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Calculate fee

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This commit is contained in:
Aleksandr Kraiz
2023-08-01 21:27:17 +04:00
parent 7eebb2bb9e
commit f9605e3d1a
9 changed files with 212 additions and 50 deletions
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7
src/Unit/Exchange/getSwapInfo.ts
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@@ -135,13 +135,12 @@ export default async function getSwapInfo({
networkFeeInFeeAsset,
} = calculateFeeInFeeAsset(
swapInfo.orderInfo.amount,
feeAssetPriceInQuoteAsset,
baseAssetPriceInQuoteAsset,
baseCurrencyPriceInQuoteAsset,
gasPriceGwei,
feePercent,
baseAssetAddress,
ethers.constants.AddressZero,
feeAssetAddress,
allPrices.prices,
allPrices.prices
);
return {

11
src/Unit/Exchange/swapLimit.ts
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@@ -383,12 +383,11 @@ export default async function swapLimit({
const { serviceFeeInFeeAsset, networkFeeInFeeAsset, totalFeeInFeeAsset } = calculateFeeInFeeAsset(
swapInfo.orderInfo.amount,
feeAssetPriceInQuoteAsset,
baseAssetPriceInQuoteAsset,
baseCurrencyPriceInQuoteAsset,
gasPriceGwei,
feePercent,
feeAsset,
baseAssetAddress,
ethers.constants.AddressZero,
feeAssetAddress,
allPrices.prices,
);
@@ -405,7 +404,7 @@ export default async function swapLimit({
name: feeAsset,
address: feeAssetAddress,
},
amount: networkFeeInFeeAsset,
amount: networkFeeInFeeAsset.toString(),
spenderAddress: exchangeContractAddress,
sources: getAvailableSources('network_fee', feeAssetAddress, 'aggregator'),
});
@@ -416,7 +415,7 @@ export default async function swapLimit({
name: feeAsset,
address: feeAssetAddress,
},
amount: serviceFeeInFeeAsset,
amount: serviceFeeInFeeAsset.toString(),
spenderAddress: exchangeContractAddress,
sources: getAvailableSources('service_fee', feeAssetAddress, 'aggregator'),
});

11
src/Unit/Exchange/swapMarket.ts
View File

@@ -341,12 +341,11 @@ export default async function swapMarket({
const { serviceFeeInFeeAsset, networkFeeInFeeAsset, totalFeeInFeeAsset } = calculateFeeInFeeAsset(
swapInfo.orderInfo.amount,
feeAssetPriceInQuoteAsset,
baseAssetPriceInQuoteAsset,
baseCurrencyPriceInQuoteAsset,
gasPriceGwei,
feePercent,
feeAsset,
baseAssetAddress,
ethers.constants.AddressZero,
feeAssetAddress,
allPrices.prices,
);
@@ -363,7 +362,7 @@ export default async function swapMarket({
name: feeAsset,
address: feeAssetAddress,
},
amount: networkFeeInFeeAsset,
amount: networkFeeInFeeAsset.toString(),
spenderAddress: exchangeContractAddress,
sources: getAvailableSources('network_fee', feeAssetAddress, 'aggregator'),
});
@@ -374,7 +373,7 @@ export default async function swapMarket({
name: feeAsset,
address: feeAssetAddress,
},
amount: serviceFeeInFeeAsset,
amount: serviceFeeInFeeAsset.toString(),
spenderAddress: exchangeContractAddress,
sources: getAvailableSources('service_fee', feeAssetAddress, 'aggregator'),
});

