@reserve-protocol/dtf-rebalance-lib 0.2.7 → 0.2.9

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Files changed (6) hide show
  1. package/dist/numbers.d.ts +9 -8
  2. package/dist/numbers.js +9 -7
  3. package/dist/open-auction.js +36 -37
  4. package/dist/start-rebalance.js +8 -6
  5. package/dist/utils.js +5 -3
  6. package/package.json +1 -1
package/dist/numbers.d.ts CHANGED
@@ -1,11 +1,12 @@
1
- import Decimal from 'decimal.js-light';
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+ import DecimalLight from 'decimal.js-light';
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+ import type { Decimal as DecimalType } from 'decimal.js-light';
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  export declare const D27n: bigint;
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  export declare const D18n: bigint;
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  export declare const D9n: bigint;
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- export declare const D27d: Decimal;
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- export declare const D18d: Decimal;
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- export declare const D9d: Decimal;
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- export declare const ZERO: Decimal;
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- export declare const ONE: Decimal;
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- export declare const TWO: Decimal;
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- export declare const bn: (str: string | Decimal) => bigint;
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+ export declare const D27d: DecimalType;
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+ export declare const D18d: DecimalType;
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+ export declare const D9d: DecimalType;
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+ export declare const ZERO: DecimalLight;
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+ export declare const ONE: DecimalLight;
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+ export declare const TWO: DecimalLight;
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+ export declare const bn: (str: string | DecimalType) => bigint;
package/dist/numbers.js CHANGED
@@ -5,16 +5,18 @@ var __importDefault = (this && this.__importDefault) || function (mod) {
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  Object.defineProperty(exports, "__esModule", { value: true });
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  exports.bn = exports.TWO = exports.ONE = exports.ZERO = exports.D9d = exports.D18d = exports.D27d = exports.D9n = exports.D18n = exports.D27n = void 0;
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  const decimal_js_light_1 = __importDefault(require("decimal.js-light"));
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+ // Create a local Decimal constructor with custom precision
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+ const Decimal = decimal_js_light_1.default.clone({ precision: 100 });
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  exports.D27n = 10n ** 27n;
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  exports.D18n = 10n ** 18n;
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  exports.D9n = 10n ** 9n;
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- exports.D27d = new decimal_js_light_1.default('1e27');
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- exports.D18d = new decimal_js_light_1.default('1e18');
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- exports.D9d = new decimal_js_light_1.default('1e9');
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- exports.ZERO = new decimal_js_light_1.default('0');
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- exports.ONE = new decimal_js_light_1.default('1');
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- exports.TWO = new decimal_js_light_1.default('2');
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+ exports.D27d = new Decimal('1e27');
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+ exports.D18d = new Decimal('1e18');
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+ exports.D9d = new Decimal('1e9');
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+ exports.ZERO = new Decimal('0');
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+ exports.ONE = new Decimal('1');
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+ exports.TWO = new Decimal('2');
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  const bn = (str) => {
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- return BigInt(new decimal_js_light_1.default(str).toFixed(0));
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+ return BigInt(new Decimal(str).toFixed(0));
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  };
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  exports.bn = bn;
package/dist/open-auction.js CHANGED
@@ -7,7 +7,8 @@ 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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+ // Create a local Decimal constructor with custom precision
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+ const Decimal = decimal_js_light_1.default.clone({ 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) {
@@ -31,10 +32,10 @@ const getTargetBasket = (_initialWeights, _prices, _decimals) => {
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  throw new Error("length mismatch");
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  }
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  const vals = _initialWeights.map((initialWeight, i) => {
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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${_decimals[i]}`);
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+ const price = new Decimal(_prices[i]);
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+ const decimalScale = new Decimal(`1e${_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()).div(decimalScale).mul(price).div(numbers_1.D9d);
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+ return new Decimal(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
@@ -75,33 +76,33 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  }
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  // ================================================================
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  // {wholeShare} = {share} / {share/wholeShare}
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- const supply = new decimal_js_light_1.default(_supply.toString()).div(numbers_1.D18d);
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+ const supply = new Decimal(_supply.toString()).div(numbers_1.D18d);
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  // {1} = D18{1} / D18
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- const targetBasket = _targetBasket.map((a) => new decimal_js_light_1.default(a.toString()).div(numbers_1.D18d));
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+ const targetBasket = _targetBasket.map((a) => new Decimal(a.toString()).div(numbers_1.D18d));
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  // {USD/wholeTok}
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- const prices = _prices.map((a) => new decimal_js_light_1.default(a));
