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refactor: update logic lo (#643)
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* refactor: update limit order payload

* bet

* bet

* bet

* bet

* fix

* fix

---------

Co-authored-by: le.cao <[email protected]>
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@hoanguyenkh @it4rb
hoanguyenkh and it4rb authored Dec 11, 2024
1 parent baf55e5 commit 8451faa
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Showing 6 changed files with 196 additions and 37 deletions.
3 changes: 1 addition & 2 deletions go.mod
View file
Original file line number Diff line number Diff line change
Expand Up @@ -22,7 +22,6 @@ require (
github.com/ethereum/go-ethereum v1.14.12
github.com/go-resty/resty/v2 v2.14.0
github.com/goccy/go-json v0.10.3
github.com/golang/mock v1.6.0
github.com/google/go-cmp v0.6.0
github.com/holiman/uint256 v1.3.1
github.com/klauspost/compress v1.17.8
Expand All @@ -31,6 +30,7 @@ require (
github.com/orcaman/concurrent-map v1.0.0
github.com/pkg/errors v0.9.1
github.com/samber/lo v1.38.1
github.com/shopspring/decimal v1.4.0
github.com/sirupsen/logrus v1.9.3
github.com/sourcegraph/conc v0.3.0
github.com/stretchr/testify v1.9.0
Expand Down Expand Up @@ -63,7 +63,6 @@ require (
github.com/mmcloughlin/addchain v0.4.0 // indirect
github.com/pmezard/go-difflib v1.0.0 // indirect
github.com/shirou/gopsutil v3.21.11+incompatible // indirect
github.com/shopspring/decimal v1.4.0 // indirect
github.com/supranational/blst v0.3.13 // indirect
github.com/syndtr/goleveldb v1.0.1-0.20210819022825-2ae1ddf74ef7 // indirect
github.com/tklauser/go-sysconf v0.3.14 // indirect
Expand Down
10 changes: 0 additions & 10 deletions go.sum
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Original file line number Diff line number Diff line change
Expand Up @@ -101,8 +101,6 @@ github.com/golang-jwt/jwt/v4 v4.5.1/go.mod h1:m21LjoU+eqJr34lmDMbreY2eSTRJ1cv77w
github.com/golang/glog v0.0.0-20160126235308-23def4e6c14b/go.mod h1:SBH7ygxi8pfUlaOkMMuAQtPIUF8ecWP5IEl/CR7VP2Q=
github.com/golang/glog v1.1.2 h1:DVjP2PbBOzHyzA+dn3WhHIq4NdVu3Q+pvivFICf/7fo=
github.com/golang/glog v1.1.2/go.mod h1:zR+okUeTbrL6EL3xHUDxZuEtGv04p5shwip1+mL/rLQ=
github.com/golang/mock v1.6.0 h1:ErTB+efbowRARo13NNdxyJji2egdxLGQhRaY+DUumQc=
github.com/golang/mock v1.6.0/go.mod h1:p6yTPP+5HYm5mzsMV8JkE6ZKdX+/wYM6Hr+LicevLPs=
github.com/golang/protobuf v1.2.0/go.mod h1:6lQm79b+lXiMfvg/cZm0SGofjICqVBUtrP5yJMmIC1U=
github.com/golang/protobuf v1.4.0-rc.1/go.mod h1:ceaxUfeHdC40wWswd/P6IGgMaK3YpKi5j83Wpe3EHw8=
github.com/golang/protobuf v1.4.0-rc.1.0.20200221234624-67d41d38c208/go.mod h1:xKAWHe0F5eneWXFV3EuXVDTCmh+JuBKY0li0aMyXATA=
Expand Down Expand Up @@ -231,7 +229,6 @@ github.com/vmihailenco/tagparser/v2 v2.0.0 h1:y09buUbR+b5aycVFQs/g70pqKVZNBmxwAh
github.com/vmihailenco/tagparser/v2 v2.0.0/go.mod h1:Wri+At7QHww0WTrCBeu4J6bNtoV6mEfg5OIWRZA9qds=
