@reserve-protocol/dtf-rebalance-lib 0.1.4 → 0.1.6

package/dist/open-auction.js

@@ -103,16 +103,18 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
     const shareValue = folio
         .map((f, i) => {
-        return rebalance.inRebalance[i] ? f.mul(prices[i]) : numbers_1.ZERO;
+        return 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 buPriceChange = buValue.sub(shareValue).abs().div(shareValue);
+    console.log(`      🧺  ${buPriceChange.mul(100).toFixed(2)}% price change`);
     if (debug) {
         console.log("shareValue", shareValue.toString());
         console.log("buValue", buValue.toString());
     }
-    if (buValue.div(shareValue).gt(10) || shareValue.div(buValue).gt(100)) {
+    if (buValue.div(shareValue).gt(10) || shareValue.div(buValue).gt(10)) {
         throw new Error("buValue and shareValue are too different");
     }
     // ================================================================
@@ -126,7 +128,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     // {1} = {wholeTok/wholeShare} * {USD/wholeTok} / {USD/wholeShare}
     const portionBeingEjected = ejectionIndices
         .map((i) => {
-        return rebalance.inRebalance[i] ? folio[i].mul(prices[i]) : numbers_1.ZERO;
+        return folio[i].mul(prices[i]);
     })
         .reduce((a, b) => a.add(b), numbers_1.ZERO)
         .div(shareValue);
@@ -174,7 +176,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     if (progression.lt(0.99) && relativeProgression.lt(finalStageAt.sub(0.02))) {
         round = AuctionRound.PROGRESS;
         rebalanceTarget = initialProgression.add(numbers_1.ONE.sub(initialProgression).mul(finalStageAt));
-        if (numbers_1.ONE.sub(rebalanceTarget).lt(0.99)) {
+        if (rebalanceTarget.gte(0.99)) {
             rebalanceTarget = numbers_1.ONE;
         }
         if (rebalanceTarget.eq(numbers_1.ONE)) {
@@ -219,18 +221,11 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     if (round == AuctionRound.EJECT) {
         // buy 0.1% more
         newLimits.low += newLimits.low / 1000n;
-        // aim 1% higher
+        // aim 1% higher in the future
         newLimits.spot += newLimits.spot / 100n;
         // leave 10% room to increase low in the future if ejection leaves dust behind
         newLimits.high += newLimits.high / 10n;
     }
-    else if (round == AuctionRound.FINAL && progression.gt(0.999)) {
-        // if it's the final round and we're within 0.1%, buy 10% more than we need to
-        const delta = (0, numbers_1.bn)(numbers_1.ONE.sub(progression).mul(numbers_1.D18d).div(10));
-        newLimits.low += (newLimits.low * delta) / 10n ** 18n;
-        newLimits.spot += (newLimits.spot * delta) / 10n ** 18n;
-        newLimits.high += (newLimits.high * delta) / 10n ** 18n;
-    }
     // low
     if (newLimits.low < rebalance.limits.low) {
         newLimits.low = rebalance.limits.low;
@@ -285,18 +280,11 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         if (round == AuctionRound.EJECT) {
             // buy 0.1% more
             newWeightsD27.low += newWeightsD27.low / 1000n;
-            // aim 1% higher
+            // aim 1% higher in the future
             newWeightsD27.spot += newWeightsD27.spot / 100n;
             // leave 10% room to increase low in the future if ejection leaves dust behind
             newWeightsD27.high += newWeightsD27.high / 10n;
         }
-        else if (round == AuctionRound.FINAL && progression.gt(0.999)) {
-            // if it's the final round and we're within 0.1%, buy 10% more than we need to
-            const delta = (0, numbers_1.bn)(numbers_1.ONE.sub(progression).mul(numbers_1.D18d).div(10));
-            newWeightsD27.low += (newWeightsD27.low * delta) / 10n ** 18n;
-            newWeightsD27.spot += (newWeightsD27.spot * delta) / 10n ** 18n;
-            newWeightsD27.high += (newWeightsD27.high * delta) / 10n ** 18n;
-        }
         if (newWeightsD27.low < weightRange.low) {
             newWeightsD27.low = weightRange.low;
         }
@@ -327,7 +315,7 @@ 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 ${spotPrice.toString()} out of bounds relative to initial range [${initialPrice.low.toString()}, ${initialPrice.high.toString()}]! auction launcher MUST closeRebalance to prevent loss!`);
         }
         if (rebalance.priceControl == types_1.PriceControl.NONE) {
             return initialPrice;
@@ -378,10 +366,10 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
         const buyUpTo = weightRanges[i].low.mul(actualLimits.low);
         const sellDownTo = weightRanges[i].high.mul(actualLimits.high);
-        if (rebalance.inRebalance[i] && folio[i].lt(buyUpTo)) {
+        if (folio[i].lt(buyUpTo)) {
             deficitTokens.push(token);
         }
-        else if (rebalance.inRebalance[i] && folio[i].gt(sellDownTo)) {
+        else if (folio[i].gt(sellDownTo)) {
             surplusTokens.push(token);
         }
     });

package/dist/start-rebalance.js

@@ -75,8 +75,8 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
         else {
             // NATIVE case
             // {wholeTok/wholeShare} = {wholeTok/wholeShare} / {1}
-            const lowWeight = spotWeight.mul(numbers_1.ONE.div(numbers_1.ONE.add(priceError[i])));
-            const highWeight = spotWeight.mul(numbers_1.ONE.add(priceError[i]));
+            const lowWeight = spotWeight.mul(numbers_1.ONE.sub(priceError[i]));
+            const highWeight = spotWeight.div(numbers_1.ONE.sub(priceError[i]));
             // D27{tok/share} = {wholeTok/wholeShare} * D27{tok/share}{wholeShare/wholeTok} / {BU/share}
             newWeights.push({
                 low: (0, numbers_1.bn)(lowWeight.mul(limitMultiplier)),
@@ -106,8 +106,8 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
             throw new Error("totalPortion > 1");
         }
         // D18{BU/share} = {1} * D18 * {BU/share}
-        newLimits.low = (0, numbers_1.bn)(numbers_1.ONE.div(numbers_1.ONE.add(totalPortion)).mul(numbers_1.D18d));
-        newLimits.high = (0, numbers_1.bn)(numbers_1.ONE.add(totalPortion).mul(numbers_1.D18d));
+        newLimits.low = (0, numbers_1.bn)(numbers_1.ONE.sub(totalPortion).mul(numbers_1.D18d));
+        newLimits.high = (0, numbers_1.bn)(numbers_1.ONE.div(numbers_1.ONE.sub(totalPortion)).mul(numbers_1.D18d));
     }
     if (debug) {
         console.log("newWeights", newWeights);

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "0.1.4",
+  "version": "0.1.6",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",