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Unit test edge case for ZRX and ZRX partial fill

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This commit is contained in:
Jacob Evans
2017-11-21 14:51:19 +11:00
parent 43128234bb
commit da03331015
3 changed files with 59 additions and 44 deletions
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23
packages/0x.js/src/order_watcher/remaining_fillable_calculator.ts
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@@ -10,12 +10,12 @@ export class RemainingFillableCalculator {
private _remainingMakerTokenAmount: BigNumber;
private _remainingMakerFeeAmount: BigNumber;
constructor(signedOrder: SignedOrder,
zrxAddress: string,
isMakerTokenZRX: boolean,
transferrableMakerTokenAmount: BigNumber,
transferrableMakerFeeTokenAmount: BigNumber,
remainingMakerTokenAmount: BigNumber) {
this._signedOrder = signedOrder;
this._isMakerTokenZRX = signedOrder.makerTokenAddress === zrxAddress;
this._isMakerTokenZRX = isMakerTokenZRX;
this._transferrableMakerTokenAmount = transferrableMakerTokenAmount;
this._transferrableMakerFeeTokenAmount = transferrableMakerFeeTokenAmount;
this._remainingMakerTokenAmount = remainingMakerTokenAmount;
@@ -51,18 +51,21 @@ export class RemainingFillableCalculator {
private calculatePartiallyFillableMakerTokenAmount(): BigNumber {
const orderToFeeRatio = this._signedOrder.makerTokenAmount.dividedToIntegerBy(this._signedOrder.makerFee);
const fillableTimesInFeeToken = BigNumber.min(this._transferrableMakerFeeTokenAmount,
this._remainingMakerFeeAmount);
let fillableTimesInMakerToken = this._transferrableMakerTokenAmount.dividedToIntegerBy(orderToFeeRatio);
// Maximum number of times the Maker can fill the order, given the fees
const fillableTimesInFeeTokenUnits = BigNumber.min(this._transferrableMakerFeeTokenAmount,
this._remainingMakerFeeAmount);
// Maximum number of times the Maker can fill the order, given the Maker Token Balance
let fillableTimesInMakerTokenUnits = this._transferrableMakerTokenAmount.dividedToIntegerBy(orderToFeeRatio);
if (this._isMakerTokenZRX) {
// when zrx == maker token transferrable maker == transfer
const totalZRXTokenPooled = this._transferrableMakerTokenAmount;
fillableTimesInMakerToken = totalZRXTokenPooled.dividedToIntegerBy(
orderToFeeRatio.plus(new BigNumber(1)));
// The purchasing power here is less as the tokens are taken from the same Pool
// For every one number of fills, we have to take an extra ZRX out of the pool
fillableTimesInMakerTokenUnits = totalZRXTokenPooled.dividedToIntegerBy(
orderToFeeRatio.plus(new BigNumber(1)));
}
const partiallyFillableMakerTokenAmount = fillableTimesInMakerToken.times(orderToFeeRatio);
const partiallyFillableFeeTokenAmount = fillableTimesInFeeToken.times(orderToFeeRatio);
const partiallyFillableMakerTokenAmount = fillableTimesInMakerTokenUnits.times(orderToFeeRatio);
const partiallyFillableFeeTokenAmount = fillableTimesInFeeTokenUnits.times(orderToFeeRatio);
return BigNumber.min(partiallyFillableMakerTokenAmount, partiallyFillableFeeTokenAmount);
}
}

3
packages/0x.js/src/utils/order_state_utils.ts
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@@ -82,8 +82,9 @@ export class OrderStateUtils {
const transferrableMakerTokenAmount = BigNumber.min([makerProxyAllowance, makerBalance]);
const transferrableFeeTokenAmount = BigNumber.min([makerFeeProxyAllowance, makerFeeBalance]);
const isMakerTokenZRX = signedOrder.makerTokenAddress === zrxTokenAddress;
const remainingFillableCalculator = new RemainingFillableCalculator(signedOrder,
zrxTokenAddress,
isMakerTokenZRX,
transferrableMakerTokenAmount,
transferrableFeeTokenAmount,
remainingMakerTokenAmount);

