Flesh out the AssetBuyer class

4 files changed, 263 insertions, 92 deletions

diff --git a/packages/asset-buyer/src/utils/assert.ts b/packages/asset-buyer/src/utils/assert.ts
new file mode 100644
index 000000000..c4d611477
--- /dev/null
+++ b/packages/asset-buyer/src/utils/assert.ts
@@ -0,0 +1,23 @@
+import { assert as sharedAssert } from '@0xproject/assert';
+import { schemas } from '@0xproject/json-schemas';
+import * as _ from 'lodash';
+
+import { BuyQuote, OrderFetcher } from '../types';
+
+export const assert = {
+    ...sharedAssert,
+    isValidBuyQuote(variableName: string, buyQuote: BuyQuote): void {
+        sharedAssert.isHexString(`${variableName}.assetData`, buyQuote.assetData);
+        sharedAssert.doesConformToSchema(`${variableName}.orders`, buyQuote.orders, schemas.signedOrdersSchema);
+        sharedAssert.doesConformToSchema(`${variableName}.feeOrders`, buyQuote.feeOrders, schemas.signedOrdersSchema);
+        sharedAssert.isBigNumber(`${variableName}.minRate`, buyQuote.minRate);
+        sharedAssert.isBigNumber(`${variableName}.maxRate`, buyQuote.maxRate);
+        sharedAssert.isBigNumber(`${variableName}.assetBuyAmount`, buyQuote.assetBuyAmount);
+        if (!_.isUndefined(buyQuote.feePercentage)) {
+            sharedAssert.isNumber(`${variableName}.feePercentage`, buyQuote.feePercentage);
+        }
+    },
+    isValidOrderFetcher(variableName: string, orderFetcher: OrderFetcher): void {
+        sharedAssert.isFunction(`${variableName}.fetchOrdersAsync`, orderFetcher.fetchOrdersAsync);
+    },
+};
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
new file mode 100644
index 000000000..e05ab1e55
--- /dev/null
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -0,0 +1,60 @@
+import { marketUtils } from '@0xproject/order-utils';
+import { BigNumber } from '@0xproject/utils';
+
+import { constants } from '../constants';
+import { AssetBuyerError, AssetBuyerOrdersAndFillableAmounts, BuyQuote } from '../types';
+
+export const buyQuoteCalculator = {
+    calculate(
+        ordersAndFillableAmounts: AssetBuyerOrdersAndFillableAmounts,
+        assetBuyAmount: BigNumber,
+        feePercentage: number,
+        slippagePercentage: number,
+    ): BuyQuote {
+        const {
+            orders,
+            feeOrders,
+            remainingFillableMakerAssetAmounts,
+            remainingFillableFeeAmounts,
+        } = ordersAndFillableAmounts;
+        const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
+        const { resultOrders, remainingFillAmount } = marketUtils.findOrdersThatCoverMakerAssetFillAmount(
+            orders,
+            assetBuyAmount,
+            {
+                remainingFillableMakerAssetAmounts,
+                slippageBufferAmount,
+            },
+        );
+        if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
+            throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
+        }
+        // TODO: 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 } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
+            resultOrders,
+            feeOrders,
+            {
+                remainingFillableMakerAssetAmounts,
+                remainingFillableFeeAmounts,
+            },
+        );
+        if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
+            throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
+        }
+        const assetData = orders[0].makerAssetData;
+        // TODO: critical
+        // 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
+        return {
+            assetData,
+            orders: resultOrders,
+            feeOrders: resultFeeOrders,
+            minRate: constants.ZERO_AMOUNT,
+            maxRate: constants.ZERO_AMOUNT,
+            assetBuyAmount,
+            feePercentage,
+        };
+    },
+};
diff --git a/packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts b/packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts
deleted file mode 100644
index d3cbb651a..000000000
--- a/packages/asset-buyer/src/utils/forwarder_helper_impl_config_utils.ts
+++ /dev/null
@@ -1,92 +0,0 @@
-// import { sortingUtils } from '@0xproject/order-utils';
-// import { SignedOrder } from '@0xproject/types';
-// import { BigNumber } from '@0xproject/utils';
-// import * as _ from 'lodash';
-
-// import { ForwarderHelperImplConfig } from '@0xproject/asset-buyer/src/asset_buyer';
-
-// interface SignedOrderWithAmount extends SignedOrder {
-//     remainingFillAmount: BigNumber;
-// }
-
-// export const forwarderHelperImplConfigUtils = {
