@reserve-protocol/dtf-rebalance-lib 1.2.0 → 2.0.0

package/dist/open-auction.d.ts

@@ -58,12 +58,13 @@ export declare const getTargetBasket: (_initialWeights: WeightRange[], _prices:
  *
  * @param rebalance The result of calling folio.getRebalance(), today
  * @param _supply {share} The totalSupply() of the basket, today
- * @param _initialFolio D18{tok/share} Initial balances per share, e.g result of folio.toAssets(1e18, 0) at time rebalance was first proposed
+ * @param _initialSupply {share} The totalSupply() at time rebalance was first proposed
+ * @param _initialAssets {tok} Initial asset balances in the Folio, e.g result of folio.totalAssets() at time rebalance was first proposed
  * @param _targetBasket D18{1} Result of calling `getTargetBasket()`
- * @param _folio D18{tok/share} Current ratio of token per share, e.g result of folio.toAssets(1e18, 0), today
+ * @param _assets {tok} Current asset balances in the Folio, e.g result of folio.totalAssets(), today
  * @param _decimals Decimals of each token
  * @param _prices {USD/wholeTok} USD prices for each *whole* token, today
  * @param _priceError {1} Price error to use for each token during auction pricing; should be smaller than price error during startRebalance
  * @param _finalStageAt {1} The % rebalanced from the initial Folio to determine when is the final stage of the rebalance
  */
-export declare const getOpenAuction: (rebalance: Rebalance, _supply: bigint, _initialFolio: bigint[] | undefined, _targetBasket: bigint[] | undefined, _folio: bigint[], _decimals: bigint[], _prices: number[], _priceError: number[], _finalStageAt: number, debug?: boolean) => [OpenAuctionArgs, AuctionMetrics];
+export declare const getOpenAuction: (rebalance: Rebalance, _supply: bigint, _initialSupply: bigint, _initialAssets: bigint[] | undefined, _targetBasket: bigint[] | undefined, _assets: bigint[], _decimals: bigint[], _prices: number[], _priceError: number[], _finalStageAt: number, debug?: boolean) => [OpenAuctionArgs, AuctionMetrics];

