/* Copyright 2018 ZeroEx Intl. Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0 Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License. */ pragma solidity 0.4.24; pragma experimental ABIEncoderV2; import "./libs/LibConstants.sol"; import "./libs/LibMath.sol"; import "./libs/LibOrder.sol"; import "./libs/LibFillResults.sol"; import "./mixins/MExchangeCore.sol"; import "./mixins/MMatchOrders.sol"; import "./mixins/MTransactions.sol"; import "./mixins/MAssetProxyDispatcher.sol"; contract MixinMatchOrders is LibConstants, LibMath, MAssetProxyDispatcher, MExchangeCore, MMatchOrders, MTransactions { /// @dev Match two complementary orders that have a profitable spread. /// Each order is filled at their respective price point. However, the calculations are /// carried out as though the orders are both being filled at the right order's price point. /// The profit made by the left order goes to the taker (who matched the two orders). /// @param leftOrder First order to match. /// @param rightOrder Second order to match. /// @param leftSignature Proof that order was created by the left maker. /// @param rightSignature Proof that order was created by the right maker. /// @return matchedFillResults Amounts filled and fees paid by maker and taker of matched orders. function matchOrders( LibOrder.Order memory leftOrder, LibOrder.Order memory rightOrder, bytes memory leftSignature, bytes memory rightSignature ) public returns (LibFillResults.MatchedFillResults memory matchedFillResults) { // We assume that rightOrder.takerAssetData == leftOrder.makerAssetData and rightOrder.makerAssetData == leftOrder.takerAssetData. // If this assumption isn't true, the match will fail at signature validation. rightOrder.makerAssetData = leftOrder.takerAssetData; rightOrder.takerAssetData = leftOrder.makerAssetData; // Get left & right order info LibOrder.OrderInfo memory leftOrderInfo = getOrderInfo(leftOrder); LibOrder.OrderInfo memory rightOrderInfo = getOrderInfo(rightOrder); // Fetch taker address address takerAddress = getCurrentContextAddress(); // Either our context is valid or we revert assertValidMatch(leftOrder, rightOrder); // Compute proportional fill amounts matchedFillResults = calculateMatchedFillResults( leftOrder, rightOrder, leftOrderInfo.orderTakerAssetFilledAmount, rightOrderInfo.orderTakerAssetFilledAmount ); // Validate fill contexts assertValidFill( leftOrder, leftOrderInfo, takerAddress, matchedFillResults.left.takerAssetFilledAmount, matchedFillResults.left.takerAssetFilledAmount, matchedFillResults.left.makerAssetFilledAmount, leftSignature ); assertValidFill( rightOrder, rightOrderInfo, takerAddress, matchedFillResults.right.takerAssetFilledAmount, matchedFillResults.right.takerAssetFilledAmount, matchedFillResults.right.makerAssetFilledAmount, rightSignature ); // Update exchange state updateFilledState( leftOrder, takerAddress, leftOrderInfo.orderHash, leftOrderInfo.orderTakerAssetFilledAmount, matchedFillResults.left ); updateFilledState( rightOrder, takerAddress, rightOrderInfo.orderHash, rightOrderInfo.orderTakerAssetFilledAmount, matchedFillResults.right ); // Settle matched orders. Succeeds or throws. settleMatchedOrders( leftOrder, rightOrder, takerAddress, matchedFillResults ); return matchedFillResults; } /// @dev Validates context for matchOrders. Succeeds or throws. /// @param leftOrder First order to match. /// @param rightOrder Second order to match. function assertValidMatch( LibOrder.Order memory leftOrder, LibOrder.Order memory rightOrder ) internal pure { // Make sure there is a profitable spread. // There is a profitable spread iff the cost per unit bought (OrderA.MakerAmount/OrderA.TakerAmount) for each order is greater // than the profit per unit sold of the matched order (OrderB.TakerAmount/OrderB.MakerAmount). // This