@reserve-protocol/dtf-rebalance-lib 0.1.2 → 0.1.3

package/dist/open-auction.d.ts

@@ -1,4 +1,4 @@
-import { PriceRange, Rebalance, RebalanceLimits, WeightRange } from './types';
+import { PriceRange, Rebalance, RebalanceLimits, WeightRange } from "./types";
 export declare enum AuctionRound {
     EJECT = 0,
     PROGRESS = 1,

package/dist/open-auction.js

@@ -27,17 +27,13 @@ var AuctionRound;
  */
 const getTargetBasket = (_initialWeights, _prices, _decimals) => {
     if (_initialWeights.length != _prices.length) {
-        throw new Error('length mismatch');
+        throw new Error("length mismatch");
     }
     const vals = _initialWeights.map((initialWeight, i) => {
         const price = new decimal_js_light_1.default(_prices[i]);
         const decimalScale = new decimal_js_light_1.default(`1e${_decimals[i]}`);
         // {USD/wholeBU} = D27{tok/BU} * {BU/wholeBU} / {tok/wholeTok} / D27 * {USD/wholeTok}
-        return new decimal_js_light_1.default(initialWeight.spot.toString())
-            .mul(numbers_1.D18d)
-            .div(decimalScale)
-            .div(numbers_1.D27d)
-            .mul(price);
+        return new decimal_js_light_1.default(initialWeight.spot.toString()).mul(numbers_1.D18d).div(decimalScale).div(numbers_1.D27d).mul(price);
     });
     const totalValue = vals.reduce((a, b) => a.add(b));
     // D18{1} = {USD/wholeBU} / {USD/wholeBU} * D18
@@ -61,17 +57,17 @@ exports.getTargetBasket = getTargetBasket;
  */
 const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket = [], _folio, _decimals, _prices, _priceError, _finalStageAt, logging) => {
     if (logging) {
-        console.log('getOpenAuction', rebalance, _supply, _initialFolio, _targetBasket, _folio, _decimals, _prices, _priceError, _finalStageAt);
+        console.log("getOpenAuction", rebalance, _supply, _initialFolio, _targetBasket, _folio, _decimals, _prices, _priceError, _finalStageAt);
     }
     if (rebalance.tokens.length != _targetBasket.length ||
         _targetBasket.length != _folio.length ||
         _folio.length != _decimals.length ||
         _decimals.length != _prices.length ||
         _prices.length != _priceError.length) {
-        throw new Error('length mismatch');
+        throw new Error("length mismatch");
     }
     if (_finalStageAt > 1) {
-        throw new Error('finalStageAt must be less than 1');
+        throw new Error("finalStageAt must be less than 1");
     }
     // ================================================================
     // {wholeShare} = {share} / {share/wholeShare}
@@ -96,34 +92,21 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     // {wholeTok/wholeBU} = D27{tok/BU} * {BU/wholeBU} / {tok/wholeTok} / D27
     let weightRanges = rebalance.weights.map((range, i) => {
         return {
-            low: new decimal_js_light_1.default(range.low.toString())
-                .mul(numbers_1.D18d)
-                .div(decimalScale[i])
-                .div(numbers_1.D27d),
-            spot: new decimal_js_light_1.default(range.spot.toString())
-                .mul(numbers_1.D18d)
-                .div(decimalScale[i])
-                .div(numbers_1.D27d),
-            high: new decimal_js_light_1.default(range.high.toString())
-                .mul(numbers_1.D18d)
-                .div(decimalScale[i])
-                .div(numbers_1.D27d),
+            low: new decimal_js_light_1.default(range.low.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
+            spot: new decimal_js_light_1.default(range.spot.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
+            high: new decimal_js_light_1.default(range.high.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
         };
     });
     const finalStageAt = new decimal_js_light_1.default(_finalStageAt.toString());
     // ================================================================
     // calculate ideal spot limit, the actual BU<->share ratio
     // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
-    const shareValue = folio
-        .map((f, i) => f.mul(prices[i]))
-        .reduce((a, b) => a.add(b));
+    const shareValue = folio.map((f, i) => f.mul(prices[i])).reduce((a, b) => a.add(b));
     // {USD/wholeBU} = {wholeTok/wholeBU} * {USD/wholeTok}
-    const buValue = weightRanges
-        .map((weightRange, i) => weightRange.spot.mul(prices[i]))
-        .reduce((a, b) => a.add(b));
