@reserve-protocol/dtf-rebalance-lib 2.4.3 → 2.5.0

package/dist/numbers.d.ts

@@ -7,6 +7,7 @@ export declare const D27d: DecimalType;
 export declare const D18d: DecimalType;
 export declare const D9d: DecimalType;
 export declare const ZERO: DecimalLight;
+export declare const EPSILON: DecimalLight;
 export declare const ONE: DecimalLight;
 export declare const TWO: DecimalLight;
 export declare const bn: (str: string | DecimalType) => bigint;

package/dist/numbers.js

@@ -3,7 +3,7 @@ var __importDefault = (this && this.__importDefault) || function (mod) {
     return (mod && mod.__esModule) ? mod : { "default": mod };
 };
 Object.defineProperty(exports, "__esModule", { value: true });
-exports.bn = exports.TWO = exports.ONE = exports.ZERO = exports.D9d = exports.D18d = exports.D27d = exports.D9n = exports.D18n = exports.D27n = void 0;
+exports.bn = exports.TWO = exports.ONE = exports.EPSILON = exports.ZERO = exports.D9d = exports.D18d = exports.D27d = exports.D9n = exports.D18n = exports.D27n = void 0;
 const decimal_js_light_1 = __importDefault(require("decimal.js-light"));
 // Create a local Decimal constructor with custom precision
 const Decimal = decimal_js_light_1.default.clone({ precision: 100 });
@@ -14,6 +14,7 @@ exports.D27d = new Decimal("1e27");
 exports.D18d = new Decimal("1e18");
 exports.D9d = new Decimal("1e9");
 exports.ZERO = new Decimal("0");
+exports.EPSILON = new Decimal("1e-5");
 exports.ONE = new Decimal("1");
 exports.TWO = new Decimal("2");
 const bn = (str) => {

package/dist/open-auction.js

@@ -164,13 +164,15 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
         if (!rebalance.inRebalance[i]) {
             return numbers_1.ZERO;
         }
+        if (expectedBalances[i].eq(numbers_1.ZERO)) {
+            return numbers_1.ONE;
+        }
         // {wholeTok/wholeShare}
         const balanceInBasket = expectedBalances[i].gt(actualBalance) ? actualBalance : expectedBalances[i];
-        // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
-        return balanceInBasket.mul(prices[i]);
+        // {1} = {wholeTok/wholeShare} / {wholeTok/wholeShare}
+        return balanceInBasket.div(expectedBalances[i]);
     })
-        .reduce((a, b) => a.add(b))
-        .div(shareValue);
+        .reduce((a, b) => (a.lt(b) ? a : b));
     // absolute
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     const initialProgression = initialFolio
@@ -180,11 +182,10 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
         }
         // {wholeTok/wholeShare}
         const balanceInBasket = expectedBalances[i].gt(initialBalance) ? initialBalance : expectedBalances[i];
-        // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
-        return balanceInBasket.mul(prices[i]);
+        // {1} = {wholeTok/wholeShare} / {wholeTok/wholeShare}
+        return balanceInBasket.div(expectedBalances[i]);
     })
-        .reduce((a, b) => a.add(b))
-        .div(shareValue);
+        .reduce((a, b) => (a.lt(b) ? a : b));
     if (progression < initialProgression) {
         if (debug) {
             console.log("progression < initialProgression", progression.toString(), initialProgression.toString());
@@ -208,7 +209,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     if (relativeProgression.lt(finalStageAt.sub(0.01))) {
         round = AuctionRound.PROGRESS;
         target = initialProgression.add(numbers_1.ONE.sub(initialProgression).mul(finalStageAt));
-        if (target.gt(numbers_1.ONE.sub(1e-5))) {
+        if (target.gt(numbers_1.ONE.sub(numbers_1.EPSILON))) {
             target = numbers_1.ONE;
         }
         if (target.eq(numbers_1.ONE)) {
@@ -216,7 +217,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
         }
     }
     // EJECT -- used later to adjust weights.high and limits.high
-    if (portionBeingEjected.gt(1e-5)) {
+    if (portionBeingEjected.gt(numbers_1.EPSILON) && target.lt(numbers_1.ONE.sub(numbers_1.EPSILON))) {
         round = AuctionRound.EJECT;
     }
     if (target.lte(numbers_1.ZERO) || target.lt(initialProgression) || target.gt(numbers_1.ONE)) {
@@ -374,15 +375,12 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
         // {tok} = D27{tok/BU} * D18{BU/share} * {share} / D18 / D27
         const buyUpTo = (newWeights[i].low * newLimits.low * _supply) / numbers_1.D18n / numbers_1.D27n;
         const sellDownTo = (newWeights[i].high * newLimits.high * _supply + (numbers_1.D18n * numbers_1.D27n - 1n)) / numbers_1.D18n / numbers_1.D27n;
-        // {USD}
-        const tradeThreshold = round == AuctionRound.EJECT ? numbers_1.ONE : numbers_1.ZERO;
         if (_assets[i] < buyUpTo) {
             // {wholeTok} = {tok} / {tok/wholeTok}
             const deficitAmount = new utils_1.Decimal((buyUpTo - _assets[i]).toString()).div(decimalScale[i]);
             // {USD} = {wholeTok} * {USD/wholeTok}
             const tokenDeficitValue = deficitAmount.mul(prices[i]);
-            // $1 minimum
-            if (tokenDeficitValue.gt(tradeThreshold)) {
+            if (tokenDeficitValue.gt(numbers_1.EPSILON)) {
                 deficitTokens.push(token);
                 deficitTokenSizes.push(tokenDeficitValue.toNumber());
             }
@@ -392,8 +390,7 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
             const surplusAmount = new utils_1.Decimal((_assets[i] - sellDownTo).toString()).div(decimalScale[i]);
             // {USD} = {wholeTok} * {USD/wholeTok}
             const tokenSurplusValue = surplusAmount.mul(prices[i]);
-            // $1 minimum
-            if (tokenSurplusValue.gt(tradeThreshold)) {
+            if (tokenSurplusValue.gt(numbers_1.EPSILON)) {
                 surplusTokens.push(token);
                 surplusTokenSizes.push(tokenSurplusValue.toNumber());
             }
@@ -402,12 +399,6 @@ 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})
-    const adjustedTarget = progression.add(new utils_1.Decimal(auctionSize).div(shareValue.mul(supply)));
-    if (adjustedTarget.lte(numbers_1.ONE)) {
-        target = adjustedTarget;
-    }
     const relativeTarget = target.sub(initialProgression).div(numbers_1.ONE.sub(initialProgression));
     return [
         {

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "2.4.3",
+  "version": "2.5.0",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",