From bcf3b0918102a4b834d03c509e8fe78bc897059a Mon Sep 17 00:00:00 2001
From: Timur Ramazanov <charlie.vmk@gmail.com>
Date: Fri, 20 Sep 2019 01:03:25 +0300
Subject: [PATCH 1/2] Use integer offer price parts

---
 src/service/dex/offers_graph.ts | 21 ++++++++++++++-------
 1 file changed, 14 insertions(+), 7 deletions(-)

diff --git a/src/service/dex/offers_graph.ts b/src/service/dex/offers_graph.ts
index 7f7a068e..350562a0 100644
--- a/src/service/dex/offers_graph.ts
+++ b/src/service/dex/offers_graph.ts
@@ -16,6 +16,8 @@ interface IEdge {
 interface IAssetOrder {
   amount: BigNumber;
   price: BigNumber;
+  priceN: number;
+  priceD: number;
 }
 
 class AssetOrders {
@@ -37,17 +39,17 @@ class AssetOrders {
   public buy(amountToBuy: BigNumber): BigNumber {
     let amountToSell = new BigNumber(0);
 
-    for (const { amount, price } of this.orders) {
+    for (const { amount, priceN, priceD } of this.orders) {
       if (amountToBuy.gt(amount)) {
-        amountToSell = amountToSell.plus(amount.times(price));
+        amountToSell = amountToSell.plus(amount.times(priceN).div(priceD));
         amountToBuy = amountToBuy.minus(amount);
       } else {
-        amountToSell = amountToSell.plus(amountToBuy.times(price));
+        amountToSell = amountToSell.plus(amountToBuy.times(priceN).div(priceD));
         break;
       }
     }
 
-    return amountToSell;
+    return amountToSell.integerValue(BigNumber.ROUND_FLOOR);
   }
 }
 
@@ -70,7 +72,12 @@ export class OffersGraph {
       const [assetToBuy, assetToSell] = [offer.buying, offer.selling];
 
       const edge = this.getEdgeData(assetToSell, assetToBuy);
-      const order: IAssetOrder = { amount: offer.amount, price: offer.price };
+      const order: IAssetOrder = {
+        amount: offer.amount,
+        price: offer.price,
+        priceN: offer.priceN,
+        priceD: offer.priceD
+      };
 
       if (!edge) {
         this.addEdge(assetToSell, assetToBuy, {
@@ -99,8 +106,8 @@ export class OffersGraph {
     let capacity = new BigNumber(0);
     const orderBook = new AssetOrders();
 
-    for (const { amount, price } of offers) {
-      orderBook.addOrder({ amount, price });
+    for (const { amount, price, priceN, priceD } of offers) {
+      orderBook.addOrder({ amount, price, priceN, priceD });
       capacity = capacity.plus(amount);
     }
 

From d7bb85f7ddbe49cdf30509c41efb06e05fd0e7d7 Mon Sep 17 00:00:00 2001
From: Timur Ramazanov <charlie.vmk@gmail.com>
Date: Fri, 20 Sep 2019 13:54:12 +0300
Subject: [PATCH 2/2] Using selling bound

---
 src/service/dex/offers_graph.ts | 58 +++++++++++++++++++++++----------
 1 file changed, 40 insertions(+), 18 deletions(-)

diff --git a/src/service/dex/offers_graph.ts b/src/service/dex/offers_graph.ts
index 350562a0..99f6f7f0 100644
--- a/src/service/dex/offers_graph.ts
+++ b/src/service/dex/offers_graph.ts
@@ -13,22 +13,46 @@ interface IEdge {
   data: IEdgeData;
 }
 
-interface IAssetOrder {
-  amount: BigNumber;
-  price: BigNumber;
-  priceN: number;
-  priceD: number;
+class AssetOrder {
+  public readonly amount: BigNumber;
+  public readonly price: BigNumber; // we use it just for sorting
+  public readonly priceN: number;
+  public readonly priceD: number;
+
+  constructor(offer: Offer) {
+    this.amount = offer.amount;
+    this.price = offer.price;
+    this.priceD = offer.priceD;
+    this.priceN = offer.priceN;
+  }
+
+  public get sellingBound() {
+    const { amount, priceN, priceD } = this;
+    let sellingBound = amount;
+
+    if (priceN <= priceD) {
+      sellingBound = amount
+        .times(priceN)
+        .div(priceD)
+        .integerValue(BigNumber.ROUND_FLOOR)
+        .times(priceD)
+        .div(priceN)
+        .integerValue(BigNumber.ROUND_CEIL);
+    }
+
+    return sellingBound;
+  }
 }
 
 class AssetOrders {
-  constructor(private readonly orders: IAssetOrder[] = []) {}
+  constructor(private readonly orders: AssetOrder[] = []) {}
 
   public getOrders() {
     // return copy of the orders
     return this.orders.map(o => o);
   }
 
-  public addOrder(order: IAssetOrder): void {
+  public addOrder(order: AssetOrder): void {
     this.orders.push(order);
   }
 
@@ -39,7 +63,10 @@ class AssetOrders {
   public buy(amountToBuy: BigNumber): BigNumber {
     let amountToSell = new BigNumber(0);
 
-    for (const { amount, priceN, priceD } of this.orders) {
+    for (const order of this.orders) {
+      const amount = order.sellingBound;
+      const { priceN, priceD } = order;
+
       if (amountToBuy.gt(amount)) {
         amountToSell = amountToSell.plus(amount.times(priceN).div(priceD));
         amountToBuy = amountToBuy.minus(amount);
@@ -49,7 +76,7 @@ class AssetOrders {
       }
     }
 
-    return amountToSell.integerValue(BigNumber.ROUND_FLOOR);
+    return amountToSell;
   }
 }
 
@@ -72,12 +99,7 @@ export class OffersGraph {
       const [assetToBuy, assetToSell] = [offer.buying, offer.selling];
 
       const edge = this.getEdgeData(assetToSell, assetToBuy);
-      const order: IAssetOrder = {
-        amount: offer.amount,
-        price: offer.price,
-        priceN: offer.priceN,
-        priceD: offer.priceD
-      };
+      const order = new AssetOrder(offer);
 
       if (!edge) {
         this.addEdge(assetToSell, assetToBuy, {
@@ -106,9 +128,9 @@ export class OffersGraph {
     let capacity = new BigNumber(0);
     const orderBook = new AssetOrders();
 
-    for (const { amount, price, priceN, priceD } of offers) {
-      orderBook.addOrder({ amount, price, priceN, priceD });
-      capacity = capacity.plus(amount);
+    for (const offer of offers) {
+      orderBook.addOrder(new AssetOrder(offer));
+      capacity = capacity.plus(offer.amount);
     }
 
     this.updateEdge(selling, buying, { capacity, orderBook });