@reserve-protocol/dtf-rebalance-lib 0.0.16 → 0.0.18

package/dist/open-auction.js

@@ -185,25 +185,28 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     // make it an eject auction if there is 1 bps or more of value to eject
     if (portionBeingEjected.gte(1e-4)) {
         round = AuctionRound.EJECT;
-        rebalanceTarget = progression.add(portionBeingEjected.mul(1.2)); // set rebalanceTarget to 20% more than needed to ensure ejection completes
-        if (rebalanceTarget.gte(numbers_1.ONE)) {
-            rebalanceTarget = initialProgression.add(numbers_1.ONE.sub(initialProgression).mul(finalStageAt));
+        if (relativeProgression.lt(finalStageAt.sub(0.02))) {
+            rebalanceTarget = progression.add(portionBeingEjected.mul(1.1)); // set rebalanceTarget to 10% more than needed to ensure ejection completes
+            // do not finish trading yet
+            if (rebalanceTarget.gte(numbers_1.ONE)) {
+                rebalanceTarget = initialProgression.add(numbers_1.ONE.sub(initialProgression).mul(finalStageAt));
+            }
         }
     }
     else if (relativeProgression.lt(finalStageAt.sub(0.02))) {
         // wiggle room to prevent having to re-run an auction at the same stage after price movement
         round = AuctionRound.PROGRESS;
         rebalanceTarget = initialProgression.add(numbers_1.ONE.sub(initialProgression).mul(finalStageAt));
-        if (rebalanceTarget.gt(numbers_1.ONE)) {
-            throw new Error('something has gone very wrong');
+        if (rebalanceTarget.eq(numbers_1.ONE)) {
+            round = AuctionRound.FINAL;
         }
     }
+    if (rebalanceTarget.gt(numbers_1.ONE)) {
+        throw new Error('something has gone very wrong');
+    }
     if (rebalanceTarget.lt(progression)) {
         rebalanceTarget = numbers_1.ONE;
     }
-    else if (rebalanceTarget.eq(numbers_1.ONE)) {
-        round = AuctionRound.FINAL;
-    }
     if (logging) {
         console.log('rebalanceTarget', rebalanceTarget.toString());
     }
@@ -219,6 +222,12 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         spot: (0, numbers_1.bn)(spotLimit.mul(numbers_1.D18d)),
         high: (0, numbers_1.bn)(spotLimit.add(spotLimit.mul(delta)).mul(numbers_1.D18d)),
     };
+    if (round == AuctionRound.EJECT && rebalanceTarget.eq(numbers_1.ONE)) {
+        // aim 1% higher if executed permissonlessly
+        newLimits.spot += newLimits.spot * 1n / 100n;
+        // leave 10% room to increase low in the future if ejection leaves dust behind
+        newLimits.high += newLimits.high * 10n / 100n;
+    }
     // low
     if (newLimits.low < rebalance.limits.low) {
         newLimits.low = rebalance.limits.low;
@@ -272,6 +281,12 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
                 .mul(decimalScale[i])
                 .div(numbers_1.D18d)),
         };
+        if (round == AuctionRound.EJECT && rebalanceTarget.eq(numbers_1.ONE)) {
+            // aim 1% higher if executed permissonlessly
+            newWeightsD27.spot += newWeightsD27.spot * 1n / 100n;
+            // leave 10% room to increase low in the future if ejection leaves dust behind
+            newWeightsD27.high += newWeightsD27.high * 10n / 100n;
+        }
         if (newWeightsD27.low < weightRange.low) {
             newWeightsD27.low = weightRange.low;
         }

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "0.0.16",
+  "version": "0.0.18",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",

package/src/open-auction.ts

@@ -282,24 +282,30 @@ export const getOpenAuction = (
   if (portionBeingEjected.gte(1e-4)) {
     round = AuctionRound.EJECT
 
-    rebalanceTarget = progression.add(portionBeingEjected.mul(1.2)) // set rebalanceTarget to 20% more than needed to ensure ejection completes
-    if (rebalanceTarget.gte(ONE)) {
-      rebalanceTarget = initialProgression.add(ONE.sub(initialProgression).mul(finalStageAt))
-    } 
+    if (relativeProgression.lt(finalStageAt.sub(0.02))) {
+      rebalanceTarget = progression.add(portionBeingEjected.mul(1.1)) // set rebalanceTarget to 10% more than needed to ensure ejection completes
+      
+      // do not finish trading yet
+      if (rebalanceTarget.gte(ONE)) {
+        rebalanceTarget = initialProgression.add(ONE.sub(initialProgression).mul(finalStageAt))
+      } 
+    }
   } else if (relativeProgression.lt(finalStageAt.sub(0.02))) {
       // wiggle room to prevent having to re-run an auction at the same stage after price movement
       round = AuctionRound.PROGRESS
       
       rebalanceTarget = initialProgression.add(ONE.sub(initialProgression).mul(finalStageAt))
-      if (rebalanceTarget.gt(ONE)) {
-        throw new Error('something has gone very wrong')
+      if (rebalanceTarget.eq(ONE)) {
+        round = AuctionRound.FINAL
       }
   }
+
+  if (rebalanceTarget.gt(ONE)) {
+    throw new Error('something has gone very wrong')
+  }
   
   if (rebalanceTarget.lt(progression)) {
       rebalanceTarget = ONE
-  } else if (rebalanceTarget.eq(ONE)) {
-    round = AuctionRound.FINAL
   }
 
   if (logging) {
@@ -316,7 +322,6 @@ export const getOpenAuction = (
   // {wholeBU/wholeShare} = {USD/wholeShare} / {USD/wholeBU}
   const spotLimit = shareValue.div(buValue)
 
-
   // D18{BU/share} = {wholeBU/wholeShare} * D18 * {1}
   const newLimits = {
     low: bn(spotLimit.sub(spotLimit.mul(delta)).mul(D18d)),
@@ -324,6 +329,14 @@ export const getOpenAuction = (
     high: bn(spotLimit.add(spotLimit.mul(delta)).mul(D18d)),
   }
 
+  if (round == AuctionRound.EJECT && rebalanceTarget.eq(ONE)) {
+    // aim 1% higher if executed permissonlessly
+    newLimits.spot += newLimits.spot * 1n / 100n
+    
+    // leave 10% room to increase low in the future if ejection leaves dust behind
+    newLimits.high += newLimits.high * 10n / 100n
+  }
+
   // low
   if (newLimits.low < rebalance.limits.low) {
     newLimits.low = rebalance.limits.low
@@ -390,6 +403,14 @@ export const getOpenAuction = (
       ),
     }
 
+    if (round == AuctionRound.EJECT && rebalanceTarget.eq(ONE)) {
+      // aim 1% higher if executed permissonlessly
+      newWeightsD27.spot += newWeightsD27.spot * 1n / 100n
+      
+      // leave 10% room to increase low in the future if ejection leaves dust behind
+      newWeightsD27.high += newWeightsD27.high * 10n / 100n
+    }
+
     if (newWeightsD27.low < weightRange.low) {
       newWeightsD27.low = weightRange.low
     } else if (newWeightsD27.low > weightRange.high) {