@reserve-protocol/dtf-rebalance-lib 0.2.5 → 0.2.6

package/dist/open-auction.js

@@ -132,7 +132,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         throw new Error("buValue and shareValue are too different, something probably went wrong");
     }
     // ================================================================
-    // calculate rebalanceTarget
+    // calculate portionBeingEjected
     const ejectionIndices = [];
     for (let i = 0; i < rebalance.weights.length; i++) {
         if (rebalance.inRebalance[i] && rebalance.weights[i].spot == 0n) {
@@ -146,16 +146,20 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     })
         .reduce((a, b) => a.add(b), numbers_1.ZERO)
         .div(shareValue);
+    // ================================================================
+    // calculate progressions
+    // {wholeBU/wholeShare} = D18{BU/share} / D18
+    const prevSpotLimit = new decimal_js_light_1.default(rebalance.limits.spot.toString()).div(numbers_1.D18d);
+    // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
+    const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(prevSpotLimit));
     // {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 balanceInBasket = balanceExpected.gt(actualBalance) ? actualBalance : balanceExpected;
+        // {wholeTok/wholeShare}
+        const balanceInBasket = expectedBalances[i].gt(actualBalance) ? actualBalance : expectedBalances[i];
         // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
         return balanceInBasket.mul(prices[i]);
     })
@@ -168,10 +172,8 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         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 balanceInBasket = balanceExpected.gt(initialBalance) ? initialBalance : balanceExpected;
+        // {wholeTok/wholeShare}
+        const balanceInBasket = expectedBalances[i].gt(initialBalance) ? initialBalance : expectedBalances[i];
         // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
         return balanceInBasket.mul(prices[i]);
     })
@@ -210,7 +212,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         // if the ejections are everything that's left, keep the finalStageAt targeting from above
         if (progression.add(portionBeingEjected).lt(numbers_1.ONE)) {
             // else: get rid of all the dust
-            let ejectionTarget = progression.add(portionBeingEjected.mul(1.02)); // buy 2% extra
+            let ejectionTarget = progression.add(portionBeingEjected.mul(1.05)); // buy 5% extra
             if (ejectionTarget.gt(numbers_1.ONE)) {
                 ejectionTarget = numbers_1.ONE;
             }
@@ -242,11 +244,6 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     };
     // hold some surpluses aside if ejecting
     if (round == AuctionRound.EJECT) {
-        // buy 0.1% more
-        newLimits.low += newLimits.low / 1000n;
-        // aim 1% higher in the future
-        newLimits.spot += newLimits.spot / 100n;
-        // leave 10% room to increase low in the future if ejection leaves dust behind
         newLimits.high += newLimits.high / 10n;
     }
     // low
@@ -299,11 +296,6 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
         };
         // hold some surpluses aside if ejecting
         if (round == AuctionRound.EJECT) {
-            // buy 0.1% more
-            newWeightsD27.low += newWeightsD27.low / 1000n;
-            // aim 1% higher in the future
-            newWeightsD27.spot += newWeightsD27.spot / 100n;
-            // leave 10% room to increase low in the future if ejection leaves dust behind
             newWeightsD27.high += newWeightsD27.high / 10n;
         }
         if (newWeightsD27.low < weightRange.low) {

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "0.2.5",
+  "version": "0.2.6",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",