@reserve-protocol/dtf-rebalance-lib 0.0.6 → 0.0.8

package/dist/open-auction.d.ts

@@ -32,6 +32,18 @@ export interface OpenAuctionArgs {
     newPrices: PriceRange[];
     newLimits: RebalanceLimits;
 }
+/**
+ * Generator for the `targetBasket` parameter
+ *
+ * Depending on the usecase, pass either:
+ * - TRACKING: CURRENT prices
+ * - NATIVE: HISTORICAL prices
+ *
+ * @param _initialWeights D27{tok/BU} The initial historical weights emitted in the RebalanceStarted event
+ * @param _prices {USD/wholeTok} either CURRENT or HISTORICAL prices
+ * @returns D18{1} The target basket
+ */
+export declare const getTargetBasket: (_initialWeights: WeightRange[], _prices: number[], _decimals: bigint[]) => bigint[];
 /**
  * Get the values needed to call `folio.openAuction()` as the AUCTION_LAUNCHER
  *

package/dist/open-auction.js

@@ -3,7 +3,7 @@ var __importDefault = (this && this.__importDefault) || function (mod) {
     return (mod && mod.__esModule) ? mod : { "default": mod };
 };
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.getOpenAuction = exports.AuctionRound = void 0;
+exports.getOpenAuction = exports.getTargetBasket = exports.AuctionRound = void 0;
 const decimal_js_light_1 = __importDefault(require("decimal.js-light"));
 const numbers_1 = require("./numbers");
 const types_1 = require("./types");
@@ -43,6 +43,7 @@ const getTargetBasket = (_initialWeights, _prices, _decimals) => {
     // D18{1} = {USD/wholeBU} / {USD/wholeBU} * D18
     return vals.map((val) => (0, numbers_1.bn)(val.div(totalValue).mul(numbers_1.D18d)));
 };
+exports.getTargetBasket = getTargetBasket;
 /**
  * Get the values needed to call `folio.openAuction()` as the AUCTION_LAUNCHER
  *
@@ -178,7 +179,10 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     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 = finalStageAt;
+        rebalanceTarget = initialProgression.add(numbers_1.ONE.sub(initialProgression).mul(finalStageAt));
+        if (rebalanceTarget.gte(numbers_1.ONE)) {
+            round = AuctionRound.FINAL;
+        }
     }
     // {1}
     const delta = numbers_1.ONE.sub(rebalanceTarget);

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "0.0.6",
+  "version": "0.0.8",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",

package/src/open-auction.ts

@@ -59,7 +59,7 @@ export interface OpenAuctionArgs {
  * @param _prices {USD/wholeTok} either CURRENT or HISTORICAL prices
  * @returns D18{1} The target basket
  */
-const getTargetBasket = (
+export const getTargetBasket = (
   _initialWeights: WeightRange[],
   _prices: number[],
   _decimals: bigint[]
@@ -274,7 +274,10 @@ export const getOpenAuction = (
     // wiggle room to prevent having to re-run an auction at the same stage after price movement
     round = AuctionRound.PROGRESS
 
-    rebalanceTarget = finalStageAt
+    rebalanceTarget = initialProgression.add(ONE.sub(initialProgression).mul(finalStageAt))
+    if (rebalanceTarget.gte(ONE)) {
+      round = AuctionRound.FINAL
+    }
   }
 
   // {1}