@reserve-protocol/dtf-rebalance-lib 0.2.9 → 0.2.10

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Files changed (5) hide show
  1. package/dist/open-auction.js +22 -27
  2. package/dist/start-rebalance.js +7 -12
  3. package/dist/utils.d.ts +2 -0
  4. package/dist/utils.js +6 -8
  5. package/package.json +1 -1
package/dist/open-auction.js CHANGED
@@ -1,14 +1,9 @@
1
1
  "use strict";
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- var __importDefault = (this && this.__importDefault) || function (mod) {
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- return (mod && mod.__esModule) ? mod : { "default": mod };
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- };
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  Object.defineProperty(exports, "__esModule", { value: true });
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  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 utils_1 = require("./utils");
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  const numbers_1 = require("./numbers");
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  const types_1 = require("./types");
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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) {
@@ -32,10 +27,10 @@ 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(_prices[i]);
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- const decimalScale = new Decimal(`1e${_decimals[i]}`);
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+ const price = new utils_1.Decimal(_prices[i]);
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+ const decimalScale = new utils_1.Decimal(`1e${_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(initialWeight.spot.toString()).div(decimalScale).mul(price).div(numbers_1.D9d);
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+ return new utils_1.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
@@ -76,33 +71,33 @@ 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(_supply.toString()).div(numbers_1.D18d);
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+ const supply = new utils_1.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(a.toString()).div(numbers_1.D18d));
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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 Decimal(a));
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+ const prices = _prices.map((a) => new utils_1.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 ${rebalance.tokens[i]}`);
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  }
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  }
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  // {1}
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- const priceError = _priceError.map((a) => new Decimal(a.toString()));
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+ const priceError = _priceError.map((a) => new utils_1.Decimal(a.toString()));
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  // {tok/wholeTok}
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- const decimalScale = _decimals.map((a) => new Decimal(`1e${a}`));
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+ const decimalScale = _decimals.map((a) => new utils_1.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(c.toString()).div(decimalScale[i]));
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+ const initialFolio = _initialFolio.map((c, i) => new utils_1.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(c.toString()).div(decimalScale[i]));
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+ const folio = _folio.map((c, i) => new utils_1.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(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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+ low: new utils_1.Decimal(range.low.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ spot: new utils_1.Decimal(range.spot.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ high: new utils_1.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(_finalStageAt.toString());
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+ const finalStageAt = new utils_1.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}
@@ -150,7 +145,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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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(rebalance.limits.spot.toString()).div(numbers_1.D18d);
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+ const prevSpotLimit = new utils_1.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}
@@ -275,9 +270,9 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
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  // get new weights, constrained by extremes
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  // {wholeBU/wholeShare} = D18{BU/share} / D18
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  const actualLimits = {
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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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+ low: new utils_1.Decimal(newLimits.low.toString()).div(numbers_1.D18d),
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+ spot: new utils_1.Decimal(newLimits.spot.toString()).div(numbers_1.D18d),
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+ high: new utils_1.Decimal(newLimits.high.toString()).div(numbers_1.D18d),
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  };
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  // D27{tok/BU}
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  const newWeights = rebalance.weights.map((weightRange, i) => {
@@ -369,9 +364,9 @@ 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(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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+ low: new utils_1.Decimal(range.low.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ spot: new utils_1.Decimal(range.spot.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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+ high: new utils_1.Decimal(range.high.toString()).div(decimalScale[i]).div(numbers_1.D9d),
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  };
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  });
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  // {USD}
package/dist/start-rebalance.js CHANGED
@@ -1,13 +1,8 @@
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  "use strict";
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- var __importDefault = (this && this.__importDefault) || function (mod) {
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- return (mod && mod.__esModule) ? mod : { "default": mod };
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- };
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  Object.defineProperty(exports, "__esModule", { value: true });
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  exports.getStartRebalance = void 0;
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- const decimal_js_light_1 = __importDefault(require("decimal.js-light"));
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+ const utils_1 = require("./utils");
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  const numbers_1 = require("./numbers");
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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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  /**
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  * Get the arguments needed to call startRebalance
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  *
@@ -28,19 +23,19 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
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  console.log("getStartRebalance", _supply, tokens, _folio, decimals, _targetBasket, _prices, _priceError, weightControl);
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  }
