@reserve-protocol/dtf-rebalance-lib 2.4.0 → 2.4.2

package/dist/open-auction.js

@@ -154,9 +154,9 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     // ================================================================
     // calculate progressions
     // {wholeBU/wholeShare} = {USD/wholeShare} / {USD/wholeBU}
-    const spotLimit = shareValue.div(buValue);
+    const idealSpotLimit = shareValue.div(buValue);
     // {wholeTok/wholeShare} = {wholeTok/wholeBU} * {wholeBU/wholeShare}
-    const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(spotLimit));
+    const expectedBalances = weightRanges.map((weightRange) => weightRange.spot.mul(idealSpotLimit));
     // absoluteProgression
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     let progression = folio
@@ -230,12 +230,14 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     const delta = numbers_1.ONE.sub(target);
     // ================================================================
     // get new limits, constrained by extremes
+    const idealLowLimit = idealSpotLimit.mul(numbers_1.ONE.sub(delta));
+    const idealHighLimit = idealSpotLimit.mul(numbers_1.ONE.add(delta));
     // D18{BU/share} = {wholeBU/wholeShare} * D18 * {1}
     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)),
+        low: (0, numbers_1.bn)(idealLowLimit.mul(numbers_1.D18d)),
+        spot: (0, numbers_1.bn)(idealSpotLimit.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)),
+        high: round == AuctionRound.EJECT ? rebalance.limits.high : (0, numbers_1.bn)(idealHighLimit.mul(numbers_1.D18d)),
     };
     // low
     if (newLimits.low < rebalance.limits.low) {
@@ -276,7 +278,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
         // D27{tok/BU} = {wholeTok/wholeBU} * D27 * {tok/wholeTok} / {BU/wholeBU}
         const newWeightsD27 = {
             low: (0, numbers_1.bn)(idealWeight
-                .mul(numbers_1.ONE.sub(delta).div(actualLimits.low.div(actualLimits.spot))) // add remaining delta into weight
+                .mul(idealLowLimit.div(actualLimits.low)) // add the portion of `delta` we failed to propagate through to the low limit
                 .mul(numbers_1.D9d)
                 .mul(decimalScale[i])),
             spot: (0, numbers_1.bn)(idealWeight.mul(numbers_1.D9d).mul(decimalScale[i])),
@@ -285,7 +287,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
             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(idealHighLimit.div(actualLimits.high)) // add the portion of `delta` we failed to propagate through to the high limit
                     .mul(numbers_1.D9d)
                     .mul(decimalScale[i])),
         };
@@ -378,7 +380,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
             // {USD} = {wholeTok} * {USD/wholeTok}
             const tokenDeficitValue = deficitAmount.mul(prices[i]);
             // $1 minimum
-            if (tokenDeficitValue.gte(numbers_1.ONE)) {
+            if (round == AuctionRound.EJECT || tokenDeficitValue.gte(numbers_1.ONE)) {
                 deficitTokens.push(token);
                 deficitTokenSizes.push(tokenDeficitValue.toNumber());
             }
@@ -389,7 +391,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
             // {USD} = {wholeTok} * {USD/wholeTok}
             const tokenSurplusValue = surplusAmount.mul(prices[i]);
             // $1 minimum
-            if (tokenSurplusValue.gte(numbers_1.ONE)) {
+            if (round == AuctionRound.EJECT || tokenSurplusValue.gte(numbers_1.ONE)) {
                 surplusTokens.push(token);
                 surplusTokenSizes.push(tokenSurplusValue.toNumber());
             }

package/dist/start-rebalance.js

@@ -68,10 +68,11 @@ const getStartRebalance = (_supply, tokens, _assets, decimals, _targetBasket, _p
         else if (weightControl) {
             // NATIVE case
             // {wholeTok/wholeShare} = {wholeTok/wholeShare} / {1}
+            const lowWeight = spotWeight.mul(numbers_1.ONE.sub(priceError[i]));
             const highWeight = spotWeight.div(numbers_1.ONE.sub(priceError[i]));
             // D27{tok/share} = {wholeTok/wholeShare} * D27{tok/share}{wholeShare/wholeTok} / {BU/share}
             newWeights.push({
-                low: 1n,
+                low: deferWeights ? 1n : (0, numbers_1.bn)(lowWeight.mul(limitMultiplier)),
                 spot: (0, numbers_1.bn)(spotWeight.mul(limitMultiplier)),
                 high: deferWeights ? numbers_1.D27n * numbers_1.D27n : (0, numbers_1.bn)(highWeight.mul(limitMultiplier)),
             });
@@ -106,7 +107,7 @@ const getStartRebalance = (_supply, tokens, _assets, decimals, _targetBasket, _p
         throw new Error("basketError >= 1");
     }
     const newLimits = {
-        low: weightControl ? (0, numbers_1.bn)("1e18") : 1n,
+        low: 1n,
         spot: (0, numbers_1.bn)("1e18"),
         high: weightControl ? (0, numbers_1.bn)("1e18") : (0, numbers_1.bn)(numbers_1.ONE.div(numbers_1.ONE.sub(basketError)).mul(numbers_1.D18d)),
     };

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "2.4.0",
+  "version": "2.4.2",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",