package/dist/open-auction.js

@@ -53,24 +53,25 @@ exports.getTargetBasket = getTargetBasket;
  *
  * @param rebalance The result of calling folio.getRebalance(), today
  * @param _supply {share} The totalSupply() of the basket, today
- * @param _initialFolio D18{tok/share} Initial balances per share, e.g result of folio.toAssets(1e18, 0) at time rebalance was first proposed
+ * @param _initialSupply {share} The totalSupply() at time rebalance was first proposed
+ * @param _initialAssets {tok} Initial asset balances in the Folio, e.g result of folio.totalAssets() at time rebalance was first proposed
  * @param _targetBasket D18{1} Result of calling `getTargetBasket()`
- * @param _folio D18{tok/share} Current ratio of token per share, e.g result of folio.toAssets(1e18, 0), today
+ * @param _assets {tok} Current asset balances in the Folio, e.g result of folio.totalAssets(), today
  * @param _decimals Decimals of each token
  * @param _prices {USD/wholeTok} USD prices for each *whole* token, today
  * @param _priceError {1} Price error to use for each token during auction pricing; should be smaller than price error during startRebalance
  * @param _finalStageAt {1} The % rebalanced from the initial Folio to determine when is the final stage of the rebalance
  */
-const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket = [], _folio, _decimals, _prices, _priceError, _finalStageAt, debug) => {
+const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [], _targetBasket = [], _assets, _decimals, _prices, _priceError, _finalStageAt, debug) => {
     if (debug === undefined) {
         debug = true;
     }
     if (debug) {
-        console.log("getOpenAuction", rebalance, _supply, _initialFolio, _targetBasket, _folio, _decimals, _prices, _priceError, _finalStageAt);
+        console.log("getOpenAuction", rebalance, _supply, _initialAssets, _targetBasket, _assets, _decimals, _prices, _priceError, _finalStageAt);
     }
     if (rebalance.tokens.length != _targetBasket.length ||
-        _targetBasket.length != _folio.length ||
-        _folio.length != _decimals.length ||
+        _targetBasket.length != _assets.length ||
+        _assets.length != _decimals.length ||
         _decimals.length != _prices.length ||
         _prices.length != _priceError.length) {
         throw new Error("length mismatch");
@@ -81,6 +82,8 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     // ================================================================
     // {wholeShare} = {share} / {share/wholeShare}
     const supply = new utils_1.Decimal(_supply.toString()).div(numbers_1.D18d);
+    // {wholeShare} = {share} / {share/wholeShare}
+    const initialSupply = new utils_1.Decimal(_initialSupply.toString()).div(numbers_1.D18d);
     // {1} = D18{1} / D18
     const targetBasket = _targetBasket.map((a) => new utils_1.Decimal(a.toString()).div(numbers_1.D18d));
     // {USD/wholeTok}
@@ -94,10 +97,10 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     const priceError = _priceError.map((a) => new utils_1.Decimal(a.toString()));
     // {tok/wholeTok}
     const decimalScale = _decimals.map((a) => new utils_1.Decimal(`1e${a}`));
-    // {wholeTok/wholeShare} = D18{tok/share} * {share/wholeShare} / {tok/wholeTok} / D18
-    const initialFolio = _initialFolio.map((c, i) => new utils_1.Decimal(c.toString()).div(decimalScale[i]));
-    // {wholeTok/wholeShare} = D18{tok/share} * {share/wholeShare} / {tok/wholeTok} / D18
-    const folio = _folio.map((c, i) => new utils_1.Decimal(c.toString()).div(decimalScale[i]));
+    // {wholeTok/wholeShare} = {tok} / {tok/wholeTok} / {wholeShare}
+    const initialFolio = _initialAssets.map((bal, i) => new utils_1.Decimal(bal.toString()).div(decimalScale[i]).div(initialSupply));
+    // {wholeTok/wholeShare} = {tok} / {tok/wholeTok} / {wholeShare}
+    const folio = _assets.map((bal, i) => new utils_1.Decimal(bal.toString()).div(decimalScale[i]).div(supply));
     // {wholeTok/wholeBU} = D27{tok/BU} * {BU/wholeBU} / {tok/wholeTok} / D27
     let weightRanges = rebalance.weights.map((range, i) => {
         return {
@@ -160,7 +163,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     const maxSpotLimit = spotLimit.gt(prevSpotLimit) ? spotLimit : prevSpotLimit;
     // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
     const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(maxSpotLimit));
-    // absolute scale
+    // absolute
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     let progression = folio
         .map((actualBalance, i) => {
@@ -174,7 +177,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     })
         .reduce((a, b) => a.add(b))
         .div(shareValue);
-    // absolute scale
+    // absolute
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     const initialProgression = initialFolio
         .map((initialBalance, i) => {
@@ -198,7 +201,7 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     let relativeProgression = initialProgression.eq(numbers_1.ONE)
         ? numbers_1.ONE
         : progression.sub(initialProgression).div(numbers_1.ONE.sub(initialProgression));
-    let rebalanceTarget = numbers_1.ONE; // absolute scale
+    let rebalanceTarget = numbers_1.ONE; // absolute
     let round = AuctionRound.FINAL;
     if (debug) {
         console.log("initialProgression", initialProgression.toString());
@@ -372,7 +375,6 @@ const getOpenAuction = (rebalance, _supply, _initialFolio = [], _targetBasket =
     }
     // ================================================================
     // calculate metrics
-    // update Decimal weightRanges
     // {wholeTok/wholeBU} = D27{tok/BU} * {BU/wholeBU} / {tok/wholeTok} / D27
     weightRanges = newWeights.map((range, i) => {
         return {

