@reserve-protocol/dtf-rebalance-lib 0.0.17 → 0.1.0

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Files changed (6) hide show
  1. package/dist/open-auction.js +8 -8
  2. package/dist/start-rebalance.d.ts +2 -1
  3. package/dist/start-rebalance.js +7 -4
  4. package/package.json +1 -1
  5. package/src/open-auction.ts +10 -8
  6. package/src/start-rebalance.ts +10 -5
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/dist/start-rebalance.d.ts CHANGED
@@ -11,6 +11,7 @@ export interface StartRebalanceArgsPartial {
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  *
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  * @param _supply {share}
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  * @param tokens Addresses of tokens in the basket
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+ * @param _folio D18{tok/share} Folio of the basket
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  * @param decimals Decimals of each token
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  * @param _targetBasket D18{1} Ideal basket
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  * @param _prices {USD/wholeTok} USD prices for each *whole* token
@@ -18,4 +19,4 @@ export interface StartRebalanceArgsPartial {
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  * @param _dtfPrice {USD/wholeShare} DTF price
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  * @param weightControl TRACKING=false, NATIVE=true
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  */
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- export declare const getStartRebalance: (_supply: bigint, tokens: string[], decimals: bigint[], _targetBasket: bigint[], _prices: number[], _priceError: number[], _dtfPrice: number, weightControl: boolean, logging?: boolean) => StartRebalanceArgsPartial;
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+ export declare const getStartRebalance: (_supply: bigint, tokens: string[], _folio: bigint[], decimals: bigint[], _targetBasket: bigint[], _prices: number[], _priceError: number[], weightControl: boolean, logging?: boolean) => StartRebalanceArgsPartial;
package/dist/start-rebalance.js CHANGED
@@ -13,6 +13,7 @@ const numbers_1 = require("./numbers");
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  *
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  * @param _supply {share}
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  * @param tokens Addresses of tokens in the basket
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+ * @param _folio D18{tok/share} Folio of the basket
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  * @param decimals Decimals of each token
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  * @param _targetBasket D18{1} Ideal basket
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  * @param _prices {USD/wholeTok} USD prices for each *whole* token
@@ -20,10 +21,12 @@ const numbers_1 = require("./numbers");
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  * @param _dtfPrice {USD/wholeShare} DTF price
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  * @param weightControl TRACKING=false, NATIVE=true
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  */
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- const getStartRebalance = (_supply, tokens, decimals, _targetBasket, _prices, _priceError, _dtfPrice, weightControl, logging) => {
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+ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _prices, _priceError, weightControl, logging) => {
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  if (logging) {
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- console.log('getStartRebalance', _supply, tokens, decimals, _targetBasket, _prices, _priceError, _dtfPrice, weightControl);
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+ console.log('getStartRebalance', _supply, tokens, _folio, decimals, _targetBasket, _prices, _priceError, weightControl);
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  }
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+ // {wholeTok/wholeShare} = D18{tok/share} * {share/wholeShare} / {tok/wholeTok} / D18
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+ const folio = _folio.map((c, i) => new decimal_js_light_1.default(c.toString()).div(new decimal_js_light_1.default(`1e${decimals[i]}`)));
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  // convert price number inputs to bigints
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  // {USD/wholeTok}
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  const prices = _prices.map((a) => new decimal_js_light_1.default(a.toString()));
@@ -32,8 +35,6 @@ const getStartRebalance = (_supply, tokens, decimals, _targetBasket, _prices, _p
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  throw new Error(`missing price for token ${tokens[i]}`);
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  }
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  }
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- // {USD/wholeShare}
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- const dtfPrice = new decimal_js_light_1.default(_dtfPrice);
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  // {1} = D18{1} / D18
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  const targetBasket = _targetBasket.map((a) => new decimal_js_light_1.default(a.toString()).div(numbers_1.D18d));
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  // {1}
@@ -52,6 +53,8 @@ const getStartRebalance = (_supply, tokens, decimals, _targetBasket, _prices, _p
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  throw new Error('cannot defer prices');
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  }
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  // === newWeights ===
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+ // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
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+ const dtfPrice = folio.map((f, i) => f.mul(prices[i])).reduce((a, b) => a.add(b));
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  // {wholeTok/wholeShare} = {1} * {USD/wholeShare} / {USD/wholeTok}
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  const spotWeight = targetBasket[i].mul(dtfPrice).div(prices[i]);
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  // D27{tok/share}{wholeShare/wholeTok} = D27 * {tok/wholeTok} / {share/wholeShare}
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
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  "name": "@reserve-protocol/dtf-rebalance-lib",
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- "version": "0.0.17",
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+ "version": "0.1.0",
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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) {
package/src/start-rebalance.ts CHANGED
@@ -21,6 +21,7 @@ export interface StartRebalanceArgsPartial {
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  *
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  * @param _supply {share}
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  * @param tokens Addresses of tokens in the basket
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+ * @param _folio D18{tok/share} Folio of the basket
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  * @param decimals Decimals of each token
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  * @param _targetBasket D18{1} Ideal basket
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  * @param _prices {USD/wholeTok} USD prices for each *whole* token
@@ -31,18 +32,23 @@ export interface StartRebalanceArgsPartial {
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  export const getStartRebalance = (
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  _supply: bigint,
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  tokens: string[],
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+ _folio: bigint[],
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  decimals: bigint[],
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  _targetBasket: bigint[],
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  _prices: number[],
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  _priceError: number[],
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- _dtfPrice: number,
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  weightControl: boolean,
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  logging?: boolean
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  ): StartRebalanceArgsPartial => {
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  if (logging) {
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- console.log('getStartRebalance', _supply, tokens, decimals, _targetBasket, _prices, _priceError, _dtfPrice, weightControl)
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+ console.log('getStartRebalance', _supply, tokens, _folio, decimals, _targetBasket, _prices, _priceError, weightControl)
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  }
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+ // {wholeTok/wholeShare} = D18{tok/share} * {share/wholeShare} / {tok/wholeTok} / D18
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+ const folio = _folio.map((c: bigint, i: number) =>
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+ new Decimal(c.toString()).div(new Decimal(`1e${decimals[i]}`))
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+ )
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+
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  // convert price number inputs to bigints
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53
 
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  // {USD/wholeTok}
@@ -53,9 +59,6 @@ export const getStartRebalance = (
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  }
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  }
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56
- // {USD/wholeShare}
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- const dtfPrice = new Decimal(_dtfPrice)
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-
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  // {1} = D18{1} / D18
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  const targetBasket = _targetBasket.map((a) =>
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  new Decimal(a.toString()).div(D18d)
@@ -83,6 +86,8 @@ export const getStartRebalance = (
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86
 
84
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  // === newWeights ===
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+ // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
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+ const dtfPrice = folio.map((f: Decimal, i: number) => f.mul(prices[i])).reduce((a: Decimal, b: Decimal) => a.add(b))
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  // {wholeTok/wholeShare} = {1} * {USD/wholeShare} / {USD/wholeTok}
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  const spotWeight = targetBasket[i].mul(dtfPrice).div(prices[i])