@reserve-protocol/dtf-rebalance-lib 0.1.5 → 0.1.7

package/dist/open-auction.d.ts

@@ -11,6 +11,7 @@ export declare enum AuctionRound {
  * @param absoluteProgression {1} The progression of the auction on an absolute scale
  * @param relativeProgression {1} The relative progression of the auction
  * @param target {1} The target of the auction on an absolute scale
+ * @param relativeTarget {1} The relative target of the auction
  * @param auctionSize {USD} The total value on sale in the auction
  * @param surplusTokens The list of tokens in surplus
  * @param deficitTokens The list of tokens in deficit
@@ -21,6 +22,7 @@ export interface AuctionMetrics {
     absoluteProgression: number;
     relativeProgression: number;
     target: number;
+    relativeTarget: number;
     auctionSize: number;
     surplusTokens: string[];
     deficitTokens: string[];

package/dist/open-auction.js

@@ -103,7 +103,7 @@ 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}
@@ -128,7 +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);
@@ -198,12 +198,14 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
             }
         }
     }
-    if (rebalanceTarget.lte(numbers_1.ZERO) || rebalanceTarget.gt(numbers_1.ONE)) {
+    if (rebalanceTarget.lte(numbers_1.ZERO) || rebalanceTarget.lt(initialProgression) || rebalanceTarget.gt(numbers_1.ONE)) {
         throw new Error("something has gone very wrong");
     }
+    const relativeTarget = rebalanceTarget.sub(initialProgression).div(numbers_1.ONE.sub(initialProgression));
     if (debug) {
         console.log("round", round);
         console.log("rebalanceTarget", rebalanceTarget.toString());
+        console.log("relativeTarget", relativeTarget.toString());
     }
     // {1}
     const delta = numbers_1.ONE.sub(rebalanceTarget);
@@ -366,10 +368,10 @@ 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);
         }
     });
@@ -399,6 +401,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
             absoluteProgression: progression.toNumber(),
             relativeProgression: relativeProgression.toNumber(),
             target: rebalanceTarget.toNumber(),
+            relativeTarget: relativeTarget.toNumber(),
             auctionSize: valueBeingTraded.toNumber(),
             surplusTokens: surplusTokens,
             deficitTokens: deficitTokens,

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "0.1.5",
+  "version": "0.1.7",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",