github.com/xrash/smetrics v0.0.0-20201216005158-039620a65673 h1:bAn7/zixMGCfxrRTfdpNzjtPYqr8smhKouy9mxVdGPU=
github.com/xrash/smetrics v0.0.0-20201216005158-039620a65673/go.mod h1:N3UwUGtsrSj3ccvlPHLoLsHnpR27oXr4ZE984MbSER8=
github.com/yuin/goldmark v1.3.5/go.mod h1:mwnBkeHKe2W/ZEtQ+71ViKU8L12m81fl3OWwC1Zlc8k=
github.com/yuin/goldmark v1.4.13/go.mod h1:6yULJ656Px+3vBD8DxQVa3kxgyrAnzto9xy5taEt/CY=
github.com/yusufpapurcu/wmi v1.2.4 h1:zFUKzehAFReQwLys1b/iSMl+JQGSCSjtVqQn9bBrPo0=
github.com/yusufpapurcu/wmi v1.2.4/go.mod h1:SBZ9tNy3G9/m5Oi98Zks0QjeHVDvuK0qfxQmPyzfmi0=
Expand All @@ -244,7 +241,6 @@ go.uber.org/multierr v1.11.0/go.mod h1:20+QtiLqy0Nd6FdQB9TLXag12DsQkrbs3htMFfDN8
go.uber.org/zap v1.27.0 h1:aJMhYGrd5QSmlpLMr2MftRKl7t8J8PTZPA732ud/XR8=
go.uber.org/zap v1.27.0/go.mod h1:GB2qFLM7cTU87MWRP2mPIjqfIDnGu+VIO4V/SdhGo2E=
golang.org/x/crypto v0.0.0-20190308221718-c2843e01d9a2/go.mod h1:djNgcEr1/C05ACkg1iLfiJU5Ep61QUkGW8qpdssI0+w=
golang.org/x/crypto v0.0.0-20191011191535-87dc89f01550/go.mod h1:yigFU9vqHzYiE8UmvKecakEJjdnWj3jj499lnFckfCI=
golang.org/x/crypto v0.0.0-20200622213623-75b288015ac9/go.mod h1:LzIPMQfyMNhhGPhUkYOs5KpL4U8rLKemX1yGLhDgUto=
golang.org/x/crypto v0.0.0-20210921155107-089bfa567519/go.mod h1:GvvjBRRGRdwPK5ydBHafDWAxML/pGHZbMvKqRZ5+Abc=
golang.org/x/crypto v0.13.0/go.mod h1:y6Z2r+Rw4iayiXXAIxJIDAJ1zMW4yaTpebo8fPOliYc=
Expand All @@ -255,7 +251,6 @@ golang.org/x/crypto v0.27.0 h1:GXm2NjJrPaiv/h1tb2UH8QfgC/hOf/+z0p6PT8o1w7A=
golang.org/x/crypto v0.27.0/go.mod h1:1Xngt8kV6Dvbssa53Ziq6Eqn0HqbZi5Z6R0ZpwQzt70=
golang.org/x/exp v0.0.0-20240909161429-701f63a606c0 h1:e66Fs6Z+fZTbFBAxKfP3PALWBtpfqks2bwGcexMxgtk=
golang.org/x/exp v0.0.0-20240909161429-701f63a606c0/go.mod h1:2TbTHSBQa924w8M6Xs1QcRcFwyucIwBGpK1p2f1YFFY=
golang.org/x/mod v0.4.2/go.mod h1:s0Qsj1ACt9ePp/hMypM3fl4fZqREWJwdYDEqhRiZZUA=
golang.org/x/mod v0.6.0-dev.0.20220419223038-86c51ed26bb4/go.mod h1:jJ57K6gSWd91VN4djpZkiMVwK6gcyfeH4XE8wZrZaV4=
golang.org/x/mod v0.8.0/go.mod h1:iBbtSCu2XBx23ZKBPSOrRkjjQPZFPuis4dIYUhu/chs=
golang.org/x/mod v0.12.0/go.mod h1:iBbtSCu2XBx23ZKBPSOrRkjjQPZFPuis4dIYUhu/chs=
Expand All @@ -269,7 +264,6 @@ golang.org/x/net v0.0.0-20190620200207-3b0461eec859/go.mod h1:z5CRVTTTmAJ677TzLL
golang.org/x/net v0.0.0-20200520004742-59133d7f0dd7/go.mod h1:qpuaurCH72eLCgpAm/N6yyVIVM9cpaDIP3A8BGJEC5A=
golang.org/x/net v0.0.0-20200813134508-3edf25e44fcc/go.mod h1:/O7V0waA8r7cgGh81Ro3o1hOxt32SMVPicZroKQ2sZA=
golang.org/x/net v0.0.0-20210226172049-e18ecbb05110/go.mod h1:m0MpNAwzfU5UDzcl9v0D8zg8gWTRqZa9RBIspLL5mdg=
golang.org/x/net v0.0.0-20210405180319-a5a99cb37ef4/go.mod h1:p54w0d4576C0XHj96bSt6lcn1PtDYWL6XObtHCRCNQM=
golang.org/x/net v0.0.0-20220722155237-a158d28d115b/go.mod h1:XRhObCWvk6IyKnWLug+ECip1KBveYUHfp+8e9klMJ9c=
golang.org/x/net v0.6.0/go.mod h1:2Tu9+aMcznHK/AK1HMvgo6xiTLG5rD5rZLDS+rp2Bjs=
golang.org/x/net v0.10.0/go.mod h1:0qNGK6F8kojg2nk9dLZ2mShWaEBan6FAoqfSigmmuDg=
