mirror of
https://github.com/floor-licker/polyfill-rs.git
synced 2026-08-19 07:28:10 +00:00
feat: migrate CLOB client to V2-only trading
This commit is contained in:
floor-licker
+361
-59
@@ -3,20 +3,23 @@
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//! This module handles the complex process of creating and signing orders
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//! for the Polymarket CLOB, including EIP-712 signature generation.
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use crate::auth::sign_order_message;
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use crate::client::OrderArgs;
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use crate::auth::{sign_order_message, SignedOrderMessage};
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use crate::errors::{PolyfillError, Result};
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use crate::types::{ExtraOrderArgs, MarketOrderArgs, OrderOptions, Side, SignedOrderRequest};
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use alloy_primitives::{Address, U256};
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use crate::types::{CreateOrderOptions, MarketOrderArgs, OrderArgs, OrderType, Side, SignedOrderRequest};
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use alloy_primitives::{Address, B256, U256};
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use alloy_signer_local::PrivateKeySigner;
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use rand::Rng;
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use rust_decimal::Decimal;
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use rust_decimal::prelude::{FromPrimitive, ToPrimitive};
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use rust_decimal::RoundingStrategy::{AwayFromZero, MidpointTowardZero, ToZero};
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use std::collections::HashMap;
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use std::str::FromStr;
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use std::sync::LazyLock;
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use std::time::{SystemTime, UNIX_EPOCH};
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pub const BYTES32_ZERO: &str =
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"0x0000000000000000000000000000000000000000000000000000000000000000";
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/// Signature types for orders
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#[derive(Copy, Clone)]
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pub enum SigType {
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@@ -91,13 +94,13 @@ static ROUNDING_CONFIG: LazyLock<HashMap<Decimal, RoundConfig>> = LazyLock::new(
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pub fn get_contract_config(chain_id: u64, neg_risk: bool) -> Option<ContractConfig> {
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match (chain_id, neg_risk) {
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(137, false) => Some(ContractConfig {
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exchange: "0x4bFb41d5B3570DeFd03C39a9A4D8dE6Bd8B8982E".to_string(),
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collateral: "0x2791Bca1f2de4661ED88A30C99A7a9449Aa84174".to_string(),
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exchange: "0xE111180000d2663C0091e4f400237545B87B996B".to_string(),
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collateral: "0xC011a7E12a19f7B1f670d46F03B03f3342E82DFB".to_string(),
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conditional_tokens: "0x4D97DCd97eC945f40cF65F87097ACe5EA0476045".to_string(),
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}),
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(137, true) => Some(ContractConfig {
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exchange: "0xC5d563A36AE78145C45a50134d48A1215220f80a".to_string(),
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collateral: "0x2791Bca1f2de4661ED88A30C99A7a9449Aa84174".to_string(),
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exchange: "0xe2222d279d744050d28e00520010520000310F59".to_string(),
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collateral: "0xC011a7E12a19f7B1f670d46F03B03f3342E82DFB".to_string(),
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conditional_tokens: "0x4D97DCd97eC945f40cF65F87097ACe5EA0476045".to_string(),
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}),
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_ => None,
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@@ -124,6 +127,90 @@ fn decimal_to_token_u32(amt: Decimal) -> u32 {
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amt.try_into().expect("Couldn't round decimal to integer")
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}
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fn parse_round_config(tick_size: Decimal) -> Result<&'static RoundConfig> {
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ROUNDING_CONFIG
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.get(&tick_size)
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.ok_or_else(|| PolyfillError::validation(format!("Unsupported tick size {tick_size}")))
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}
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fn validate_bytes32_hex(field: &str, value: &str) -> Result<()> {
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if value == BYTES32_ZERO {
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return Ok(());
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}
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if !value.starts_with("0x") {
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return Err(PolyfillError::validation(format!(
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"{field} must be a 0x-prefixed 32-byte hex string"
