@reserve-protocol/dtf-rebalance-lib 0.2.18 → 0.3.0
This diff represents the content of publicly available package versions that have been released to one of the supported registries. The information contained in this diff is provided for informational purposes only and reflects changes between package versions as they appear in their respective public registries.
- package/dist/open-auction.d.ts +1 -1
- package/dist/open-auction.js +14 -9
- package/dist/start-rebalance.js +4 -7
- package/package.json +1 -1
package/dist/open-auction.d.ts
CHANGED
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@@ -45,7 +45,7 @@ export interface OpenAuctionArgs {
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* @param _prices {USD/wholeTok} either CURRENT or HISTORICAL prices
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* @returns D18{1} The target basket
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*/
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-
export declare const getTargetBasket: (_initialWeights: WeightRange[], _prices: number[], _decimals: bigint[]) => bigint[];
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+
export declare const getTargetBasket: (_initialWeights: WeightRange[], _prices: number[], _decimals: bigint[], debug?: boolean) => bigint[];
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/**
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* Get the values needed to call `folio.openAuction()` as the AUCTION_LAUNCHER
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*
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package/dist/open-auction.js
CHANGED
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@@ -22,8 +22,13 @@ var AuctionRound;
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* @param _prices {USD/wholeTok} either CURRENT or HISTORICAL prices
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* @returns D18{1} The target basket
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*/
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-
const getTargetBasket = (_initialWeights, _prices, _decimals) => {
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-
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const getTargetBasket = (_initialWeights, _prices, _decimals, debug) => {
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if (debug === undefined) {
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debug = true;
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}
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if (debug) {
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console.log("getTargetBasket", _initialWeights, _prices, _decimals);
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}
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if (_initialWeights.length != _prices.length) {
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throw new Error("length mismatch");
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}
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@@ -79,7 +84,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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// {1} = D18{1} / D18
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const targetBasket = _targetBasket.map((a) => new utils_1.Decimal(a.toString()).div(numbers_1.D18d));
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// {USD/wholeTok}
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-
const prices = _prices.map((a) => new utils_1.Decimal(a));
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const prices = _prices.map((a) => new utils_1.Decimal(a.toString()));
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for (let i = 0; i < prices.length; i++) {
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if (prices[i].lte(numbers_1.ZERO)) {
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throw new Error(`missing price for token ${rebalance.tokens[i]}`);
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@@ -330,20 +335,20 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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}
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// ================================================================
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// get new prices, constrained by extremes
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-
// D27{
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+
// D27{nanoUSD/tok}
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const newPrices = rebalance.initialPrices.map((initialPrice, i) => {
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//
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-
const spotPrice = (0, numbers_1.bn)(prices[i].div(decimalScale[i]).mul(numbers_1.D27d));
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// {nanoUSD/tok} = {USD/wholeTok} * {nanoUSD/USD} / {tok/wholeTok} * D27
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const spotPrice = (0, numbers_1.bn)(prices[i].mul(numbers_1.D9d).div(decimalScale[i]).mul(numbers_1.D27d));
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if (spotPrice < initialPrice.low || spotPrice > initialPrice.high) {
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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!`);
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}
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if (rebalance.priceControl == types_1.PriceControl.NONE) {
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return initialPrice;
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}
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-
// D27{
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+
// D27{nanoUSD/tok} = {USD/wholeTok} * {nanoUSD/USD} / {tok/wholeTok} * D27
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const pricesD27 = {
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-
low: (0, numbers_1.bn)(prices[i].mul(numbers_1.ONE.sub(priceError[i])).div(decimalScale[i]).mul(numbers_1.D27d)),
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high: (0, numbers_1.bn)(prices[i].div(numbers_1.ONE.sub(priceError[i])).div(decimalScale[i]).mul(numbers_1.D27d)),
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low: (0, numbers_1.bn)(prices[i].mul(numbers_1.ONE.sub(priceError[i])).mul(numbers_1.D9d).div(decimalScale[i]).mul(numbers_1.D27d)),
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high: (0, numbers_1.bn)(prices[i].div(numbers_1.ONE.sub(priceError[i])).mul(numbers_1.D9d).div(decimalScale[i]).mul(numbers_1.D27d)),
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};
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// low
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if (pricesD27.low < initialPrice.low) {
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package/dist/start-rebalance.js
CHANGED
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@@ -84,14 +84,11 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
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// === newPrices ===
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// D27{wholeTok/tok} = D27 / {tok/wholeTok}
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const priceMultiplier = numbers_1.D27d.div(new utils_1.Decimal(`1e${decimals[i]}`));
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// {USD/wholeTok} = {USD/wholeTok} * {1}
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const lowPrice = prices[i].mul(numbers_1.ONE.sub(priceError[i]));
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// {USD/wholeTok} = {USD/wholeTok} / {1}
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const highPrice = prices[i].div(numbers_1.ONE.sub(priceError[i]));
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// D27{USD/tok} = {USD/wholeTok} * D27{wholeTok/tok}
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newPrices.push({
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-
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// D27{nanoUSD/tok} = {USD/wholeTok} * {1} * D27{wholeTok/tok} * {nanoUSD/USD}
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low: (0, numbers_1.bn)(prices[i].mul(numbers_1.ONE.sub(priceError[i])).mul(priceMultiplier).mul(numbers_1.D9d)),
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// D27{nanoUSD/tok} = {USD/wholeTok} / {1} * D27{wholeTok/tok} * {nanoUSD/USD}
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high: (0, numbers_1.bn)(prices[i].div(numbers_1.ONE.sub(priceError[i])).mul(priceMultiplier).mul(numbers_1.D9d)),
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});
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}
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// update low/high for tracking DTFs
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