Expand Down Expand Up @@ -300,8 +294,6 @@ golang.org/x/sys v0.0.0-20200323222414-85ca7c5b95cd/go.mod h1:h1NjWce9XRLGQEsW7w
golang.org/x/sys v0.0.0-20200519105757-fe76b779f299/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
golang.org/x/sys v0.0.0-20200814200057-3d37ad5750ed/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
golang.org/x/sys v0.0.0-20201119102817-f84b799fce68/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
golang.org/x/sys v0.0.0-20210330210617-4fbd30eecc44/go.mod h1:h1NjWce9XRLGQEsW7wpKNCjG9DtNlClVuFLEZdDNbEs=
golang.org/x/sys v0.0.0-20210510120138-977fb7262007/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
golang.org/x/sys v0.0.0-20210615035016-665e8c7367d1/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
golang.org/x/sys v0.0.0-20220520151302-bc2c85ada10a/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
golang.org/x/sys v0.0.0-20220715151400-c0bba94af5f8/go.mod h1:oPkhp1MJrh7nUepCBck5+mAzfO9JrbApNNgaTdGDITg=
Expand Down Expand Up @@ -341,15 +333,13 @@ golang.org/x/time v0.6.0 h1:eTDhh4ZXt5Qf0augr54TN6suAUudPcawVZeIAPU7D4U=
golang.org/x/time v0.6.0/go.mod h1:3BpzKBy/shNhVucY/MWOyx10tF3SFh9QdLuxbVysPQM=
golang.org/x/tools v0.0.0-20180917221912-90fa682c2a6e/go.mod h1:n7NCudcB/nEzxVGmLbDWY5pfWTLqBcC2KZ6jyYvM4mQ=
golang.org/x/tools v0.0.0-20191119224855-298f0cb1881e/go.mod h1:b+2E5dAYhXwXZwtnZ6UAqBI28+e2cm9otk0dWdXHAEo=
golang.org/x/tools v0.1.1/go.mod h1:o0xws9oXOQQZyjljx8fwUC0k7L1pTE6eaCbjGeHmOkk=
golang.org/x/tools v0.1.12/go.mod h1:hNGJHUnrk76NpqgfD5Aqm5Crs+Hm0VOH/i9J2+nxYbc=
golang.org/x/tools v0.6.0/go.mod h1:Xwgl3UAJ/d3gWutnCtw505GrjyAbvKui8lOU390QaIU=
golang.org/x/tools v0.13.0/go.mod h1:HvlwmtVNQAhOuCjW7xxvovg8wbNq7LwfXh/k7wXUl58=
golang.org/x/tools v0.21.1-0.20240508182429-e35e4ccd0d2d/go.mod h1:aiJjzUbINMkxbQROHiO6hDPo2LHcIPhhQsa9DLh0yGk=
golang.org/x/tools v0.25.0 h1:oFU9pkj/iJgs+0DT+VMHrx+oBKs/LJMV+Uvg78sl+fE=
golang.org/x/tools v0.25.0/go.mod h1:/vtpO8WL1N9cQC3FN5zPqb//fRXskFHbLKk4OW1Q7rg=
golang.org/x/xerrors v0.0.0-20190717185122-a985d3407aa7/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=
golang.org/x/xerrors v0.0.0-20191011141410-1b5146add898/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=
golang.org/x/xerrors v0.0.0-20191204190536-9bdfabe68543/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=
golang.org/x/xerrors v0.0.0-20200804184101-5ec99f83aff1 h1:go1bK/D/BFZV2I8cIQd1NKEZ+0owSTG1fDTci4IqFcE=
golang.org/x/xerrors v0.0.0-20200804184101-5ec99f83aff1/go.mod h1:I/5z698sn9Ka8TeJc9MKroUUfqBBauWjQqLJ2OPfmY0=
Expand Down
39 changes: 21 additions & 18 deletions pkg/source/limitorder/http_client_dto.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -72,6 +72,7 @@ type (
Permit string `json:"permit"`
Interaction string `json:"interaction"`
ExpiredAt int64 `json:"expiredAt"`
IsTakerAssetFee bool `json:"isTakerAssetFee"`