package/dist/start-rebalance.d.ts

@@ -9,9 +9,9 @@ export interface StartRebalanceArgsPartial {
  *
  * The `tokens` argument should be paired with the two return values and passed to `startRebalance()`
  *
- * @param _supply {share}
+ * @param _supply {share} Current total supply
  * @param tokens Addresses of tokens in the basket
- * @param _folio D18{tok/share} Folio of the basket
+ * @param _assets {tok} Current asset balances
  * @param decimals Decimals of each token
  * @param _targetBasket D18{1} Ideal basket
  * @param _prices {USD/wholeTok} USD prices for each *whole* token
@@ -20,4 +20,4 @@ export interface StartRebalanceArgsPartial {
  * @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, deferWeights: boolean, debug?: boolean) => StartRebalanceArgsPartial;
+export declare const getStartRebalance: (_supply: bigint, tokens: string[], _assets: bigint[], decimals: bigint[], _targetBasket: bigint[], _prices: number[], _priceError: number[], weightControl: boolean, deferWeights: boolean, debug?: boolean) => StartRebalanceArgsPartial;

package/dist/start-rebalance.js

@@ -8,9 +8,9 @@ const numbers_1 = require("./numbers");
  *
  * The `tokens` argument should be paired with the two return values and passed to `startRebalance()`
  *
- * @param _supply {share}
+ * @param _supply {share} Current total supply
  * @param tokens Addresses of tokens in the basket
- * @param _folio D18{tok/share} Folio of the basket
+ * @param _assets {tok} Current asset balances
  * @param decimals Decimals of each token
  * @param _targetBasket D18{1} Ideal basket
  * @param _prices {USD/wholeTok} USD prices for each *whole* token
@@ -19,15 +19,17 @@ const numbers_1 = require("./numbers");
  * @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, deferWeights, debug) => {
+const getStartRebalance = (_supply, tokens, _assets, decimals, _targetBasket, _prices, _priceError, weightControl, deferWeights, debug) => {
     if (debug) {
-        console.log("getStartRebalance", _supply, tokens, _folio, decimals, _targetBasket, _prices, _priceError, weightControl, deferWeights);
+        console.log("getStartRebalance", _supply, tokens, _assets, 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${decimals[i]}`)));
+    // {wholeShare} = {share} / {share/wholeShare}
+    const supply = new utils_1.Decimal(_supply.toString()).div(numbers_1.D18d);
+    // {wholeTok} = {tok} * {share/wholeShare} / {tok/wholeTok} / D18
+    const assets = _assets.map((c, i) => new utils_1.Decimal(c.toString()).div(new utils_1.Decimal(`1e${decimals[i]}`)));
     // convert price number inputs to bigints
     // {USD/wholeTok}
     const prices = _prices.map((a) => new utils_1.Decimal(a.toString()));
@@ -48,12 +50,12 @@ const getStartRebalance = (_supply, tokens, _folio, decimals, _targetBasket, _pr
             throw new Error("price error >= 1");
         }
         // === newWeights ===
-        // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
-        const dtfPrice = folio
+        // {USD} = {wholeTok} * {USD/wholeTok}
+        const dtfValue = assets
             .map((f, i) => f.mul(prices[i]))
             .reduce((a, b) => a.add(b));
-        // {wholeTok/wholeShare} = {1} * {USD/wholeShare} / {USD/wholeTok}
-        const spotWeight = targetBasket[i].mul(dtfPrice).div(prices[i]);
+        // {wholeTok/wholeShare} = {1} * {USD} / {USD/wholeTok} / {wholeShare}
+        const spotWeight = targetBasket[i].mul(dtfValue).div(prices[i]).div(supply);
         // D27{tok/share}{wholeShare/wholeTok} = D27 * {tok/wholeTok} / {share/wholeShare}
         const limitMultiplier = numbers_1.D27d.mul(new utils_1.Decimal(`1e${decimals[i]}`)).div(numbers_1.D18d);
         if (debug) {

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "1.2.0",
+  "version": "2.0.0",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",