is satisfied by the equations below: // / >= / // AND // / >= / // These equations can be combined to get the following: require( safeMul(leftOrder.makerAssetAmount, rightOrder.makerAssetAmount) >= safeMul(leftOrder.takerAssetAmount, rightOrder.takerAssetAmount), "NEGATIVE_SPREAD_REQUIRED" ); } /// @dev Calculates fill amounts for the matched orders. /// Each order is filled at their respective price point. However, the calculations are /// carried out as though the orders are both being filled at the right order's price point. /// The profit made by the leftOrder order goes to the taker (who matched the two orders). /// @param leftOrder First order to match. /// @param rightOrder Second order to match. /// @param leftOrderTakerAssetFilledAmount Amount of left order already filled. /// @param rightOrderTakerAssetFilledAmount Amount of right order already filled. /// @param matchedFillResults Amounts to fill and fees to pay by maker and taker of matched orders. function calculateMatchedFillResults( LibOrder.Order memory leftOrder, LibOrder.Order memory rightOrder, uint256 leftOrderTakerAssetFilledAmount, uint256 rightOrderTakerAssetFilledAmount ) internal 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: // <= * // <= * / // * <= * uint256 leftTakerAssetAmountRemaining = safeSub(leftOrder.takerAssetAmount, leftOrderTakerAssetFilledAmount); 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; // The right order receives an amount proportional to how much was spent. rightTakerAssetFilledAmount = getPartialAmount( rightOrder.takerAssetAmount, rightOrder.makerAssetAmount, leftTakerAssetFilledAmount ); } 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 = getPartialAmount( rightOrder.makerAssetAmount, rightOrder.takerAssetAmount, rightTakerAssetFilledAmount ); } // 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 ); // Return fill results return matchedFillResults; } /// @dev Settles matched order by transferring appropriate funds between order makers, taker, and fee recipient. /// @param leftOrder First matched order. /// @param rightOrder Second matched order. /// @param takerAddress Address that matched the orders. The taker receives the spread between orders as profit. /// @param matchedFillResults Struct holding amounts to transfer between makers, taker, and fee recipients. function settleMatchedOrders( LibOrder.Order memory leftOrder, LibOrder.Order memory rightOrder, address takerAddress, LibFillResults.MatchedFillResults memory matchedFillResults ) private { bytes memory zrxAssetData = ZRX_ASSET_DATA; // Order makers and taker dispatchTransferFrom( leftOrder.makerAssetData, leftOrder.makerAddress, rightOrder.makerAddress, matchedFillResults.right.takerAssetFilledAmount ); dispatchTransferFrom( rightOrder.makerAssetData, rightOrder.makerAddress, leftOrder.makerAddress, matchedFillResults.left.takerAssetFilledAmount ); dispatchTransferFrom( leftOrder.makerAssetData, leftOrder.makerAddress, takerAddress, matchedFillResults.leftMakerAssetSpreadAmount ); // Maker fees dispatchTransferFrom( zrxAssetData, leftOrder.makerAddress, leftOrder.feeRecipientAddress, matchedFillResults.left.makerFeePaid ); dispatchTransferFrom( zrxAssetData, rightOrder.makerAddress, rightOrder.feeRecipientAddress, matchedFillResults.right.makerFeePaid ); // Taker fees if (leftOrder.feeRecipientAddress == rightOrder.feeRecipientAddress) { dispatchTransferFrom( zrxAssetData, takerAddress, leftOrder.feeRecipientAddress, safeAdd( matchedFillResults.left.takerFeePaid, matchedFillResults.right.takerFeePaid ) ); } else { dispatchTransferFrom( zrxAssetData, takerAddress, leftOrder.feeRecipientAddress, matchedFillResults.left.takerFeePaid ); dispatchTransferFrom( zrxAssetData, takerAddress, rightOrder.feeRecipientAddress, matchedFillResults.right.takerFeePaid ); } } }