Move helper functions into order-utils

2 files changed, 110 insertions, 1 deletions

diff --git a/packages/order-utils/src/constants.ts b/packages/order-utils/src/constants.ts
index ea3f8b932..b18546a6c 100644
--- a/packages/order-utils/src/constants.ts
+++ b/packages/order-utils/src/constants.ts
@@ -10,6 +10,6 @@ export const constants = {
     ERC721_ASSET_DATA_MINIMUM_BYTE_LENGTH: 53,
     SELECTOR_LENGTH: 4,
     BASE_16: 16,
-    INFINITE_TIMESTAMP_SEC: new BigNumber(2524604400), // Close to infinite
+    INFINITE_TIMESTAMP_SEC: new BigNumber(2524604400), // Close to infinite,
     ZERO_AMOUNT: new BigNumber(0),
 };
diff --git a/packages/order-utils/src/market_utils.ts b/packages/order-utils/src/market_utils.ts
new file mode 100644
index 000000000..4ddcc6ec8
--- /dev/null
+++ b/packages/order-utils/src/market_utils.ts
@@ -0,0 +1,109 @@
+import { schemas } from '@0xproject/json-schemas';
+import { OrderRelevantState, SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { assert } from './assert';
+import { constants } from './constants';
+
+export const marketUtils = {
+    /**
+     * 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 ascending 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.
+     */
+    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 be filled
+        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: constants.ZERO_AMOUNT };
+                } else {
+                    const orderState = orderStates[index];
+                    const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState);
+                    return {
+                        resultOrders: _.concat(resultOrders, order),
+                        remainingFillAmount: remainingFillAmount.minus(makerAssetAmountAvailable),
+                    };
+                }
+            },
+            { resultOrders: [] as SignedOrder[], remainingFillAmount: totalFillAmount },
+        );
+        return result;
+    },
+    /**
+     * Takes an array of orders and an array of feeOrders. Returns a subset of the feeOrders that has enough ZRX (taking into account
+     * on-chain balances, allowances, and partial fills) in order to fill the takerFees required by signedOrders plus a
+     * slippageBufferAmount. Iterates from first feeOrder to last. Sort the feeOrders by ascending rate in order to get the subset of
+     * feeOrders that will cost the least ETH.
+     * @param   signedOrders         An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
+     *                               the makerAsset and 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   signedFeeOrders      An array of objects that conform to the SignedOrder interface. All orders should specify ZRX as
+     *                               the makerAsset and WETH as the takerAsset.
+     * @param   feeOrderStates       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.
+     */
+    findFeeOrdersThatCoverFeesForTargetOrders(
+        signedOrders: SignedOrder[],
+        orderStates: OrderRelevantState[],
+        signedFeeOrders: SignedOrder[],
+        feeOrderStates: OrderRelevantState[],
+        slippageBufferAmount: BigNumber = constants.ZERO_AMOUNT,
+    ): { resultOrders: SignedOrder[]; remainingFillAmount: BigNumber } {
+        // type assertions
+        assert.doesConformToSchema('signedOrders', signedOrders, schemas.signedOrdersSchema);
+        assert.doesConformToSchema('signedFeeOrders', signedFeeOrders, schemas.signedOrdersSchema);
+        assert.isBigNumber('slippageBufferAmount', slippageBufferAmount);
+        // calculate total amount of ZRX needed to fill signedOrders
+        const totalFeeAmount = _.reduce(
+            signedOrders,
+            (accFees, order, index) => {
+                const orderState = orderStates[index];
+                const makerAssetAmountAvailable = getMakerAssetAmountAvailable(orderState);
+                const feeToFillMakerAssetAmountAvailable = makerAssetAmountAvailable
+                    .div(order.makerAssetAmount)
+                    .mul(order.takerFee);
+                return accFees.plus(feeToFillMakerAssetAmountAvailable);
+            },
+            constants.ZERO_AMOUNT,
+        );
+        return marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+            signedFeeOrders,
+            feeOrderStates,
+            totalFeeAmount,
+            slippageBufferAmount,
+        );
+    },
+};
+
+const getMakerAssetAmountAvailable = (orderState: OrderRelevantState) => {
+    return BigNumber.min(
+        orderState.makerBalance,
+        orderState.remainingFillableMakerAssetAmount,
+        orderState.makerProxyAllowance,
+    );
+};