Add buy_quote_calculator_test

2 files changed, 246 insertions, 31 deletions

diff --git a/packages/asset-buyer/src/utils/buy_quote_calculator.ts b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
index b706ea143..53f2228e9 100644
--- a/packages/asset-buyer/src/utils/buy_quote_calculator.ts
+++ b/packages/asset-buyer/src/utils/buy_quote_calculator.ts
@@ -1,4 +1,4 @@
-import { marketUtils } from '@0xproject/order-utils';
+import { marketUtils, rateUtils } from '@0xproject/order-utils';
 import { BigNumber } from '@0xproject/utils';
 import * as _ from 'lodash';
 
@@ -21,6 +21,7 @@ export const buyQuoteCalculator = {
         const feeOrders = feeOrdersAndFillableAmounts.orders;
         const remainingFillableFeeAmounts = feeOrdersAndFillableAmounts.remainingFillableMakerAssetAmounts;
         const slippageBufferAmount = assetBuyAmount.mul(slippagePercentage).round();
+        // find the orders that cover the desired assetBuyAmount (with slippage)
         const {
             resultOrders,
             remainingFillAmount,
@@ -29,9 +30,11 @@ export const buyQuoteCalculator = {
             remainingFillableMakerAssetAmounts,
             slippageBufferAmount,
         });
+        // if we do not have enough orders to cover the desired assetBuyAmount, throw
         if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
             throw new Error(AssetBuyerError.InsufficientAssetLiquidity);
         }
+        // given the orders calculated above, find the fee-orders that cover the desired assetBuyAmount (with slippage)
         // 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
@@ -40,49 +43,131 @@ export const buyQuoteCalculator = {
             remainingFeeAmount,
             feeOrdersRemainingFillableMakerAssetAmounts,
         } = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(resultOrders, feeOrders, {
-            remainingFillableMakerAssetAmounts,
+            remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts,
             remainingFillableFeeAmounts,
         });
+        // if we do not have enough feeOrders to cover the fees, throw
         if (remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
             throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
         }
+        // assetData information for the result
         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,
+        // compile the resulting trimmed set of orders for makerAsset and feeOrders that are needed for assetBuyAmount
+        const trimmedOrdersAndFillableAmounts: OrdersAndFillableAmounts = {
+            orders: resultOrders,
+            remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts,
+        };
+        const trimmedFeeOrdersAndFillableAmounts: OrdersAndFillableAmounts = {
+            orders: resultFeeOrders,
+            remainingFillableMakerAssetAmounts: feeOrdersRemainingFillableMakerAssetAmounts,
+        };
+        const minRate = calculateRate(
+            trimmedOrdersAndFillableAmounts,
+            trimmedFeeOrdersAndFillableAmounts,
+            assetBuyAmount,
+            feePercentage,
+        );
+        // in order to calculate the maxRate, reverse the ordersAndFillableAmounts such that they are sorted from worst rate to best rate
+        const maxRate = calculateRate(
+            reverseOrdersAndFillableAmounts(trimmedOrdersAndFillableAmounts),
+            reverseOrdersAndFillableAmounts(trimmedFeeOrdersAndFillableAmounts),
+            assetBuyAmount,
+            feePercentage,
         );
-        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,
+            minRate,
+            maxRate,
             assetBuyAmount,
             feePercentage,
         };
     },
 };
+
+function calculateRate(
+    ordersAndFillableAmounts: OrdersAndFillableAmounts,
+    feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
+    assetBuyAmount: BigNumber,
+    feePercentage: number,
+): BigNumber {
+    // find the total eth and zrx needed to buy assetAmount from the resultOrders from left to right (best rate to worst rate)
+    const [minEthAmountToBuyAsset, minZrxAmountToBuyAsset] = findEthAndZrxAmountNeededToBuyAsset(
+        ordersAndFillableAmounts,
+        assetBuyAmount,
+    );
+    // find the total eth needed to buy fees
+    const minEthAmountToBuyFees = findEthAmountNeededToBuyFees(feeOrdersAndFillableAmounts, minZrxAmountToBuyAsset);
+    const finalMinEthAmount = minEthAmountToBuyAsset.plus(minEthAmountToBuyFees).mul(feePercentage + 1);
+    // divide into the assetBuyAmount in order to find rate of makerAsset / WETH
+    const result = assetBuyAmount.div(finalMinEthAmount);
+    return result;
+}
+
+// given an OrdersAndFillableAmounts, reverse the orders and remainingFillableMakerAssetAmounts properties
+function reverseOrdersAndFillableAmounts(ordersAndFillableAmounts: OrdersAndFillableAmounts): OrdersAndFillableAmounts {
+    const ordersCopy = _.clone(ordersAndFillableAmounts.orders);
+    const remainingFillableMakerAssetAmountsCopy = _.clone(ordersAndFillableAmounts.remainingFillableMakerAssetAmounts);
+    return {
+        orders: ordersCopy.reverse(),
+        remainingFillableMakerAssetAmounts: remainingFillableMakerAssetAmountsCopy.reverse(),
+    };
+}
+
+function findEthAmountNeededToBuyFees(
+    feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
+    feeAmount: BigNumber,
+): BigNumber {
+    const { orders, remainingFillableMakerAssetAmounts } = feeOrdersAndFillableAmounts;
+    const result = _.reduce(
+        orders,
+        (acc, order, index) => {
+            const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
+            const amountToFill = BigNumber.min(acc.remainingFeeAmount, remainingFillableMakerAssetAmount);
+            const feeAdjustedRate = rateUtils.getFeeAdjustedRateOfFeeOrder(order);
+            const ethAmountForThisOrder = feeAdjustedRate.mul(amountToFill);
+            return {
