@reserve-protocol/dtf-rebalance-lib 2.6.1 → 2.6.3

package/dist/open-auction.js

@@ -239,21 +239,19 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
         // hold non-eject surpluses aside if ejecting
         high: round == AuctionRound.EJECT ? rebalance.limits.high : (0, numbers_1.bn)(idealHighLimit.mul(numbers_1.D18d)),
     };
-    // low
+    // enforce in range
     if (newLimits.low < rebalance.limits.low) {
         newLimits.low = rebalance.limits.low;
     }
     if (newLimits.low > rebalance.limits.high) {
         newLimits.low = rebalance.limits.high;
     }
-    // spot
     if (newLimits.spot < rebalance.limits.low) {
         newLimits.spot = rebalance.limits.low;
     }
     if (newLimits.spot > rebalance.limits.high) {
         newLimits.spot = rebalance.limits.high;
     }
-    // high
     if (newLimits.high < rebalance.limits.low) {
         newLimits.high = rebalance.limits.low;
     }
@@ -291,6 +289,14 @@ const getOpenAuction = (rebalance, _supply, _initialSupply, _initialAssets = [],
                     .mul(numbers_1.D9d)
                     .mul(decimalScale[i])),
         };
+        // enforce relative ordering
+        if (newWeightsD27.low > newWeightsD27.spot) {
+            newWeightsD27.low = newWeightsD27.spot;
+        }
+        if (newWeightsD27.spot > newWeightsD27.high) {
+            newWeightsD27.high = newWeightsD27.spot;
+        }
+        // enforce in range
         if (newWeightsD27.low < weightRange.low) {
             newWeightsD27.low = weightRange.low;
         }

package/dist/start-rebalance.js

@@ -90,11 +90,23 @@ const getStartRebalance = (_supply, tokens, _assets, decimals, _targetBasket, _p
         // === newPrices ===
         // D27{wholeTok/tok} = D27 / {tok/wholeTok}
         const priceMultiplier = numbers_1.D27d.div(new utils_1.Decimal(`1e${decimals[i]}`));
+        // D27{nanoUSD/tok} = {USD/wholeTok} * {1} * D27{wholeTok/tok} * {nanoUSD/USD}
+        const low = (0, numbers_1.bn)(prices[i].mul(numbers_1.ONE.sub(priceError[i])).mul(priceMultiplier).mul(numbers_1.D9d));
+        let high = (0, numbers_1.bn)(prices[i].div(numbers_1.ONE.sub(priceError[i])).mul(priceMultiplier).mul(numbers_1.D9d));
+        // check if prices are valid
+        if (low < 0n || low > high || high > numbers_1.D18n * numbers_1.D27n) {
+            throw new Error(`invalid prices for token ${tokens[i]}: low: ${low}, high: ${high}`);
+        }
+        // constrain price range if too large, but not by more than 10%
+        if (high > low * 110n) {
+            throw new Error(`invalid price range for token ${tokens[i]}: low: ${low}, high: ${high}`);
+        }
+        if (high > low * 100n) {
+            high = low * 100n;
+        }
         newPrices.push({
-            // D27{nanoUSD/tok} = {USD/wholeTok} * {1} * D27{wholeTok/tok} * {nanoUSD/USD}
-            low: (0, numbers_1.bn)(prices[i].mul(numbers_1.ONE.sub(priceError[i])).mul(priceMultiplier).mul(numbers_1.D9d)),
-            // D27{nanoUSD/tok} = {USD/wholeTok} / {1} * D27{wholeTok/tok} * {nanoUSD/USD}
-            high: (0, numbers_1.bn)(prices[i].div(numbers_1.ONE.sub(priceError[i])).mul(priceMultiplier).mul(numbers_1.D9d)),
+            low: low,
+            high: high,
         });
     }
     // ================================================================

package/package.json

@@ -1,6 +1,6 @@
 {
   "name": "@reserve-protocol/dtf-rebalance-lib",
-  "version": "2.6.1",
+  "version": "2.6.3",
   "description": "Rebalancing library for DTFs in typescript",
   "main": "dist/index.js",
   "module": "dist/index.js",