582 lines
29 KiB
TypeScript
582 lines
29 KiB
TypeScript
import { constants as devConstants } from '@0x/contracts-test-utils';
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import { BigNumber } from '@0x/utils';
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import * as chai from 'chai';
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import * as _ from 'lodash';
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import 'mocha';
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import { swapQuoteCalculator } from '../src/utils/swap_quote_calculator';
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import { chaiSetup } from './utils/chai_setup';
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import { testHelpers } from './utils/test_helpers';
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import { testOrders } from './utils/test_orders';
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import { baseUnitAmount } from './utils/utils';
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chaiSetup.configure();
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const expect = chai.expect;
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const GAS_PRICE = new BigNumber(devConstants.DEFAULT_GAS_PRICE);
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const ONE_ETH_IN_WEI = new BigNumber(1000000000000000000);
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const MIXED_TEST_ORDERS = _.concat(
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testOrders.PRUNED_SIGNED_ORDERS_FEELESS,
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET,
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET,
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);
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// tslint:disable:max-file-line-count
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// tslint:disable:custom-no-magic-numbers
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describe('swapQuoteCalculator', () => {
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describe('#calculateMarketSellSwapQuote', () => {
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describe('InsufficientLiquidityError', () => {
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it('should throw if not enough taker asset liquidity (multiple feeless orders)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEELESS,
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baseUnitAmount(10),
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0,
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GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(9));
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});
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it('should throw if not enough taker asset liquidity (multiple feeless orders with 20% slippage)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEELESS,
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baseUnitAmount(10),
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0.2,
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GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(7.5));
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});
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it('should throw if not enough taker asset liquidity (multiple takerAsset denominated fee orders with no slippage)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET,
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baseUnitAmount(20),
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0,
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GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(15));
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});
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it('should throw if not enough taker asset liquidity (multiple takerAsset denominated fee orders with 20% slippage)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET,
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baseUnitAmount(20),
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0.2,
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GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(12.5));
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});
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it('should throw if not enough taker asset liquidity (multiple makerAsset denominated fee orders with no slippage)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET,
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baseUnitAmount(10),
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0,
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GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(9));
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});
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it('should throw if not enough taker asset liquidity (multiple makerAsset denominated fee orders with 20% slippage)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET,
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baseUnitAmount(10),
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0.2,
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GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(7.5));
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});
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it('should throw if not enough taker asset liquidity (multiple mixed feeType orders with no slippage)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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MIXED_TEST_ORDERS,
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baseUnitAmount(40),
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0,
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GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(33));
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});
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it('should throw if not enough taker asset liquidity (multiple mixed feeTyoe orders with 20% slippage)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketSellSwapQuote(
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MIXED_TEST_ORDERS,
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baseUnitAmount(40),
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0.2,
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GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(27.5));
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});
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});
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it('calculates a correct swapQuote with no slippage (feeless orders)', () => {
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const assetSellAmount = baseUnitAmount(0.5);
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const slippagePercentage = 0;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEELESS,
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assetSellAmount,
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slippagePercentage,
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GAS_PRICE,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal([testOrders.PRUNED_SIGNED_ORDERS_FEELESS[0]]);
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expect(swapQuote.takerAssetFillAmount).to.bignumber.equal(assetSellAmount);
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// test if rates are correct
