Merge pull request #219 from 0xProject/feature/rounding-validation

Rounding validation

3 files changed, 119 insertions, 73 deletions

diff --git a/packages/0x.js/src/types.ts b/packages/0x.js/src/types.ts
index 11b5d8569..71089f9a1 100644
--- a/packages/0x.js/src/types.ts
+++ b/packages/0x.js/src/types.ts
@@ -490,6 +490,7 @@ export interface OrderRelevantState {
     filledTakerTokenAmount: BigNumber;
     cancelledTakerTokenAmount: BigNumber;
     remainingFillableMakerTokenAmount: BigNumber;
+    remainingFillableTakerTokenAmount: BigNumber;
 }
 
 export interface OrderStateValid {
diff --git a/packages/0x.js/src/utils/order_state_utils.ts b/packages/0x.js/src/utils/order_state_utils.ts
index a1ee7577d..123584f90 100644
--- a/packages/0x.js/src/utils/order_state_utils.ts
+++ b/packages/0x.js/src/utils/order_state_utils.ts
@@ -18,6 +18,8 @@ import {constants} from '../utils/constants';
 import {OrderFilledCancelledLazyStore} from '../stores/order_filled_cancelled_lazy_store';
 import {BalanceAndProxyAllowanceLazyStore} from '../stores/balance_proxy_allowance_lazy_store';
 