AvailableMakingAmount string `json:"availableMakingAmount"`
MakerBalanceAllowance string `json:"makerBalanceAllowance"`
Expand Down Expand Up @@ -112,6 +113,7 @@ type (
Permit string `json:"permit"`
Interaction string `json:"interaction"`
ExpiredAt int64 `json:"expiredAt"`
IsTakerAssetFee bool `json:"isTakerAssetFee"`

AvailableMakingAmount *big.Int `json:"availableMakingAmount"`

Expand All @@ -132,24 +134,25 @@ func toOrder(ordersData []*orderData) ([]*order, error) {
result := make([]*order, len(ordersData))
for i, o := range ordersData {
result[i] = &order{
ID: o.ID,
Salt: o.Salt,
ChainID: o.ChainID,
Signature: o.Signature,
MakerAsset: o.MakerAsset,
TakerAsset: o.TakerAsset,
Maker: o.Maker,
Receiver: o.Receiver,
AllowedSenders: o.AllowedSenders,
FeeRecipient: o.FeeRecipient,
MakerAssetData: o.MakerAssetData,
TakerAssetData: o.TakerAssetData,
GetMakerAmount: o.GetMakerAmount,
GetTakerAmount: o.GetTakerAmount,
Predicate: o.Predicate,
Permit: o.Permit,
Interaction: o.Interaction,
ExpiredAt: o.ExpiredAt,
ID: o.ID,
Salt: o.Salt,
ChainID: o.ChainID,
Signature: o.Signature,
MakerAsset: o.MakerAsset,
TakerAsset: o.TakerAsset,
Maker: o.Maker,
Receiver: o.Receiver,
AllowedSenders: o.AllowedSenders,
FeeRecipient: o.FeeRecipient,
MakerAssetData: o.MakerAssetData,
TakerAssetData: o.TakerAssetData,
GetMakerAmount: o.GetMakerAmount,
GetTakerAmount: o.GetTakerAmount,
Predicate: o.Predicate,
Permit: o.Permit,
Interaction: o.Interaction,
ExpiredAt: o.ExpiredAt,
IsTakerAssetFee: o.IsTakerAssetFee,
}
makerTokenFeePercent, err := strconv.ParseInt(o.MakerTokenFeePercent, 10, 32)
if err != nil {
Expand Down
69 changes: 62 additions & 7 deletions pkg/source/limitorder/pool_simulator.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -254,17 +254,21 @@ func (p *PoolSimulator) calcAmountWithSwapInfo(swapSide SwapSide, tokenAmountIn
continue
}

