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authorBrandon Millman <brandon.millman@gmail.com>2018-08-02 14:14:24 +0800
committerBrandon Millman <brandon.millman@gmail.com>2018-08-06 06:33:52 +0800
commit1c06380ef50ae401670d5de74ef2e32f972177ca (patch)
treec301c1cf011d04d4be649bea425bdcc14bd02b54
parent47fef1f8ff583879fa83a7a44086b14f69c09e21 (diff)
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Add findOrdersThatCoverMakerAssetFillAmount static method on ForwarderWrapper
-rw-r--r--packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts45
1 files changed, 44 insertions, 1 deletions
diff --git a/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts b/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts
index 13ef0fe01..5e879b3a8 100644
--- a/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts
+++ b/packages/contract-wrappers/src/contract_wrappers/forwarder_wrapper.ts
@@ -1,5 +1,5 @@
import { schemas } from '@0xproject/json-schemas';
-import { AssetProxyId, SignedOrder } from '@0xproject/types';
+import { AssetProxyId, OrderRelevantState, SignedOrder } from '@0xproject/types';
import { BigNumber } from '@0xproject/utils';
import { Web3Wrapper } from '@0xproject/web3-wrapper';
import { ContractAbi } from 'ethereum-types';
@@ -24,6 +24,49 @@ export class ForwarderWrapper extends ContractWrapper {
private _forwarderContractIfExists?: ForwarderContract;
private _contractAddressIfExists?: string;
private _zrxContractAddressIfExists?: string;
+ /**
+ * Takes an array of orders and returns a subset of those orders that has enough makerAssetAmount (taking into account on-chain balances,
+ * allowances, and partial fills) in order to fill the input makerAssetFillAmount plus slippageBufferAmount. Iterates from first order to last.
+ * Sort the input by rate in order to get the subset of orders that will cost the least ETH.
+ * @param signedOrders An array of objects that conform to the SignedOrder interface. All orders should specify the same makerAsset.
+ * All orders should specify WETH as the takerAsset.
+ * @param orderStates An array of objects corresponding to the signedOrders parameter that each contain on-chain state
+ * relevant to that order.
+ * @param makerAssetFillAmount The amount of makerAsset desired to be filled.
+ * @param slippageBufferAmount An additional amount makerAsset to be covered by the result in case of trade collisions or partial fills.
+ * @return Resulting orders and remaining fill amount that could not be covered by the input.
+ */
+ public static findOrdersThatCoverMakerAssetFillAmount(
+ signedOrders: SignedOrder[],
+ orderStates: OrderRelevantState[],
+ makerAssetFillAmount: BigNumber,
+ slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
+ ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
+ // type assertions
+ assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+ assert.isBigNumber('makerAssetFillAmount', makerAssetFillAmount);
+ assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
+ // calculate total amount of makerAsset needed to fill
+ const totalFillAmount = makerAssetFillAmount.plus(slippageBufferAmount);
+ // iterate through the signedOrders input from left to right until we have enough makerAsset to fill totalFillAmount
+ const result = _.reduce(
+ signedOrders,
+ ({ resultOrders, remainingFillAmount }, order, index) => {
+ if (remainingFillAmount.lessThanOrEqualTo(constants.ZERO_AMOUNT)) {
+ return { resultOrders, remainingFillAmount };
+ } else {
+ const orderState = orderStates[index];
+ const orderRemainingFillableMakerAssetAmount = orderState.remainingFillableMakerAssetAmount;
+ return {
+ resultOrders: _.concat(resultOrders, order),
+ remainingFillAmount: remainingFillAmount.minus(orderState.remainingFillableMakerAssetAmount),
+ };
+ }
+ },
+ { resultOrders: [] as SignedOrder[], remainingFillAmount: totalFillAmount },
+ );
+ return result;
+ }
constructor(
web3Wrapper: Web3Wrapper,
networkId: number,