-//     sortedConfig(config: ForwarderHelperImplConfig): ForwarderHelperImplConfig {
-//         const { orders, feeOrders, remainingFillableMakerAssetAmounts, remainingFillableFeeAmounts } = config;
-//         // TODO: provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens
-//         const orderSorter = (ordersToSort: SignedOrder[]) => {
-//             return sortingUtils.sortOrdersByFeeAdjustedRate(ordersToSort);
-//         };
-//         const sortOrdersResult = sortOrdersAndRemainingFillAmounts(
-//             orderSorter,
-//             orders,
-//             remainingFillableMakerAssetAmounts,
-//         );
-//         const feeOrderSorter = (ordersToSort: SignedOrder[]) => {
-//             return sortingUtils.sortFeeOrdersByFeeAdjustedRate(ordersToSort);
-//         };
-//         const sortFeeOrdersResult = sortOrdersAndRemainingFillAmounts(
-//             feeOrderSorter,
-//             feeOrders,
-//             remainingFillableFeeAmounts,
-//         );
-//         return {
-//             orders: sortOrdersResult.orders,
-//             feeOrders: sortFeeOrdersResult.orders,
-//             remainingFillableMakerAssetAmounts: sortOrdersResult.remainingFillAmounts,
-//             remainingFillableFeeAmounts: sortFeeOrdersResult.remainingFillAmounts,
-//         };
-//     },
-// };
-
-// type OrderSorter = (orders: SignedOrder[]) => SignedOrder[];
-
-// function sortOrdersAndRemainingFillAmounts(
-//     orderSorter: OrderSorter,
-//     orders: SignedOrder[],
-//     remainingFillAmounts?: BigNumber[],
-// ): { orders: SignedOrder[]; remainingFillAmounts?: BigNumber[] } {
-//     if (!_.isUndefined(remainingFillAmounts)) {
-//         // Bundle orders together with their remainingFillAmounts so that we can sort them together
-//         const orderWithAmounts = bundleSignedOrderWithAmounts(orders, remainingFillAmounts);
-//         // Sort
-//         const sortedOrderWithAmounts = orderSorter(orderWithAmounts) as SignedOrderWithAmount[];
-//         // Unbundle after sorting
-//         const unbundledSortedOrderWithAmounts = unbundleSignedOrderWithAmounts(sortedOrderWithAmounts);
-//         return {
-//             orders: unbundledSortedOrderWithAmounts.orders,
-//             remainingFillAmounts: unbundledSortedOrderWithAmounts.amounts,
-//         };
-//     } else {
-//         const sortedOrders = orderSorter(orders);
-//         return {
-//             orders: sortedOrders,
-//         };
-//     }
-// }
-
-// function bundleSignedOrderWithAmounts(orders: SignedOrder[], amounts: BigNumber[]): SignedOrderWithAmount[] {
-//     const ordersAndAmounts = _.map(orders, (order, index) => {
-//         return {
-//             ...order,
-//             remainingFillAmount: amounts[index],
-//         };
-//     });
-//     return ordersAndAmounts;
-// }
-
-// function unbundleSignedOrderWithAmounts(
-//     signedOrderWithAmounts: SignedOrderWithAmount[],
-// ): { orders: SignedOrder[]; amounts: BigNumber[] } {
-//     const orders = _.map(signedOrderWithAmounts, order => {
-//         const { remainingFillAmount, ...rest } = order;
-//         return rest;
-//     });
-//     const amounts = _.map(signedOrderWithAmounts, order => {
-//         const { remainingFillAmount } = order;
-//         return remainingFillAmount;
-//     });
-//     return {
-//         orders,
-//         amounts,
-//     };
-// }
diff --git a/packages/asset-buyer/src/utils/order_fetcher_response_processor.ts b/packages/asset-buyer/src/utils/order_fetcher_response_processor.ts
new file mode 100644
index 000000000..04c5355eb
--- /dev/null
+++ b/packages/asset-buyer/src/utils/order_fetcher_response_processor.ts
@@ -0,0 +1,180 @@
+import { OrderAndTraderInfo, OrderStatus, OrderValidatorWrapper } from '@0xproject/contract-wrappers';
+import { sortingUtils } from '@0xproject/order-utils';
+import { RemainingFillableCalculator } from '@0xproject/order-utils/lib/src/remaining_fillable_calculator';
+import { SignedOrder } from '@0xproject/types';
+import { BigNumber } from '@0xproject/utils';
+import * as _ from 'lodash';
+
+import { constants } from '../constants';
+import {
+    AssetBuyerOrdersAndFillableAmounts,
+    OrderFetcherResponse,
+    SignedOrderWithRemainingFillableMakerAssetAmount,
+} from '../types';
+
+import { orderUtils } from './order_utils';
+
+interface OrdersAndRemainingFillableMakerAssetAmounts {
+    orders: SignedOrder[];
+    remainingFillableMakerAssetAmounts: BigNumber[];
+}
+
+export const orderFetcherResponseProcessor = {
+    /**
+     * Take the responses for the target orders to buy and fee orders and process them.