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)));
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}
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if value.len() != 66 {
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return Err(PolyfillError::validation(format!(
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"{field} must be exactly 32 bytes (64 hex chars)"
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)));
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}
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if !value
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.as_bytes()
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.iter()
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.skip(2)
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.all(|byte| byte.is_ascii_hexdigit())
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{
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return Err(PolyfillError::validation(format!(
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"{field} must contain only hexadecimal characters"
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)));
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}
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Ok(())
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}
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fn normalize_optional_bytes32(field: &str, value: Option<&str>) -> Result<String> {
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let value = value.unwrap_or(BYTES32_ZERO);
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validate_bytes32_hex(field, value)?;
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Ok(value.to_string())
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}
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pub fn adjust_buy_amount_for_fees(
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amount: Decimal,
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price: Decimal,
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user_usdc_balance: Decimal,
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fee_rate: Decimal,
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fee_exponent: u32,
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builder_taker_fee_rate_bps: Decimal,
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) -> Result<Decimal> {
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let price_f64 = price
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.to_f64()
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.ok_or_else(|| PolyfillError::validation(format!("Invalid price {price}")))?;
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let amount_f64 = amount
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.to_f64()
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.ok_or_else(|| PolyfillError::validation(format!("Invalid amount {amount}")))?;
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let user_balance_f64 = user_usdc_balance.to_f64().ok_or_else(|| {
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PolyfillError::validation(format!("Invalid user_usdc_balance {user_usdc_balance}"))
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})?;
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let fee_rate_f64 = fee_rate
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.to_f64()
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.ok_or_else(|| PolyfillError::validation(format!("Invalid fee rate {fee_rate}")))?;
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let builder_rate_f64 = builder_taker_fee_rate_bps
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.to_f64()
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.ok_or_else(|| PolyfillError::validation(format!(
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"Invalid builder taker fee rate {builder_taker_fee_rate_bps}"
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)))?
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/ 10_000.0;
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let platform_fee_rate = fee_rate_f64 * (price_f64 * (1.0 - price_f64)).powi(fee_exponent as i32);
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let platform_fee = (amount_f64 / price_f64) * platform_fee_rate;
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let total_cost = amount_f64 + platform_fee + amount_f64 * builder_rate_f64;
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let adjusted = if user_balance_f64 <= total_cost {
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user_balance_f64 / (1.0 + platform_fee_rate / price_f64 + builder_rate_f64)
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} else {
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amount_f64
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};
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Decimal::from_f64(adjusted)
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.ok_or_else(|| PolyfillError::validation("Adjusted market buy amount is out of range"))
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}
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impl OrderBuilder {
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/// Create a new order builder
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pub fn new(
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@@ -193,20 +280,33 @@ impl OrderBuilder {
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/// Get order amounts for a market order
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fn get_market_order_amounts(
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&self,
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side: Side,
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amount: Decimal,
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price: Decimal,
