diff options
Diffstat (limited to 'packages/contracts/src/2.0.0')
| -rw-r--r-- | packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol | 107 |
1 files changed, 65 insertions, 42 deletions
diff --git a/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol b/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol index bf97557d6..075a610b5 100644 --- a/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol +++ b/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol @@ -119,7 +119,7 @@ contract MixinMatchOrders is rightOrderInfo.orderTakerAssetFilledAmount, matchedFillResults.right ); - + // Settle matched orders. Succeeds or throws. settleMatchedOrders( leftOrder, @@ -175,62 +175,85 @@ contract MixinMatchOrders is pure returns (LibFillResults.MatchedFillResults memory matchedFillResults) { - // We settle orders at the exchange rate of the right order. - // The amount saved by the left maker goes to the taker. - // Either the left or right order will be fully filled; possibly both. - // The left order is fully filled iff the right order can sell more than left can buy. - // That is: the amount required to fill the left order is less than or equal to - // the amount we can spend from the right order: - // <leftTakerAssetAmountRemaining> <= <rightTakerAssetAmountRemaining> * <rightMakerToTakerRatio> - // <leftTakerAssetAmountRemaining> <= <rightTakerAssetAmountRemaining> * <rightOrder.makerAssetAmount> / <rightOrder.takerAssetAmount> - // <leftTakerAssetAmountRemaining> * <rightOrder.takerAssetAmount> <= <rightTakerAssetAmountRemaining> * <rightOrder.makerAssetAmount> + // Derive maker asset amounts for left & right orders, given store taker assert amounts uint256 leftTakerAssetAmountRemaining = safeSub(leftOrder.takerAssetAmount, leftOrderTakerAssetFilledAmount); + uint256 leftMakerAssetAmountRemaining = getPartialAmountFloor( + leftOrder.makerAssetAmount, + leftOrder.takerAssetAmount, + leftTakerAssetAmountRemaining + ); uint256 rightTakerAssetAmountRemaining = safeSub(rightOrder.takerAssetAmount, rightOrderTakerAssetFilledAmount); - uint256 leftTakerAssetFilledAmount; - uint256 rightTakerAssetFilledAmount; - if ( - safeMul(leftTakerAssetAmountRemaining, rightOrder.takerAssetAmount) <= - safeMul(rightTakerAssetAmountRemaining, rightOrder.makerAssetAmount) - ) { - // Left order will be fully filled: maximally fill left - leftTakerAssetFilledAmount = leftTakerAssetAmountRemaining; + uint256 rightMakerAssetAmountRemaining = getPartialAmountFloor( + rightOrder.makerAssetAmount, + rightOrder.takerAssetAmount, + rightTakerAssetAmountRemaining + ); - // The right order receives an amount proportional to how much was spent. - rightTakerAssetFilledAmount = getPartialAmountFloor( - rightOrder.takerAssetAmount, - rightOrder.makerAssetAmount, - leftTakerAssetFilledAmount + // Calculate fill results for maker and taker assets: at least one order will be fully filled. + // The maximum amount the left maker can buy is `leftTakerAssetAmountRemaining` + // The maximum amount the right maker can sell is `rightMakerAssetAmountRemaining` + // We have two distinct cases for calculating the fill results: + // Case 1. + // If the left maker can buy more than the right maker can sell, then only the right order is fully filled. + // If the left maker can buy exactly what the right maker can sell, then both orders are fully filled. + // Case 2. + // If the left maker cannot buy more than the right maker can sell, then only the left order is fully filled. + if (leftTakerAssetAmountRemaining >= rightMakerAssetAmountRemaining) { + // Case 1: Right order is fully filled + matchedFillResults.right.makerAssetFilledAmount = rightMakerAssetAmountRemaining; + matchedFillResults.right.takerAssetFilledAmount = rightTakerAssetAmountRemaining; + matchedFillResults.left.takerAssetFilledAmount = matchedFillResults.right.makerAssetFilledAmount; + // Round down to ensure the maker's exchange rate does not exceed the price specified by the order. + // We favor the maker when the exchange rate must be rounded. + matchedFillResults.left.makerAssetFilledAmount = getPartialAmountFloor( + leftOrder.makerAssetAmount, + leftOrder.takerAssetAmount, + matchedFillResults.left.takerAssetFilledAmount ); } else { - // Right order will be fully filled: maximally fill right - rightTakerAssetFilledAmount = rightTakerAssetAmountRemaining; - - // The left order receives an amount proportional to how much was spent. - leftTakerAssetFilledAmount = getPartialAmountFloor( - rightOrder.makerAssetAmount, + // Case 2: Left order is fully filled + matchedFillResults.left.makerAssetFilledAmount = leftMakerAssetAmountRemaining; + matchedFillResults.left.takerAssetFilledAmount = leftTakerAssetAmountRemaining; + matchedFillResults.right.makerAssetFilledAmount = matchedFillResults.left.takerAssetFilledAmount; + // Round up to ensure the maker's exchange rate does not exceed the price specified by the order. + // We favor the maker when the exchange rate must be rounded. + matchedFillResults.right.takerAssetFilledAmount = getPartialAmountCeil( rightOrder.takerAssetAmount, - rightTakerAssetFilledAmount + rightOrder.makerAssetAmount, + matchedFillResults.right.makerAssetFilledAmount ); } - // Calculate fill results for left order - matchedFillResults.left = calculateFillResults( - leftOrder, - leftTakerAssetFilledAmount - ); - - // Calculate fill results for right order - matchedFillResults.right = calculateFillResults( - rightOrder, - rightTakerAssetFilledAmount - ); - // Calculate amount given to taker matchedFillResults.leftMakerAssetSpreadAmount = safeSub( matchedFillResults.left.makerAssetFilledAmount, matchedFillResults.right.takerAssetFilledAmount ); + // Compute fees for left order + matchedFillResults.left.makerFeePaid = getPartialAmountFloor( + matchedFillResults.left.makerAssetFilledAmount, + leftOrder.makerAssetAmount, + leftOrder.makerFee + ); + matchedFillResults.left.takerFeePaid = getPartialAmountFloor( + matchedFillResults.left.takerAssetFilledAmount, + leftOrder.takerAssetAmount, + leftOrder.takerFee + ); + + // Compute fees for right order + matchedFillResults.right.makerFeePaid = getPartialAmountFloor( + matchedFillResults.right.makerAssetFilledAmount, + rightOrder.makerAssetAmount, + rightOrder.makerFee + ); + matchedFillResults.right.takerFeePaid = getPartialAmountFloor( + matchedFillResults.right.takerAssetFilledAmount, + rightOrder.takerAssetAmount, + rightOrder.takerFee + ); + // Return fill results return matchedFillResults; } |