@reserve-protocol/dtf-rebalance-lib 0.1.7 → 0.2.1

package/dist/open-auction.js

@@ -56,6 +56,9 @@ exports.getTargetBasket = getTargetBasket;
  * @param _finalStageAt {1} The % rebalanced from the initial Folio to determine when is the final stage of the rebalance
  */
 const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket = [], _folio, _decimals, _prices, _priceError, _finalStageAt, debug) => {
+    if (debug === undefined) {
+        debug = true;
+    }
     if (debug) {
         console.log("getOpenAuction", rebalance, _supply, _initialFolio, _targetBasket, _folio, _decimals, _prices, _priceError, _finalStageAt);
     }
@@ -160,7 +163,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         progression = initialProgression; // don't go backwards
     }
     // {1} = {1} / {1}
-    const relativeProgression = initialProgression.eq(numbers_1.ONE)
+    let relativeProgression = initialProgression.eq(numbers_1.ONE)
         ? numbers_1.ONE
         : progression.sub(initialProgression).div(numbers_1.ONE.sub(initialProgression));
     let rebalanceTarget = numbers_1.ONE;
@@ -352,7 +355,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     // ================================================================
     // calculate metrics
     // {USD} = {1} * {USD/wholeShare} * {wholeShare}
-    const valueBeingTraded = rebalanceTarget.sub(progression).mul(shareValue).mul(supply);
+    let valueBeingTraded = rebalanceTarget.sub(progression).mul(shareValue).mul(supply);
     const surplusTokens = [];
     const deficitTokens = [];
     // update Decimal weightRanges
@@ -365,6 +368,9 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         };
     });
     rebalance.tokens.forEach((token, i) => {
+        if (!rebalance.inRebalance[i]) {
+            return;
+        }
         // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
         const buyUpTo = weightRanges[i].low.mul(actualLimits.low);
         const sellDownTo = weightRanges[i].high.mul(actualLimits.high);
@@ -375,6 +381,13 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
             surplusTokens.push(token);
         }
     });
+    // completed if no surpluses or deficits
+    if (deficitTokens.length == 0 || surplusTokens.length == 0) {
+        rebalanceTarget = numbers_1.ONE;
+        relativeProgression = numbers_1.ONE;
+        progression = numbers_1.ONE;
+        valueBeingTraded = numbers_1.ZERO;
+    }
     // ================================================================
     // only return tokens that are in the rebalance
     const returnTokens = [];

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "0.1.7",
+  "version": "0.2.1",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",