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round_config: &RoundConfig,
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) -> (u32, u32) {
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let raw_maker_amt = amount.round_dp_with_strategy(round_config.size, ToZero);
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let raw_price = price.round_dp_with_strategy(round_config.price, MidpointTowardZero);
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let raw_taker_amt = raw_maker_amt / raw_price;
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let raw_taker_amt = self.fix_amount_rounding(raw_taker_amt, round_config);
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match side {
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Side::BUY => {
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let raw_maker_amt = amount.round_dp_with_strategy(round_config.size, ToZero);
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let raw_taker_amt = self.fix_amount_rounding(raw_maker_amt / raw_price, round_config);
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(
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decimal_to_token_u32(raw_maker_amt),
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decimal_to_token_u32(raw_taker_amt),
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)
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(
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decimal_to_token_u32(raw_maker_amt),
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decimal_to_token_u32(raw_taker_amt),
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)
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},
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Side::SELL => {
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let raw_maker_amt = amount.round_dp_with_strategy(round_config.size, ToZero);
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let raw_taker_amt = self.fix_amount_rounding(raw_maker_amt * raw_price, round_config);
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(
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decimal_to_token_u32(raw_maker_amt),
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decimal_to_token_u32(raw_taker_amt),
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)
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},
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}
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}
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/// Calculate market price from order book levels
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@@ -214,23 +314,33 @@ impl OrderBuilder {
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&self,
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positions: &[crate::types::BookLevel],
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amount_to_match: Decimal,
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side: Side,
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order_type: OrderType,
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) -> Result<Decimal> {
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let mut sum = Decimal::ZERO;
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let mut last_price = None;
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for level in positions {
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sum += level.size * level.price;
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sum += match side {
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Side::BUY => level.size * level.price,
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Side::SELL => level.size,
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};
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last_price = Some(level.price);
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if sum >= amount_to_match {
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return Ok(level.price);
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}
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}
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Err(PolyfillError::order(
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format!(
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"Not enough liquidity to create market order with amount {}",
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amount_to_match
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),
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crate::errors::OrderErrorKind::InsufficientBalance,
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))
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match (order_type, last_price) {
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(OrderType::FAK, Some(price)) => Ok(price),
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_ => Err(PolyfillError::order(
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format!(
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"Not enough liquidity to create market order with amount {}",
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amount_to_match
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),
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crate::errors::OrderErrorKind::InsufficientBalance,
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)),
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}
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}
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/// Create a market order
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@@ -239,15 +349,21 @@ impl OrderBuilder {
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chain_id: u64,
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order_args: &MarketOrderArgs,
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price: Decimal,
