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support all-or-none order option #333

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Apr 24, 2018
Merged

support all-or-none order option #333

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7c0ddab
support all-or-none order option
Apr 24, 2018
67de178
minor change
Apr 24, 2018
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1 change: 1 addition & 0 deletions contracts/LoopringProtocol.sol
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Original file line number Diff line number Diff line change
Expand Up @@ -26,6 +26,7 @@ contract LoopringProtocol {
uint8 public constant MARGIN_SPLIT_PERCENTAGE_BASE = 100;

uint8 public constant OPTION_MASK_CAP_BY_AMOUNTB = 0x01;
uint8 public constant OPTION_MASK_ALL_OR_NONE = 0x02;

struct Fill {
bytes32 orderHash;
Expand Down
91 changes: 65 additions & 26 deletions contracts/LoopringProtocolImpl.sol
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Expand Up @@ -78,7 +78,8 @@ contract LoopringProtocolImpl is LoopringProtocol {
uint validUntil;
uint lrcFee;
uint8 option;
bool capByAmountB;
bool optCapByAmountB;
bool optAllOrNone;
bool marginSplitAsFee;
bytes32 orderHash;
address trackerAddr;
Expand Down Expand Up @@ -164,6 +165,7 @@ contract LoopringProtocolImpl is LoopringProtocol {
orderValues[4],
option,
option & OPTION_MASK_CAP_BY_AMOUNTB > 0 ? true : false,
option & OPTION_MASK_ALL_OR_NONE > 0 ? true : false,
false,
0x0,
0x0,
Expand Down Expand Up @@ -199,6 +201,10 @@ contract LoopringProtocolImpl is LoopringProtocol {
require(registered, "invalid broker");
}

// For AON orders, must cancel it as a whole.
if (order.optAllOrNone) {
cancelAmount = order.optCapByAmountB ? order.amountB : order.amountS;
}
TokenTransferDelegate delegate = TokenTransferDelegate(delegateAddress);
delegate.addCancelled(orderHash, cancelAmount);
delegate.addCancelledOrFilled(orderHash, cancelAmount);
Expand Down Expand Up @@ -298,7 +304,7 @@ contract LoopringProtocolImpl is LoopringProtocol {

verifyMinerSuppliedFillRates(ctx);

scaleRingBasedOnHistoricalRecords(ctx);
scaleOrders(ctx);

calculateRingFillAmount(ctx);

Expand Down Expand Up @@ -378,6 +384,7 @@ contract LoopringProtocolImpl is LoopringProtocol {
uintArgs[4],
ctx.optionList[i],
ctx.optionList[i] & OPTION_MASK_CAP_BY_AMOUNTB > 0 ? true : false,
ctx.optionList[i] & OPTION_MASK_ALL_OR_NONE > 0 ? true : false,
marginSplitAsFee,
0x0,
0x0, // brokderTracker
Expand Down Expand Up @@ -528,7 +535,7 @@ contract LoopringProtocolImpl is LoopringProtocol {

/// @dev Scale down all orders based on historical fill or cancellation
/// stats but key the order's original exchange rate.
function scaleRingBasedOnHistoricalRecords(
function scaleOrders(
Context ctx
)
private
Expand All @@ -539,26 +546,34 @@ contract LoopringProtocolImpl is LoopringProtocol {

for (uint i = 0; i < ringSize; i++) {
Order memory order = orders[i];
uint amount;

if (order.capByAmountB) {
amount = order.amountB.tolerantSub(
ctx.delegate.cancelledOrFilled(order.orderHash)
if (order.optAllOrNone) {
require(
ctx.delegate.cancelledOrFilled(order.orderHash) == 0,
"AON filled or cancelled already"
);
} else {
uint amount;

order.amountS = amount.mul(order.amountS) / order.amountB;
order.lrcFee = amount.mul(order.lrcFee) / order.amountB;
if (order.optCapByAmountB) {
amount = order.amountB.tolerantSub(
ctx.delegate.cancelledOrFilled(order.orderHash)
);

order.amountB = amount;
} else {
amount = order.amountS.tolerantSub(
ctx.delegate.cancelledOrFilled(order.orderHash)
);
order.amountS = amount.mul(order.amountS) / order.amountB;
order.lrcFee = amount.mul(order.lrcFee) / order.amountB;

order.amountB = amount.mul(order.amountB) / order.amountS;
order.lrcFee = amount.mul(order.lrcFee) / order.amountS;
order.amountB = amount;
} else {
amount = order.amountS.tolerantSub(
ctx.delegate.cancelledOrFilled(order.orderHash)
);

order.amountB = amount.mul(order.amountB) / order.amountS;
order.lrcFee = amount.mul(order.lrcFee) / order.amountS;

order.amountS = amount;
order.amountS = amount;
}
}

require(order.amountS > 0, "amountS scaled to 0");
Expand All @@ -571,12 +586,21 @@ contract LoopringProtocolImpl is LoopringProtocol {
order.signer,
order.trackerAddr
);
require(availableAmountS > 0, "spendable is 0");

order.fillAmountS = (
order.amountS < availableAmountS ?
order.amountS : availableAmountS
);
// This check is more strict than it needs to be, in case the
// `optCapByAmountB`is true.
if (order.optAllOrNone) {
require(
availableAmountS >= order.amountS,
"AON spendable"
);
} else {
require(availableAmountS > 0, "spendable is 0");
order.fillAmountS = (
order.amountS < availableAmountS ?
order.amountS : availableAmountS
);
}
}
}

Expand Down Expand Up @@ -698,7 +722,7 @@ contract LoopringProtocolImpl is LoopringProtocol {
if (minerLrcSpendable >= order.lrcFeeState) {
nextFillAmountS = ctx.orders[(i + 1) % ringSize].fillAmountS;
uint split;
if (order.capByAmountB) {
if (order.optCapByAmountB) {
split = (nextFillAmountS.mul(
order.amountS
) / order.amountB).sub(
Expand All @@ -712,7 +736,7 @@ contract LoopringProtocolImpl is LoopringProtocol {
) / 2;
}

if (order.capByAmountB) {
if (order.optCapByAmountB) {
order.splitS = split;
} else {
order.splitB = split;
Expand Down Expand Up @@ -763,7 +787,7 @@ contract LoopringProtocolImpl is LoopringProtocol {

historyBatch[q++] = order.orderHash;
historyBatch[q++] = bytes32(
order.capByAmountB ? nextFillAmountS : order.fillAmountS
order.optCapByAmountB ? nextFillAmountS : order.fillAmountS
);

fills[i] = Fill(
Expand Down Expand Up @@ -811,7 +835,7 @@ contract LoopringProtocolImpl is LoopringProtocol {
order.rateB
) / order.rateS;

if (order.capByAmountB) {
if (order.optCapByAmountB) {
if (fillAmountB > order.amountB) {
fillAmountB = order.amountB;

Expand All @@ -830,6 +854,21 @@ contract LoopringProtocolImpl is LoopringProtocol {
) / order.amountS;
}

// Check All-or-None orders
if (order.optAllOrNone){
if (order.optCapByAmountB) {
require(
fillAmountB >= order.amountB,
"AON failed on amountB"
);
} else {
require(
order.fillAmountS >= order.amountS,
"AON failed on amountS"
);
}
}

if (fillAmountB <= next.fillAmountS) {
next.fillAmountS = fillAmountB;
} else {
Expand Down