132
src/__tests__/fee.test.ts Normal file
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@@ -0,0 +1,132 @@
/* eslint-disable max-len */
import { ethers } from 'ethers';
import calculateFeeInFeeAsset from '../utils/calculateFeeInFeeAsset.js';
describe('Fee calculation', () => {
test('Dynamic quote asset', async () => {
const ornPrices = {
'0xf223eca06261145b3287a0fefd8cfad371c7eb34': '1',
'0xcb2951e90d8dcf16e1fa84ac0c83f48906d6a744': '1.57084511467169337103',
'0x0000000000000000000000000000000000000000': '386.899151743638077284689',
'0x4b9bfdde9dab73e6e2d2dc2ef55298c24588cce0': '1.0876374489475337731674617',
'0x108f6f65f5c258678c366383840c96679e1a0fbe': '45871.190700596921143469648',
'0xdf22ff6f5bf90e92f7074de1fa2e29dafe0087be': '2881.5111530003141690163011',
'0x03a2152a9aaacb96b82fdf03de0d643c3ecb28a7': '355.016417214333651756801351013730316783167',
'0x61a072dcc55d64da4cb910cfbc943cc3d42c2a1d': '1.571473452717562048378412',
'0xcd9f77d618dfdffdaed7f8023c34eb35ea86bf2b': '1.5712221174992145774390472',
'0x6cc5e1598f95e052ed021bbb0a1990ba485cdcce': '0.0374332390826264530316449',
'0x78867bbeef44f2326bf8ddd1941a4439382ef2a7': '1.566674947779146776937419747383627421398778019',
'0x3745553f445397dfbcb622192792491e6df67510': '130.71996892903857709354866649329101687558281412962786572513363298758635752124474785635955692',
'0x8447cda1d129ec040d094c011c3ac8b19f5c693b': '27.1071613903560920438050171526477214707556556810141836390412796594504062216941295811483058089915710982545331028',
'0x4fe5767ca2fe999e760dfd358614514a3219889a': '1.70174254929807881257423716231112230510407656790753360661237',
'0x2220b40a89efa6b0df48ed79d79203477132e371': '130.3525444094548794105350358066444422201669189500289668961281052404545221556',
'0xb0827f392d8c0852c0c6454bb9640cb989dcb93b': '64.400713005859731411119486616035862848696163238405378922467895263156517684272858763674589252508',
'0x47aac1c87e618915db97626f3960512515ce9e09': '437.31331069646443999899330475877673885912',
'0xc5d535dac5e3d56505fe331e2eba9842bbd19ee2': '13.6960254871019251168696037670276578586589975026010466153339830092462843027905620215383565464144808',
'0x0021588ea52535343f32e1b36c717e6233061bd4': '546.161187756536499998742736945784452977',
'0xdd301d6bb42be154bd940084ae86e14ca31436c3': '7.473234117200213999982796615062205107372',
'0xb9f5146b403bf70907c512c5e4d09e0565f577d1': '3.27853649699826360702741064013340499717660552707269386251',
'0xffd86d9ad101f1bce1090761f1574f991e6f49ee': '1.10275456361938750235372913100208822652'
};
const usdtPrices = {
'0xf223eca06261145b3287a0fefd8cfad371c7eb34': '0.6366000000000000000014654532',
'0xcb2951e90d8dcf16e1fa84ac0c83f48906d6a744': '1',
'0x0000000000000000000000000000000000000000': '246.3',
'0x4b9bfdde9dab73e6e2d2dc2ef55298c24588cce0': '0.69239',
'0x108f6f65f5c258678c366383840c96679e1a0fbe': '29201.6',
'0xdf22ff6f5bf90e92f7074de1fa2e29dafe0087be': '1834.37',
'0x03a2152a9aaacb96b82fdf03de0d643c3ecb28a7': '226.0034511986448027089',
'0x61a072dcc55d64da4cb910cfbc943cc3d42c2a1d': '1.0004',
'0xcd9f77d618dfdffdaed7f8023c34eb35ea86bf2b': '1.00024',
'0x6cc5e1598f95e052ed021bbb0a1990ba485cdcce': '0.02383',
'0x78867bbeef44f2326bf8ddd1941a4439382ef2a7': '0.9973452717562048382006573',
'0x3745553f445397dfbcb622192792491e6df67510': '83.21633222022595817794464509',
'0x8447cda1d129ec040d094c011c3ac8b19f5c693b': '17.25641894110068819512599820',
'0x4fe5767ca2fe999e760dfd358614514a3219889a': '1.083329306883156972087253202',
'0x2220b40a89efa6b0df48ed79d79203477132e371': '82.98242977105897623293762935',
