@reserve-protocol/dtf-rebalance-lib 2.2.4 → 2.3.0

package/dist/open-auction.js

@@ -155,11 +155,8 @@ 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));
     // absoluteProgression
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     let progression = folio
@@ -211,7 +208,8 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     if (progression.lt(0.99) && relativeProgression.lt(finalStageAt.sub(0.02))) {
         round = AuctionRound.PROGRESS;
         target = initialProgression.add(numbers_1.ONE.sub(initialProgression).mul(finalStageAt));
-        if (target.gte(0.997)) {
+        // never leave more than 1 bps for next auction
+        if (target.gt(numbers_1.ONE.sub(1e-4))) {
             target = numbers_1.ONE;
         }
         if (target.eq(numbers_1.ONE)) {
@@ -334,7 +332,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
         // 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!`);
+            throw new Error(`Token ${rebalance.tokens[i]}: 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;
@@ -421,9 +419,9 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     const deficitSize = deficitTokenSizes.reduce((a, b) => a + b, 0);
     const auctionSize = surplusSize > deficitSize ? deficitSize : surplusSize;
     // update targeting estimates
-    // {1} = {1} + {USD} * {share} / {USD/share}
+    // {1} = {1} + {USD} / ({share} * {USD/share})
     const adjustedTarget = progression.add(new utils_1.Decimal(auctionSize).div(shareValue.mul(supply)));
-    if (adjustedTarget.lt(numbers_1.ONE)) {
+    if (adjustedTarget.lte(numbers_1.ONE)) {
         target = adjustedTarget;
     }
     const relativeTarget = target.sub(initialProgression).div(numbers_1.ONE.sub(initialProgression));

package/dist/start-rebalance.js

@@ -58,9 +58,6 @@ const getStartRebalance = (_supply, tokens, _assets, decimals, _targetBasket, _p
         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) {
-            console.log("limitMultiplier", limitMultiplier.toString());
-        }
         if (!weightControl) {
             // TRACKING case
             // D27{tok/BU} = {wholeTok/wholeShare} * D27{tok/share}{wholeShare/wholeTok} / {BU/share}

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "2.2.4",
+  "version": "2.3.0",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",