@reserve-protocol/dtf-rebalance-lib 0.2.4 → 0.2.6

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Files changed (2) hide show
  1. package/dist/open-auction.js +29 -38
  2. package/package.json +1 -1
package/dist/open-auction.js CHANGED
@@ -7,6 +7,7 @@ exports.getOpenAuction = exports.getTargetBasket = exports.AuctionRound = void 0
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  const decimal_js_light_1 = __importDefault(require("decimal.js-light"));
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  const numbers_1 = require("./numbers");
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  const types_1 = require("./types");
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+ decimal_js_light_1.default.set({ precision: 100 });
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  // Call `getOpenAuction()` to get the current auction round
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  var AuctionRound;
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  (function (AuctionRound) {
@@ -33,7 +34,7 @@ const getTargetBasket = (_initialWeights, _prices, _decimals) => {
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  const price = new decimal_js_light_1.default(_prices[i]);
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  const decimalScale = new decimal_js_light_1.default(`1e${_decimals[i]}`);
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  // {USD/wholeBU} = D27{tok/BU} * {BU/wholeBU} / {tok/wholeTok} / D27 * {USD/wholeTok}
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- return new decimal_js_light_1.default(initialWeight.spot.toString()).mul(numbers_1.D18d).div(decimalScale).div(numbers_1.D27d).mul(price);
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+ return new decimal_js_light_1.default(initialWeight.spot.toString()).div(decimalScale).mul(price).div(numbers_1.D9d);
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  });
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  const totalValue = vals.reduce((a, b) => a.add(b));
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  // D18{1} = {USD/wholeBU} / {USD/wholeBU} * D18
@@ -95,9 +96,9 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  // {wholeTok/wholeBU} = D27{tok/BU} * {BU/wholeBU} / {tok/wholeTok} / D27
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  let weightRanges = rebalance.weights.map((range, i) => {
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  return {
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- low: new decimal_js_light_1.default(range.low.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
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- spot: new decimal_js_light_1.default(range.spot.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
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- high: new decimal_js_light_1.default(range.high.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
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+ low: new decimal_js_light_1.default(range.low.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ spot: new decimal_js_light_1.default(range.spot.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ high: new decimal_js_light_1.default(range.high.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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  };
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  });
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  const finalStageAt = new decimal_js_light_1.default(_finalStageAt.toString());
@@ -121,7 +122,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  return weightRange.spot.mul(prices[i]);
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  })
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  .reduce((a, b) => a.add(b));
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- const buPriceChange = buValue.sub(shareValue).abs().div(shareValue);
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+ const buPriceChange = buValue.sub(shareValue).div(shareValue);
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  console.log(` 🧺 ${buPriceChange.mul(100).toFixed(2)}% basket price difference`);
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  if (debug) {
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  console.log("shareValue", shareValue.toString());
@@ -131,7 +132,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  throw new Error("buValue and shareValue are too different, something probably went wrong");
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  }
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  // ================================================================
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- // calculate rebalanceTarget
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+ // calculate portionBeingEjected
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  const ejectionIndices = [];
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  for (let i = 0; i < rebalance.weights.length; i++) {
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  if (rebalance.inRebalance[i] && rebalance.weights[i].spot == 0n) {
@@ -145,16 +146,20 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  })
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  .reduce((a, b) => a.add(b), numbers_1.ZERO)
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  .div(shareValue);
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+ // ================================================================
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+ // calculate progressions
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+ // {wholeBU/wholeShare} = D18{BU/share} / D18
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+ const prevSpotLimit = new decimal_js_light_1.default(rebalance.limits.spot.toString()).div(numbers_1.D18d);
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+ // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
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+ const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(prevSpotLimit));
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  // {1} = {USD/wholeShare} / {USD/wholeShare}
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  let progression = folio
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  .map((actualBalance, i) => {
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  if (!rebalance.inRebalance[i]) {
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  return numbers_1.ZERO;
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  }
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- // {wholeTok/wholeShare} = {USD/wholeShare} * {1} / {USD/wholeTok}
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- const balanceExpected = shareValue.mul(targetBasket[i]).div(prices[i]);
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- // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
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- const balanceInBasket = balanceExpected.gt(actualBalance) ? actualBalance : balanceExpected;
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+ // {wholeTok/wholeShare}
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+ const balanceInBasket = expectedBalances[i].gt(actualBalance) ? actualBalance : expectedBalances[i];
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  // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
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  return balanceInBasket.mul(prices[i]);
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  })
@@ -167,10 +172,8 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  if (!rebalance.inRebalance[i] && rebalance.weights[i].spot > 0n) {
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  return numbers_1.ZERO;
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  }
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- // {wholeTok/wholeShare} = {USD/wholeShare} * {1} / {USD/wholeTok}
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- const balanceExpected = shareValue.mul(targetBasket[i]).div(prices[i]);
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- // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
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- const balanceInBasket = balanceExpected.gt(initialBalance) ? initialBalance : balanceExpected;
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+ // {wholeTok/wholeShare}