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expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(0),
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takerAssetAmount: assetSellAmount,
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(3),
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protocolFeeInEthAmount: baseUnitAmount(15, 4),
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});
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expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(0),
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takerAssetAmount: assetSellAmount,
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(3),
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protocolFeeInEthAmount: baseUnitAmount(15, 4),
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});
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});
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it('calculates a correct swapQuote with slippage (feeless orders)', () => {
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const assetSellAmount = baseUnitAmount(1);
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const slippagePercentage = 0.2;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEELESS,
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assetSellAmount,
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slippagePercentage,
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GAS_PRICE,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal([
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testOrders.PRUNED_SIGNED_ORDERS_FEELESS[0],
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testOrders.PRUNED_SIGNED_ORDERS_FEELESS[1],
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]);
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expect(swapQuote.takerAssetFillAmount).to.bignumber.equal(assetSellAmount);
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// test if rates are correct
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expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(0),
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takerAssetAmount: assetSellAmount,
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(6),
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protocolFeeInEthAmount: baseUnitAmount(30, 4),
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});
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expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(0),
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takerAssetAmount: assetSellAmount,
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(0.4),
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protocolFeeInEthAmount: baseUnitAmount(30, 4),
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});
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});
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it('calculates a correct swapQuote with no slippage (takerAsset denominated fee orders)', () => {
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const assetSellAmount = baseUnitAmount(4);
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const slippagePercentage = 0;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET,
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assetSellAmount,
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slippagePercentage,
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GAS_PRICE,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal([testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET[0]]);
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expect(swapQuote.takerAssetFillAmount).to.bignumber.equal(assetSellAmount);
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// test if rates are correct
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expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(3),
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takerAssetAmount: assetSellAmount.minus(baseUnitAmount(3)),
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(6),
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protocolFeeInEthAmount: baseUnitAmount(15, 4),
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});
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expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(3),
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takerAssetAmount: assetSellAmount.minus(baseUnitAmount(3)),
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(6),
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protocolFeeInEthAmount: baseUnitAmount(15, 4),
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});
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});
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it('calculates a correct swapQuote with slippage (takerAsset denominated fee orders)', () => {
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const assetSellAmount = baseUnitAmount(3);
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const slippagePercentage = 0.5;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET,
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assetSellAmount,
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slippagePercentage,
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GAS_PRICE,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal([
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET[0],
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET[1],
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]);
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expect(swapQuote.takerAssetFillAmount).to.bignumber.equal(assetSellAmount);
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// test if rates are correct
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expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(2.25),
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takerAssetAmount: assetSellAmount.minus(baseUnitAmount(2.25)),
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(4.5),
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protocolFeeInEthAmount: baseUnitAmount(30, 4),
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});
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expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(0.5),
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takerAssetAmount: assetSellAmount.minus(baseUnitAmount(0.5)),
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(1),
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protocolFeeInEthAmount: baseUnitAmount(30, 4),
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});
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});
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it('calculates a correct swapQuote with no slippage (makerAsset denominated fee orders)', () => {
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const assetSellAmount = baseUnitAmount(4);
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const slippagePercentage = 0;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET,
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assetSellAmount,
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slippagePercentage,
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GAS_PRICE,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal([testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET[0]]);