+    const buValue = weightRanges.map((weightRange, i) => weightRange.spot.mul(prices[i])).reduce((a, b) => a.add(b));
     if (logging) {
-        console.log('shareValue', shareValue.toString());
-        console.log('buValue', buValue.toString());
+        console.log("shareValue", shareValue.toString());
+        console.log("buValue", buValue.toString());
     }
     // ================================================================
     // calculate rebalanceTarget
@@ -144,9 +127,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         // {wholeTok/wholeShare} = {USD/wholeShare} * {1} / {USD/wholeTok}
         const balanceExpected = shareValue.mul(targetBasket[i]).div(prices[i]);
         // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
-        const balanceInBU = balanceExpected.gt(actualBalance)
-            ? actualBalance
-            : balanceExpected;
+        const balanceInBU = balanceExpected.gt(actualBalance) ? actualBalance : balanceExpected;
         // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
         return balanceInBU.mul(prices[i]);
     })
@@ -158,9 +139,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         // {wholeTok/wholeShare} = {USD/wholeShare} * {1} / {USD/wholeTok}
         const balanceExpected = shareValue.mul(targetBasket[i]).div(prices[i]);
         // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
-        const balanceInBU = balanceExpected.gt(initialBalance)
-            ? initialBalance
-            : balanceExpected;
+        const balanceInBU = balanceExpected.gt(initialBalance) ? initialBalance : balanceExpected;
         // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
         return balanceInBU.mul(prices[i]);
     })
@@ -176,11 +155,11 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     let rebalanceTarget = numbers_1.ONE;
     let round = AuctionRound.FINAL;
     if (logging) {
-        console.log('initialProgression', initialProgression.toString());
-        console.log('progression', progression.toString());
-        console.log('relativeProgression', relativeProgression.toString());
-        console.log('portionBeingEjected', portionBeingEjected.toString());
-        console.log('finalStageAt', finalStageAt.toString());
+        console.log("initialProgression", initialProgression.toString());
+        console.log("progression", progression.toString());
+        console.log("relativeProgression", relativeProgression.toString());
+        console.log("portionBeingEjected", portionBeingEjected.toString());
+        console.log("finalStageAt", finalStageAt.toString());
     }
     // make it an eject auction if there is 1 bps or more of value to eject
     if (portionBeingEjected.gte(1e-4)) {
@@ -202,13 +181,13 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         }
     }
     if (rebalanceTarget.gt(numbers_1.ONE)) {
-        throw new Error('something has gone very wrong');
+        throw new Error("something has gone very wrong");
     }
-    if (rebalanceTarget.lt(progression)) {
+    if (rebalanceTarget.lt(progression) || numbers_1.ONE.sub(rebalanceTarget).lt(1e-4)) {
         rebalanceTarget = numbers_1.ONE;
     }
     if (logging) {
-        console.log('rebalanceTarget', rebalanceTarget.toString());
+        console.log("rebalanceTarget", rebalanceTarget.toString());
     }
     // {1}
     const delta = numbers_1.ONE.sub(rebalanceTarget);
@@ -224,9 +203,9 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     };
     if (round == AuctionRound.EJECT && rebalanceTarget.eq(numbers_1.ONE)) {
         // aim 1% higher if executed permissonlessly
-        newLimits.spot += newLimits.spot * 1n / 100n;
+        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;
+        newLimits.high += (newLimits.high * 10n) / 100n;
     }
     // low
     if (newLimits.low < rebalance.limits.low) {
@@ -250,7 +229,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         newLimits.high = rebalance.limits.high;
     }
     if (logging) {
-        console.log('newLimits', newLimits);
+        console.log("newLimits", newLimits);
     }
     // ================================================================
     // get new weights, constrained by extremes
@@ -263,10 +242,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     // D27{tok/BU}
     const newWeights = rebalance.weights.map((weightRange, i) => {
         // {wholeTok/wholeBU} = {USD/wholeShare} * {1} / {wholeBU/wholeShare} / {USD/wholeTok}