77
packages/0x.js/test/remaining_fillable_calculator_test.ts
View File

@@ -13,26 +13,26 @@ const expect = chai.expect;
describe.only('RemainingFillableCalculator', () => {
let calculator: RemainingFillableCalculator;
let signedOrder: SignedOrder;
let makerToken: string;
let takerToken: string;
let zrxToken: string;
let transferrableMakerTokenAmount: BigNumber;
let transferrableMakerFeeTokenAmount: BigNumber;
let remainingMakerTokenAmount: BigNumber;
let makerAmount: BigNumber;
let takerAmount: BigNumber;
let makerFee: BigNumber;
let isMakerTokenZRX: boolean;
const makerToken: string = '0x1';
const takerToken: string = '0x2';
const decimals: number = 4;
const zero: BigNumber = new BigNumber(0);
const zeroAddress = '0x0';
const signature: ECSignature = { v: 27, r: '', s: ''};
beforeEach(async () => {
[makerToken, takerToken, zrxToken] = ['0x1', '0x2', '0x3'];
[makerAmount, takerAmount, makerFee] = [ZeroEx.toBaseUnitAmount(new BigNumber(50), 18),
ZeroEx.toBaseUnitAmount(new BigNumber(5), 18),
ZeroEx.toBaseUnitAmount(new BigNumber(1), 18)];
[makerAmount, takerAmount, makerFee] = [ZeroEx.toBaseUnitAmount(new BigNumber(50), decimals),
ZeroEx.toBaseUnitAmount(new BigNumber(5), decimals),
ZeroEx.toBaseUnitAmount(new BigNumber(1), decimals)];
[transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount] = [
ZeroEx.toBaseUnitAmount(new BigNumber(50), 18),
ZeroEx.toBaseUnitAmount(new BigNumber(5), 18)];
ZeroEx.toBaseUnitAmount(new BigNumber(50), decimals),
ZeroEx.toBaseUnitAmount(new BigNumber(5), decimals)];
});
function buildSignedOrder(): SignedOrder {
return { ecSignature: signature,
@@ -50,26 +50,20 @@ describe.only('RemainingFillableCalculator', () => {
expirationUnixTimestampSec: zero };
}
describe('Maker token is NOT ZRX', () => {
it('calculates the correct amount when balance is less than remaining fillable', () => {
signedOrder = buildSignedOrder();
const partiallyFilledAmount = ZeroEx.toBaseUnitAmount(new BigNumber(2), 18);
remainingMakerTokenAmount = signedOrder.makerTokenAmount.minus(partiallyFilledAmount);
transferrableMakerTokenAmount = remainingMakerTokenAmount.minus(partiallyFilledAmount);
calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(transferrableMakerTokenAmount);
before(async () => {
isMakerTokenZRX = false;
});
it('calculates the correct amount when unfilled and funds available', () => {
signedOrder = buildSignedOrder();
remainingMakerTokenAmount = signedOrder.makerTokenAmount;
calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(remainingMakerTokenAmount);
});
it('calculates the correct amount when partially filled and funds available', () => {
signedOrder = buildSignedOrder();
remainingMakerTokenAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), 18);
calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
remainingMakerTokenAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), decimals);
calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(remainingMakerTokenAmount);
});
@@ -77,38 +71,37 @@ describe.only('RemainingFillableCalculator', () => {
signedOrder = buildSignedOrder();
transferrableMakerFeeTokenAmount = zero;
remainingMakerTokenAmount = signedOrder.makerTokenAmount;
calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(zero);
});
});
describe('Maker Token is ZRX', () => {
beforeEach(async () => {
makerToken = zrxToken;
});
it('calculates the correct amount when balance is less than remaining fillable', () => {
signedOrder = buildSignedOrder();
const partiallyFilledAmount = ZeroEx.toBaseUnitAmount(new BigNumber(2), 18);
const partiallyFilledAmount = ZeroEx.toBaseUnitAmount(new BigNumber(2), decimals);
remainingMakerTokenAmount = signedOrder.makerTokenAmount.minus(partiallyFilledAmount);
transferrableMakerTokenAmount = remainingMakerTokenAmount.minus(partiallyFilledAmount);
transferrableMakerFeeTokenAmount = transferrableMakerTokenAmount;
calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(transferrableMakerTokenAmount);
});
});
describe('Maker Token is ZRX', () => {
before(async () => {
isMakerTokenZRX = true;
});
it('calculates the correct amount when unfilled and funds available', () => {
signedOrder = buildSignedOrder();
transferrableMakerTokenAmount = makerAmount.plus(makerFee);
transferrableMakerFeeTokenAmount = transferrableMakerTokenAmount;
remainingMakerTokenAmount = signedOrder.makerTokenAmount;
calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(remainingMakerTokenAmount);
});
it('calculates the correct amount when partially filled and funds available', () => {
signedOrder = buildSignedOrder();
remainingMakerTokenAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), 18);
calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
remainingMakerTokenAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), decimals);
calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(remainingMakerTokenAmount);
});
@@ -117,9 +110,27 @@ describe.only('RemainingFillableCalculator', () => {
transferrableMakerTokenAmount = zero;
transferrableMakerFeeTokenAmount = zero;
remainingMakerTokenAmount = signedOrder.makerTokenAmount;
calculator = new RemainingFillableCalculator(signedOrder, zrxToken,
calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
expect(calculator.computeRemainingMakerFillable()).to.be.bignumber.equal(zero);
});
it('calculates the correct amount when balance is less than remaining fillable', () => {
signedOrder = buildSignedOrder();
const partiallyFilledAmount = ZeroEx.toBaseUnitAmount(new BigNumber(2), decimals);
remainingMakerTokenAmount = signedOrder.makerTokenAmount.minus(partiallyFilledAmount);
transferrableMakerTokenAmount = remainingMakerTokenAmount.minus(partiallyFilledAmount);
transferrableMakerFeeTokenAmount = transferrableMakerTokenAmount;
const orderToFeeRatio = signedOrder.makerTokenAmount.dividedToIntegerBy(signedOrder.makerFee);
const expectedRemainingAmount = new BigNumber(450950);
const numberOfFillsInRatio = expectedRemainingAmount.dividedToIntegerBy(orderToFeeRatio);
calculator = new RemainingFillableCalculator(signedOrder, isMakerTokenZRX,
transferrableMakerTokenAmount, transferrableMakerFeeTokenAmount, remainingMakerTokenAmount);
const calculatedRemainingAmount = calculator.computeRemainingMakerFillable();
const calculatedRemainingAmountPlusFees = calculatedRemainingAmount.plus(numberOfFillsInRatio);
expect(calculatedRemainingAmount).to.be.bignumber.equal(expectedRemainingAmount);
expect(calculatedRemainingAmountPlusFees).to.be.bignumber.lessThan(transferrableMakerTokenAmount);
expect(calculatedRemainingAmountPlusFees).to.be.bignumber.lessThan(remainingMakerTokenAmount);
});
});
});