+const ACCEPTABLE_RELATIVE_ROUNDING_ERROR = 0.0001;
+
 export class OrderStateUtils {
     private balanceAndProxyAllowanceLazyStore: BalanceAndProxyAllowanceLazyStore;
     private orderFilledCancelledLazyStore: OrderFilledCancelledLazyStore;
@@ -78,6 +80,9 @@ export class OrderStateUtils {
                                                                    .dividedToIntegerBy(totalTakerTokenAmount);
         const fillableMakerTokenAmount = BigNumber.min([makerProxyAllowance, makerBalance]);
         const remainingFillableMakerTokenAmount = BigNumber.min(fillableMakerTokenAmount, remainingMakerTokenAmount);
+        const remainingFillableTakerTokenAmount = remainingFillableMakerTokenAmount
+                                                  .times(totalTakerTokenAmount)
+                                                  .dividedToIntegerBy(totalMakerTokenAmount);
         // TODO: Handle edge case where maker token is ZRX with fee
         const orderRelevantState = {
             makerBalance,
@@ -87,6 +92,7 @@ export class OrderStateUtils {
             filledTakerTokenAmount,
             cancelledTakerTokenAmount,
             remainingFillableMakerTokenAmount,
+            remainingFillableTakerTokenAmount,
         };
         return orderRelevantState;
     }
@@ -113,6 +119,13 @@ export class OrderStateUtils {
                 throw new Error(ExchangeContractErrs.InsufficientMakerFeeAllowance);
             }
         }
+        const minFillableTakerTokenAmountWithinNoRoundingErrorRange = signedOrder.takerTokenAmount
+                                                                      .dividedBy(ACCEPTABLE_RELATIVE_ROUNDING_ERROR)
+                                                                      .dividedBy(signedOrder.makerTokenAmount);
+        if (orderRelevantState.remainingFillableTakerTokenAmount
+            .lessThan(minFillableTakerTokenAmountWithinNoRoundingErrorRange)) {
+            throw new Error(ExchangeContractErrs.OrderFillRoundingError);
+        }
         // TODO Add linear function solver when maker token is ZRX #badass
         // Return the max amount that's fillable
     }
diff --git a/packages/0x.js/test/order_state_watcher_test.ts b/packages/0x.js/test/order_state_watcher_test.ts
index 810168aca..a112bac1d 100644
--- a/packages/0x.js/test/order_state_watcher_test.ts
+++ b/packages/0x.js/test/order_state_watcher_test.ts
@@ -47,7 +47,7 @@ describe('OrderStateWatcher', () => {
     let taker: string;
     let web3Wrapper: Web3Wrapper;
     let signedOrder: SignedOrder;
-    const fillableAmount = new BigNumber(5);
+    const fillableAmount = ZeroEx.toBaseUnitAmount(new BigNumber(5), 18);
     before(async () => {
         web3 = web3Factory.create();
         zeroEx = new ZeroEx(web3.currentProvider);
@@ -221,6 +221,8 @@ describe('OrderStateWatcher', () => {
                     const remainingFillable = fillableAmount.minus(fillAmountInBaseUnits);
                     expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
                         remainingFillable);
+                    expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal(
+                        remainingFillable);
                     expect(orderRelevantState.makerBalance).to.be.bignumber.equal(remainingMakerBalance);
                     if (eventCount === 2) {
                         done();
@@ -233,84 +235,92 @@ describe('OrderStateWatcher', () => {
                 );
             })().catch(done);
         });
-        describe('remainingFillableMakerTokenAmount', () => {
-          it('should calculate correct remaining fillable', (done: DoneCallback) => {
-              (async () => {
-                  const takerFillableAmount = new BigNumber(10);
-                  const makerFillableAmount = new BigNumber(20);
-                  signedOrder = await fillScenarios.createAsymmetricFillableSignedOrderAsync(
-                      makerToken.address, takerToken.address, maker, taker, makerFillableAmount, takerFillableAmount);
-                  const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
-                  const takerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, taker);
-                  const fillAmountInBaseUnits = new BigNumber(2);
-                  const orderHash = ZeroEx.getOrderHashHex(signedOrder);
-                  zeroEx.orderStateWatcher.addOrder(signedOrder);
-                  let eventCount = 0;
-                  const callback = reportCallbackErrors(done)((orderState: OrderState) => {
-                      eventCount++;
-                      expect(orderState.isValid).to.be.true();
-                      const validOrderState = orderState as OrderStateValid;
-                      expect(validOrderState.orderHash).to.be.equal(orderHash);
-                      const orderRelevantState = validOrderState.orderRelevantState;
-                      expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
-                          new BigNumber(16));
-                      if (eventCount === 2) {
-                          done();
-                      }
-                  });
-                  zeroEx.orderStateWatcher.subscribe(callback);
-                  const shouldThrowOnInsufficientBalanceOrAllowance = true;
-                  await zeroEx.exchange.fillOrderAsync(
-                      signedOrder, fillAmountInBaseUnits, shouldThrowOnInsufficientBalanceOrAllowance, taker,
-                  );
-              })().catch(done);
-          });
-          it('should equal approved amount when approved amount is lowest', (done: DoneCallback) => {
-              (async () => {
-                  signedOrder = await fillScenarios.createFillableSignedOrderAsync(
-                      makerToken.address, takerToken.address, maker, taker, fillableAmount,
-                  );
+        describe('remainingFillable(M|T)akerTokenAmount', () => {
+            it('should calculate correct remaining fillable', (done: DoneCallback) => {
+                (async () => {
+                    const takerFillableAmount = ZeroEx.toBaseUnitAmount(new BigNumber(10), 18);
+                    const makerFillableAmount = ZeroEx.toBaseUnitAmount(new BigNumber(20), 18);
+                    signedOrder = await fillScenarios.createAsymmetricFillableSignedOrderAsync(
+                        makerToken.address, takerToken.address, maker, taker, makerFillableAmount,
+                        takerFillableAmount,
+                    );
+                    const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
+                    const takerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, taker);
+                    const fillAmountInBaseUnits = ZeroEx.toBaseUnitAmount(new BigNumber(2), 18);
+                    const orderHash = ZeroEx.getOrderHashHex(signedOrder);
+                    zeroEx.orderStateWatcher.addOrder(signedOrder);
+                    let eventCount = 0;
+                    const callback = reportCallbackErrors(done)((orderState: OrderState) => {
+                        eventCount++;
+                        expect(orderState.isValid).to.be.true();
+                        const validOrderState = orderState as OrderStateValid;
+                        expect(validOrderState.orderHash).to.be.equal(orderHash);
+                        const orderRelevantState = validOrderState.orderRelevantState;
+                        expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
+                            ZeroEx.toBaseUnitAmount(new BigNumber(16), 18));
+                        expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal(
+                            ZeroEx.toBaseUnitAmount(new BigNumber(8), 18));
+                        if (eventCount === 2) {
+                            done();
+                        }
+                    });
+                    zeroEx.orderStateWatcher.subscribe(callback);
+                    const shouldThrowOnInsufficientBalanceOrAllowance = true;
+                    await zeroEx.exchange.fillOrderAsync(
+                        signedOrder, fillAmountInBaseUnits, shouldThrowOnInsufficientBalanceOrAllowance, taker,
+                    );
+                })().catch(done);
+            });
+            it('should equal approved amount when approved amount is lowest', (done: DoneCallback) => {
+                (async () => {
+                    signedOrder = await fillScenarios.createFillableSignedOrderAsync(
+                        makerToken.address, takerToken.address, maker, taker, fillableAmount,
+                    );
 
-                  const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
+                    const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
 
-                  const changedMakerApprovalAmount = new BigNumber(3);
-                  zeroEx.orderStateWatcher.addOrder(signedOrder);
+                    const changedMakerApprovalAmount = ZeroEx.toBaseUnitAmount(new BigNumber(3), 18);
+                    zeroEx.orderStateWatcher.addOrder(signedOrder);
 
