From 23995490784910f31a86c63e9f37f502d02ab24c Mon Sep 17 00:00:00 2001
From: Daniel McNally <mcnallydp@gmail.com>
Date: Sun, 26 May 2019 03:58:37 -0400
Subject: [PATCH] fix: calculate swap amount for market orders

This fixes a bug where the calculated swap amount for a market buy order could
be infinity. This could cause the sanity capacity check to fail when checking
a market order. Market buy orders internally have a positive infinity price
value for matching logic purposes, but the final price for market orders is
not known upon first placing them.

Fixes #978.
---
 lib/db/models/Order.ts     |  2 +-
 lib/orderbook/OrderBook.ts |  2 +-
 lib/swaps/Swaps.ts         |  7 +++++--
 test/unit/DB.spec.ts       |  2 +-
 test/unit/Swaps.spec.ts    | 14 ++++++++++++++
 5 files changed, 22 insertions(+), 5 deletions(-)

diff --git a/lib/db/models/Order.ts b/lib/db/models/Order.ts
index 139441f83..2c9f9ff43 100644
--- a/lib/db/models/Order.ts
+++ b/lib/db/models/Order.ts
@@ -12,7 +12,7 @@ export default (sequelize: Sequelize.Sequelize, DataTypes: Sequelize.DataTypes)
       type: DataTypes.DOUBLE,
       allowNull: true,
       set(this: db.OrderInstance, value: number) {
-        if (value === 0 || value === Number.MAX_VALUE) {
+        if (value === 0 || value === Number.POSITIVE_INFINITY) {
           this.setDataValue('price', undefined);
         } else {
           this.setDataValue('price', value);
diff --git a/lib/orderbook/OrderBook.ts b/lib/orderbook/OrderBook.ts
index 1721b08ef..e556e3cdb 100644
--- a/lib/orderbook/OrderBook.ts
+++ b/lib/orderbook/OrderBook.ts
@@ -303,7 +303,7 @@ class OrderBook extends EventEmitter {
       throw errors.MARKET_ORDERS_NOT_ALLOWED();
     }
 
-    const stampedOrder = this.stampOwnOrder({ ...order, price: order.isBuy ? Number.MAX_VALUE : 0 });
+    const stampedOrder = this.stampOwnOrder({ ...order, price: order.isBuy ? Number.POSITIVE_INFINITY : 0 });
     const addResult = await this.placeOrder(stampedOrder, true, onUpdate, Date.now() + OrderBook.MAX_PLACEORDER_ITERATIONS_TIME);
     delete addResult.remainingOrder;
     return addResult;
diff --git a/lib/swaps/Swaps.ts b/lib/swaps/Swaps.ts
index 31c8d03d8..3314ab718 100644
--- a/lib/swaps/Swaps.ts
+++ b/lib/swaps/Swaps.ts
@@ -94,12 +94,15 @@ class Swaps extends EventEmitter {
    * @param quantity The quantity of the order
    * @param price The price of the order
    * @param isBuy Whether the order is a buy
-   * @returns An object with the calculated incoming and outgoing values.
+   * @returns An object with the calculated incoming and outgoing values. The quote currency
+   * amount is returned as zero if the price is 0 or infinity, indicating a market order.
    */
   public static calculateInboundOutboundAmounts = (quantity: number, price: number, isBuy: boolean, pairId: string) => {
     const [baseCurrency, quoteCurrency] = pairId.split('/');
     const baseCurrencyAmount = Math.round(quantity * Swaps.UNITS_PER_CURRENCY[baseCurrency]);
-    const quoteCurrencyAmount = Math.round(quantity * price * Swaps.UNITS_PER_CURRENCY[quoteCurrency]);
+    const quoteCurrencyAmount = price > 0 && price < Number.POSITIVE_INFINITY ?
+      Math.round(quantity * price * Swaps.UNITS_PER_CURRENCY[quoteCurrency]) :
+      0; // if price is zero or infinity, this is a market order and we can't know the quote currency amount
 
     const inboundCurrency = isBuy ? baseCurrency : quoteCurrency;
     const inboundAmount = isBuy ? baseCurrencyAmount : quoteCurrencyAmount;
diff --git a/test/unit/DB.spec.ts b/test/unit/DB.spec.ts
index 16cf6ab60..4f0b54441 100644
--- a/test/unit/DB.spec.ts
+++ b/test/unit/DB.spec.ts
@@ -129,7 +129,7 @@ describe('Database', () => {
   });
 
   it('should add market orders and have their price in db be null', async () => {
-    const buyMarketOrder = createOwnOrder(Number.MAX_VALUE, quantity, true);
+    const buyMarketOrder = createOwnOrder(Number.POSITIVE_INFINITY, quantity, true);
     const sellMarketOrder = createOwnOrder(0, quantity, true);
     await orderBookRepo.addOrderIfNotExists(buyMarketOrder);
     await orderBookRepo.addOrderIfNotExists(sellMarketOrder);
diff --git a/test/unit/Swaps.spec.ts b/test/unit/Swaps.spec.ts
index e93e18486..51da9dccc 100644
--- a/test/unit/Swaps.spec.ts
+++ b/test/unit/Swaps.spec.ts
@@ -110,6 +110,20 @@ describe('Swaps', () => {
     expect(outboundAmount).to.equal(Swaps['UNITS_PER_CURRENCY']['LTC'] * quantity);
   });
 
+  it('should calculate 0 outbound amount for a market buy order', () => {
+    const { outboundCurrency, outboundAmount } =
+      Swaps.calculateInboundOutboundAmounts(quantity, 0, true, pairId);
+    expect(outboundCurrency).to.equal('BTC');
+    expect(outboundAmount).to.equal(0);
+  });
+
+  it('should calculate 0 inbound amount for a market sell order', () => {
+    const { inboundCurrency, inboundAmount } =
+      Swaps.calculateInboundOutboundAmounts(quantity, Number.POSITIVE_INFINITY, false, pairId);
+    expect(inboundCurrency).to.equal('BTC');
+    expect(inboundAmount).to.equal(0);
+  });
+
   it('should validate a good swap request', () => {
     expect(Swaps.validateSwapRequest(swapRequest)).to.be.true;
   });