1 files changed, 160 insertions, 0 deletions
diff --git a/packages/asset-buyer/test/buy_quote_calculator_test.ts b/packages/asset-buyer/test/buy_quote_calculator_test.ts
new file mode 100644
index 000000000..b987b45a8
--- /dev/null
+++ b/packages/asset-buyer/test/buy_quote_calculator_test.ts
@@ -0,0 +1,160 @@
+import { orderFactory } from '@0xproject/order-utils/lib/src/order_factory';
+import { BigNumber } from '@0xproject/utils';
+import * as chai from 'chai';
+import * as _ from 'lodash';
+import 'mocha';
+
+import { AssetBuyerError, OrdersAndFillableAmounts } from '../src/types';
+import { buyQuoteCalculator } from '../src/utils/buy_quote_calculator';
+
+import { chaiSetup } from './utils/chai_setup';
+
+chaiSetup.configure();
+const expect = chai.expect;
+
+// tslint:disable:custom-no-magic-numbers
+describe('buyQuoteCalculator', () => {
+    describe('#calculate', () => {
+        let ordersAndFillableAmounts: OrdersAndFillableAmounts;
+        let smallFeeOrderAndFillableAmount: OrdersAndFillableAmounts;
+        let allFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts;
+        beforeEach(() => {
+            // generate two orders for our desired maker asset
+            // the first order has a rate of 4 makerAsset / WETH with a takerFee of 200 ZRX and has only 200 / 400 makerAsset units left to fill (half fillable)
+            // the second order has a rate of 2 makerAsset / WETH with a takerFee of 100 ZRX and has 200 / 200 makerAsset units left to fill (completely fillable)
+            // generate one order for fees
+            // the fee order has a rate of 1 ZRX / WETH with no taker fee and has 100 ZRX left to fill (completely fillable)
+            const firstOrder = orderFactory.createSignedOrderFromPartial({
+                makerAssetAmount: new BigNumber(400),
+                takerAssetAmount: new BigNumber(100),
+                takerFee: new BigNumber(200),
+            });
+            const firstRemainingFillAmount = new BigNumber(200);
+            const secondOrder = orderFactory.createSignedOrderFromPartial({
+                makerAssetAmount: new BigNumber(200),
+                takerAssetAmount: new BigNumber(100),
+                takerFee: new BigNumber(100),
+            });
+            const secondRemainingFillAmount = secondOrder.makerAssetAmount;
+            ordersAndFillableAmounts = {
+                orders: [firstOrder, secondOrder],
+                remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount],
+            };
+            const smallFeeOrder = orderFactory.createSignedOrderFromPartial({
+                makerAssetAmount: new BigNumber(100),
+                takerAssetAmount: new BigNumber(100),
+            });
+            smallFeeOrderAndFillableAmount = {
+                orders: [smallFeeOrder],
+                remainingFillableMakerAssetAmounts: [smallFeeOrder.makerAssetAmount],
+            };
+            const largeFeeOrder = orderFactory.createSignedOrderFromPartial({
+                makerAssetAmount: new BigNumber(110),
+                takerAssetAmount: new BigNumber(200),
+                takerFee: new BigNumber(10),
+            });
+            allFeeOrdersAndFillableAmounts = {
+                orders: [smallFeeOrder, largeFeeOrder],
+                remainingFillableMakerAssetAmounts: [
+                    smallFeeOrder.makerAssetAmount,
+                    largeFeeOrder.makerAssetAmount.minus(largeFeeOrder.takerFee),
+                ],
+            };
+        });
+        it('should throw if not enough maker asset liquidity', () => {
+            // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
+            expect(() =>
+                buyQuoteCalculator.calculate(
+                    ordersAndFillableAmounts,
+                    smallFeeOrderAndFillableAmount,
+                    new BigNumber(500),
+                    0,
+                    0,
+                ),
+            ).to.throw(AssetBuyerError.InsufficientAssetLiquidity);
+        });
+        it('should throw if not enough ZRX liquidity', () => {
+            // we request 300 makerAsset units but the ZRX order is only enough to fill the first order, which only has 200 makerAssetUnits available
+            expect(() =>
+                buyQuoteCalculator.calculate(
+                    ordersAndFillableAmounts,
+                    smallFeeOrderAndFillableAmount,
+                    new BigNumber(300),
+                    0,
+                    0,
+                ),
+            ).to.throw(AssetBuyerError.InsufficientZrxLiquidity);
+        });
+        it('calculates a correct buyQuote with no slippage', () => {
+            // we request 200 makerAsset units which can be filled using the first order
