemaining,
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rightTakerAssetAmountRemaining,
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leftMakerAssetAmountRemaining
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);
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matchedFillResults.right.takerAssetFilledAmount = leftMakerAssetAmountRemaining;
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// Indicate that the profit should be set to the spread denominated in the right maker asset.
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rightSpread = true;
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} else {
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// Case 3: The right and left orders are fully filled
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matchedFillResults.right.makerAssetFilledAmount = rightMakerAssetAmountRemaining;
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matchedFillResults.right.takerAssetFilledAmount = rightTakerAssetAmountRemaining;
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matchedFillResults.left.makerAssetFilledAmount = leftMakerAssetAmountRemaining;
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matchedFillResults.left.takerAssetFilledAmount = leftTakerAssetAmountRemaining;
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// Indicate that the profit should be set to the spread denominated in the left and the right maker assets.
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leftSpread = true;
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rightSpread = true;
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}
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// Calculate amount given to taker in the left order's maker asset if the left spread will be part of the profit.
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if (leftSpread) {
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matchedFillResults.leftMakerAssetSpreadAmount = _safeSub(
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matchedFillResults.left.makerAssetFilledAmount,
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matchedFillResults.right.takerAssetFilledAmount
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);
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}
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// Calculate amount given to taker in the right order's maker asset if the right spread will be part of the profit.
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if (rightSpread) {
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matchedFillResults.rightMakerAssetSpreadAmount = _safeSub(
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matchedFillResults.right.makerAssetFilledAmount,
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matchedFillResults.left.takerAssetFilledAmount
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);
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}
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} else {
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// Calculate fill results for maker and taker assets: at least one order will be fully filled.
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// The maximum amount the left maker can buy is `leftTakerAssetAmountRemaining`
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// The maximum amount the right maker can sell is `rightMakerAssetAmountRemaining`
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// We have two distinct cases for calculating the fill results:
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// Case 1.
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// If the left maker can buy more than the right maker can sell, then only the right order is fully filled.
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// If the left maker can buy exactly what the right maker can sell, then both orders are fully filled.
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// Case 2.
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// If the left maker cannot buy more than the right maker can sell, then only the left order is fully filled.
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if (leftTakerAssetAmountRemaining >= rightMakerAssetAmountRemaining) {
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// Case 1: Right order is fully filled
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matchedFillResults.right.makerAssetFilledAmount = rightMakerAssetAmountRemaining;
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matchedFillResults.right.takerAssetFilledAmount = rightTakerAssetAmountRemaining;
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matchedFillResults.left.takerAssetFilledAmount = matchedFillResults.right.makerAssetFilledAmount;
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// Round down to ensure the maker's exchange rate does not exceed the price specified by the order.
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// We favor the maker when the exchange rate must be rounded.
|
||||
matchedFillResults.left.makerAssetFilledAmount = _safeGetPartialAmountFloor(
|
||||
leftOrder.makerAssetAmount,
|
||||
leftOrder.takerAssetAmount,
|
||||
matchedFillResults.left.takerAssetFilledAmount
|
||||
);
|
||||
} else {
|
||||
// Case 2: Left order is fully filled
|
||||
matchedFillResults.left.makerAssetFilledAmount = leftMakerAssetAmountRemaining;
|
||||
matchedFillResults.left.takerAssetFilledAmount = leftTakerAssetAmountRemaining;
|
||||
matchedFillResults.right.makerAssetFilledAmount = matchedFillResults.left.takerAssetFilledAmount;
|
||||
// Round up to ensure the maker's exchange rate does not exceed the price specified by the order.
|
||||
// We favor the maker when the exchange rate must be rounded.