if remainingTakingAmountWei.Cmp(totalAmountIn) >= 0 {
amountOutWei := new(big.Float).Mul(new(big.Float).SetInt(totalAmountIn), rate)
filledTakingAmountWei := totalAmountIn
totalAmountInAfterFee, _ := p.calcTakerAssetFeeAmountExactIn(order, totalAmountIn)
// ideally we should return totalFeeAmountWei in takerAsset here
// but for now it's not used, and we might get mixed up with makerAsset fee, so will ignore for now

if remainingTakingAmountWei.Cmp(totalAmountInAfterFee) >= 0 {
amountOutWei := new(big.Float).Mul(new(big.Float).SetInt(totalAmountInAfterFee), rate)
filledTakingAmountWei := totalAmountInAfterFee
filledMakingAmountWei, _ := amountOutWei.Int(nil)

// order too small
if filledMakingAmountWei.Cmp(constant.ZeroBI) <= 0 {
continue
}

feeAmountWeiByOrder := p.calcFeeAmountPerOrder(order, filledMakingAmountWei)
feeAmountWeiByOrder := p.calcMakerAsetFeeAmount(order, filledMakingAmountWei)
totalFeeAmountWei = new(big.Int).Add(totalFeeAmountWei, feeAmountWeiByOrder)
actualAmountOut := new(big.Int).Sub(filledMakingAmountWei, feeAmountWeiByOrder)
totalAmountOutWei = new(big.Int).Add(totalAmountOutWei, actualAmountOut)
Expand Down Expand Up @@ -305,8 +309,9 @@ func (p *PoolSimulator) calcAmountWithSwapInfo(swapSide SwapSide, tokenAmountIn
}
break
}
totalAmountIn = new(big.Int).Sub(totalAmountIn, remainingTakingAmountWei)
feeAmountWeiByOrder := p.calcFeeAmountPerOrder(order, remainingMakingAmountWei)
_, takerAssetFee := p.calcTakerAssetFeeAmountExactOut(order, remainingTakingAmountWei)
totalAmountIn = new(big.Int).Sub(new(big.Int).Sub(totalAmountIn, takerAssetFee), remainingTakingAmountWei)
feeAmountWeiByOrder := p.calcMakerAsetFeeAmount(order, remainingMakingAmountWei)
actualAmountOut := new(big.Int).Sub(remainingMakingAmountWei, feeAmountWeiByOrder)
totalAmountOutWei = new(big.Int).Add(totalAmountOutWei, actualAmountOut)
totalFeeAmountWei = new(big.Int).Add(totalFeeAmountWei, feeAmountWeiByOrder)
Expand All @@ -321,14 +326,64 @@ func (p *PoolSimulator) calcAmountWithSwapInfo(swapSide SwapSide, tokenAmountIn
}

