aboutsummaryrefslogtreecommitdiffstats
path: root/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol
diff options
context:
space:
mode:
authorAmir Bandeali <abandeali1@gmail.com>2018-06-27 10:12:43 +0800
committerAmir Bandeali <abandeali1@gmail.com>2018-06-30 09:05:40 +0800
commit2fcc36bbadcb8238ee292afc58c2cd460d1b69da (patch)
tree235d3f2b361194a2e9ba41c4981a35daa99ac863 /packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol
parent762c0143eb10306ca70b0f206e80eb9aed925f99 (diff)
downloaddexon-sol-tools-2fcc36bbadcb8238ee292afc58c2cd460d1b69da.tar.gz
dexon-sol-tools-2fcc36bbadcb8238ee292afc58c2cd460d1b69da.tar.zst
dexon-sol-tools-2fcc36bbadcb8238ee292afc58c2cd460d1b69da.zip
Update file structure
Diffstat (limited to 'packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol')
-rw-r--r--packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol301
1 files changed, 301 insertions, 0 deletions
diff --git a/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol b/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol
new file mode 100644
index 000000000..1a43eec79
--- /dev/null
+++ b/packages/contracts/src/2.0.0/protocol/Exchange/MixinMatchOrders.sol
@@ -0,0 +1,301 @@
+/*
+ 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.
+ /// TODO: Make this function external once supported by Solidity (See Solidity Issues #3199, #1603)
+ 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,
+ leftSignature
+ );
+ assertValidFill(
+ rightOrder,
+ rightOrderInfo,
+ takerAddress,
+ matchedFillResults.right.takerAssetFilledAmount,
+ matchedFillResults.right.takerAssetFilledAmount,
+ 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:
+ // <leftOrder.makerAssetAmount> / <leftOrder.takerAssetAmount> >= <rightOrder.takerAssetAmount> / <rightOrder.makerAssetAmount>
+ // AND
+ // <rightOrder.makerAssetAmount> / <rightOrder.takerAssetAmount> >= <leftOrder.takerAssetAmount> / <leftOrder.makerAssetAmount>
+ // 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:
+ // <leftTakerAssetAmountRemaining> <= <rightTakerAssetAmountRemaining> * <rightMakerToTakerRatio>
+ // <leftTakerAssetAmountRemaining> <= <rightTakerAssetAmountRemaining> * <rightOrder.makerAssetAmount> / <rightOrder.takerAssetAmount>
+ // <leftTakerAssetAmountRemaining> * <rightOrder.takerAssetAmount> <= <rightTakerAssetAmountRemaining> * <rightOrder.makerAssetAmount>
+ 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.
+ // TODO: Can we ensure rounding error is in the correct direction?
+ 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.
+ // TODO: Can we ensure rounding error is in the correct direction?
+ 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
+ );
+ }
+ }
+}