diff --git a/src/Unit/Exchange/getSwapInfo.ts b/src/Unit/Exchange/getSwapInfo.ts index 4689f20..4077fec 100644 --- a/src/Unit/Exchange/getSwapInfo.ts +++ b/src/Unit/Exchange/getSwapInfo.ts @@ -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 { diff --git a/src/Unit/Exchange/swapLimit.ts b/src/Unit/Exchange/swapLimit.ts index a821401..741af96 100644 --- a/src/Unit/Exchange/swapLimit.ts +++ b/src/Unit/Exchange/swapLimit.ts @@ -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'), }); diff --git a/src/Unit/Exchange/swapMarket.ts b/src/Unit/Exchange/swapMarket.ts index 45d061a..af6996c 100644 --- a/src/Unit/Exchange/swapMarket.ts +++ b/src/Unit/Exchange/swapMarket.ts @@ -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'), }); diff --git a/src/__tests__/fee.test.ts b/src/__tests__/fee.test.ts new file mode 100644 index 0000000..eec8eeb --- /dev/null +++ b/src/__tests__/fee.test.ts @@ -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); + }); +}); diff --git a/src/services/Aggregator/ws/index.ts b/src/services/Aggregator/ws/index.ts index 06ca450..930b6f7 100644 --- a/src/services/Aggregator/ws/index.ts +++ b/src/services/Aggregator/ws/index.ts @@ -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, diff --git a/src/utils/calculateFeeInFeeAsset.ts b/src/utils/calculateFeeInFeeAsset.ts index c93e4ab..e4dd53d 100644 --- a/src/utils/calculateFeeInFeeAsset.ts +++ b/src/utils/calculateFeeInFeeAsset.ts @@ -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>, + baseAssetAddress: string, + baseCurrencyAddress: string, + feeAssetAddress: string, + prices: Partial>, ) => { - 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 { diff --git a/src/utils/calculateNetworkFeeInFeeAsset.ts b/src/utils/calculateNetworkFeeInFeeAsset.ts index 07ddc81..8e399eb 100644 --- a/src/utils/calculateNetworkFeeInFeeAsset.ts +++ b/src/utils/calculateNetworkFeeInFeeAsset.ts @@ -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> ) => { 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; diff --git a/src/utils/calculateServiceFeeInFeeAsset.ts b/src/utils/calculateServiceFeeInFeeAsset.ts index e4e51b3..d329d9e 100644 --- a/src/utils/calculateServiceFeeInFeeAsset.ts +++ b/src/utils/calculateServiceFeeInFeeAsset.ts @@ -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> ) { - 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; } diff --git a/src/utils/convertPrice.ts b/src/utils/convertPrice.ts new file mode 100644 index 0000000..95415bb --- /dev/null +++ b/src/utils/convertPrice.ts @@ -0,0 +1,26 @@ +import { BigNumber } from 'bignumber.js'; + +export default function convertPrice( + amount: BigNumber.Value, + assetInAddress: string, + assetOutAddress: string, + prices: Partial> // 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; +}