+     * Processing includes:
+     * - Drop orders that are expired or not open orders (null taker address)
+     * - If shouldValidateOnChain, attempt to grab fillable amounts from on-chain otherwise assume completely fillable
+     * - Sort by rate
+     */
+    async processAsync(
+        targetOrderFetcherResponse: OrderFetcherResponse,
+        feeOrderFetcherResponse: OrderFetcherResponse,
+        zrxTokenAssetData: string,
+        orderValidator?: OrderValidatorWrapper,
+    ): Promise<AssetBuyerOrdersAndFillableAmounts> {
+        // drop orders that are expired or not open
+        const filteredTargetOrders = filterOutExpiredAndNonOpenOrders(targetOrderFetcherResponse.orders);
+        const filteredFeeOrders = filterOutExpiredAndNonOpenOrders(feeOrderFetcherResponse.orders);
+        // set the orders to be sorted equal to the filtered orders
+        let unsortedTargetOrders = filteredTargetOrders;
+        let unsortedFeeOrders = filteredFeeOrders;
+        // if an orderValidator is provided, use on chain information to calculate remaining fillable makerAsset amounts
+        if (!_.isUndefined(orderValidator)) {
+            // TODO: critical
+            // try catch these requests and throw a more domain specific error
+            // TODO: optimization
+            // reduce this to once RPC call buy combining orders into one array and then splitting up the response
+            const [targetOrdersAndTradersInfo, feeOrdersAndTradersInfo] = await Promise.all(
+                _.map([filteredTargetOrders, filteredFeeOrders], ordersToBeValidated => {
+                    const takerAddresses = _.map(ordersToBeValidated, () => constants.NULL_ADDRESS);
+                    return orderValidator.getOrdersAndTradersInfoAsync(ordersToBeValidated, takerAddresses);
+                }),
+            );
+            // take orders + on chain information and find the valid orders and remaining fillable maker asset amounts
+            unsortedTargetOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
+                filteredTargetOrders,
+                targetOrdersAndTradersInfo,
+                zrxTokenAssetData,
+            );
+            // take orders + on chain information and find the valid orders and remaining fillable maker asset amounts
+            unsortedFeeOrders = getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
+                filteredFeeOrders,
+                feeOrdersAndTradersInfo,
+                zrxTokenAssetData,
+            );
+        }
+        // sort orders by rate
+        // TODO: optimization
+        // provide a feeRate to the sorting function to more accurately sort based on the current market for ZRX tokens
+        const sortedTargetOrders = sortingUtils.sortOrdersByFeeAdjustedRate(unsortedTargetOrders);
+        const sortedFeeOrders = sortingUtils.sortFeeOrdersByFeeAdjustedRate(unsortedFeeOrders);
+        // unbundle orders and fillable amounts and compile final result
+        const targetOrdersAndRemainingFillableMakerAssetAmounts = unbundleOrdersWithAmounts(sortedTargetOrders);
+        const feeOrdersAndRemainingFillableMakerAssetAmounts = unbundleOrdersWithAmounts(sortedFeeOrders);
+        return {
+            orders: targetOrdersAndRemainingFillableMakerAssetAmounts.orders,
+            feeOrders: feeOrdersAndRemainingFillableMakerAssetAmounts.orders,
+            remainingFillableMakerAssetAmounts:
+                targetOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts,
+            remainingFillableFeeAmounts:
+                feeOrdersAndRemainingFillableMakerAssetAmounts.remainingFillableMakerAssetAmounts,
+        };
+    },
+};
+
+/**
+ * Given an array of orders, return a new array with expired and non open orders filtered out.