+            // the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
+            const assetBuyAmount = new BigNumber(200);
+            const feePercentage = 0.02;
+            const slippagePercentage = 0;
+            const buyQuote = buyQuoteCalculator.calculate(
+                ordersAndFillableAmounts,
+                smallFeeOrderAndFillableAmount,
+                assetBuyAmount,
+                feePercentage,
+                slippagePercentage,
+            );
+            // test if orders are correct
+            expect(buyQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]);
+            expect(buyQuote.feeOrders).to.deep.equal([smallFeeOrderAndFillableAmount.orders[0]]);
+            // test if rates are correct
+            // 50 eth to fill the first order + 100 eth for fees
+            const expectedFillEthAmount = new BigNumber(150);
+            const expectedTotalEthAmount = expectedFillEthAmount.mul(feePercentage + 1);
+            const expectedFeeEthAmount = expectedTotalEthAmount.minus(expectedFillEthAmount);
+            const expectedEthPerAssetPrice = expectedFillEthAmount.div(assetBuyAmount);
+            expect(buyQuote.bestCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount);
+            expect(buyQuote.bestCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount);
+            expect(buyQuote.bestCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedEthPerAssetPrice);
+            // because we have no slippage protection, minRate is equal to maxRate
+            expect(buyQuote.worstCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount);
+            expect(buyQuote.worstCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount);
+            expect(buyQuote.worstCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedEthPerAssetPrice);
+            // test if feePercentage gets passed through
+            expect(buyQuote.feePercentage).to.equal(feePercentage);
+        });
+        it('calculates a correct buyQuote with with slippage', () => {
+            // we request 200 makerAsset units which can be filled using the first order
+            // however with 50% slippage we are protecting the buy with 100 extra makerAssetUnits
+            // so we need enough orders to fill 300 makerAssetUnits
+            // 300 makerAssetUnits can only be filled using both orders
+            // the first order requires a fee of 100 ZRX from the taker which can be filled by the feeOrder
+            const assetBuyAmount = new BigNumber(200);
+            const feePercentage = 0.02;
+            const slippagePercentage = 0.5;
+            const buyQuote = buyQuoteCalculator.calculate(
+                ordersAndFillableAmounts,
+                allFeeOrdersAndFillableAmounts,
+                assetBuyAmount,
+                feePercentage,
+                slippagePercentage,
+            );
+            // test if orders are correct
+            expect(buyQuote.orders).to.deep.equal(ordersAndFillableAmounts.orders);
+            expect(buyQuote.feeOrders).to.deep.equal(allFeeOrdersAndFillableAmounts.orders);
+            // test if rates are correct
+            // 50 eth to fill the first order + 100 eth for fees
+            const expectedFillEthAmount = new BigNumber(150);
+            const expectedTotalEthAmount = expectedFillEthAmount.mul(feePercentage + 1);
+            const expectedFeeEthAmount = expectedTotalEthAmount.minus(expectedFillEthAmount);
+            const expectedEthPerAssetPrice = expectedFillEthAmount.div(assetBuyAmount);
+            expect(buyQuote.bestCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedFeeEthAmount);
+            expect(buyQuote.bestCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedTotalEthAmount);
+            expect(buyQuote.bestCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedEthPerAssetPrice);
+            // 100 eth to fill the first order + 200 eth for fees
+            const expectedWorstFillEthAmount = new BigNumber(300);
+            const expectedWorstTotalEthAmount = expectedWorstFillEthAmount.mul(feePercentage + 1);
+            const expectedWorstFeeEthAmount = expectedWorstTotalEthAmount.minus(expectedWorstFillEthAmount);
+            const expectedWorstEthPerAssetPrice = expectedWorstFillEthAmount.div(assetBuyAmount);
+            expect(buyQuote.worstCaseQuoteInfo.feeEthAmount).to.bignumber.equal(expectedWorstFeeEthAmount);
+            expect(buyQuote.worstCaseQuoteInfo.totalEthAmount).to.bignumber.equal(expectedWorstTotalEthAmount);
+            expect(buyQuote.worstCaseQuoteInfo.ethPerAssetPrice).to.bignumber.equal(expectedWorstEthPerAssetPrice);
+            // test if feePercentage gets passed through
+            expect(buyQuote.feePercentage).to.equal(feePercentage);
+        });
+    });
+});