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+ const prices = _prices.map((a) => new Decimal(a));
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  for (let i = 0; i < prices.length; i++) {
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  if (prices[i].eq(numbers_1.ZERO)) {
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  throw new Error(`missing price for token ${rebalance.tokens[i]}`);
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  }
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  }
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  // {1}
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- const priceError = _priceError.map((a) => new decimal_js_light_1.default(a.toString()));
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+ const priceError = _priceError.map((a) => new Decimal(a.toString()));
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  // {tok/wholeTok}
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- const decimalScale = _decimals.map((a) => new decimal_js_light_1.default(`1e${a}`));
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+ const decimalScale = _decimals.map((a) => new Decimal(`1e${a}`));
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  // {wholeTok/wholeShare} = D18{tok/share} * {share/wholeShare} / {tok/wholeTok} / D18
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- const initialFolio = _initialFolio.map((c, i) => new decimal_js_light_1.default(c.toString()).div(decimalScale[i]));
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+ const initialFolio = _initialFolio.map((c, i) => new Decimal(c.toString()).div(decimalScale[i]));
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  // {wholeTok/wholeShare} = D18{tok/share} * {share/wholeShare} / {tok/wholeTok} / D18
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- const folio = _folio.map((c, i) => new decimal_js_light_1.default(c.toString()).div(decimalScale[i]));
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+ const folio = _folio.map((c, i) => new Decimal(c.toString()).div(decimalScale[i]));
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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()).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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+ low: new Decimal(range.low.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ spot: new Decimal(range.spot.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ high: new Decimal(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());
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+ const finalStageAt = new Decimal(_finalStageAt.toString());
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  // ================================================================
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  // calculate ideal spot limit, the actual BU<->share ratio
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  // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
@@ -147,40 +148,38 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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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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- // {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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  // calculate progressions
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- // {1} = {USD/wholeBU} / {USD/wholeBU}
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+ // {wholeBU/wholeShare} = D18{BU/share} / D18
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+ const prevSpotLimit = new Decimal(rebalance.limits.spot.toString()).div(numbers_1.D18d);
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+ // {wholeTok/wholeBU} = {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/wholeBU} = {wholeTok/wholeShare} / {wholeBU/wholeShare}
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- const actualInBU = actualBalance.div(prevSpotLimit);
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- // {wholeTok/wholeBU}
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- const balanceInBasket = weightRanges[i].spot.gt(actualInBU) ? actualInBU : weightRanges[i].spot;
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- // {USD/wholeBU} = {wholeTok/wholeBU} * {USD/wholeTok}
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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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  })
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  .reduce((a, b) => a.add(b))
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- .div(buValue);
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- // {1} = {USD/wholeBU} / {USD/wholeBU}
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+ .div(shareValue);
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+ // {1} = {USD/wholeShare} / {USD/wholeShare}
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  const initialProgression = initialFolio
170
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  .map((initialBalance, i) => {
171
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  // make sure to include tokens that were already ejected
172
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  if (!rebalance.inRebalance[i] && rebalance.weights[i].spot > 0n) {
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  return numbers_1.ZERO;
174
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  }
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- // {wholeTok/wholeBU} = {wholeTok/wholeShare} / {wholeBU/wholeShare}
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- const initialInBU = initialBalance.div(prevSpotLimit);
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- // {wholeTok/wholeBU}
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- const balanceInBasket = weightRanges[i].spot.gt(initialInBU) ? initialInBU : weightRanges[i].spot;
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- // {USD/wholeBU} = {wholeTok/wholeBU} * {USD/wholeTok}
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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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  })
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  .reduce((a, b) => a.add(b))
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- .div(buValue);
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+ .div(shareValue);
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  if (progression < initialProgression) {
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  progression = initialProgression; // don't go backwards
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  }
@@ -276,9 +275,9 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
276
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  // get new weights, constrained by extremes
277
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  // {wholeBU/wholeShare} = D18{BU/share} / D18
278
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  const actualLimits = {
279
- low: new decimal_js_light_1.default(newLimits.low.toString()).div(numbers_1.D18d),
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- spot: new decimal_js_light_1.default(newLimits.spot.toString()).div(numbers_1.D18d),
