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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';
import {
AssetBuyerError,
BuyQuote,
BuyQuoteInfo,
InsufficientAssetLiquidityError,
OrdersAndFillableAmounts,
} from '../types';
import { orderUtils } from './order_utils';
// Calculates a buy quote for orders that have WETH as the takerAsset
export const buyQuoteCalculator = {
calculate(
ordersAndFillableAmounts: OrdersAndFillableAmounts,
feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
assetBuyAmount: BigNumber,
feePercentage: number,
slippagePercentage: number,
isMakerAssetZrxToken: boolean,
): BuyQuote {
const orders = ordersAndFillableAmounts.orders;
const remainingFillableMakerAssetAmounts = ordersAndFillableAmounts.remainingFillableMakerAssetAmounts;
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,
ordersRemainingFillableMakerAssetAmounts,
} = marketUtils.findOrdersThatCoverMakerAssetFillAmount(orders, assetBuyAmount, {
remainingFillableMakerAssetAmounts,
slippageBufferAmount,
});
// if we do not have enough orders to cover the desired assetBuyAmount, throw
if (remainingFillAmount.gt(constants.ZERO_AMOUNT)) {
// 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)
// 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
let resultFeeOrders = [] as SignedOrder[];
let feeOrdersRemainingFillableMakerAssetAmounts = [] as BigNumber[];
if (!isMakerAssetZrxToken) {
const feeOrdersAndRemainingFeeAmount = marketUtils.findFeeOrdersThatCoverFeesForTargetOrders(
resultOrders,
feeOrders,
{
remainingFillableMakerAssetAmounts: ordersRemainingFillableMakerAssetAmounts,
remainingFillableFeeAmounts,
},
);
// if we do not have enough feeOrders to cover the fees, throw
if (feeOrdersAndRemainingFeeAmount.remainingFeeAmount.gt(constants.ZERO_AMOUNT)) {
throw new Error(AssetBuyerError.InsufficientZrxLiquidity);
}
resultFeeOrders = feeOrdersAndRemainingFeeAmount.resultFeeOrders;
feeOrdersRemainingFillableMakerAssetAmounts =
feeOrdersAndRemainingFeeAmount.feeOrdersRemainingFillableMakerAssetAmounts;
}
// assetData information for the result
const assetData = orders[0].makerAssetData;
// 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 bestCaseQuoteInfo = calculateQuoteInfo(
trimmedOrdersAndFillableAmounts,
trimmedFeeOrdersAndFillableAmounts,
assetBuyAmount,
feePercentage,
isMakerAssetZrxToken,
);
// in order to calculate the maxRate, reverse the ordersAndFillableAmounts such that they are sorted from worst rate to best rate
const worstCaseQuoteInfo = calculateQuoteInfo(
reverseOrdersAndFillableAmounts(trimmedOrdersAndFillableAmounts),
reverseOrdersAndFillableAmounts(trimmedFeeOrdersAndFillableAmounts),
assetBuyAmount,
feePercentage,
isMakerAssetZrxToken,
);
return {
assetData,
orders: resultOrders,
feeOrders: resultFeeOrders,
bestCaseQuoteInfo,
worstCaseQuoteInfo,
assetBuyAmount,
feePercentage,
};
},
};
function calculateQuoteInfo(
ordersAndFillableAmounts: OrdersAndFillableAmounts,
feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
assetBuyAmount: BigNumber,
feePercentage: number,
isMakerAssetZrxToken: boolean,
): BuyQuoteInfo {
// find the total eth and zrx needed to buy assetAmount from the resultOrders from left to right
let assetEthAmount = constants.ZERO_AMOUNT;
let zrxEthAmount = constants.ZERO_AMOUNT;
if (isMakerAssetZrxToken) {