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expect(swapQuote.takerAssetFillAmount).to.bignumber.equal(assetSellAmount);
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// test if rates are correct
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expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(2),
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takerAssetAmount: assetSellAmount.minus(baseUnitAmount(2)),
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(0.8),
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protocolFeeInEthAmount: baseUnitAmount(15, 4),
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});
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expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(2),
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takerAssetAmount: assetSellAmount.minus(baseUnitAmount(2)),
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(0.8),
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protocolFeeInEthAmount: baseUnitAmount(15, 4),
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});
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});
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it('calculates a correct swapQuote with slippage (makerAsset denominated fee orders)', () => {
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const assetSellAmount = baseUnitAmount(4);
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const slippagePercentage = 0.5;
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const swapQuote = swapQuoteCalculator.calculateMarketSellSwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET,
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assetSellAmount,
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slippagePercentage,
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GAS_PRICE,
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);
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// test if orders are correct
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expect(swapQuote.orders).to.deep.equal([
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET[0],
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET[1],
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]);
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expect(swapQuote.takerAssetFillAmount).to.bignumber.equal(assetSellAmount);
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// test if rates are correct
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// 50 takerAsset units to fill the first order + 100 takerAsset units for fees
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expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(2),
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takerAssetAmount: assetSellAmount.minus(baseUnitAmount(2)),
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(0.8),
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protocolFeeInEthAmount: baseUnitAmount(30, 4),
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});
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expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
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feeTakerAssetAmount: baseUnitAmount(2),
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takerAssetAmount: assetSellAmount.minus(baseUnitAmount(2)),
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totalTakerAssetAmount: assetSellAmount,
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makerAssetAmount: baseUnitAmount(3.6),
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protocolFeeInEthAmount: baseUnitAmount(30, 4),
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});
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});
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});
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describe('#calculateMarketBuySwapQuote', () => {
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describe('InsufficientLiquidityError', () => {
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it('should throw if not enough maker asset liquidity (multiple feeless orders)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEELESS,
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baseUnitAmount(12),
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0,
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GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(10));
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});
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it('should throw if not enough taker asset liquidity (multiple feeless orders with 20% slippage)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEELESS,
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baseUnitAmount(10),
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0.6,
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GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(6.25));
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});
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it('should throw if not enough taker asset liquidity (multiple takerAsset denominated fee orders with no slippage)', () => {
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const errorFunction = () => {
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET,
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baseUnitAmount(12),
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0,
|
|
GAS_PRICE,
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);
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(10));
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});
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it('should throw if not enough taker asset liquidity (multiple takerAsset denominated fee orders with 20% slippage)', () => {
|
|
const errorFunction = () => {
|
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swapQuoteCalculator.calculateMarketBuySwapQuote(
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testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET,
|
|
baseUnitAmount(12),
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0.6,
|
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GAS_PRICE,
|
|
);
|
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};
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testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(6.25));
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});
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it('should throw if not enough taker asset liquidity (multiple makerAsset denominated fee orders with no slippage)', () => {
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET,
|
|
baseUnitAmount(6),
|
|
0,
|
|
GAS_PRICE,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(5));
|
|
});
|
|
it('should throw if not enough taker asset liquidity (multiple makerAsset denominated fee orders with 20% slippage)', () => {
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET,
|
|
baseUnitAmount(6),
|
|
0.6,
|
|
GAS_PRICE,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(3.125));
|
|
});
|
|
it('should throw if not enough taker asset liquidity (multiple mixed feeType orders with no slippage)', () => {
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
MIXED_TEST_ORDERS,
|
|
baseUnitAmount(40),
|
|
0,
|
|
GAS_PRICE,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(25));
|
|
});
|
|