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extras: &ExtraOrderArgs,
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options: &OrderOptions,
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options: &CreateOrderOptions,
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) -> Result<SignedOrderRequest> {
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let tick_size = options
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.tick_size
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.ok_or_else(|| PolyfillError::validation("Cannot create order without tick size"))?;
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if !matches!(order_args.order_type, OrderType::FOK | OrderType::FAK) {
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return Err(PolyfillError::validation(
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"Market orders only support FOK and FAK order types",
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));
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}
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let tick_size = options.tick_size.ok_or_else(|| {
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PolyfillError::validation("Cannot create order without tick size")
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})?;
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let round_config = parse_round_config(tick_size)?;
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let (maker_amount, taker_amount) =
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self.get_market_order_amounts(order_args.amount, price, &ROUNDING_CONFIG[&tick_size]);
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self.get_market_order_amounts(order_args.side, order_args.amount, price, round_config);
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let neg_risk = options
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.neg_risk
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@@ -262,13 +378,14 @@ impl OrderBuilder {
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self.build_signed_order(
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order_args.token_id.clone(),
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Side::BUY,
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order_args.side,
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chain_id,
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exchange_address,
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maker_amount,
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taker_amount,
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0,
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extras,
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order_args.builder_code.as_deref(),
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order_args.metadata.as_deref(),
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)
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}
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@@ -277,19 +394,18 @@ impl OrderBuilder {
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&self,
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chain_id: u64,
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order_args: &OrderArgs,
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expiration: u64,
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extras: &ExtraOrderArgs,
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options: &OrderOptions,
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options: &CreateOrderOptions,
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) -> Result<SignedOrderRequest> {
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let tick_size = options
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.tick_size
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.ok_or_else(|| PolyfillError::validation("Cannot create order without tick size"))?;
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let tick_size = options.tick_size.ok_or_else(|| {
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PolyfillError::validation("Cannot create order without tick size")
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})?;
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let round_config = parse_round_config(tick_size)?;
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let (maker_amount, taker_amount) = self.get_order_amounts(
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order_args.side,
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order_args.size,
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order_args.price,
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&ROUNDING_CONFIG[&tick_size],
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round_config,
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);
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let neg_risk = options
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@@ -310,8 +426,9 @@ impl OrderBuilder {
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exchange_address,
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maker_amount,
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taker_amount,
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expiration,
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extras,
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order_args.expiration.unwrap_or(0),
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order_args.builder_code.as_deref(),
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order_args.metadata.as_deref(),
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)
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}
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@@ -326,28 +443,36 @@ impl OrderBuilder {
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maker_amount: u32,