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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(c.toString()).div(new Decimal(`1e${decimals[i]}`)));
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+ const folio = _folio.map((c, i) => new utils_1.Decimal(c.toString()).div(new utils_1.Decimal(`1e${decimals[i]}`)));
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  // convert price number inputs to bigints
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  // {USD/wholeTok}
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- const prices = _prices.map((a) => new Decimal(a.toString()));
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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].eq(numbers_1.ZERO)) {
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  throw new Error(`missing price for token ${tokens[i]}`);
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  }
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  }
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  // {1} = D18{1} / D18
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- const targetBasket = _targetBasket.map((a) => new Decimal(a.toString()).div(numbers_1.D18d));
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+ const targetBasket = _targetBasket.map((a) => new utils_1.Decimal(a.toString()).div(numbers_1.D18d));
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  // {1}
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- const priceError = _priceError.map((a) => new Decimal(a.toString()));
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+ const priceError = _priceError.map((a) => new utils_1.Decimal(a.toString()));
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  // ================================================================
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  const newWeights = [];
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  const newPrices = [];
@@ -62,7 +57,7 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
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  // {wholeTok/wholeShare} = {1} * {USD/wholeShare} / {USD/wholeTok}
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  const spotWeight = targetBasket[i].mul(dtfPrice).div(prices[i]);
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  // D27{tok/share}{wholeShare/wholeTok} = D27 * {tok/wholeTok} / {share/wholeShare}
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- const limitMultiplier = numbers_1.D27d.mul(new Decimal(`1e${decimals[i]}`)).div(numbers_1.D18d);
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+ const limitMultiplier = numbers_1.D27d.mul(new utils_1.Decimal(`1e${decimals[i]}`)).div(numbers_1.D18d);
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  if (debug) {
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  console.log("limitMultiplier", limitMultiplier.toString());
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  }
@@ -88,7 +83,7 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
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  }
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  // === newPrices ===
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  // D27{wholeTok/tok} = D27 / {tok/wholeTok}
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- const priceMultiplier = numbers_1.D27d.div(new Decimal(`1e${decimals[i]}`));
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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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  const highPrice = prices[i].mul(numbers_1.ONE.add(priceError[i]));
package/dist/utils.d.ts CHANGED
@@ -1,3 +1,5 @@
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+ import DecimalLight from "decimal.js-light";
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+ export declare const Decimal: typeof DecimalLight;
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  /**
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  * This function can be used to get a basket distribution EITHER from a set of historical basket weights
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  * or from a set of current balances. Make sure to use prices from the right time.
package/dist/utils.js CHANGED
@@ -3,11 +3,11 @@ var __importDefault = (this && this.__importDefault) || function (mod) {
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  return (mod && mod.__esModule) ? mod : { "default": mod };
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  };
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  Object.defineProperty(exports, "__esModule", { value: true });
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- exports.getBasketDistribution = void 0;
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+ exports.getBasketDistribution = exports.Decimal = 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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  // 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.Decimal = decimal_js_light_1.default.clone({ precision: 100 });
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  /**
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  * This function can be used to get a basket distribution EITHER from a set of historical basket weights
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  * or from a set of current balances. Make sure to use prices from the right time.
@@ -18,15 +18,13 @@ const Decimal = decimal_js_light_1.default.clone({ precision: 100 });
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  * @returns D18{1} Current basket, total will be around 1e18 but not exactly
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  */
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  const getBasketDistribution = (_bals, _prices, decimals) => {
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- const decimalScale = decimals.map((d) => new Decimal(`1e${d}`));
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+ const decimalScale = decimals.map((d) => new exports.Decimal(`1e${d}`));
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  // {wholeTok} = {tok} / {tok/wholeTok}
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- const bals = _bals.map((bal, i) => new Decimal(bal.toString()).div(decimalScale[i]));
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+ const bals = _bals.map((bal, i) => new exports.Decimal(bal.toString()).div(decimalScale[i]));
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  // {USD/wholeTok} = {USD/wholeTok}
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- const prices = _prices.map((a) => new Decimal(a.toString()));
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+ const prices = _prices.map((a) => new exports.Decimal(a.toString()));
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  // {USD} = {wholeTok} * {USD/wholeTok}
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- const totalValue = bals
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- .map((bal, i) => bal.mul(prices[i]))
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- .reduce((a, b) => a.add(b));
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+ const totalValue = bals.map((bal, i) => bal.mul(prices[i])).reduce((a, b) => a.add(b));
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  // D18{1} = {wholeTok} * {USD/wholeTok} / {USD}
31
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  return bals.map((bal, i) => (0, numbers_1.bn)(bal.mul(prices[i]).div(totalValue).mul(numbers_1.D18d)));
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  };
package/package.json CHANGED
@@ -1,6 +1,6 @@
1
1
  {
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  "name": "@reserve-protocol/dtf-rebalance-lib",
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- "version": "0.2.9",
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+ "version": "0.2.10",
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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",