@reserve-protocol/dtf-rebalance-lib 0.0.17 → 0.0.18

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Files changed (3) hide show
  1. package/dist/open-auction.js +8 -8
  2. package/package.json +1 -1
  3. package/src/open-auction.ts +10 -8
package/dist/open-auction.js CHANGED
@@ -223,10 +223,10 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  high: (0, numbers_1.bn)(spotLimit.add(spotLimit.mul(delta)).mul(numbers_1.D18d)),
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  };
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  if (round == AuctionRound.EJECT && rebalanceTarget.eq(numbers_1.ONE)) {
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- // if ejecting to completion, aim 10% higher (if possible)
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- newLimits.low = (0, numbers_1.bn)(spotLimit.mul(1.1).mul(numbers_1.D18d));
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- newLimits.spot = (0, numbers_1.bn)(spotLimit.mul(1.1).mul(numbers_1.D18d));
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- newLimits.high = (0, numbers_1.bn)(spotLimit.mul(1.1).mul(numbers_1.D18d));
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+ // aim 1% higher if executed permissonlessly
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+ newLimits.spot += newLimits.spot * 1n / 100n;
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+ // leave 10% room to increase low in the future if ejection leaves dust behind
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+ newLimits.high += newLimits.high * 10n / 100n;
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  }
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  // low
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  if (newLimits.low < rebalance.limits.low) {
@@ -282,10 +282,10 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  .div(numbers_1.D18d)),
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  };
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  if (round == AuctionRound.EJECT && rebalanceTarget.eq(numbers_1.ONE)) {
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- // if ejecting to completion, aim 10% higher
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- newWeightsD27.low = newWeightsD27.low * 11n / 10n;
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- newWeightsD27.spot = newWeightsD27.spot * 11n / 10n;
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- newWeightsD27.high = newWeightsD27.high * 11n / 10n;
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+ // aim 1% higher if executed permissonlessly
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+ newWeightsD27.spot += newWeightsD27.spot * 1n / 100n;
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+ // leave 10% room to increase low in the future if ejection leaves dust behind
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+ newWeightsD27.high += newWeightsD27.high * 10n / 100n;
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  }
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  if (newWeightsD27.low < weightRange.low) {
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  newWeightsD27.low = weightRange.low;
package/package.json CHANGED
@@ -1,6 +1,6 @@
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  {
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  "name": "@reserve-protocol/dtf-rebalance-lib",
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- "version": "0.0.17",
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+ "version": "0.0.18",
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  "description": "Rebalancing library for DTFs in typescript",
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  "main": "dist/index.js",
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  "module": "dist/index.js",
package/src/open-auction.ts CHANGED
@@ -330,10 +330,11 @@ export const getOpenAuction = (
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  }
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  if (round == AuctionRound.EJECT && rebalanceTarget.eq(ONE)) {
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- // if ejecting to completion, aim 10% higher (if possible)
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- newLimits.low = bn(spotLimit.mul(1.1).mul(D18d))
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- newLimits.spot = bn(spotLimit.mul(1.1).mul(D18d))
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- newLimits.high = bn(spotLimit.mul(1.1).mul(D18d))
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+ // aim 1% higher if executed permissonlessly
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+ newLimits.spot += newLimits.spot * 1n / 100n
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+
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+ // leave 10% room to increase low in the future if ejection leaves dust behind
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+ newLimits.high += newLimits.high * 10n / 100n
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  }
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  // low
@@ -403,10 +404,11 @@ export const getOpenAuction = (
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  }
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  if (round == AuctionRound.EJECT && rebalanceTarget.eq(ONE)) {
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- // if ejecting to completion, aim 10% higher
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- newWeightsD27.low = newWeightsD27.low * 11n / 10n
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- newWeightsD27.spot = newWeightsD27.spot * 11n / 10n
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- newWeightsD27.high = newWeightsD27.high * 11n / 10n
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+ // aim 1% higher if executed permissonlessly
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+ newWeightsD27.spot += newWeightsD27.spot * 1n / 100n
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+
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+ // leave 10% room to increase low in the future if ejection leaves dust behind
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+ newWeightsD27.high += newWeightsD27.high * 10n / 100n
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  }
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  if (newWeightsD27.low < weightRange.low) {