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import { orderFactory } from '@0x/order-utils/lib/src/order_factory';
import { BigNumber } from '@0x/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 expectedEthAmountForAsset = new BigNumber(50);
const expectedEthAmountForZrxFees = new BigNumber(100);
const expectedFillEthAmount = expectedEthAmountForAsset.plus(expectedEthAmountForZrxFees);
const expectedFeeEthAmount = expectedEthAmountForAsset.mul(feePercentage);
const expectedTotalEthAmount = expectedFillEthAmount.plus(expectedFeeEthAmount);
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 expectedEthAmountForAsset = new BigNumber(50);
const expectedEthAmountForZrxFees = new BigNumber(100);
const expectedFillEthAmount = expectedEthAmountForAsset.plus(expectedEthAmountForZrxFees);
const expectedFeeEthAmount = expectedEthAmountForAsset.mul(feePercentage);
const expectedTotalEthAmount = expectedFillEthAmount.plus(expectedFeeEthAmount);
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 expectedWorstEthAmountForAsset = new BigNumber(100);
const expectedWorstEthAmountForZrxFees = new BigNumber(200);
const expectedWorstFillEthAmount = expectedWorstEthAmountForAsset.plus(expectedWorstEthAmountForZrxFees);
const expectedWorstFeeEthAmount = expectedWorstEthAmountForAsset.mul(feePercentage);
const expectedWorstTotalEthAmount = expectedWorstFillEthAmount.plus(expectedWorstFeeEthAmount);
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);
});
});
});
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