|
||||
matchedFillResults.right.takerAssetFilledAmount = _safeGetPartialAmountCeil(
|
||||
rightOrder.takerAssetAmount,
|
||||
rightOrder.makerAssetAmount,
|
||||
matchedFillResults.right.makerAssetFilledAmount
|
||||
);
|
||||
}
|
||||
|
||||
// Calculate amount given to taker
|
||||
matchedFillResults.leftMakerAssetSpreadAmount = _safeSub(
|
||||
matchedFillResults.left.makerAssetFilledAmount,
|
||||
matchedFillResults.right.takerAssetFilledAmount
|
||||
);
|
||||
}
|
||||
|
||||
// Compute fees for left order
|
||||
matchedFillResults.left.makerFeePaid = _safeGetPartialAmountFloor(
|
||||
matchedFillResults.left.makerAssetFilledAmount,
|
||||
leftOrder.makerAssetAmount,
|
||||
leftOrder.makerFee
|
||||
);
|
||||
matchedFillResults.left.takerFeePaid = _safeGetPartialAmountFloor(
|
||||
matchedFillResults.left.takerAssetFilledAmount,
|
||||
leftOrder.takerAssetAmount,
|
||||
leftOrder.takerFee
|
||||
);
|
||||
|
||||
// Compute fees for right order
|
||||
matchedFillResults.right.makerFeePaid = _safeGetPartialAmountFloor(
|
||||
matchedFillResults.right.makerAssetFilledAmount,
|
||||
rightOrder.makerAssetAmount,
|
||||
rightOrder.makerFee
|
||||
);
|
||||
matchedFillResults.right.takerFeePaid = _safeGetPartialAmountFloor(
|
||||
matchedFillResults.right.takerAssetFilledAmount,
|
||||
rightOrder.takerAssetAmount,
|
||||
rightOrder.takerFee
|
||||
);
|
||||
|
||||
// Return fill results
|
||||
return matchedFillResults;
|
||||
}
|
||||
|
||||
/// @dev Match two complementary orders that have a profitable spread.
|
||||
/// Each order is filled at their respective price point. However, the calculations are
|
||||
/// carried out as though the orders are both being filled at the right order's price point.
|
||||
@ -490,14 +492,14 @@ contract MixinMatchOrders is
|
||||
/// @param rightOrder Second order to match.
|
||||
/// @param leftSignature Proof that order was created by the left maker.
|
||||
/// @param rightSignature Proof that order was created by the right maker.
|
||||
/// @param withMaximalFill Indicates whether or not the maximal fill matching strategy should be used
|
||||
/// @param shouldMaximallyFillOrders Indicates whether or not the maximal fill matching strategy should be used
|
||||
/// @return matchedFillResults Amounts filled and fees paid by maker and taker of matched orders.
|
||||
function _matchOrders(
|
||||
LibOrder.Order memory leftOrder,
|
||||
LibOrder.Order memory rightOrder,
|
||||
bytes memory leftSignature,
|
||||
bytes memory rightSignature,
|
||||
bool withMaximalFill
|
||||
bool shouldMaximallyFillOrders
|
||||
)
|
||||
private
|
||||
returns (LibFillResults.MatchedFillResults memory matchedFillResults)
|
||||
@ -531,12 +533,12 @@ contract MixinMatchOrders is
|
||||
_assertValidMatch(leftOrder, rightOrder);
|
||||
|
||||
// Compute proportional fill amounts
|
||||
matchedFillResults = _calculateMatchedFillResults(
|
||||
matchedFillResults = calculateMatchedFillResults(
|
||||
leftOrder,
|
||||
rightOrder,
|
||||
leftOrderInfo.orderTakerAssetFilledAmount,
|
||||
rightOrderInfo.orderTakerAssetFilledAmount,
|
||||
withMaximalFill
|
||||
shouldMaximallyFillOrders
|
||||
);
|
||||
|
||||
// Validate fill contexts
|
||||
|
||||
@ -73,7 +73,8 @@ contract IMatchOrders {
|
||||
LibOrder.Order memory leftOrder,
|
||||
LibOrder.Order memory rightOrder,
|
||||
uint256 leftOrderTakerAssetFilledAmount,
|
||||
uint256 rightOrderTakerAssetFilledAmount
|
||||
uint256 rightOrderTakerAssetFilledAmount,
|
||||
bool shouldMaximallyFillOrders
|
||||
)
|
||||
public
|
||||
pure
|
||||
|
||||
Loading…
x
Reference in New Issue
Block a user