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taker_amount: u32,
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expiration: u64,
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extras: &ExtraOrderArgs,
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builder_code: Option<&str>,
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metadata: Option<&str>,
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) -> Result<SignedOrderRequest> {
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let seed = generate_seed();
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let taker_address = Address::from_str(&extras.taker)
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.map_err(|e| PolyfillError::validation(format!("Invalid taker address: {}", e)))?;
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let timestamp = SystemTime::now()
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.duration_since(UNIX_EPOCH)
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.expect("Time went backwards")
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.as_millis();
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|
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let u256_token_id = U256::from_str_radix(&token_id, 10)
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.map_err(|e| PolyfillError::validation(format!("Incorrect tokenId format: {}", e)))?;
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let builder = normalize_optional_bytes32("builder_code", builder_code)?;
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let metadata = normalize_optional_bytes32("metadata", metadata)?;
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let order = crate::auth::Order {
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let order = SignedOrderMessage {
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salt: U256::from(seed),
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maker: self.funder,
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signer: self.signer.address(),
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taker: taker_address,
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tokenId: u256_token_id,
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makerAmount: U256::from(maker_amount),
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takerAmount: U256::from(taker_amount),
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expiration: U256::from(expiration),
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nonce: extras.nonce,
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feeRateBps: U256::from(extras.fee_rate_bps),
|
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token_id: u256_token_id,
|
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maker_amount: U256::from(maker_amount),
|
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taker_amount: U256::from(taker_amount),
|
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side: side as u8,
|
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signatureType: self.sig_type as u8,
|
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signature_type: self.sig_type as u8,
|
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timestamp: U256::from(timestamp),
|
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metadata: B256::from_str(&metadata).map_err(|e| {
|
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PolyfillError::validation(format!("Invalid metadata bytes32 value: {e}"))
|
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})?,
|
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builder: B256::from_str(&builder).map_err(|e| {
|
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PolyfillError::validation(format!("Invalid builder_code bytes32 value: {e}"))
|
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})?,
|
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};
|
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|
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let signature = sign_order_message(&self.signer, order, chain_id, exchange)?;
|
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@@ -356,15 +481,15 @@ impl OrderBuilder {
|
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salt: seed,
|
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maker: self.funder.to_checksum(None),
|
||||
signer: self.signer.address().to_checksum(None),
|
||||
taker: taker_address.to_checksum(None),
|
||||
token_id,
|
||||
maker_amount: maker_amount.to_string(),
|
||||
taker_amount: taker_amount.to_string(),
|
||||
expiration: expiration.to_string(),
|
||||
nonce: extras.nonce.to_string(),
|
||||
fee_rate_bps: extras.fee_rate_bps.to_string(),
|
||||
side: side.as_str().to_string(),
|
||||
signature_type: self.sig_type as u8,
|
||||
timestamp: timestamp.to_string(),
|
||||
metadata,
|
||||
builder,
|
||||
signature,
|
||||
})
|
||||
}
|
||||
@@ -373,6 +498,16 @@ impl OrderBuilder {
|
||||
#[cfg(test)]
|
||||
mod tests {
|
||||
use super::*;
|
||||
use alloy_signer_local::PrivateKeySigner;
|
||||
use serde_json::Value;
|
||||
|
||||
fn test_builder() -> OrderBuilder {
|
||||
let signer: PrivateKeySigner =
|
||||
"0x1234567890123456789012345678901234567890123456789012345678901234"
|
||||
.parse()
|
||||
.expect("valid private key");
|
||||
OrderBuilder::new(signer, None, None)
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_decimal_to_token_u32() {
|
||||
@@ -405,18 +540,185 @@ mod tests {
|
||||
#[test]
|
||||
fn test_get_contract_config() {
|
||||
// Test Polygon mainnet
|
||||
let config = get_contract_config(137, false);
|
||||
assert!(config.is_some());
|
||||
let config = get_contract_config(137, false).expect("polygon config");
|
||||
assert_eq!(config.exchange, "0xE111180000d2663C0091e4f400237545B87B996B");
|
||||
assert_eq!(config.collateral, "0xC011a7E12a19f7B1f670d46F03B03f3342E82DFB");
|
||||
assert_eq!(
|
||||
