@reserve-protocol/dtf-rebalance-lib 2.6.0 → 2.6.1

package/dist/open-auction.js

@@ -161,28 +161,30 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     const progression = folio
         .map((actualBalance, i) => {
-        if (!rebalance.inRebalance[i] || expectedBalances[i].eq(numbers_1.ZERO)) {
-            return numbers_1.ONE;
+        if (!rebalance.inRebalance[i]) {
+            return numbers_1.ZERO;
         }
         // {wholeTok/wholeShare}
         const balanceInBasket = expectedBalances[i].gt(actualBalance) ? actualBalance : expectedBalances[i];
-        // {1} = {wholeTok/wholeShare} / {wholeTok/wholeShare}
-        return balanceInBasket.div(expectedBalances[i]);
+        // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
+        return balanceInBasket.mul(prices[i]);
     })
-        .reduce((a, b) => (a.lt(b) ? a : b));
+        .reduce((a, b) => a.add(b))
+        .div(shareValue);
     // absolute
     // {1} = {USD/wholeShare} / {USD/wholeShare}
     let initialProgression = initialFolio
         .map((initialBalance, i) => {
-        if (!rebalance.inRebalance[i] || expectedBalances[i].eq(numbers_1.ZERO)) {
-            return numbers_1.ONE;
+        if (!rebalance.inRebalance[i]) {
+            return numbers_1.ZERO;
         }
         // {wholeTok/wholeShare}
         const balanceInBasket = expectedBalances[i].gt(initialBalance) ? initialBalance : expectedBalances[i];
-        // {1} = {wholeTok/wholeShare} / {wholeTok/wholeShare}
-        return balanceInBasket.div(expectedBalances[i]);
+        // {USD/wholeShare} = {wholeTok/wholeShare} * {USD/wholeTok}
+        return balanceInBasket.mul(prices[i]);
     })
-        .reduce((a, b) => (a.lt(b) ? a : b));
+        .reduce((a, b) => a.add(b))
+        .div(shareValue);
     if (progression < initialProgression) {
         if (debug) {
             console.log("progression < initialProgression", progression.toString(), initialProgression.toString());
@@ -396,6 +398,12 @@ 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": "2.6.0",
+  "version": "2.6.1",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",