Factor in slippage amount in InsufficientAssetLiquidityError error, and show in instant

5 files changed, 49 insertions, 7 deletions

diff --git a/packages/asset-buyer/src/index.ts b/packages/asset-buyer/src/index.ts
index 8418edb42..59515e24f 100644
--- a/packages/asset-buyer/src/index.ts
+++ b/packages/asset-buyer/src/index.ts
@@ -18,6 +18,7 @@ export {
     BuyQuoteExecutionOpts,
     BuyQuoteInfo,
     BuyQuoteRequestOpts,
+    InsufficientAssetLiquidityError,
     OrderProvider,
     OrderProviderRequest,
     OrderProviderResponse,
diff --git a/packages/asset-buyer/src/types.ts b/packages/asset-buyer/src/types.ts
index dfa17a22d..d435f337e 100644
--- a/packages/asset-buyer/src/types.ts
+++ b/packages/asset-buyer/src/types.ts
@@ -118,10 +118,10 @@ export enum AssetBuyerError {
 }
 
 export class InsufficientAssetLiquidityError extends Error {
-    public numAssetsAvailable: BigNumber;
-    constructor(numAssetsAvailable: BigNumber) {
+    public amountAvailableToFill: BigNumber;
+    constructor(amountAvailableToFill: BigNumber) {
         super(AssetBuyerError.InsufficientAssetLiquidity);
-        this.numAssetsAvailable = numAssetsAvailable;
+        this.amountAvailableToFill = amountAvailableToFill;
         // Setting prototype so instanceof works.  See https://github.com/Microsoft/TypeScript/wiki/Breaking-Changes#extending-built-ins-like-error-array-and-map-may-no-longer-work
         Object.setPrototypeOf(this, InsufficientAssetLiquidityError.prototype);
     }
diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
index e52c9c5bf..23d3e9b24 100644
--- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -1,5 +1,6 @@
 import { marketUtils, SignedOrder } from '@0x/order-utils';
 import { BigNumber } from '@0x/utils';
+import { Web3Wrapper } from '@0x/web3-wrapper';
 import * as _ from 'lodash';
 
 import { constants } from '../constants';
@@ -39,8 +40,20 @@ export const buyQuoteCalculator = {
         });
         // if we do not have enough orders to cover the desired assetBuyAmount, throw
         if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
-            const amountRemaining = assetBuyAmount.minus(remainingFillAmount);
-            throw new InsufficientAssetLiquidityError(amountRemaining);
+            // We needed the amount they requested to buy, plus the amount for slippage
+            const totalAmountRequested = assetBuyAmount.plus(slippageBufferAmount);
+            const amountUnableToFill = totalAmountRequested.minus(remainingFillAmount);
+            // multiplerNeededWithSlippage represents what we need to multiply the assetBuyAmount by
+            // in order to get the total amount needed considering slippage
+            // i.e. if slippagePercent was 0.2 (20%), multiplerNeededWithSlippage would be 1.2
+            const multiplerNeededWithSlippage = new BigNumber(1).plus(slippagePercentage);
+            // Given amountAvailableToFillConsideringSlippage * multiplerNeededWithSlippage = amountUnableToFill
+            // We divide amountUnableToFill by multiplerNeededWithSlippage to determine amountAvailableToFillConsideringSlippage
+            const amountAvailableToFillConsideringSlippage = amountUnableToFill
+                .div(multiplerNeededWithSlippage)
+                .round(0, BigNumber.ROUND_DOWN);
+
+            throw new InsufficientAssetLiquidityError(amountAvailableToFillConsideringSlippage);
         }
         // if we are not buying ZRX:
         // given the orders calculated above, find the fee-orders that cover the desired assetBuyAmount (with slippage)
diff --git a/packages/asset-buyer/test/buy_quote_calculator_test.ts b/packages/asset-buyer/test/buy_quote_calculator_test.ts
index 1dd829a0f..98458cd5b 100644
--- a/packages/asset-buyer/test/buy_quote_calculator_test.ts
+++ b/packages/asset-buyer/test/buy_quote_calculator_test.ts
@@ -81,6 +81,34 @@ describe('buyQuoteCalculator', () => {
             };
             testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(400));
         });
+        it('should throw if not enough maker asset liquidity (multiple orders with 20% slippage)', () => {
+            // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
+            const errorFunction = () => {
+                buyQuoteCalculator.calculate(
+                    ordersAndFillableAmounts,
+                    smallFeeOrderAndFillableAmount,
+                    new BigNumber(500),
+                    0,
+                    0.2,
+                    false,
+                );
+            };
+            testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(333));
+        });
+        it('should throw if not enough maker asset liquidity (multiple orders with 5% slippage)', () => {
+            // we have 400 makerAsset units available to fill but attempt to calculate a quote for 500 makerAsset units
+            const errorFunction = () => {
+                buyQuoteCalculator.calculate(
+                    ordersAndFillableAmounts,
+                    smallFeeOrderAndFillableAmount,
+                    new BigNumber(600),
+                    0,
+                    0.05,
+                    false,
+                );
+            };
+            testHelpers.expectInsufficientLiquidityError(expect, errorFunction, new BigNumber(380));
+        });
         it('should throw if not enough maker asset liquidity (partially filled order)', () => {
             const firstOrderAndFillableAmount: OrdersAndFillableAmounts = {
                 orders: [firstOrder],
diff --git a/packages/asset-buyer/test/utils/test_helpers.ts b/packages/asset-buyer/test/utils/test_helpers.ts
index fd1313ac8..b99906792 100644
--- a/packages/asset-buyer/test/utils/test_helpers.ts
+++ b/packages/asset-buyer/test/utils/test_helpers.ts
@@ -6,7 +6,7 @@ export const testHelpers = {
     expectInsufficientLiquidityError: (
         expect: Chai.ExpectStatic,
         functionWhichTriggersError: () => void,
-        expectedNumAvailable: BigNumber,
+        expectedAmountAvailableToFill: BigNumber,
     ): void => {
         let errorThrown = false;
         try {
@@ -14,7 +14,7 @@ export const testHelpers = {
         } catch (e) {
             errorThrown = true;
             expect(e).to.be.instanceOf(InsufficientAssetLiquidityError);
-            expect(e.numAssetsAvailable).to.be.bignumber.equal(expectedNumAvailable);
+            expect(e.amountAvailableToFill).to.be.bignumber.equal(expectedAmountAvailableToFill);
         }
 
         expect(errorThrown).to.be.true();