+ */
+function filterOutExpiredAndNonOpenOrders(
+    orders: SignedOrderWithRemainingFillableMakerAssetAmount[],
+): SignedOrderWithRemainingFillableMakerAssetAmount[] {
+    const result = _.filter(orders, order => {
+        return orderUtils.isOpenOrder(order) && orderUtils.isOrderExpired(order);
+    });
+    return result;
+}
+
+/**
+ * Given an array of orders and corresponding on-chain infos, return a subset of the orders
+ * that are still fillable orders with their corresponding remainingFillableMakerAssetAmounts.
+ */
+function getValidOrdersWithRemainingFillableMakerAssetAmountsFromOnChain(
+    inputOrders: SignedOrder[],
+    ordersAndTradersInfo: OrderAndTraderInfo[],
+    zrxAssetData: string,
+): SignedOrderWithRemainingFillableMakerAssetAmount[] {
+    // iterate through the input orders and find the ones that are still fillable
+    // for the orders that are still fillable, calculate the remaining fillable maker asset amount
+    const result = _.reduce(
+        inputOrders,
+        (accOrders, order, index) => {
+            // get corresponding on-chain state for the order
+            const { orderInfo, traderInfo } = ordersAndTradersInfo[index];
+            // if the order IS NOT fillable, do not add anything to the accumulations and continue iterating
+            if (orderInfo.orderStatus !== OrderStatus.FILLABLE) {
+                return accOrders;
+            }
+            // if the order IS fillable, add the order and calculate the remaining fillable amount
+            const transferrableAssetAmount = BigNumber.min([traderInfo.makerAllowance, traderInfo.makerBalance]);
+            const transferrableFeeAssetAmount = BigNumber.min([
+                traderInfo.makerZrxAllowance,
+                traderInfo.makerZrxBalance,
+            ]);
+            const remainingTakerAssetAmount = order.takerAssetAmount.minus(orderInfo.orderTakerAssetFilledAmount);
+            const remainingMakerAssetAmount = orderUtils.calculateRemainingMakerAssetAmount(
+                order,
+                remainingTakerAssetAmount,
+            );
+            const remainingFillableCalculator = new RemainingFillableCalculator(
+                order.makerFee,
+                order.makerAssetAmount,
+                order.makerAssetData === zrxAssetData,
+                transferrableAssetAmount,
+                transferrableFeeAssetAmount,
+                remainingMakerAssetAmount,
+            );
+            const remainingFillableAmount = remainingFillableCalculator.computeRemainingFillable();
+            // if the order does not have any remaining fillable makerAsset, do not add anything to the accumulations and continue iterating
+            if (remainingFillableAmount.lte(constants.ZERO_AMOUNT)) {
+                return accOrders;
+            }
+            const orderWithRemainingFillableMakerAssetAmount = {
+                ...order,
+                remainingFillableMakerAssetAmount: remainingFillableAmount,
+            };
+            const newAccOrders = _.concat(accOrders, orderWithRemainingFillableMakerAssetAmount);
+            return newAccOrders;
+        },
+        [] as SignedOrderWithRemainingFillableMakerAssetAmount[],
+    );
+    return result;
+}
+
+/**
+ * Given an array of orders with remaining fillable maker asset amounts. Unbundle into an instance of OrdersAndRemainingFillableMakerAssetAmounts.
+ * If an order is missing a corresponding remainingFillableMakerAssetAmount, assume it is completely fillable.
+ */
+function unbundleOrdersWithAmounts(
+    ordersWithAmounts: SignedOrderWithRemainingFillableMakerAssetAmount[],
+): OrdersAndRemainingFillableMakerAssetAmounts {
+    const result = _.reduce(
+        ordersWithAmounts,
+        (acc, orderWithAmount) => {
+            const { orders, remainingFillableMakerAssetAmounts } = acc;
+            const { remainingFillableMakerAssetAmount, ...order } = orderWithAmount;
+            // if we are still missing a remainingFillableMakerAssetAmount, assume the order is completely fillable
+            const newRemainingAmount = remainingFillableMakerAssetAmount || order.makerAssetAmount;
+            const newAcc = {
+                orders: _.concat(orders, order),
+                remainingFillableMakerAssetAmounts: _.concat(remainingFillableMakerAssetAmounts, newRemainingAmount),
+            };
+            return newAcc;
+        },
+        {
+            orders: [] as SignedOrder[],
+            remainingFillableMakerAssetAmounts: [] as BigNumber[],
+        },
+    );
+    return result;
+}