@reserve-protocol/dtf-rebalance-lib 2.3.4 → 2.4.1

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Files changed (3) hide show
  1. package/dist/open-auction.js +9 -7
  2. package/dist/start-rebalance.js +18 -15
  3. package/package.json +1 -1
package/dist/open-auction.js CHANGED
@@ -154,9 +154,9 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
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  // ================================================================
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  // calculate progressions
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  // {wholeBU/wholeShare} = {USD/wholeShare} / {USD/wholeBU}
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- const spotLimit = shareValue.div(buValue);
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+ const idealSpotLimit = shareValue.div(buValue);
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  // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
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- const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(spotLimit));
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+ const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(idealSpotLimit));
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  // absoluteProgression
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  // {1} = {USD/wholeShare} / {USD/wholeShare}
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  let progression = folio
@@ -230,12 +230,14 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
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  const delta = numbers_1.ONE.sub(target);
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  // ================================================================
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  // get new limits, constrained by extremes
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+ const idealLowLimit = idealSpotLimit.mul(numbers_1.ONE.sub(delta));
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+ const idealHighLimit = idealSpotLimit.mul(numbers_1.ONE.add(delta));
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  // D18{BU/share} = {wholeBU/wholeShare} * D18 * {1}
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  const newLimits = {
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- low: (0, numbers_1.bn)(spotLimit.sub(spotLimit.mul(delta)).mul(numbers_1.D18d)),
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- spot: (0, numbers_1.bn)(spotLimit.mul(numbers_1.D18d)),
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+ low: (0, numbers_1.bn)(idealLowLimit.mul(numbers_1.D18d)),
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+ spot: (0, numbers_1.bn)(idealSpotLimit.mul(numbers_1.D18d)),
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  // hold non-eject surpluses aside if ejecting
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- high: round == AuctionRound.EJECT ? rebalance.limits.high : (0, numbers_1.bn)(spotLimit.add(spotLimit.mul(delta)).mul(numbers_1.D18d)),
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+ high: round == AuctionRound.EJECT ? rebalance.limits.high : (0, numbers_1.bn)(idealHighLimit.mul(numbers_1.D18d)),
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  };
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  // low
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  if (newLimits.low < rebalance.limits.low) {
@@ -276,7 +278,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
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  // D27{tok/BU} = {wholeTok/wholeBU} * D27 * {tok/wholeTok} / {BU/wholeBU}
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  const newWeightsD27 = {
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  low: (0, numbers_1.bn)(idealWeight
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- .mul(numbers_1.ONE.sub(delta).div(actualLimits.low.div(actualLimits.spot))) // add remaining delta into weight
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+ .mul(idealLowLimit.div(actualLimits.low)) // add the portion of `delta` we failed to propagate through to the low limit
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  .mul(numbers_1.D9d)
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  .mul(decimalScale[i])),
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  spot: (0, numbers_1.bn)(idealWeight.mul(numbers_1.D9d).mul(decimalScale[i])),
@@ -285,7 +287,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
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  round == AuctionRound.EJECT
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  ? weightRange.high
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  : (0, numbers_1.bn)(idealWeight
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- .mul(numbers_1.ONE.add(delta).div(actualLimits.high.div(actualLimits.spot))) // add remaining delta into weight
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+ .mul(idealHighLimit.div(actualLimits.high)) // add the portion of `delta` we failed to propagate through to the high limit
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  .mul(numbers_1.D9d)
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  .mul(decimalScale[i])),
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  };
package/dist/start-rebalance.js CHANGED
@@ -58,31 +58,34 @@ const getStartRebalance = (_supply, tokens, _assets, decimals, _targetBasket, _p
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  const spotWeight = targetBasket[i].mul(dtfValue).div(prices[i]).div(supply);
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  // D27{tok/share}{wholeShare/wholeTok} = D27 * {tok/wholeTok} / {share/wholeShare}
