Merge pull request #1037 from 0xProject/feature/forwarder-helper/sra-and-rpc

[asset-buyer] Create new AssetBuyer class

1 files changed, 89 insertions, 0 deletions

diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
new file mode 100644
index 000000000..9946924ef
--- /dev/null
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -0,0 +1,89 @@
+import { marketUtils } from '@0xproject/order-utils';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { constants } from '../constants';
+import { AssetBuyerError, AssetBuyerOrdersAndFillableAmounts, BuyQuote } from '../types';
+
+import { orderUtils } from './order_utils';
+
+// Calculates a buy quote for orders that have WETH as the takerAsset
+export const buyQuoteCalculator = {
+    calculate(
+        ordersAndFillableAmounts: AssetBuyerOrdersAndFillableAmounts,
+        assetBuyAmount: BigNumber,
+        feePercentage: number,
+        slippagePercentage: number,
+    ): BuyQuote {
+        const {
+            orders,
+            feeOrders,
+            remainingFillableMakerAssetAmounts,
+            remainingFillableFeeAmounts,
+        } = ordersAndFillableAmounts;
+        const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
+        const {
+            resultOrders,
+            remainingFillAmount,
+            ordersRemainingFillableMakerAssetAmounts,
+        } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(orders, assetBuyAmount, {
+            remainingFillableMakerAssetAmounts,
+            slippageBufferAmount,
+        });
+        if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
+            throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
+        }
+        // TODO(bmillman): optimization
+        // update this logic to find the minimum amount of feeOrders to cover the worst case as opposed to
+        // finding order that cover all fees, this will help with estimating ETH and minimizing gas usage
+        const {
+            resultFeeOrders,
+            remainingFeeAmount,
+            feeOrdersRemainingFillableMakerAssetAmounts,
+        } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(resultOrders, feeOrders, {
+            remainingFillableMakerAssetAmounts,
+            remainingFillableFeeAmounts,
+        });
+        if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
+            throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
+        }
+        const assetData = orders[0].makerAssetData;
+
+        // calculate minRate and maxRate by calculating min and max eth usage and then dividing into
+        // assetBuyAmount to get assetData / WETH, needs to take into account feePercentage as well
+        // minEthAmount = (sum(takerAssetAmount[i]) until sum(makerAssetAmount[i]) >= assetBuyAmount ) * (1 + feePercentage)
+        // maxEthAmount = (sum(takerAssetAmount[i]) until i == orders.length) * (1 + feePercentage)
+        const allOrders = _.concat(resultOrders, resultFeeOrders);
+        const allRemainingAmounts = _.concat(
+            ordersRemainingFillableMakerAssetAmounts,
+            feeOrdersRemainingFillableMakerAssetAmounts,
+        );
+        let minEthAmount = constants.ZERO_AMOUNT;
+        let maxEthAmount = constants.ZERO_AMOUNT;
+        let cumulativeMakerAmount = constants.ZERO_AMOUNT;
+        _.forEach(allOrders, (order, index) => {
+            const remainingFillableMakerAssetAmount = allRemainingAmounts[index];
+            const claimableTakerAssetAmount = orderUtils.calculateRemainingTakerAssetAmount(
+                order,
+                remainingFillableMakerAssetAmount,
+            );
+            // taker asset is always assumed to be WETH
+            maxEthAmount = maxEthAmount.plus(claimableTakerAssetAmount);
+            if (cumulativeMakerAmount.lessThan(assetBuyAmount)) {
+                minEthAmount = minEthAmount.plus(claimableTakerAssetAmount);
+            }
+            cumulativeMakerAmount = cumulativeMakerAmount.plus(remainingFillableMakerAssetAmount);
+        });
+        const feeAdjustedMinRate = minEthAmount.mul(feePercentage + 1).div(assetBuyAmount);
+        const feeAdjustedMaxRate = minEthAmount.mul(feePercentage + 1).div(assetBuyAmount);
+        return {
+            assetData,
+            orders: resultOrders,
+            feeOrders: resultFeeOrders,
+            minRate: feeAdjustedMinRate,
+            maxRate: feeAdjustedMaxRate,
+            assetBuyAmount,
+            feePercentage,
+        };
+    },
+};