@reserve-protocol/dtf-rebalance-lib 2.2.0 → 2.2.2

package/dist/open-auction.js

@@ -221,16 +221,17 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     // EJECT -- used later to adjust weights.high and limits.high
     if (portionBeingEjected.gt(1e-5)) {
         round = AuctionRound.EJECT;
-        // if the ejections are everything that's left, keep the finalStageAt targeting from above
-        if (progression.add(portionBeingEjected).lt(numbers_1.ONE)) {
-            // else: get rid of all the dust
-            let ejectionTarget = progression.add(portionBeingEjected.mul(1.1)); // buy up to 10% extra
-            if (ejectionTarget.gt(numbers_1.ONE)) {
-                ejectionTarget = numbers_1.ONE;
-            }
-            if (ejectionTarget.gt(target)) {
-                target = ejectionTarget;
-            }
+        // if the ejections are mostly what's left, target JUST the ejection if that puts us at <100%
+        let ejectionTarget = progression.add(portionBeingEjected.mul(1.1)); // buy up to 10% extra
+        if (ejectionTarget.gt(target) && ejectionTarget.lt(numbers_1.ONE)) {
+            target = ejectionTarget;
+        }
+        if (debug) {
+            console.log("      EJECT round detected:");
+            console.log("        portionBeingEjected:", portionBeingEjected.toString());
+            console.log("        progression:", progression.toString());
+            console.log("        ejectionTarget:", ejectionTarget.toString());
+            console.log("        target:", target.toString());
         }
     }
     if (target.lte(numbers_1.ZERO) || target.lt(initialProgression) || target.gt(numbers_1.ONE)) {
@@ -250,12 +251,9 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     const newLimits = {
         low: (0, numbers_1.bn)(spotLimit.sub(spotLimit.mul(delta)).mul(numbers_1.D18d)),
         spot: (0, numbers_1.bn)(spotLimit.mul(numbers_1.D18d)),
-        high: (0, numbers_1.bn)(spotLimit.add(spotLimit.mul(delta)).mul(numbers_1.D18d)),
+        // hold non-eject surpluses aside if ejecting
+        high: round == AuctionRound.EJECT ? rebalance.limits.high : (0, numbers_1.bn)(spotLimit.add(spotLimit.mul(delta)).mul(numbers_1.D18d)),
     };
-    // hold some surpluses aside if ejecting
-    if (round == AuctionRound.EJECT) {
-        newLimits.high += newLimits.high / 10n;
-    }
     // low
     if (newLimits.low < rebalance.limits.low) {
         newLimits.low = rebalance.limits.low;
@@ -299,15 +297,15 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
                 .mul(numbers_1.D9d)
                 .mul(decimalScale[i])),
             spot: (0, numbers_1.bn)(idealWeight.mul(numbers_1.D9d).mul(decimalScale[i])),
-            high: (0, numbers_1.bn)(idealWeight
-                .mul(numbers_1.ONE.add(delta).div(actualLimits.high.div(actualLimits.spot))) // add remaining delta into weight
-                .mul(numbers_1.D9d)
-                .mul(decimalScale[i])),
+            high: 
+            // hold surpluses aside if ejecting
+            round == AuctionRound.EJECT
+                ? weightRange.high
+                : (0, numbers_1.bn)(idealWeight
+                    .mul(numbers_1.ONE.add(delta).div(actualLimits.high.div(actualLimits.spot))) // add remaining delta into weight
+                    .mul(numbers_1.D9d)
+                    .mul(decimalScale[i])),
         };
-        // hold some surpluses aside if ejecting
-        if (round == AuctionRound.EJECT) {
-            newWeightsD27.high += newWeightsD27.high / 10n;
-        }
         if (newWeightsD27.low < weightRange.low) {
             newWeightsD27.low = weightRange.low;
         }
@@ -335,18 +333,18 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     // get new prices, constrained by extremes
     // D27{nanoUSD/tok}
     const newPrices = rebalance.initialPrices.map((initialPrice, i) => {
-        // {nanoUSD/tok} = {USD/wholeTok} * {nanoUSD/USD} / {tok/wholeTok} * D27
-        const spotPrice = (0, numbers_1.bn)(prices[i].mul(numbers_1.D9d).div(decimalScale[i]).mul(numbers_1.D27d));
+        // D27{nanoUSD/tok} = {USD/wholeTok} * {nanoUSD/USD} * D27 / {tok/wholeTok}
+        const spotPrice = (0, numbers_1.bn)(prices[i].mul(numbers_1.D9d).mul(numbers_1.D27d).div(decimalScale[i]));
         if (spotPrice < initialPrice.low || spotPrice > initialPrice.high) {
             throw new Error(`spot price ${spotPrice.toString()} out of bounds relative to initial range [${initialPrice.low.toString()}, ${initialPrice.high.toString()}]! auction launcher MUST closeRebalance to prevent loss!`);
         }
         if (rebalance.priceControl == types_1.PriceControl.NONE) {
             return initialPrice;
         }
-        // D27{nanoUSD/tok} = {USD/wholeTok} * {nanoUSD/USD} / {tok/wholeTok} * D27
+        // D27{nanoUSD/tok} = {USD/wholeTok} * {nanoUSD/USD} * D27 / {tok/wholeTok}
         const pricesD27 = {
-            low: (0, numbers_1.bn)(prices[i].mul(numbers_1.ONE.sub(priceError[i])).mul(numbers_1.D9d).div(decimalScale[i]).mul(numbers_1.D27d)),
-            high: (0, numbers_1.bn)(prices[i].div(numbers_1.ONE.sub(priceError[i])).mul(numbers_1.D9d).div(decimalScale[i]).mul(numbers_1.D27d)),
+            low: (0, numbers_1.bn)(prices[i].mul(numbers_1.ONE.sub(priceError[i])).mul(numbers_1.D9d).mul(numbers_1.D27d).div(decimalScale[i])),
+            high: (0, numbers_1.bn)(prices[i].div(numbers_1.ONE.sub(priceError[i])).mul(numbers_1.D9d).mul(numbers_1.D27d).div(decimalScale[i])),
         };
         // low
         if (pricesD27.low < initialPrice.low) {
@@ -411,6 +409,13 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
             if (tokenSurplusValue.gte(numbers_1.ONE)) {
                 surplusTokens.push(token);
                 surplusTokenSizes.push(tokenSurplusValue.toNumber());
+                if (debug && newWeights[i].spot === 0n) {
+                    console.log(`        EJECTING ${token}:`);
+                    console.log(`          assets[${i}]: ${_assets[i].toString()}`);
+                    console.log(`          sellDownTo: ${sellDownTo.toString()}`);
+                    console.log(`          surplusAmount: ${surplusAmount.toString()}`);
+                    console.log(`          surplusValue: ${tokenSurplusValue.toString()}`);
+                }
             }
         }
     });

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "2.2.0",
+  "version": "2.2.2",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",