+                ethAmount: acc.ethAmount.plus(ethAmountForThisOrder),
+                remainingFeeAmount: BigNumber.max(constants.ZERO_AMOUNT, acc.remainingFeeAmount.minus(amountToFill)),
+            };
+        },
+        {
+            ethAmount: constants.ZERO_AMOUNT,
+            remainingFeeAmount: feeAmount,
+        },
+    );
+    return result.ethAmount;
+}
+
+function findEthAndZrxAmountNeededToBuyAsset(
+    ordersAndFillableAmounts: OrdersAndFillableAmounts,
+    assetBuyAmount: BigNumber,
+): [BigNumber, BigNumber] {
+    const { orders, remainingFillableMakerAssetAmounts } = ordersAndFillableAmounts;
+    const result = _.reduce(
+        orders,
+        (acc, order, index) => {
+            const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
+            const amountToFill = BigNumber.min(acc.remainingAssetBuyAmount, remainingFillableMakerAssetAmount);
+            const ethAmountForThisOrder = amountToFill
+                .mul(order.takerAssetAmount)
+                .dividedToIntegerBy(order.makerAssetAmount);
+            const zrxAmountForThisOrder = amountToFill.mul(order.takerFee).dividedToIntegerBy(order.makerAssetAmount);
+            return {
+                ethAmount: acc.ethAmount.plus(ethAmountForThisOrder),
+                zrxAmount: acc.ethAmount.plus(zrxAmountForThisOrder),
+                remainingAssetBuyAmount: BigNumber.max(
+                    constants.ZERO_AMOUNT,
+                    acc.remainingAssetBuyAmount.minus(amountToFill),
+                ),
+            };
+        },
+        {
+            ethAmount: constants.ZERO_AMOUNT,
+            zrxAmount: constants.ZERO_AMOUNT,
+            remainingAssetBuyAmount: assetBuyAmount,
+        },
+    );
+    return [result.ethAmount, result.zrxAmount];
+}
diff --git a/packages/asset-buyer/test/buy_quote_calculator_test.ts b/packages/asset-buyer/test/buy_quote_calculator_test.ts
new file mode 100644
index 000000000..2cad1ab05
--- /dev/null
+++ b/packages/asset-buyer/test/buy_quote_calculator_test.ts
@@ -0,0 +1,130 @@
+import { orderFactory } from '@0xproject/order-utils/lib/src/order_factory';
+import { BigNumber } from '@0xproject/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;
+
+const NULL_ADDRESS = '0x0000000000000000000000000000000000000000';
+const NULL_BYTES = '0x';
+
+// tslint:disable:custom-no-magic-numbers
+describe('buyQuoteCalculator', () => {
+    describe('#calculate', () => {
+        let ordersAndFillableAmounts: OrdersAndFillableAmounts;
+        let feeOrdersAndFillableAmounts: 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.createOrder(
+                NULL_ADDRESS,
+                new BigNumber(400),
+                NULL_BYTES,
+                new BigNumber(100),
+                NULL_BYTES,
+                NULL_ADDRESS,
+                {
+                    takerFee: new BigNumber(200),
+                },
+            );
+            const firstRemainingFillAmount = new BigNumber(200);
+            const secondOrder = orderFactory.createOrder(
+                NULL_ADDRESS,
+                new BigNumber(200),
+                NULL_BYTES,
+                new BigNumber(100),
+                NULL_BYTES,
+                NULL_ADDRESS,
+                {
+                    takerFee: new BigNumber(100),
+                },
+            );
+            const secondRemainingFillAmount = secondOrder.makerAssetAmount;
+            const signedOrders = _.map([firstOrder, secondOrder], order => {
+                return {
+                    ...order,
+                    signature: NULL_BYTES,
+                };
+            });
+            ordersAndFillableAmounts = {
+                orders: signedOrders,
+                remainingFillableMakerAssetAmounts: [firstRemainingFillAmount, secondRemainingFillAmount],
+            };
+            const feeOrder = orderFactory.createOrder(
+                NULL_ADDRESS,
+                new BigNumber(100),
+                NULL_BYTES,
+                new BigNumber(100),
+                NULL_BYTES,
+                NULL_ADDRESS,
+            );
+            const signedFeeOrder = {
+                ...feeOrder,
+                signature: NULL_BYTES,
+            };
+            feeOrdersAndFillableAmounts = {
+                orders: [signedFeeOrder],
+                remainingFillableMakerAssetAmounts: [signedFeeOrder.makerAssetAmount],
+            };
+        });
+        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,
+                    feeOrdersAndFillableAmounts,
+                    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,
+                    feeOrdersAndFillableAmounts,
+                    new BigNumber(300),
+                    0,
+                    0,
+                ),
+            ).to.throw(AssetBuyerError.InsufficientZrxLiquidity);
+        });
+        it('calculates a correct buyQuote', () => {
+            // 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,
+                feeOrdersAndFillableAmounts,
+                assetBuyAmount,
+                feePercentage,
+                slippagePercentage,
+            );
+            // test if orders are correct
+            expect(buyQuote.orders).to.deep.equal([ordersAndFillableAmounts.orders[0]]);
+            expect(buyQuote.feeOrders).to.deep.equal([feeOrdersAndFillableAmounts.orders[0]]);
+            // test if rates are correct
+            const expectedMinEthToFill = new BigNumber(150);
+            const expectedMinRate = assetBuyAmount.div(expectedMinEthToFill.mul(feePercentage + 1));
+            expect(buyQuote.minRate).to.bignumber.equal(expectedMinRate);
+            // because we have no slippage protection, minRate is equal to maxRate
+            expect(buyQuote.maxRate).to.bignumber.equal(expectedMinRate);
+            // test if feePercentage gets passed through
+            expect(buyQuote.feePercentage).to.equal(feePercentage);
+        });
+    });
+});