// feeAmount = (params.makingAmount * params.order.makerTokenFeePercent + BPS - 1) / BPS
func (p *PoolSimulator) calcFeeAmountPerOrder(order *order, filledMakingAmount *big.Int) *big.Int {
func (p *PoolSimulator) calcMakerAsetFeeAmount(order *order, filledMakingAmount *big.Int) *big.Int {
if order.IsTakerAssetFee {
return constant.ZeroBI
}
if order.MakerTokenFeePercent == 0 {
return constant.ZeroBI
}
amount := new(big.Int).Mul(filledMakingAmount, big.NewInt(int64(order.MakerTokenFeePercent)))
return new(big.Int).Div(new(big.Int).Sub(new(big.Int).Add(amount, valueobject.BasisPoint), constant.One), valueobject.BasisPoint)
}

// given total takingAmount, calculate fee and takingAmountAfterFee
func (p *PoolSimulator) calcTakerAssetFeeAmountExactIn(order *order, takingAmount *big.Int) (takingAmountAfterFee *big.Int, fee *big.Int) {
if !order.IsTakerAssetFee {
return takingAmount, constant.ZeroBI
}

feePct := order.MakerTokenFeePercent // reuse same field
if feePct == 0 {
return takingAmount, constant.ZeroBI
}

// fee = ceiling(takingAmountAfterFee * feePct / BasisPoint)
// takingAmountAfterFee + fee = takingAmount
// => takingAmountAfterFee + ceiling(takingAmountAfterFee * feePct / BasisPoint) = takingAmount

takingAmountAfterFee = new(big.Int).Div(
new(big.Int).Mul(takingAmount, valueobject.BasisPoint),
new(big.Int).Add(
big.NewInt(int64(feePct)),
valueobject.BasisPoint,
),
)
fee = new(big.Int).Sub(takingAmount, takingAmountAfterFee)
return
}

// given filled takingAmountAfterFee, calculate fee and total takingAmount
func (p *PoolSimulator) calcTakerAssetFeeAmountExactOut(order *order, takingAmountAfterFee *big.Int) (takingAmount *big.Int, fee *big.Int) {
if !order.IsTakerAssetFee {
return takingAmountAfterFee, constant.ZeroBI
}

feePct := order.MakerTokenFeePercent // reuse same field
if feePct == 0 {
return takingAmountAfterFee, constant.ZeroBI
}

amount := new(big.Int).Mul(takingAmountAfterFee, big.NewInt(int64(feePct)))
fee = new(big.Int).Div(
new(big.Int).Add(amount, valueobject.BasisPointM1),
valueobject.BasisPoint,
)

takingAmount = new(big.Int).Add(takingAmountAfterFee, fee)
return
}

func (p *PoolSimulator) estimateGas(numberOfFilledOrders int) int64 {
return p.estimateGasForExecutor(numberOfFilledOrders) + p.estimateGasForRouter(numberOfFilledOrders)
}
Expand Down
111 changes: 111 additions & 0 deletions pkg/source/limitorder/pool_simulator_test.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -1255,3 +1255,114 @@ func TestPool_Inventory(t *testing.T) {
}
}
}

func TestPool_CalcAmountOut_TakerAssetFee(t *testing.T) {
type testorder struct {
id int64
makingAmount string
takingAmount string
feePct uint32
IsTakerAssetFee bool
}

pools := map[string][]testorder{
"pool1": {
{1001, "10000000", "12000000", 100, true},
{1002, "10000000", "10000000", 100, true},
},
"pool2": { // mixed takerAssetFee and makerAssetFee
{1001, "10000000", "12000000", 100, true},
{1002, "10000000", "10000000", 100, false},
},
"pool3": { // test order on prerelease
{1001, "10000000000000", "99522200853987088", 100, true},
},
}

testcases := []struct {
name string
pool string
amountIn string
expAmountOut string
expOrderIds []int64
}{
{"p-fill 1st order", "pool1", "10000000", "8250825", []int64{1001, 1002}}, // 1002 as backup
{"p-fill 1st order", "pool1", "12000000", "9900990", []int64{1001, 1002}}, // 1002 as backup
{"f-fill 1st order", "pool1", "12120000", "10000000", []int64{1001, 1002}}, // 1002 as backup
{"f-fill 1st order, p-fill 2nd one", "pool1", "15000000", "12851485", []int64{1001, 1002}},
{"f-fill both orders", "pool1", "22220000", "20000000", []int64{1001, 1002}},
{"cannot be filled", "pool1", "22220003", "", nil}, // we expect 22220001 to not be filled, but due to fee rounding down it need 22220003