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  const limitMultiplier = numbers_1.D27d.mul(new utils_1.Decimal(`1e${decimals[i]}`)).div(numbers_1.D18d);
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- if (!weightControl) {
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- // TRACKING case
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- // D27{tok/BU} = {wholeTok/wholeShare} * D27{tok/share}{wholeShare/wholeTok} / {BU/share}
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+ if (spotWeight.eq(numbers_1.ZERO)) {
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  newWeights.push({
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- low: (0, numbers_1.bn)(spotWeight.mul(limitMultiplier)),
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- spot: (0, numbers_1.bn)(spotWeight.mul(limitMultiplier)),
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- high: (0, numbers_1.bn)(spotWeight.mul(limitMultiplier)),
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+ low: 0n,
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+ spot: 0n,
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+ high: 0n,
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  });
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  }
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- else {
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+ else if (weightControl) {
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  // NATIVE case
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  // {wholeTok/wholeShare} = {wholeTok/wholeShare} / {1}
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  const lowWeight = spotWeight.mul(numbers_1.ONE.sub(priceError[i]));
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  const highWeight = spotWeight.div(numbers_1.ONE.sub(priceError[i]));
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  // D27{tok/share} = {wholeTok/wholeShare} * D27{tok/share}{wholeShare/wholeTok} / {BU/share}
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  newWeights.push({
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- low: (0, numbers_1.bn)(lowWeight.mul(limitMultiplier)),
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+ low: deferWeights ? 1n : (0, numbers_1.bn)(lowWeight.mul(limitMultiplier)),
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  spot: (0, numbers_1.bn)(spotWeight.mul(limitMultiplier)),
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- high: (0, numbers_1.bn)(highWeight.mul(limitMultiplier)),
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+ high: deferWeights ? numbers_1.D27n * numbers_1.D27n : (0, numbers_1.bn)(highWeight.mul(limitMultiplier)),
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+ });
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+ // 1e54 MAX_WEIGHT
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+ }
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+ else {
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+ // TRACKING case
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+ // D27{tok/BU} = {wholeTok/wholeShare} * D27{tok/share}{wholeShare/wholeTok} / {BU/share}
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+ newWeights.push({
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+ low: (0, numbers_1.bn)(spotWeight.mul(limitMultiplier)),
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+ spot: (0, numbers_1.bn)(spotWeight.mul(limitMultiplier)),
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+ high: (0, numbers_1.bn)(spotWeight.mul(limitMultiplier)),
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  });
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- // deferWeights case
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- if (deferWeights && newWeights[i].low > 0n) {
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- newWeights[i].low = 1n;
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- newWeights[i].high = numbers_1.D27n * numbers_1.D27n; // 1e54 MAX_WEIGHT
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- }
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  }
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  // === newPrices ===
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  // D27{wholeTok/tok} = D27 / {tok/wholeTok}
@@ -104,7 +107,7 @@ const getStartRebalance = (_supply, tokens, _assets, decimals, _targetBasket, _p
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  throw new Error("basketError >= 1");
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  }
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  const newLimits = {
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- low: weightControl ? (0, numbers_1.bn)("1e18") : (0, numbers_1.bn)(numbers_1.ONE.sub(basketError).mul(numbers_1.D18d)),
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+ low: 1n,
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  spot: (0, numbers_1.bn)("1e18"),
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  high: weightControl ? (0, numbers_1.bn)("1e18") : (0, numbers_1.bn)(numbers_1.ONE.div(numbers_1.ONE.sub(basketError)).mul(numbers_1.D18d)),
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  };
package/package.json CHANGED
@@ -1,6 +1,6 @@
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  {
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  "name": "@reserve-protocol/dtf-rebalance-lib",
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- "version": "2.3.4",
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+ "version": "2.4.1",
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  "description": "Rebalancing library for DTFs in typescript",
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  "main": "dist/index.js",
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  "module": "dist/index.js",