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import { marketUtils } from '@0xproject/order-utils';
import { BigNumber } from '@0xproject/utils';
import * as _ from 'lodash';
import { constants } from '../constants';
import { AssetBuyerError, BuyQuote, OrdersAndFillableAmounts } from '../types';
import { orderUtils } from './order_utils';
// Calculates a buy quote for orders that have WETH as the takerAsset
export const buyQuoteCalculator = {
calculate(
ordersAndFillableAmounts: OrdersAndFillableAmounts,
feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
assetBuyAmount: BigNumber,
feePercentage: number,
slippagePercentage: number,
): BuyQuote {
const orders = ordersAndFillableAmounts.orders;
const remainingFillableMakerAssetAmounts = ordersAndFillableAmounts.remainingFillableMakerAssetAmounts;
const feeOrders = feeOrdersAndFillableAmounts.orders;
const remainingFillableFeeAmounts = feeOrdersAndFillableAmounts.remainingFillableMakerAssetAmounts;
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,
};
},
};
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