@reserve-protocol/dtf-rebalance-lib 2.0.0 → 2.0.2

package/dist/open-auction.js

@@ -67,7 +67,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
         debug = true;
     }
     if (debug) {
-        console.log("getOpenAuction", rebalance, _supply, _initialAssets, _targetBasket, _assets, _decimals, _prices, _priceError, _finalStageAt);
+        console.log("getOpenAuction", rebalance, _supply, _initialSupply, _initialAssets, _targetBasket, _assets, _decimals, _prices, _priceError, _finalStageAt);
     }
     if (rebalance.tokens.length != _targetBasket.length ||
         _targetBasket.length != _assets.length ||
@@ -158,11 +158,8 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     // calculate progressions
     // {wholeBU/wholeShare} = {USD/wholeShare} / {USD/wholeBU}
     const spotLimit = shareValue.div(buValue);
-    // {wholeBU/wholeShare} = D18{BU/share} / D18
-    const prevSpotLimit = new utils_1.Decimal(rebalance.limits.spot.toString()).div(numbers_1.D18d);
-    const maxSpotLimit = spotLimit.gt(prevSpotLimit) ? spotLimit : prevSpotLimit;
     // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
-    const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(maxSpotLimit));
+    const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(spotLimit));
     // absolute
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     let progression = folio
@@ -375,14 +372,6 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     }
     // ================================================================
     // calculate metrics
-    // {wholeTok/wholeBU} = D27{tok/BU} * {BU/wholeBU} / {tok/wholeTok} / D27
-    weightRanges = newWeights.map((range, i) => {
-        return {
-            low: new utils_1.Decimal(range.low.toString()).div(decimalScale[i]).div(numbers_1.D9d),
-            spot: new utils_1.Decimal(range.spot.toString()).div(decimalScale[i]).div(numbers_1.D9d),
-            high: new utils_1.Decimal(range.high.toString()).div(decimalScale[i]).div(numbers_1.D9d),
-        };
-    });
     // basket
     const auctionTokens = [];
     const auctionWeights = []; // D27{tok/BU}
@@ -399,21 +388,25 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
         auctionTokens.push(token);
         auctionWeights.push(newWeights[i]);
         auctionPrices.push(newPrices[i]);
-        // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
-        const buyUpTo = weightRanges[i].low.mul(actualLimits.low);
-        const sellDownTo = weightRanges[i].high.mul(actualLimits.high);
-        if (folio[i].lt(buyUpTo)) {
-            // {USD} = {wholeTok/wholeShare} * {USD/wholeTok} * {wholeShare}
-            const tokenDeficitValue = buyUpTo.sub(folio[i]).mul(prices[i]).mul(supply);
+        // {tok} = D27{tok/BU} * D18{BU/share} * {share} / D18 / D27
+        const buyUpTo = (newWeights[i].low * newLimits.low * _supply) / numbers_1.D18n / numbers_1.D27n;
+        const sellDownTo = (newWeights[i].high * newLimits.high * _supply + (numbers_1.D18n * numbers_1.D27n - 1n)) / numbers_1.D18n / numbers_1.D27n;
+        if (_assets[i] < buyUpTo) {
+            // {wholeTok} = {tok} / {tok/wholeTok}
+            const deficitAmount = new utils_1.Decimal((buyUpTo - _assets[i]).toString()).div(decimalScale[i]);
+            // {USD} = {wholeTok} * {USD/wholeTok}
+            const tokenDeficitValue = deficitAmount.mul(prices[i]);
             // $1 minimum
             if (tokenDeficitValue.gte(numbers_1.ONE)) {
                 deficitTokens.push(token);
                 deficitTokenSizes.push(tokenDeficitValue.toNumber());
             }
         }
-        else if (folio[i].gt(sellDownTo)) {
-            // {USD} = {wholeTok/wholeShare} * {USD/wholeTok} * {wholeShare}
-            const tokenSurplusValue = folio[i].sub(sellDownTo).mul(prices[i]).mul(supply);
+        else if (_assets[i] > sellDownTo) {
+            // {wholeTok} = {tok} / {tok/wholeTok}
+            const surplusAmount = new utils_1.Decimal((_assets[i] - sellDownTo).toString()).div(decimalScale[i]);
+            // {USD} = {wholeTok} * {USD/wholeTok}
+            const tokenSurplusValue = surplusAmount.mul(prices[i]);
             // $1 minimum
             if (tokenSurplusValue.gte(numbers_1.ONE)) {
                 surplusTokens.push(token);

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "2.0.0",
+  "version": "2.0.2",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",