config.conditional_tokens,
|
||||
"0x4D97DCd97eC945f40cF65F87097ACe5EA0476045"
|
||||
);
|
||||
|
||||
// Test with neg risk
|
||||
let config_neg = get_contract_config(137, true);
|
||||
assert!(config_neg.is_some());
|
||||
let config_neg = get_contract_config(137, true).expect("neg risk polygon config");
|
||||
assert_eq!(
|
||||
config_neg.exchange,
|
||||
"0xe2222d279d744050d28e00520010520000310F59"
|
||||
);
|
||||
assert_eq!(
|
||||
config_neg.collateral,
|
||||
"0xC011a7E12a19f7B1f670d46F03B03f3342E82DFB"
|
||||
);
|
||||
|
||||
// Test unsupported chain
|
||||
let config_unsupported = get_contract_config(999, false);
|
||||
assert!(config_unsupported.is_none());
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_normalize_optional_bytes32_defaults_to_zero() {
|
||||
assert_eq!(
|
||||
normalize_optional_bytes32("builder_code", None).unwrap(),
|
||||
BYTES32_ZERO
|
||||
);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_normalize_optional_bytes32_rejects_invalid_hex() {
|
||||
let err = normalize_optional_bytes32("metadata", Some("deadbeef")).unwrap_err();
|
||||
assert!(matches!(err, PolyfillError::Validation { .. }));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_create_order_serializes_v2_fields_without_legacy_fields() {
|
||||
let builder = test_builder();
|
||||
let order = builder
|
||||
.create_order(
|
||||
137,
|
||||
&OrderArgs {
|
||||
token_id: "123456".to_string(),
|
||||
price: Decimal::from_str("0.45").unwrap(),
|
||||
size: Decimal::from_str("12.34").unwrap(),
|
||||
side: Side::BUY,
|
||||
expiration: Some(1_900_000_000),
|
||||
builder_code: Some(BYTES32_ZERO.to_string()),
|
||||
metadata: None,
|
||||
},
|
||||
&CreateOrderOptions {
|
||||
tick_size: Some(Decimal::from_str("0.01").unwrap()),
|
||||
neg_risk: Some(false),
|
||||
},
|
||||
)
|
||||
.unwrap();
|
||||
|
||||
let serialized = serde_json::to_value(&order).unwrap();
|
||||
let object = serialized.as_object().unwrap();
|
||||
assert!(object.contains_key("timestamp"));
|
||||
assert!(object.contains_key("metadata"));
|
||||
assert!(object.contains_key("builder"));
|
||||
assert!(object.contains_key("expiration"));
|
||||
assert!(!object.contains_key("taker"));
|
||||
assert!(!object.contains_key("nonce"));
|
||||
assert!(!object.contains_key("feeRateBps"));
|
||||
assert_eq!(order.builder, BYTES32_ZERO);
|
||||
assert_eq!(order.metadata, BYTES32_ZERO);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_create_market_order_supports_fak() {
|
||||
let builder = test_builder();
|
||||
let order = builder
|
||||
.create_market_order(
|
||||
137,
|
||||
&MarketOrderArgs {
|
||||
token_id: "123456".to_string(),
|
||||
amount: Decimal::from_str("10.0").unwrap(),
|
||||
side: Side::BUY,
|
||||
order_type: OrderType::FAK,
|
||||
price_limit: None,
|
||||
user_usdc_balance: None,
|
||||
builder_code: None,
|
||||
metadata: None,
|
||||
},
|
||||
Decimal::from_str("0.25").unwrap(),
|
||||
&CreateOrderOptions {
|
||||
tick_size: Some(Decimal::from_str("0.01").unwrap()),
|
||||
neg_risk: Some(false),
|
||||
},
|
||||
)
|
||||
.unwrap();
|
||||
|
||||
assert_eq!(order.side, "BUY");
|
||||
assert!(!order.timestamp.is_empty());
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_market_order_amounts_differ_for_buy_and_sell() {
|
||||
let builder = test_builder();
|
||||
let round_config = parse_round_config(Decimal::from_str("0.01").unwrap()).unwrap();
|
||||
|
||||
let (buy_maker, buy_taker) = builder.get_market_order_amounts(
|
||||
Side::BUY,
|
||||
Decimal::from_str("10").unwrap(),
|
||||
Decimal::from_str("0.25").unwrap(),
|
||||
round_config,
|
||||
);
|
||||
let (sell_maker, sell_taker) = builder.get_market_order_amounts(
|
||||
Side::SELL,
|
||||
Decimal::from_str("10").unwrap(),
|
||||
Decimal::from_str("0.25").unwrap(),
|
||||
round_config,
|
||||
);
|
||||
|
||||
assert_eq!(buy_maker, 10_000_000);
|
||||
assert_eq!(buy_taker, 40_000_000);
|
||||
assert_eq!(sell_maker, 10_000_000);
|
||||
assert_eq!(sell_taker, 2_500_000);
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_calculate_market_price_returns_last_level_for_fak() {
|
||||
let builder = test_builder();
|
||||
let levels = vec![
|
||||
crate::types::BookLevel {
|
||||
price: Decimal::from_str("0.40").unwrap(),
|
||||
size: Decimal::from_str("2.0").unwrap(),
|
||||
},
|
||||
crate::types::BookLevel {
|
||||
price: Decimal::from_str("0.45").unwrap(),
|
||||
size: Decimal::from_str("1.0").unwrap(),
|
||||
},
|
||||
];
|
||||
|
||||
let price = builder
|
||||
.calculate_market_price(
|
||||
&levels,
|
||||
Decimal::from_str("10.0").unwrap(),
|
||||
Side::SELL,
|
||||
OrderType::FAK,
|
||||
)
|
||||
.unwrap();
|
||||
assert_eq!(price, Decimal::from_str("0.45").unwrap());
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_signed_order_json_uses_camel_case_wire_shape() {
|
||||
let builder = test_builder();
|
||||
let order = builder
|
||||
.create_order(
|
||||
137,
|
||||
&OrderArgs {
|
||||
token_id: "123456".to_string(),
|
||||
price: Decimal::from_str("0.55").unwrap(),
|
||||
size: Decimal::from_str("5.0").unwrap(),
|
||||
side: Side::SELL,
|
||||
expiration: Some(1_900_000_000),
|
||||
builder_code: None,
|
||||
metadata: Some(BYTES32_ZERO.to_string()),
|
||||
},
|
||||
&CreateOrderOptions {
|
||||
tick_size: Some(Decimal::from_str("0.01").unwrap()),
|
||||
neg_risk: Some(true),
|
||||
},
|
||||
)
|
||||
.unwrap();
|
||||
|
||||
let json = serde_json::to_value(order).unwrap();
|
||||
assert!(matches!(json.get("tokenId"), Some(Value::String(_))));
|
||||
assert!(matches!(json.get("makerAmount"), Some(Value::String(_))));
|
||||
assert!(matches!(json.get("takerAmount"), Some(Value::String(_))));
|
||||
assert!(matches!(json.get("signatureType"), Some(Value::Number(_))));
|
||||
}
|
||||
|
||||
#[test]
|
||||
fn test_seed_generation_uniqueness() {
|
||||
let mut seeds = std::collections::HashSet::new();
|
||||
|
||||
Reference in New Issue
Block a user