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- high: new decimal_js_light_1.default(newLimits.high.toString()).div(numbers_1.D18d),
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+ low: new Decimal(newLimits.low.toString()).div(numbers_1.D18d),
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+ spot: new Decimal(newLimits.spot.toString()).div(numbers_1.D18d),
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+ high: new Decimal(newLimits.high.toString()).div(numbers_1.D18d),
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  };
283
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  // D27{tok/BU}
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  const newWeights = rebalance.weights.map((weightRange, i) => {
@@ -370,9 +369,9 @@ 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) => {
372
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  return {
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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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+ low: new Decimal(range.low.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ spot: new Decimal(range.spot.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ high: new Decimal(range.high.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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  };
377
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  });
378
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  // {USD}
package/dist/start-rebalance.js CHANGED
@@ -6,6 +6,8 @@ Object.defineProperty(exports, "__esModule", { value: true });
6
6
  exports.getStartRebalance = void 0;
7
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  const decimal_js_light_1 = __importDefault(require("decimal.js-light"));
8
8
  const numbers_1 = require("./numbers");
9
+ // Create a local Decimal constructor with custom precision
10
+ const Decimal = decimal_js_light_1.default.clone({ precision: 100 });
9
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  /**
10
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  * Get the arguments needed to call startRebalance
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  *
@@ -26,19 +28,19 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
26
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  console.log("getStartRebalance", _supply, tokens, _folio, decimals, _targetBasket, _prices, _priceError, weightControl);
27
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  }
28
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  // {wholeTok/wholeShare} = D18{tok/share} * {share/wholeShare} / {tok/wholeTok} / D18
29
- const folio = _folio.map((c, i) => new decimal_js_light_1.default(c.toString()).div(new decimal_js_light_1.default(`1e${decimals[i]}`)));
31
+ const folio = _folio.map((c, i) => new Decimal(c.toString()).div(new Decimal(`1e${decimals[i]}`)));
30
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  // convert price number inputs to bigints
31
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  // {USD/wholeTok}
32
- const prices = _prices.map((a) => new decimal_js_light_1.default(a.toString()));
34
+ const prices = _prices.map((a) => new Decimal(a.toString()));
33
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  for (let i = 0; i < prices.length; i++) {
34
36
  if (prices[i].eq(numbers_1.ZERO)) {
35
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  throw new Error(`missing price for token ${tokens[i]}`);
36
38
  }
37
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  }
38
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  // {1} = D18{1} / D18
39
- const targetBasket = _targetBasket.map((a) => new decimal_js_light_1.default(a.toString()).div(numbers_1.D18d));
41
+ const targetBasket = _targetBasket.map((a) => new Decimal(a.toString()).div(numbers_1.D18d));
40
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  // {1}
41
- const priceError = _priceError.map((a) => new decimal_js_light_1.default(a.toString()));
43
+ const priceError = _priceError.map((a) => new Decimal(a.toString()));
42
44
  // ================================================================
43
45
  const newWeights = [];
44
46
  const newPrices = [];
@@ -60,7 +62,7 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
60
62
  // {wholeTok/wholeShare} = {1} * {USD/wholeShare} / {USD/wholeTok}
61
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  const spotWeight = targetBasket[i].mul(dtfPrice).div(prices[i]);
62
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  // D27{tok/share}{wholeShare/wholeTok} = D27 * {tok/wholeTok} / {share/wholeShare}
63
- const limitMultiplier = numbers_1.D27d.mul(new decimal_js_light_1.default(`1e${decimals[i]}`)).div(numbers_1.D18d);
65
+ const limitMultiplier = numbers_1.D27d.mul(new Decimal(`1e${decimals[i]}`)).div(numbers_1.D18d);
64
66
  if (debug) {
65
67
  console.log("limitMultiplier", limitMultiplier.toString());
66
68
  }
@@ -86,7 +88,7 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
86
88
  }
87
89
  // === newPrices ===
88
90
  // D27{wholeTok/tok} = D27 / {tok/wholeTok}
89
- const priceMultiplier = numbers_1.D27d.div(new decimal_js_light_1.default(`1e${decimals[i]}`));
91
+ const priceMultiplier = numbers_1.D27d.div(new Decimal(`1e${decimals[i]}`));
90
92
  // {USD/wholeTok} = {USD/wholeTok} * {1}
91
93
  const lowPrice = prices[i].mul(numbers_1.ONE.sub(priceError[i]));
92
94
  const highPrice = prices[i].mul(numbers_1.ONE.add(priceError[i]));
package/dist/utils.js CHANGED
@@ -6,6 +6,8 @@ Object.defineProperty(exports, "__esModule", { value: true });
6
6
  exports.getBasketDistribution = void 0;
7
7
  const decimal_js_light_1 = __importDefault(require("decimal.js-light"));
8
8
  const numbers_1 = require("./numbers");
9
+ // Create a local Decimal constructor with custom precision
10
+ const Decimal = decimal_js_light_1.default.clone({ precision: 100 });
9
11
  /**
10
12
  * This function can be used to get a basket distribution EITHER from a set of historical basket weights
11
13
  * or from a set of current balances. Make sure to use prices from the right time.
@@ -16,11 +18,11 @@ const numbers_1 = require("./numbers");
16
18
  * @returns D18{1} Current basket, total will be around 1e18 but not exactly
17
19
  */
18
20
  const getBasketDistribution = (_bals, _prices, decimals) => {
19
- const decimalScale = decimals.map((d) => new decimal_js_light_1.default(`1e${d}`));
21
+ const decimalScale = decimals.map((d) => new Decimal(`1e${d}`));
20
22
  // {wholeTok} = {tok} / {tok/wholeTok}
21
- const bals = _bals.map((bal, i) => new decimal_js_light_1.default(bal.toString()).div(decimalScale[i]));
23
+ const bals = _bals.map((bal, i) => new Decimal(bal.toString()).div(decimalScale[i]));
22
24
  // {USD/wholeTok} = {USD/wholeTok}
23
- const prices = _prices.map((a) => new decimal_js_light_1.default(a.toString()));
25
+ const prices = _prices.map((a) => new Decimal(a.toString()));
24
26
  // {USD} = {wholeTok} * {USD/wholeTok}
25
27
  const totalValue = bals
26
28
  .map((bal, i) => bal.mul(prices[i]))
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
2
2
  "name": "@reserve-protocol/dtf-rebalance-lib",
3
- "version": "0.2.7",
3
+ "version": "0.2.9",
4
4
  "description": "Rebalancing library for DTFs in typescript",
5
5
  "main": "dist/index.js",
6
6
  "module": "dist/index.js",