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+ const balanceInBasket = expectedBalances[i].gt(initialBalance) ? initialBalance : expectedBalances[i];
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  // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
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  return balanceInBasket.mul(prices[i]);
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  })
@@ -209,7 +212,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  // if the ejections are everything that's left, keep the finalStageAt targeting from above
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  if (progression.add(portionBeingEjected).lt(numbers_1.ONE)) {
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  // else: get rid of all the dust
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- let ejectionTarget = progression.add(portionBeingEjected.mul(1.02)); // buy 2% extra
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+ let ejectionTarget = progression.add(portionBeingEjected.mul(1.05)); // buy 5% extra
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  if (ejectionTarget.gt(numbers_1.ONE)) {
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  ejectionTarget = numbers_1.ONE;
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  }
@@ -241,11 +244,6 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  };
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  // hold some surpluses aside if ejecting
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  if (round == AuctionRound.EJECT) {
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- // buy 0.1% more
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- newLimits.low += newLimits.low / 1000n;
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- // aim 1% higher in the future
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- newLimits.spot += newLimits.spot / 100n;
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- // leave 10% room to increase low in the future if ejection leaves dust behind
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  newLimits.high += newLimits.high / 10n;
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  }
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  // low
@@ -288,23 +286,16 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  const newWeightsD27 = {
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  low: (0, numbers_1.bn)(idealWeight
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  .mul(rebalanceTarget.div(actualLimits.low.div(actualLimits.spot))) // add remaining delta into weight
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- .mul(numbers_1.D27d)
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- .mul(decimalScale[i])
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- .div(numbers_1.D18d)),
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- spot: (0, numbers_1.bn)(idealWeight.mul(numbers_1.D27d).mul(decimalScale[i]).div(numbers_1.D18d)),
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+ .mul(numbers_1.D9d)
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+ .mul(decimalScale[i])),
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+ spot: (0, numbers_1.bn)(idealWeight.mul(numbers_1.D9d).mul(decimalScale[i])),
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  high: (0, numbers_1.bn)(idealWeight
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  .mul(numbers_1.ONE.add(delta).div(actualLimits.high.div(actualLimits.spot))) // add remaining delta into weight
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- .mul(numbers_1.D27d)
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- .mul(decimalScale[i])
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- .div(numbers_1.D18d)),
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+ .mul(numbers_1.D9d)
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+ .mul(decimalScale[i])),
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  };
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  // hold some surpluses aside if ejecting
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  if (round == AuctionRound.EJECT) {
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- // buy 0.1% more
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- newWeightsD27.low += newWeightsD27.low / 1000n;
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- // aim 1% higher in the future
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- newWeightsD27.spot += newWeightsD27.spot / 100n;
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- // leave 10% room to increase low in the future if ejection leaves dust behind
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  newWeightsD27.high += newWeightsD27.high / 10n;
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  }
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  if (newWeightsD27.low < weightRange.low) {
@@ -335,7 +326,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  // D27{USD/tok}
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  const newPrices = rebalance.initialPrices.map((initialPrice, i) => {
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  // revert if price out of bounds
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- const spotPrice = (0, numbers_1.bn)(prices[i].mul(numbers_1.D27d).div(decimalScale[i]));
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+ const spotPrice = (0, numbers_1.bn)(prices[i].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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  }
@@ -344,8 +335,8 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  }
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  // D27{USD/tok} = {USD/wholeTok} * D27 / {tok/wholeTok}
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  const pricesD27 = {
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- low: (0, numbers_1.bn)(prices[i].mul(numbers_1.ONE.sub(priceError[i])).mul(numbers_1.D27d).div(decimalScale[i])),
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- high: (0, numbers_1.bn)(prices[i].div(numbers_1.ONE.sub(priceError[i])).mul(numbers_1.D27d).div(decimalScale[i])),
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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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  };
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  // low
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  if (pricesD27.low < initialPrice.low) {
@@ -377,9 +368,9 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  // {wholeTok/wholeBU} = D27{tok/BU} * {BU/wholeBU} / {tok/wholeTok} / D27
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  weightRanges = newWeights.map((range, i) => {
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  return {
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- low: new decimal_js_light_1.default(range.low.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
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- spot: new decimal_js_light_1.default(range.spot.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
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- high: new decimal_js_light_1.default(range.high.toString()).mul(numbers_1.D18d).div(decimalScale[i]).div(numbers_1.D27d),
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+ low: new decimal_js_light_1.default(range.low.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ spot: new decimal_js_light_1.default(range.spot.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ high: new decimal_js_light_1.default(range.high.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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  };
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  });
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  // {USD}
package/package.json CHANGED
@@ -1,6 +1,6 @@
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  {
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  "name": "@reserve-protocol/dtf-rebalance-lib",
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- "version": "0.2.4",
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+ "version": "0.2.6",
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  "description": "Rebalancing library for DTFs in typescript",
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  "main": "dist/index.js",
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  "module": "dist/index.js",