@reserve-protocol/dtf-rebalance-lib 0.3.0 → 1.0.1

package/dist/numbers.d.ts

@@ -1,5 +1,5 @@
-import DecimalLight from 'decimal.js-light';
-import type { Decimal as DecimalType } from 'decimal.js-light';
+import DecimalLight from "decimal.js-light";
+import type { Decimal as DecimalType } from "decimal.js-light";
 export declare const D27n: bigint;
 export declare const D18n: bigint;
 export declare const D9n: bigint;

package/dist/numbers.js

@@ -10,12 +10,12 @@ const Decimal = decimal_js_light_1.default.clone({ precision: 100 });
 exports.D27n = 10n ** 27n;
 exports.D18n = 10n ** 18n;
 exports.D9n = 10n ** 9n;
-exports.D27d = new Decimal('1e27');
-exports.D18d = new Decimal('1e18');
-exports.D9d = new Decimal('1e9');
-exports.ZERO = new Decimal('0');
-exports.ONE = new Decimal('1');
-exports.TWO = new Decimal('2');
+exports.D27d = new Decimal("1e27");
+exports.D18d = new Decimal("1e18");
+exports.D9d = new Decimal("1e9");
+exports.ZERO = new Decimal("0");
+exports.ONE = new Decimal("1");
+exports.TWO = new Decimal("2");
 const bn = (str) => {
     return BigInt(new Decimal(str).toFixed(0));
 };

package/dist/open-auction.js

@@ -416,14 +416,6 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     });
     // {USD}
     const valueBeingTraded = surplusValue.gt(deficitValue) ? deficitValue : surplusValue;
-    // // completed if nothing to trade
-    // if (valueBeingTraded.eq(ZERO)) {
-    //   round = AuctionRound.FINAL;
-    //   rebalanceTarget = ONE;
-    //   relativeProgression = ONE;
-    //   progression = ONE;
-    // }
-    // // TODO maybe add back
     // ================================================================
     // filter tokens that are not in the rebalance
     const returnTokens = [];

package/dist/start-rebalance.d.ts

@@ -15,8 +15,9 @@ export interface StartRebalanceArgsPartial {
  * @param decimals Decimals of each token
  * @param _targetBasket D18{1} Ideal basket
  * @param _prices {USD/wholeTok} USD prices for each *whole* token
- * @param _priceError {1} Price error per token to use in the rebalanc; should be larger than price error during openAuction
+ * @param _priceError {1} Price error per token to use in the rebalance; should be larger than price error during openAuction
  * @param _dtfPrice {USD/wholeShare} DTF price
  * @param weightControl TRACKING=false, NATIVE=true
+ * @param deferWeights Whether to use the full range for weights, only possible for NATIVE DTFs
  */
-export declare const getStartRebalance: (_supply: bigint, tokens: string[], _folio: bigint[], decimals: bigint[], _targetBasket: bigint[], _prices: number[], _priceError: number[], weightControl: boolean, debug?: boolean) => StartRebalanceArgsPartial;
+export declare const getStartRebalance: (_supply: bigint, tokens: string[], _folio: bigint[], decimals: bigint[], _targetBasket: bigint[], _prices: number[], _priceError: number[], weightControl: boolean, deferWeights: boolean, debug?: boolean) => StartRebalanceArgsPartial;

