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| /*
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 "@0x/contracts-utils/contracts/src/ReentrancyGuard.sol";
import "@0x/contracts-exchange-libs/contracts/src/LibConstants.sol";
import "@0x/contracts-exchange-libs/contracts/src/LibMath.sol";
import "@0x/contracts-exchange-libs/contracts/src/LibOrder.sol";
import "@0x/contracts-exchange-libs/contracts/src/LibFillResults.sol";
import "./mixins/MExchangeCore.sol";
import "./mixins/MMatchOrders.sol";
import "./mixins/MTransactions.sol";
import "./mixins/MAssetProxyDispatcher.sol";
contract MixinMatchOrders is
ReentrancyGuard,
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.
function matchOrders(
LibOrder.Order memory leftOrder,
LibOrder.Order memory rightOrder,
bytes memory leftSignature,
bytes memory rightSignature
)
public
nonReentrant
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
assertFillableOrder(
leftOrder,
leftOrderInfo,
takerAddress,
leftSignature
);
assertFillableOrder(
rightOrder,
rightOrderInfo,
takerAddress,
rightSignature
);
assertValidMatch(leftOrder, rightOrder);
// Compute proportional fill amounts
matchedFillResults = calculateMatchedFillResults(
leftOrder,
rightOrder,
leftOrderInfo.orderTakerAssetFilledAmount,
rightOrderInfo.orderTakerAssetFilledAmount
);
// Validate fill contexts
assertValidFill(
leftOrder,
leftOrderInfo,
matchedFillResults.left.takerAssetFilledAmount,
matchedFillResults.left.takerAssetFilledAmount,
matchedFillResults.left.makerAssetFilledAmount
);
assertValidFill(
rightOrder,
rightOrderInfo,
matchedFillResults.right.takerAssetFilledAmount,
matchedFillResults.right.takerAssetFilledAmount,
matchedFillResults.right.makerAssetFilledAmount
);
// 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)
{
// Derive maker asset amounts for left & right orders, given store taker assert amounts
uint256 leftTakerAssetAmountRemaining = safeSub(leftOrder.takerAssetAmount, leftOrderTakerAssetFilledAmount);
uint256 leftMakerAssetAmountRemaining = safeGetPartialAmountFloor(
leftOrder.makerAssetAmount,
leftOrder.takerAssetAmount,
leftTakerAssetAmountRemaining
);
uint256 rightTakerAssetAmountRemaining = safeSub(rightOrder.takerAssetAmount, rightOrderTakerAssetFilledAmount);
uint256 rightMakerAssetAmountRemaining = safeGetPartialAmountFloor(
rightOrder.makerAssetAmount,
rightOrder.takerAssetAmount,
rightTakerAssetAmountRemaining
);
// Calculate fill results for maker and taker assets: at least one order will be fully filled.
// The maximum amount the left maker can buy is `leftTakerAssetAmountRemaining`
// The maximum amount the right maker can sell is `rightMakerAssetAmountRemaining`
// We have two distinct cases for calculating the fill results:
// Case 1.
// If the left maker can buy more than the right maker can sell, then only the right order is fully filled.
// If the left maker can buy exactly what the right maker can sell, then both orders are fully filled.
// Case 2.
// If the left maker cannot buy more than the right maker can sell, then only the left order is fully filled.
if (leftTakerAssetAmountRemaining >= rightMakerAssetAmountRemaining) {
// Case 1: Right order is fully filled
matchedFillResults.right.makerAssetFilledAmount = rightMakerAssetAmountRemaining;
matchedFillResults.right.takerAssetFilledAmount = rightTakerAssetAmountRemaining;
matchedFillResults.left.takerAssetFilledAmount = matchedFillResults.right.makerAssetFilledAmount;
// Round down to ensure the maker's exchange rate does not exceed the price specified by the order.
// We favor the maker when the exchange rate must be rounded.
matchedFillResults.left.makerAssetFilledAmount = safeGetPartialAmountFloor(
leftOrder.makerAssetAmount,
leftOrder.takerAssetAmount,
matchedFillResults.left.takerAssetFilledAmount
);
} else {
// Case 2: Left order is fully filled
matchedFillResults.left.makerAssetFilledAmount = leftMakerAssetAmountRemaining;
matchedFillResults.left.takerAssetFilledAmount = leftTakerAssetAmountRemaining;
matchedFillResults.right.makerAssetFilledAmount = matchedFillResults.left.takerAssetFilledAmount;
// Round up to ensure the maker's exchange rate does not exceed the price specified by the order.
// We favor the maker when the exchange rate must be rounded.
matchedFillResults.right.takerAssetFilledAmount = safeGetPartialAmountCeil(
rightOrder.takerAssetAmount,
rightOrder.makerAssetAmount,
matchedFillResults.right.makerAssetFilledAmount
);
}
// Calculate amount given to taker
matchedFillResults.leftMakerAssetSpreadAmount = safeSub(
matchedFillResults.left.makerAssetFilledAmount,
matchedFillResults.right.takerAssetFilledAmount
);
// Compute fees for left order
matchedFillResults.left.makerFeePaid = safeGetPartialAmountFloor(
matchedFillResults.left.makerAssetFilledAmount,
leftOrder.makerAssetAmount,
leftOrder.makerFee
);
matchedFillResults.left.takerFeePaid = safeGetPartialAmountFloor(
matchedFillResults.left.takerAssetFilledAmount,
leftOrder.takerAssetAmount,
leftOrder.takerFee
);
// Compute fees for right order
matchedFillResults.right.makerFeePaid = safeGetPartialAmountFloor(
matchedFillResults.right.makerAssetFilledAmount,
rightOrder.makerAssetAmount,
rightOrder.makerFee
);
matchedFillResults.right.takerFeePaid = safeGetPartialAmountFloor(
matchedFillResults.right.takerAssetFilledAmount,
rightOrder.takerAssetAmount,
rightOrder.takerFee
);
// 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
);
}
}
}
|