assetEthAmount = findEthAmountNeededToBuyZrx(ordersAndFillableAmounts, assetBuyAmount);
} else {
// find eth and zrx amounts needed to buy
const ethAndZrxAmountToBuyAsset = findEthAndZrxAmountNeededToBuyAsset(ordersAndFillableAmounts, assetBuyAmount);
assetEthAmount = ethAndZrxAmountToBuyAsset[0];
const zrxAmountToBuyAsset = ethAndZrxAmountToBuyAsset[1];
// find eth amount needed to buy zrx
zrxEthAmount = findEthAmountNeededToBuyZrx(feeOrdersAndFillableAmounts, zrxAmountToBuyAsset);
}
// eth amount needed to buy the affiliate fee
const affiliateFeeEthAmount = assetEthAmount.mul(feePercentage).ceil();
// eth amount needed for fees is the sum of affiliate fee and zrx fee
const feeEthAmount = affiliateFeeEthAmount.plus(zrxEthAmount);
// eth amount needed in total is the sum of the amount needed for the asset and the amount needed for fees
const totalEthAmount = assetEthAmount.plus(feeEthAmount);
return {
assetEthAmount,
feeEthAmount,
totalEthAmount,
};
}
// 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 findEthAmountNeededToBuyZrx(
feeOrdersAndFillableAmounts: OrdersAndFillableAmounts,
zrxBuyAmount: BigNumber,
): BigNumber {
const { orders, remainingFillableMakerAssetAmounts } = feeOrdersAndFillableAmounts;
const result = _.reduce(
orders,
(acc, order, index) => {
const { totalEthAmount, remainingZrxBuyAmount } = acc;
const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
const makerFillAmount = BigNumber.min(remainingZrxBuyAmount, remainingFillableMakerAssetAmount);
const [takerFillAmount, adjustedMakerFillAmount] = orderUtils.getTakerFillAmountForFeeOrder(
order,
makerFillAmount,
);
const extraFeeAmount = remainingFillableMakerAssetAmount.greaterThanOrEqualTo(adjustedMakerFillAmount)
? constants.ZERO_AMOUNT
: adjustedMakerFillAmount.sub(makerFillAmount);
return {
totalEthAmount: totalEthAmount.plus(takerFillAmount),
remainingZrxBuyAmount: BigNumber.max(
constants.ZERO_AMOUNT,
remainingZrxBuyAmount.minus(makerFillAmount).plus(extraFeeAmount),
),
};
},
{
totalEthAmount: constants.ZERO_AMOUNT,
remainingZrxBuyAmount: zrxBuyAmount,
},
);
return result.totalEthAmount;
}
function findEthAndZrxAmountNeededToBuyAsset(
ordersAndFillableAmounts: OrdersAndFillableAmounts,
assetBuyAmount: BigNumber,
): [BigNumber, BigNumber] {
const { orders, remainingFillableMakerAssetAmounts } = ordersAndFillableAmounts;
const result = _.reduce(
orders,
(acc, order, index) => {
const { totalEthAmount, totalZrxAmount, remainingAssetBuyAmount } = acc;
const remainingFillableMakerAssetAmount = remainingFillableMakerAssetAmounts[index];
const makerFillAmount = BigNumber.min(acc.remainingAssetBuyAmount, remainingFillableMakerAssetAmount);
const takerFillAmount = orderUtils.getTakerFillAmount(order, makerFillAmount);
const takerFeeAmount = orderUtils.getTakerFeeAmount(order, takerFillAmount);
return {
totalEthAmount: totalEthAmount.plus(takerFillAmount),
totalZrxAmount: totalZrxAmount.plus(takerFeeAmount),
remainingAssetBuyAmount: BigNumber.max(
constants.ZERO_AMOUNT,
remainingAssetBuyAmount.minus(makerFillAmount),
),
};
},
{
totalEthAmount: constants.ZERO_AMOUNT,
totalZrxAmount: constants.ZERO_AMOUNT,
remainingAssetBuyAmount: assetBuyAmount,
},
);
return [result.totalEthAmount, result.totalZrxAmount];
}
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