'0xb0827f392d8c0852c0c6454bb9640cb989dcb93b': '40.99749389953030501641304141',
'0x47aac1c87e618915db97626f3960512515ce9e09': '278.393653589369262504',
'0xc5d535dac5e3d56505fe331e2eba9842bbd19ee2': '8.718889825089085529419260642',
'0x0021588ea52535343f32e1b36c717e6233061bd4': '347.6862121258111359',
'0xdd301d6bb42be154bd940084ae86e14ca31436c3': '4.7574608390096562324',
'0xb9f5146b403bf70907c512c5e4d09e0565f577d1': '2.087116333989094612238454155',
'0xffd86d9ad101f1bce1090761f1574f991e6f49ee': '0.702013555200102084'
};
const bnbPrices = {
'0xf223eca06261145b3287a0fefd8cfad371c7eb34': '0.002584652862362972',
'0xcb2951e90d8dcf16e1fa84ac0c83f48906d6a744': '0.004060089321965083',
'0x0000000000000000000000000000000000000000': '1.0',
'0x4b9bfdde9dab73e6e2d2dc2ef55298c24588cce0': '0.002811165245635404',
'0x108f6f65f5c258678c366383840c96679e1a0fbe': '118.56110434429557',
'0xdf22ff6f5bf90e92f7074de1fa2e29dafe0087be': '7.44770604953309',
'0x03a2152a9aaacb96b82fdf03de0d643c3ecb28a7': '0.9175941989388746',
'0x61a072dcc55d64da4cb910cfbc943cc3d42c2a1d': '0.004061713357693869',
'0xcd9f77d618dfdffdaed7f8023c34eb35ea86bf2b': '0.004061063743402355',
'0x6cc5e1598f95e052ed021bbb0a1990ba485cdcce': '9.675192854242793e-05',
'0x78867bbeef44f2326bf8ddd1941a4439382ef2a7': '0.004049310888169732',
'0x3745553f445397dfbcb622192792491e6df67510': '0.33786574186043833',
'0x8447cda1d129ec040d094c011c3ac8b19f5c693b': '0.07006260227811892',
'0x4fe5767ca2fe999e760dfd358614514a3219889a': '0.004398413751048141',
'0x2220b40a89efa6b0df48ed79d79203477132e371': '0.33691607702419396',
'0xb0827f392d8c0852c0c6454bb9640cb989dcb93b': '0.16645348720881162',
'0x47aac1c87e618915db97626f3960512515ce9e09': '1.1303031002410446',
'0xc5d535dac5e3d56505fe331e2eba9842bbd19ee2': '0.03539947147823421',
'0x0021588ea52535343f32e1b36c717e6233061bd4': '1.4116370772464926',
'0xdd301d6bb42be154bd940084ae86e14ca31436c3': '0.01931571595213015',
'0xb9f5146b403bf70907c512c5e4d09e0565f577d1': '0.008473878741328034',
'0xffd86d9ad101f1bce1090761f1574f991e6f49ee': '0.00285023773934268'
};
const amount = 1000;
const gasPriceGwei = 3;
const feePercent = 0.2;
const baseAssetAddress = '0xcb2951e90d8dcf16e1fa84ac0c83f48906d6a744';
const baseCurrencyAddress = ethers.constants.AddressZero;
const feeAssetAddress = '0xf223eca06261145b3287a0fefd8cfad371c7eb34';
const { totalFeeInFeeAsset: ornTotalFee } = calculateFeeInFeeAsset(
amount,
gasPriceGwei,
feePercent,
baseAssetAddress,
baseCurrencyAddress,
feeAssetAddress,
ornPrices
);
const { totalFeeInFeeAsset: bnbTotalFee } = calculateFeeInFeeAsset(
amount,
gasPriceGwei,
feePercent,
baseAssetAddress,
baseCurrencyAddress,
feeAssetAddress,
bnbPrices
);
const { totalFeeInFeeAsset: usdtTotalFee } = calculateFeeInFeeAsset(
amount,
gasPriceGwei,
feePercent,
baseAssetAddress,
baseCurrencyAddress,
feeAssetAddress,
usdtPrices
);
const ornTotalFeeNum = parseFloat(ornTotalFee);
const bnbTotalFeeNum = parseFloat(bnbTotalFee);
const usdtTotalFeeNum = parseFloat(usdtTotalFee);
const average = (ornTotalFeeNum + bnbTotalFeeNum + usdtTotalFeeNum) / 3;
const ornDiff = Math.abs(ornTotalFeeNum - average);
const bnbDiff = Math.abs(bnbTotalFeeNum - average);
const usdtDiff = Math.abs(usdtTotalFeeNum - average);
const acceptableDiffPercent = 0.01;
expect(ornDiff / average).toBeLessThan(acceptableDiffPercent);
expect(bnbDiff / average).toBeLessThan(acceptableDiffPercent);
expect(usdtDiff / average).toBeLessThan(acceptableDiffPercent);
});
});

