@reserve-protocol/dtf-rebalance-lib 2.2.1 → 2.2.3

package/dist/open-auction.js

@@ -151,16 +151,6 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     })
         .reduce((a, b) => a.add(b), numbers_1.ZERO)
         .div(shareValue);
-    if (debug && ejectionIndices.length > 0) {
-        console.log("      Ejection calculation:");
-        console.log("        ejectionIndices:", ejectionIndices);
-        ejectionIndices.forEach(i => {
-            console.log(`        Token ${i}: assets=${_assets[i].toString()}, decimals=${_decimals[i].toString()}`);
-            console.log(`        Token ${i}: folio=${folio[i].toString()}, price=${prices[i].toString()}, value=${folio[i].mul(prices[i]).toString()}`);
-        });
-        console.log("        shareValue:", shareValue.toString());
-        console.log("        Total folio value:", folio.map((f, i) => f.mul(prices[i])).reduce((a, b) => a.add(b)).toString());
-    }
     // ================================================================
     // calculate progressions
     // {wholeBU/wholeShare} = {USD/wholeShare} / {USD/wholeBU}
@@ -233,7 +223,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
         round = AuctionRound.EJECT;
         // 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.lt(numbers_1.ONE)) {
+        if (ejectionTarget.gt(target) && ejectionTarget.lt(numbers_1.ONE)) {
             target = ejectionTarget;
         }
         if (debug) {
@@ -247,11 +237,9 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     if (target.lte(numbers_1.ZERO) || target.lt(initialProgression) || target.gt(numbers_1.ONE)) {
         throw new Error("something has gone very wrong");
     }
-    const relativeTarget = target.sub(initialProgression).div(numbers_1.ONE.sub(initialProgression));
     if (debug) {
         console.log("round", round);
         console.log("target", target.toString());
-        console.log("relativeTarget", relativeTarget.toString());
     }
     // {1}
     const delta = numbers_1.ONE.sub(target);
@@ -261,12 +249,9 @@ 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;
@@ -310,15 +295,15 @@ 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;
         }
@@ -346,18 +331,18 @@ 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) {
@@ -435,6 +420,10 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     const surplusSize = surplusTokenSizes.reduce((a, b) => a + b, 0);
     const deficitSize = deficitTokenSizes.reduce((a, b) => a + b, 0);
     const auctionSize = surplusSize > deficitSize ? deficitSize : surplusSize;
+    // update targeting estimates
+    // {1} = {1} + {USD} * {share} / {USD/share}
+    target = progression.add(new utils_1.Decimal(auctionSize).div(shareValue.mul(supply)));
+    const relativeTarget = target.sub(initialProgression).div(numbers_1.ONE.sub(initialProgression));
     return [
         {
             rebalanceNonce: rebalance.nonce,

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "2.2.1",
+  "version": "2.2.3",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",