it('should throw if not enough taker asset liquidity (multiple mixed feeTyoe orders with 20% slippage)', () => {
|
|
const errorFunction = () => {
|
|
swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
MIXED_TEST_ORDERS,
|
|
baseUnitAmount(40),
|
|
0.6,
|
|
GAS_PRICE,
|
|
);
|
|
};
|
|
testHelpers.expectInsufficientLiquidityError(expect, errorFunction, baseUnitAmount(15.625));
|
|
});
|
|
});
|
|
it('calculates a correct swapQuote with no slippage (feeless orders)', () => {
|
|
const assetBuyAmount = baseUnitAmount(3);
|
|
const slippagePercentage = 0;
|
|
const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEELESS,
|
|
assetBuyAmount,
|
|
slippagePercentage,
|
|
GAS_PRICE,
|
|
);
|
|
// test if orders are correct
|
|
expect(swapQuote.orders).to.deep.equal([testOrders.PRUNED_SIGNED_ORDERS_FEELESS[0]]);
|
|
expect(swapQuote.makerAssetFillAmount).to.bignumber.equal(assetBuyAmount);
|
|
// test if rates are correct
|
|
expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(0),
|
|
takerAssetAmount: baseUnitAmount(0.5),
|
|
totalTakerAssetAmount: baseUnitAmount(0.5),
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(15, 4),
|
|
});
|
|
expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(0),
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|
takerAssetAmount: baseUnitAmount(0.5),
|
|
totalTakerAssetAmount: baseUnitAmount(0.5),
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(15, 4),
|
|
});
|
|
});
|
|
it('calculates a correct swapQuote with slippage (feeless orders)', () => {
|
|
const assetBuyAmount = baseUnitAmount(5);
|
|
const slippagePercentage = 0.5;
|
|
const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEELESS,
|
|
assetBuyAmount,
|
|
slippagePercentage,
|
|
GAS_PRICE,
|
|
);
|
|
// test if orders are correct
|
|
expect(swapQuote.orders).to.deep.equal([
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEELESS[0],
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEELESS[1],
|
|
]);
|
|
expect(swapQuote.makerAssetFillAmount).to.bignumber.equal(assetBuyAmount);
|
|
|
|
const takerAssetAmount = new BigNumber(5)
|
|
.div(new BigNumber(6))
|
|
.multipliedBy(ONE_ETH_IN_WEI)
|
|
.integerValue(BigNumber.ROUND_CEIL);
|
|
// test if rates are correct
|
|
expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(0),
|
|
takerAssetAmount,
|
|
totalTakerAssetAmount: takerAssetAmount,
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(30, 4),
|
|
});
|
|
expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(0),
|
|
takerAssetAmount: baseUnitAmount(5.5),
|
|
totalTakerAssetAmount: baseUnitAmount(5.5),
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(30, 4),
|
|
});
|
|
});
|
|
it('calculates a correct swapQuote with no slippage (takerAsset denominated fee orders)', () => {
|
|
const assetBuyAmount = baseUnitAmount(3);
|
|
const slippagePercentage = 0;
|
|
const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET,
|
|
assetBuyAmount,
|
|
slippagePercentage,
|
|
GAS_PRICE,
|
|
);
|
|
// test if orders are correct
|
|
expect(swapQuote.orders).to.deep.equal([testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET[0]]);
|
|
expect(swapQuote.makerAssetFillAmount).to.bignumber.equal(assetBuyAmount);
|
|
// test if rates are correct
|
|
expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(1.5),
|
|
takerAssetAmount: baseUnitAmount(0.5),
|
|
totalTakerAssetAmount: baseUnitAmount(2),
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(15, 4),
|
|
});
|
|
expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(1.5),
|
|
takerAssetAmount: baseUnitAmount(0.5),
|
|
totalTakerAssetAmount: baseUnitAmount(2),
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(15, 4),
|
|
});
|
|
});
|
|
it('calculates a correct swapQuote with slippage (takerAsset denominated fee orders)', () => {
|
|
const assetBuyAmount = baseUnitAmount(5);
|
|
const slippagePercentage = 0.5;
|
|
const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET,
|
|
assetBuyAmount,
|
|
slippagePercentage,
|
|
GAS_PRICE,
|
|
);
|
|
const fiveSixthEthInWei = new BigNumber(5)
|
|
.div(new BigNumber(6))
|
|
.multipliedBy(ONE_ETH_IN_WEI)
|
|
.integerValue(BigNumber.ROUND_CEIL);
|
|
// test if orders are correct
|
|
expect(swapQuote.orders).to.deep.equal([
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET[0],
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_TAKER_ASSET[1],
|
|
]);
|
|
expect(swapQuote.makerAssetFillAmount).to.bignumber.equal(assetBuyAmount);
|
|
// test if rates are correct
|
|
expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(2.5),
|
|
takerAssetAmount: fiveSixthEthInWei,
|
|
totalTakerAssetAmount: baseUnitAmount(2.5).plus(fiveSixthEthInWei),
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(30, 4),
|
|
});
|
|
expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(2.5),
|
|
takerAssetAmount: baseUnitAmount(5.5),
|
|
totalTakerAssetAmount: baseUnitAmount(8),
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(30, 4),
|
|
});
|
|
});
|
|
it('calculates a correct swapQuote with no slippage (makerAsset denominated fee orders)', () => {
|
|
const assetBuyAmount = baseUnitAmount(1);
|
|
const slippagePercentage = 0;
|
|
const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET,
|
|
assetBuyAmount,
|
|
slippagePercentage,
|
|
GAS_PRICE,
|
|
);
|
|
// test if orders are correct
|
|
expect(swapQuote.orders).to.deep.equal([testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET[0]]);
|
|
expect(swapQuote.makerAssetFillAmount).to.bignumber.equal(assetBuyAmount);
|
|
// test if rates are correct
|
|
expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(2.5),
|
|
takerAssetAmount: baseUnitAmount(2.5),
|
|
totalTakerAssetAmount: baseUnitAmount(5),
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(15, 4),
|
|
});
|
|
expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(2.5),
|
|
takerAssetAmount: baseUnitAmount(2.5),
|
|
totalTakerAssetAmount: baseUnitAmount(5),
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(15, 4),
|
|
});
|
|
});
|
|
it('calculates a correct swapQuote with slippage (makerAsset denominated fee orders)', () => {
|
|
const assetBuyAmount = baseUnitAmount(2.5);
|
|
const slippagePercentage = 0.5;
|
|
const swapQuote = swapQuoteCalculator.calculateMarketBuySwapQuote(
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET,
|
|
assetBuyAmount,
|
|
slippagePercentage,
|
|
GAS_PRICE,
|
|
);
|
|
const totalTakerAssetAmount = new BigNumber(5)
|
|
.div(new BigNumber(6))
|
|
.multipliedBy(ONE_ETH_IN_WEI)
|
|
.integerValue(BigNumber.ROUND_CEIL);
|
|
// test if orders are correct
|
|
expect(swapQuote.orders).to.deep.equal([
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET[0],
|
|
testOrders.PRUNED_SIGNED_ORDERS_FEE_IN_MAKER_ASSET[1],
|
|
]);
|
|
expect(swapQuote.makerAssetFillAmount).to.bignumber.equal(assetBuyAmount);
|
|
// test if rates are correct
|
|
// 50 takerAsset units to fill the first order + 100 takerAsset units for fees
|
|
expect(swapQuote.bestCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: baseUnitAmount(2.75),
|
|
takerAssetAmount: baseUnitAmount(2.75),
|
|
totalTakerAssetAmount: baseUnitAmount(5.5),
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(30, 4),
|
|
});
|
|
expect(swapQuote.worstCaseQuoteInfo).to.deep.equal({
|
|
feeTakerAssetAmount: totalTakerAssetAmount.div(2),
|
|
takerAssetAmount: totalTakerAssetAmount.div(2),
|
|
totalTakerAssetAmount,
|
|
makerAssetAmount: assetBuyAmount,
|
|
protocolFeeInEthAmount: baseUnitAmount(30, 4),
|
|
});
|
|
});
|
|
});
|
|
});
|