2
src/services/Aggregator/ws/index.ts
View File

@@ -267,7 +267,7 @@ class AggregatorWS {
if ('payload' in subscription) {
if (typeof subscription.payload === 'string') {
subRequest['S'] = subscription.payload;
} else { // SwapInfoSubscriptionPayload | FuturesTradeInfoPayload
} else { // SwapInfoSubscriptionPayload
subRequest['S'] = {
d: id,
...subscription.payload,

31
src/utils/calculateFeeInFeeAsset.ts
View File

@@ -5,32 +5,33 @@ import calculateServiceFeeInFeeAsset from './calculateServiceFeeInFeeAsset.js';
const calculateFeeInFeeAsset = (
amount: BigNumber.Value,
feeAssetPrice: BigNumber.Value,
baseAssetPrice: BigNumber.Value,
baseCurrencyPrice: BigNumber.Value,
gasPriceGwei: BigNumber.Value,
feePercent: BigNumber.Value,
feeAsset: string,
assetPrices: Partial<Record<string, string>>,
baseAssetAddress: string,
baseCurrencyAddress: string,
feeAssetAddress: string,
prices: Partial<Record<string, string>>,
) => {
const feeAssetPriceInQuoteAsset = assetPrices[feeAsset];
if (feeAssetPriceInQuoteAsset === undefined) throw Error('feeAssetPriceInQuoteAsset is undefined');
const feeAssetPriceInQuoteAssetBN = new BigNumber(feeAssetPriceInQuoteAsset);
const feeAssetPrice = prices[feeAssetAddress];
if (feeAssetPrice === undefined) throw Error(`Fee asset price not found. Available prices: ${Object.keys(prices).join(', ')}`);
const baseAssetPrice = prices[baseAssetAddress];
if (baseAssetPrice === undefined) throw Error(`Base asset price not found. Available prices: ${Object.keys(prices).join(', ')}`);
const baseCurrencyPrice = prices[baseCurrencyAddress]; // ETH, BNB, MATIC, etc.
if (baseCurrencyPrice === undefined) throw Error(`Base currency price not found. Available prices: ${Object.keys(prices).join(', ')}`);
const serviceFeeInFeeAsset = calculateServiceFeeInFeeAsset(
amount,
feeAssetPrice,
baseAssetPrice,
baseAssetAddress,
feeAssetAddress,
feePercent,
feeAssetPriceInQuoteAssetBN
prices,
);
const networkFeeInFeeAsset = calculateNetworkFeeInFeeAsset(
gasPriceGwei,
FILL_ORDERS_GAS_LIMIT,
baseCurrencyPrice,
feeAssetPrice,
feeAssetPriceInQuoteAssetBN
baseCurrencyAddress,
feeAssetAddress,
prices,
);
return {