-        const idealWeight = shareValue
-            .mul(targetBasket[i])
-            .div(actualLimits.spot)
-            .div(prices[i]);
+        const idealWeight = shareValue.mul(targetBasket[i]).div(actualLimits.spot).div(prices[i]);
         // D27{tok/BU} = {wholeTok/wholeBU} * D27 * {tok/wholeTok} / {BU/wholeBU}
         const newWeightsD27 = {
             low: (0, numbers_1.bn)(idealWeight
@@ -283,9 +259,9 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         };
         if (round == AuctionRound.EJECT && rebalanceTarget.eq(numbers_1.ONE)) {
             // aim 1% higher if executed permissonlessly
-            newWeightsD27.spot += newWeightsD27.spot * 1n / 100n;
+            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;
+            newWeightsD27.high += (newWeightsD27.high * 10n) / 100n;
         }
         if (newWeightsD27.low < weightRange.low) {
             newWeightsD27.low = weightRange.low;
@@ -308,7 +284,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         return newWeightsD27;
     });
     if (logging) {
-        console.log('newWeights', newWeights);
+        console.log("newWeights", newWeights);
     }
     // ================================================================
     // get new prices, constrained by extremes
@@ -317,7 +293,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         // revert if price out of bounds
         const spotPrice = (0, numbers_1.bn)(prices[i].mul(numbers_1.D27d).div(decimalScale[i]));
         if (spotPrice < initialPrice.low || spotPrice > initialPrice.high) {
-            throw new Error('spot price out of bounds! auction launcher MUST closeRebalance to prevent loss!');
+            throw new Error("spot price out of bounds! auction launcher MUST closeRebalance to prevent loss!");
         }
         if (rebalance.priceControl == types_1.PriceControl.NONE) {
             return initialPrice;
@@ -342,38 +318,26 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
             pricesD27.high = initialPrice.high;
         }
         if (pricesD27.low == pricesD27.high && priceError[i].gt(numbers_1.ZERO)) {
-            throw new Error('no price range');
+            throw new Error("no price range");
         }
         return pricesD27;
     });
     if (logging) {
-        console.log('newPrices', newPrices);
+        console.log("newPrices", newPrices);
     }
     // ================================================================
     // calculate metrics
     // {USD} = {1} * {USD/wholeShare} * {wholeShare}
-    const valueBeingTraded = rebalanceTarget
-        .sub(progression)
-        .mul(shareValue)
-        .mul(supply);
+    const valueBeingTraded = rebalanceTarget.sub(progression).mul(shareValue).mul(supply);
     const surplusTokens = [];
     const deficitTokens = [];
     // update Decimal weightRanges
     // {wholeTok/wholeBU} = D27{tok/BU} * {BU/wholeBU} / {tok/wholeTok} / D27
     weightRanges = newWeights.map((range, i) => {
         return {
-            low: new decimal_js_light_1.default(range.low.toString())
-                .mul(numbers_1.D18d)
-                .div(decimalScale[i])
-                .div(numbers_1.D27d),
-            spot: new decimal_js_light_1.default(range.spot.toString())
-                .mul(numbers_1.D18d)
-                .div(decimalScale[i])
-                .div(numbers_1.D27d),
-            high: new decimal_js_light_1.default(range.high.toString())
-                .mul(numbers_1.D18d)
-                .div(decimalScale[i])
-                .div(numbers_1.D27d),
+            low: new decimal_js_light_1.default(range.low.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
+            spot: new decimal_js_light_1.default(range.spot.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
+            high: new decimal_js_light_1.default(range.high.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
         };
     });
     rebalance.tokens.forEach((token, i) => {

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "0.1.2",
+  "version": "0.1.3",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",
@@ -17,7 +17,7 @@
     "prepublishOnly": "npm run build",
     "test": "npm run test:unit && npm run test:e2e",
     "test:unit": "node --test --require ts-node/register test/unit/*.test.ts",
-    "test:e2e": "hardhat test --bail"
+    "test:e2e": "hardhat test test/e2e/*.test.ts --bail"
   },
   "publishConfig": {
     "access": "public"