@reserve-protocol/dtf-rebalance-lib 0.2.0 → 0.2.2

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);
     }
@@ -103,25 +106,35 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
     const shareValue = folio
         .map((f, i) => {
+        if (!rebalance.inRebalance[i]) {
+            return 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 buValue = weightRanges
+        .map((weightRange, i) => {
+        if (!rebalance.inRebalance[i]) {
+            return numbers_1.ZERO;
+        }
+        return 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`);
+    console.log(`      🧺  ${buPriceChange.mul(100).toFixed(2)}% basket price difference`);
     if (debug) {
         console.log("shareValue", shareValue.toString());
         console.log("buValue", buValue.toString());
     }
     if (buValue.div(shareValue).gt(10) || shareValue.div(buValue).gt(10)) {
-        throw new Error("buValue and shareValue are too different");
+        throw new Error("buValue and shareValue are too different, something probably went wrong");
     }
     // ================================================================
     // calculate rebalanceTarget
     const ejectionIndices = [];
     for (let i = 0; i < rebalance.weights.length; i++) {
-        if (rebalance.weights[i].spot == 0n) {
+        if (rebalance.inRebalance[i] && rebalance.weights[i].spot == 0n) {
             ejectionIndices.push(i);
         }
     }
@@ -135,24 +148,31 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     let progression = folio
         .map((actualBalance, i) => {
+        if (!rebalance.inRebalance[i]) {
+            return numbers_1.ZERO;
+        }
         // {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 balanceInBasket = balanceExpected.gt(actualBalance) ? actualBalance : balanceExpected;
         // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
-        return balanceInBU.mul(prices[i]);
+        return balanceInBasket.mul(prices[i]);
     })
         .reduce((a, b) => a.add(b))
         .div(shareValue);
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     const initialProgression = initialFolio
         .map((initialBalance, i) => {
+        // make sure to include tokens that were already ejected
+        if (!rebalance.inRebalance[i] && rebalance.weights[i].spot > 0n) {
+            return numbers_1.ZERO;
+        }
         // {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 balanceInBasket = balanceExpected.gt(initialBalance) ? initialBalance : balanceExpected;
         // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
-        return balanceInBU.mul(prices[i]);
+        return balanceInBasket.mul(prices[i]);
     })
         .reduce((a, b) => a.add(b))
         .div(shareValue);
@@ -160,7 +180,7 @@ 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;
@@ -351,8 +371,6 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     }
     // ================================================================
     // calculate metrics
-    // {USD} = {1} * {USD/wholeShare} * {wholeShare}
-    const valueBeingTraded = rebalanceTarget.sub(progression).mul(shareValue).mul(supply);
     const surplusTokens = [];
     const deficitTokens = [];
     // update Decimal weightRanges
@@ -364,19 +382,39 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
             high: new decimal_js_light_1.default(range.high.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
         };
     });
+    // {USD}
+    let surplusValue = numbers_1.ZERO;
+    let deficitValue = numbers_1.ZERO;
     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);
         if (folio[i].lt(buyUpTo)) {
             deficitTokens.push(token);
+            // {USD} += {wholeTok/wholeShare} * {USD/wholeTok} * {wholeShare}
+            deficitValue = deficitValue.add(folio[i].sub(buyUpTo).mul(prices[i]).mul(supply));
         }
         else if (folio[i].gt(sellDownTo)) {
             surplusTokens.push(token);
+            // {USD} += {wholeTok/wholeShare} * {USD/wholeTok} * {wholeShare}
+            surplusValue = surplusValue.add(folio[i].sub(sellDownTo).mul(prices[i]).mul(supply));
         }
     });
+    // {USD}
+    const valueBeingTraded = surplusValue.gt(deficitValue) ? deficitValue : surplusValue;
+    // // completed if nothing to trade
+    // if (valueBeingTraded.eq(ZERO)) {
+    //   round = AuctionRound.FINAL;
+    //   rebalanceTarget = ONE;
+    //   relativeProgression = ONE;
+    //   progression = ONE;
+    // }
+    // // TODO maybe add back
     // ================================================================
-    // only return tokens that are in the rebalance
+    // filter tokens that are not in the rebalance
     const returnTokens = [];
     const returnWeights = [];
     const returnPrices = [];

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "0.2.0",
+  "version": "0.2.2",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",