20
src/utils/calculateNetworkFeeInFeeAsset.ts
View File

@@ -1,20 +1,22 @@
import { BigNumber } from 'bignumber.js';
import type { BigNumber } from 'bignumber.js';
import calculateNetworkFee from './calculateNetworkFee.js';
import convertPrice from './convertPrice.js';
const calculateNetworkFeeInFeeAsset = (
gasPriceGwei: BigNumber.Value,
gasLimit: BigNumber.Value,
baseCurrencyPrice: BigNumber.Value,
feeAssetPrice: BigNumber.Value,
feeAssetPriceInQuoteAsset: BigNumber.Value,
baseCurrencyAddress: string,
feeAssetAddress: string,
prices: Partial<Record<string, string>>
) => {
const networkFee = calculateNetworkFee(gasPriceGwei, gasLimit);
const networkFeeInQuoteAsset = new BigNumber(networkFee).multipliedBy(baseCurrencyPrice);
const networkFeeInFeeAsset = networkFeeInQuoteAsset
.div(new BigNumber(feeAssetPriceInQuoteAsset).multipliedBy(feeAssetPrice));
return networkFeeInFeeAsset.toString();
return convertPrice(
networkFee,
baseCurrencyAddress, // from
feeAssetAddress, // to
prices
);
};
export default calculateNetworkFeeInFeeAsset;

22
src/utils/calculateServiceFeeInFeeAsset.ts
View File

@@ -1,17 +1,21 @@
import { BigNumber } from 'bignumber.js';
import convertPrice from './convertPrice.js';
export default function calculateServiceFeeInFeeAsset(
amount: BigNumber.Value,
feeAssetPrice: BigNumber.Value,
baseAssetPrice: BigNumber.Value,
baseAssetAddress: string,
feeAssetAddress: string,
feePercent: BigNumber.Value,
feeAssetPriceInQuoteAsset: BigNumber.Value,
prices: Partial<Record<string, string>>
) {
const result = new BigNumber(amount)
.multipliedBy(new BigNumber(feePercent).div(100))
.multipliedBy(baseAssetPrice)
.div(new BigNumber(feeAssetPriceInQuoteAsset).multipliedBy(feeAssetPrice))
.toString();
const feeAmount = new BigNumber(amount).multipliedBy(new BigNumber(feePercent).div(100));
return result;
const feeAssetAmount = convertPrice(
feeAmount,
baseAssetAddress,
feeAssetAddress,
prices
);
return feeAssetAmount;
}

26
src/utils/convertPrice.ts Normal file
View File

@@ -0,0 +1,26 @@
import { BigNumber } from 'bignumber.js';
export default function convertPrice(
amount: BigNumber.Value,
assetInAddress: string,
assetOutAddress: string,
prices: Partial<Record<string, string>> // quoted in quoteAsset. [address]: priceQuotedInQuoteAsset
) {
const assetInPrice = prices[assetInAddress];
if (assetInPrice === undefined) throw Error('assetInPrice is undefined');
const assetOutPrice = prices[assetOutAddress];
if (assetOutPrice === undefined) throw Error('assetOutPrice is undefined');
const assetInPriceBN = new BigNumber(assetInPrice);
const assetOutPriceBN = new BigNumber(assetOutPrice);
const assetInAmountBN = new BigNumber(amount);
const assetInAmountInQuoteAsset = assetInAmountBN.multipliedBy(assetInPriceBN);
const assetInAmountInQuoteAssetBN = new BigNumber(assetInAmountInQuoteAsset);
const assetOutAmountInQuoteAsset = assetInAmountInQuoteAssetBN.dividedBy(assetOutPriceBN);
return assetOutAmountInQuoteAsset;
}