package/dist/start-rebalance.js

@@ -14,13 +14,17 @@ const numbers_1 = require("./numbers");
  * @param decimals Decimals of each token
  * @param _targetBasket D18{1} Ideal basket
  * @param _prices {USD/wholeTok} USD prices for each *whole* token
- * @param _priceError {1} Price error per token to use in the rebalanc; should be larger than price error during openAuction
+ * @param _priceError {1} Price error per token to use in the rebalance; should be larger than price error during openAuction
  * @param _dtfPrice {USD/wholeShare} DTF price
  * @param weightControl TRACKING=false, NATIVE=true
+ * @param deferWeights Whether to use the full range for weights, only possible for NATIVE DTFs
  */
-const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _prices, _priceError, weightControl, debug) => {
+const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _prices, _priceError, weightControl, deferWeights, debug) => {
     if (debug) {
-        console.log("getStartRebalance", _supply, tokens, _folio, decimals, _targetBasket, _prices, _priceError, weightControl);
+        console.log("getStartRebalance", _supply, tokens, _folio, decimals, _targetBasket, _prices, _priceError, weightControl, deferWeights);
+    }
+    if (deferWeights && !weightControl) {
+        throw new Error("deferWeights is not supported for tracking DTFs");
     }
     // {wholeTok/wholeShare} = D18{tok/share} * {share/wholeShare} / {tok/wholeTok} / D18
     const folio = _folio.map((c, i) => new utils_1.Decimal(c.toString()).div(new utils_1.Decimal(`1e${decimals[i]}`)));
@@ -39,15 +43,9 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
     // ================================================================
     const newWeights = [];
     const newPrices = [];
-    const newLimits = {
-        low: (0, numbers_1.bn)("1e18"),
-        spot: (0, numbers_1.bn)("1e18"),
-        high: (0, numbers_1.bn)("1e18"),
-    };
-    // ================================================================
     for (let i = 0; i < tokens.length; i++) {
         if (priceError[i].gte(numbers_1.ONE)) {
-            throw new Error("cannot defer prices");
+            throw new Error("price error >= 1");
         }
         // === newWeights ===
         // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
@@ -62,6 +60,7 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
             console.log("limitMultiplier", limitMultiplier.toString());
         }
         if (!weightControl) {
+            // TRACKING case
             // D27{tok/BU} = {wholeTok/wholeShare} * D27{tok/share}{wholeShare/wholeTok} / {BU/share}
             newWeights.push({
                 low: (0, numbers_1.bn)(spotWeight.mul(limitMultiplier)),
@@ -80,6 +79,11 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
                 spot: (0, numbers_1.bn)(spotWeight.mul(limitMultiplier)),
                 high: (0, numbers_1.bn)(highWeight.mul(limitMultiplier)),
             });
+            // deferWeights case
+            if (deferWeights && newWeights[i].low > 0n) {
+                newWeights[i].low = 1n;
+                newWeights[i].high = numbers_1.D27n * numbers_1.D27n; // 1e54 MAX_WEIGHT
+            }
         }
         // === newPrices ===
         // D27{wholeTok/tok} = D27 / {tok/wholeTok}
@@ -91,19 +95,21 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
             high: (0, numbers_1.bn)(prices[i].div(numbers_1.ONE.sub(priceError[i])).mul(priceMultiplier).mul(numbers_1.D9d)),
         });
     }
-    // update low/high for tracking DTFs
-    if (!weightControl) {
-        // sum of dot product of targetBasket and priceError
-        const totalPortion = targetBasket
-            .map((portion, i) => portion.mul(priceError[i]))
-            .reduce((a, b) => a.add(b));
-        if (totalPortion.gte(numbers_1.ONE)) {
-            throw new Error("totalPortion > 1");
-        }
-        // D18{BU/share} = {1} * D18 * {BU/share}
-        newLimits.low = (0, numbers_1.bn)(numbers_1.ONE.sub(totalPortion).mul(numbers_1.D18d));
-        newLimits.high = (0, numbers_1.bn)(numbers_1.ONE.div(numbers_1.ONE.sub(totalPortion)).mul(numbers_1.D18d));
+    // ================================================================
+    // newLimits
+    // sum of dot product of targetBasket and priceError
+    const basketError = targetBasket
+        .map((portion, i) => portion.mul(priceError[i]))
+        .reduce((a, b) => a.add(b));
+    if (basketError.gte(numbers_1.ONE)) {
+        throw new Error("basketError >= 1");
     }
+    const newLimits = {
+        low: weightControl ? (0, numbers_1.bn)("1e18") : (0, numbers_1.bn)(numbers_1.ONE.sub(basketError).mul(numbers_1.D18d)),
+        spot: (0, numbers_1.bn)("1e18"),
+        high: weightControl ? (0, numbers_1.bn)("1e18") : (0, numbers_1.bn)(numbers_1.ONE.div(numbers_1.ONE.sub(basketError)).mul(numbers_1.D18d)),
+    };
+    // ================================================================
     if (debug) {
         console.log("newWeights", newWeights);
         console.log("newPrices", newPrices);

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "0.3.0",
+  "version": "1.0.1",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",