-                  const callback = reportCallbackErrors(done)((orderState: OrderState) => {
-                      const validOrderState = orderState as OrderStateValid;
-                      const orderRelevantState = validOrderState.orderRelevantState;
-                      expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
-                          changedMakerApprovalAmount);
-                      done();
-                  });
-                  zeroEx.orderStateWatcher.subscribe(callback);
-                  await zeroEx.token.setProxyAllowanceAsync(makerToken.address, maker, changedMakerApprovalAmount);
-              })().catch(done);
-          });
-          it('should equal balance amount when balance amount is lowest', (done: DoneCallback) => {
-              (async () => {
-                  signedOrder = await fillScenarios.createFillableSignedOrderAsync(
-                      makerToken.address, takerToken.address, maker, taker, fillableAmount,
-                  );
+                    const callback = reportCallbackErrors(done)((orderState: OrderState) => {
+                        const validOrderState = orderState as OrderStateValid;
+                        const orderRelevantState = validOrderState.orderRelevantState;
+                        expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
+                            changedMakerApprovalAmount);
+                        expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal(
+                            changedMakerApprovalAmount);
+                        done();
+                    });
+                    zeroEx.orderStateWatcher.subscribe(callback);
+                    await zeroEx.token.setProxyAllowanceAsync(makerToken.address, maker, changedMakerApprovalAmount);
+                })().catch(done);
+            });
+            it('should equal balance amount when balance amount is lowest', (done: DoneCallback) => {
+                (async () => {
+                    signedOrder = await fillScenarios.createFillableSignedOrderAsync(
+                        makerToken.address, takerToken.address, maker, taker, fillableAmount,
+                    );
 
-                  const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
+                    const makerBalance = await zeroEx.token.getBalanceAsync(makerToken.address, maker);
 
-                  const remainingAmount = new BigNumber(1);
-                  const transferAmount = makerBalance.sub(remainingAmount);
-                  zeroEx.orderStateWatcher.addOrder(signedOrder);
+                    const remainingAmount = ZeroEx.toBaseUnitAmount(new BigNumber(1), 18);
+                    const transferAmount = makerBalance.sub(remainingAmount);
+                    zeroEx.orderStateWatcher.addOrder(signedOrder);
 
-                  const callback = reportCallbackErrors(done)((orderState: OrderState) => {
-                      const validOrderState = orderState as OrderStateValid;
-                      const orderRelevantState = validOrderState.orderRelevantState;
-                      expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
-                          remainingAmount);
-                      done();
-                  });
-                  zeroEx.orderStateWatcher.subscribe(callback);
-                  await zeroEx.token.transferAsync(
-                      makerToken.address, maker, ZeroEx.NULL_ADDRESS, transferAmount);
-              })().catch(done);
-          });
+                    const callback = reportCallbackErrors(done)((orderState: OrderState) => {
+                        const validOrderState = orderState as OrderStateValid;
+                        const orderRelevantState = validOrderState.orderRelevantState;
+                        expect(orderRelevantState.remainingFillableMakerTokenAmount).to.be.bignumber.equal(
+                            remainingAmount);
+                        expect(orderRelevantState.remainingFillableTakerTokenAmount).to.be.bignumber.equal(
+                            remainingAmount);
+                        done();
+                    });
+                    zeroEx.orderStateWatcher.subscribe(callback);
+                    await zeroEx.token.transferAsync(
+                        makerToken.address, maker, ZeroEx.NULL_ADDRESS, transferAmount);
+                })().catch(done);
+            });
         });
         it('should emit orderStateInvalid when watched order cancelled', (done: DoneCallback) => {
             (async () => {
@@ -333,6 +343,28 @@ describe('OrderStateWatcher', () => {
                 await zeroEx.exchange.cancelOrderAsync(signedOrder, fillableAmount);
             })().catch(done);
         });
+        it('should emit orderStateInvalid when within rounding error range', (done: DoneCallback) => {
+            (async () => {
+                const remainingFillableAmountInBaseUnits = new BigNumber(100);
+                signedOrder = await fillScenarios.createFillableSignedOrderAsync(
+                    makerToken.address, takerToken.address, maker, taker, fillableAmount,
+                );
+                const orderHash = ZeroEx.getOrderHashHex(signedOrder);
+                zeroEx.orderStateWatcher.addOrder(signedOrder);
+
+                const callback = reportCallbackErrors(done)((orderState: OrderState) => {
+                    expect(orderState.isValid).to.be.false();
+                    const invalidOrderState = orderState as OrderStateInvalid;
+                    expect(invalidOrderState.orderHash).to.be.equal(orderHash);
+                    expect(invalidOrderState.error).to.be.equal(ExchangeContractErrs.OrderFillRoundingError);
+                    done();
+                });
+                zeroEx.orderStateWatcher.subscribe(callback);
+                await zeroEx.exchange.cancelOrderAsync(
+                    signedOrder, fillableAmount.minus(remainingFillableAmountInBaseUnits),
+                );
+            })().catch(done);
+        });
         it('should emit orderStateValid when watched order partially cancelled', (done: DoneCallback) => {
             (async () => {
                 signedOrder = await fillScenarios.createFillableSignedOrderAsync(