@reserve-protocol/dtf-rebalance-lib 2.0.2 → 2.1.0

package/dist/open-auction.js

@@ -158,8 +158,11 @@ 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(spotLimit));
+    const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(maxSpotLimit));
     // absolute
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     let progression = folio

package/dist/utils.d.ts

@@ -1,4 +1,5 @@
 import DecimalLight from "decimal.js-light";
+import { WeightRange, RebalanceLimits } from "./types";
 export declare const Decimal: typeof DecimalLight;
 /**
  * This function can be used to get a basket distribution EITHER from a set of historical basket weights
@@ -10,3 +11,15 @@ export declare const Decimal: typeof DecimalLight;
  * @returns D18{1} Current basket, total will be around 1e18 but not exactly
  */
 export declare const getBasketDistribution: (_bals: bigint[], _prices: number[], decimals: bigint[]) => bigint[];
+/**
+ * Calculate basket deviation basket on balances and current weights
+ *
+ * @param supply {share} Current total supply
+ * @param _bals {tok} Current balances
+ * @param _prices {USD/wholeTok} Current USD prices for each *whole* token
+ * @param decimals Decimals of each token
+ * @param weights Current weights from getRebalance.weights
+ * @param limits Current limits from getRebalance.limits
+ * @returns {1} Basket deviation
+ */
+export declare const getBasketDeviation: (supply: bigint, _bals: bigint[], _prices: number[], decimals: bigint[], weights: WeightRange[], limits: RebalanceLimits) => number;

package/dist/utils.js

@@ -3,7 +3,7 @@ var __importDefault = (this && this.__importDefault) || function (mod) {
     return (mod && mod.__esModule) ? mod : { "default": mod };
 };
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.getBasketDistribution = exports.Decimal = void 0;
+exports.getBasketDeviation = exports.getBasketDistribution = exports.Decimal = void 0;
 const decimal_js_light_1 = __importDefault(require("decimal.js-light"));
 const numbers_1 = require("./numbers");
 // Create a local Decimal constructor with custom precision
@@ -29,3 +29,34 @@ const getBasketDistribution = (_bals, _prices, decimals) => {
     return bals.map((bal, i) => (0, numbers_1.bn)(bal.mul(prices[i]).div(totalValue).mul(numbers_1.D18d)));
 };
 exports.getBasketDistribution = getBasketDistribution;
+/**
+ * Calculate basket deviation basket on balances and current weights
+ *
+ * @param supply {share} Current total supply
+ * @param _bals {tok} Current balances
+ * @param _prices {USD/wholeTok} Current USD prices for each *whole* token
+ * @param decimals Decimals of each token
+ * @param weights Current weights from getRebalance.weights
+ * @param limits Current limits from getRebalance.limits
+ * @returns {1} Basket deviation
+ */
+const getBasketDeviation = (supply, _bals, _prices, decimals, weights, limits) => {
+    const decimalScale = decimals.map((d) => new exports.Decimal(`1e${d}`));
+    // {USD/wholeTok} = {USD/wholeTok}
+    const prices = _prices.map((a) => new exports.Decimal(a.toString()));
+    // {USD}
+    let totalValue = numbers_1.ZERO;
+    let surplusValue = numbers_1.ZERO;
+    for (let i = 0; i < weights.length; i++) {
+        // {tok} = D27{tok/BU} * D18{BU/share} * {share} / D27 / D18
+        const expectedBal = (weights[i].spot * limits.spot * supply) / numbers_1.D27n / numbers_1.D18n;
+        if (_bals[i] > expectedBal) {
+            // {USD} = {tok} * {USD/wholeTok} / {tok/wholeTok}
+            surplusValue = surplusValue.add(new exports.Decimal((_bals[i] - expectedBal).toString()).mul(prices[i]).div(decimalScale[i]));
+            // {USD} = {tok} * {USD/wholeTok} / {tok/wholeTok}
+            totalValue = totalValue.add(new exports.Decimal(_bals[i].toString()).mul(prices[i])).div(decimalScale[i]);
+        }
+    }
+    return surplusValue.div(totalValue).toNumber();
+};
+exports.getBasketDeviation = getBasketDeviation;

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "2.0.2",
+  "version": "2.1.0",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",