From a3d93d17cdefc2258a9f08e6fc680df1fb2b8456 Mon Sep 17 00:00:00 2001 From: Steve Klebanoff Date: Fri, 14 Dec 2018 10:23:01 -0800 Subject: Factor in slippage amount in InsufficientAssetLiquidityError error, and show in instant --- packages/asset-buyer/src/index.ts | 1 + packages/asset-buyer/src/types.ts | 6 ++--- .../asset-buyer/src/utils/buy_quote_calculator.ts | 17 +++++++++++-- .../asset-buyer/test/buy_quote_calculator_test.ts | 28 ++++++++++++++++++++++ packages/asset-buyer/test/utils/test_helpers.ts | 4 ++-- packages/instant/src/constants.ts | 1 + packages/instant/src/util/asset.ts | 17 ++++++++++++- packages/instant/src/util/buy_quote_updater.ts | 7 +++++- 8 files changed, 72 insertions(+), 9 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(); diff --git a/packages/instant/src/constants.ts b/packages/instant/src/constants.ts index f83eb4ac7..2417c8615 100644 --- a/packages/instant/src/constants.ts +++ b/packages/instant/src/constants.ts @@ -16,6 +16,7 @@ export const ONE_SECOND_MS = 1000; export const ONE_MINUTE_MS = ONE_SECOND_MS * 60; export const GIT_SHA = process.env.GIT_SHA; export const NODE_ENV = process.env.NODE_ENV; +export const SLIPPAGE_PERCENTAGE = 0.2; export const NPM_PACKAGE_VERSION = process.env.NPM_PACKAGE_VERSION; export const ACCOUNT_UPDATE_INTERVAL_TIME_MS = ONE_SECOND_MS * 5; export const BUY_QUOTE_UPDATE_INTERVAL_TIME_MS = ONE_SECOND_MS * 15; diff --git a/packages/instant/src/util/asset.ts b/packages/instant/src/util/asset.ts index 13f84ef74..5e83e7e6d 100644 --- a/packages/instant/src/util/asset.ts +++ b/packages/instant/src/util/asset.ts @@ -1,7 +1,10 @@ -import { AssetBuyerError } from '@0x/asset-buyer'; +import { AssetBuyerError, InsufficientAssetLiquidityError } from '@0x/asset-buyer'; import { AssetProxyId, ObjectMap } from '@0x/types'; +import { BigNumber } from '@0x/utils'; +import { Web3Wrapper } from '@0x/web3-wrapper'; import * as _ from 'lodash'; +import { BIG_NUMBER_ZERO } from '../constants'; import { assetDataNetworkMapping } from '../data/asset_data_network_mapping'; import { Asset, AssetMetaData, ERC20Asset, Network, ZeroExInstantError } from '../types'; @@ -110,6 +113,18 @@ export const assetUtils = { assetBuyerErrorMessage: (asset: ERC20Asset, error: Error): string | undefined => { if (error.message === AssetBuyerError.InsufficientAssetLiquidity) { const assetName = assetUtils.bestNameForAsset(asset, 'of this asset'); + if (error instanceof InsufficientAssetLiquidityError) { + const unitAmountAvailableToFill = Web3Wrapper.toUnitAmount( + error.amountAvailableToFill, + asset.metaData.decimals, + ); + const roundedUnitAmountAvailableToFill = unitAmountAvailableToFill.round(2, BigNumber.ROUND_DOWN); + + if (roundedUnitAmountAvailableToFill.greaterThan(BIG_NUMBER_ZERO)) { + return `There are only ${roundedUnitAmountAvailableToFill} ${assetName} available to buy`; + } + } + return `Not enough ${assetName} available`; } else if (error.message === AssetBuyerError.InsufficientZrxLiquidity) { return 'Not enough ZRX available'; diff --git a/packages/instant/src/util/buy_quote_updater.ts b/packages/instant/src/util/buy_quote_updater.ts index 6191c92e3..37974e71c 100644 --- a/packages/instant/src/util/buy_quote_updater.ts +++ b/packages/instant/src/util/buy_quote_updater.ts @@ -5,6 +5,7 @@ import * as _ from 'lodash'; import { Dispatch } from 'redux'; import { oc } from 'ts-optchain'; +import { SLIPPAGE_PERCENTAGE } from '../constants'; import { Action, actions } from '../redux/actions'; import { AffiliateInfo, ERC20Asset, QuoteFetchOrigin } from '../types'; import { analytics } from '../util/analytics'; @@ -33,8 +34,12 @@ export const buyQuoteUpdater = { } const feePercentage = oc(options.affiliateInfo).feePercentage(); let newBuyQuote: BuyQuote | undefined; + const slippagePercentage = SLIPPAGE_PERCENTAGE; try { - newBuyQuote = await assetBuyer.getBuyQuoteAsync(asset.assetData, baseUnitValue, { feePercentage }); + newBuyQuote = await assetBuyer.getBuyQuoteAsync(asset.assetData, baseUnitValue, { + feePercentage, + slippagePercentage, + }); } catch (error) { const errorMessage = assetUtils.assetBuyerErrorMessage(asset, error); -- cgit