{"p-fill 1st order", "pool2", "10000000", "8250825", []int64{1001, 1002}}, // 1002 as backup
{"p-fill 1st order", "pool2", "12000000", "9900990", []int64{1001, 1002}}, // 1002 as backup
{"f-fill 1st order", "pool2", "12120000", "10000000", []int64{1001, 1002}}, // 1002 as backup
{"f-fill 1st order, p-fill 2nd one", "pool2", "15000000", "12851200", []int64{1001, 1002}},
{"f-fill both orders", "pool2", "22120000", "19900000", []int64{1001, 1002}},
{"cannot be filled", "pool2", "22120001", "", nil},

// 49522200853987088 + 495222008539871
{"p-fill 1st order", "pool3", "50017422862526959", "4975995348680", []int64{1001}},
}

sims := lo.MapValues(pools, func(orders []testorder, _ string) *PoolSimulator {
extra := Extra{
BuyOrders: lo.Map(orders, func(o testorder, _ int) *order {
return &order{
ID: o.id,
MakingAmount: bignumber.NewBig10(o.makingAmount),
TakingAmount: bignumber.NewBig10(o.takingAmount),
AvailableMakingAmount: bignumber.NewBig10(o.makingAmount),
MakerBalanceAllowance: bignumber.NewBig10("100000000000000000000"),
MakerTokenFeePercent: o.feePct,
IsTakerAssetFee: o.IsTakerAssetFee,
}
}),
}
sExtra, _ := json.Marshal(extra)
poolEnt := entity.Pool{
Tokens: []*entity.PoolToken{{Address: "A"}, {Address: "B"}},
Reserves: entity.PoolReserves{"0", "0"},
StaticExtra: `{"ContractAddress":""}`,
Extra: string(sExtra),
}
p, err := NewPoolSimulator(poolEnt)
require.Nil(t, err)
return p
})

for _, tc := range testcases {
t.Run(tc.name, func(t *testing.T) {
limit := swaplimit.NewInventory("", sims[tc.pool].CalculateLimit())
res, err := sims[tc.pool].CalcAmountOut(pool.CalcAmountOutParams{
TokenAmountIn: pool.TokenAmount{
Token: "A",
Amount: bignumber.NewBig10(tc.amountIn),
},
TokenOut: "B",
Limit: limit,
})

if tc.expOrderIds == nil {
require.NotNil(t, err)
return
}

require.Nil(t, err)

assert.Equal(t, tc.expAmountOut, res.TokenAmountOut.Amount.String())

si := res.SwapInfo.(SwapInfo)
oid := make([]int64, 0, len(si.FilledOrders))
oinfo := ""
for _, o := range si.FilledOrders {
if o.FilledTakingAmount == "" {
break
}
oid = append(oid, o.OrderID)
oinfo += fmt.Sprintf("order %v %v %v\n", o.OrderID, o.FilledMakingAmount, o.FilledTakingAmount)
}
assert.Equal(t, tc.expOrderIds, oid, oinfo)
fmt.Println(oinfo)
})
}
}
1 change: 1 addition & 0 deletions pkg/valueobject/extra_fee.go
View file
Original file line number Diff line number Diff line change
Expand Up @@ -8,4 +8,5 @@ var (
// BasisPoint is one hundredth of 1 percentage point
// https://en.wikipedia.org/wiki/Basis_point
BasisPoint = big.NewInt(10000)
BasisPointM1 = big.NewInt(10000 - 1)
)

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