fix(BasisTradingStrategy): Increase reinvest threshold amount (#32)

* Increase reinvest amount requirement

* Fix typo

* Add minReinvestUnits methodology parameter

* Update event; Add minReinvestUnits > 0 check

* Update javadocs; package to 0.0.9-basis.0

* Update package to 0.0.10

Author: Sachin

contracts/extensions/DeltaNeutralBasisTradingStrategyExtension.sol

@@ -127,6 +127,11 @@ contract DeltaNeutralBasisTradingStrategyExtension is BaseExtension {
         uint256 recenteringSpeed;                       // % at which to rebalance back to target leverage in precise units (10e18). Always a positive number
         uint256 rebalanceInterval;                      // Period of time required since last rebalance timestamp in seconds
         uint256 reinvestInterval;                       // Period of time required since last reinvestment timestamp in seconds
+        uint256 minReinvestUnits;                       // Minimum reinvestment amount per Set at which `shouldRebalance` returns 4 (`ShouldRebalance.REINVEST`)
+                                                        // provided the reinvest interval has elapsed. This threshold helps to avoid weird rounding errors that
+                                                        // can happen while reinvesting very small amounts and helps the methodologist to not waste gas on reinvesting
+                                                        // very small amounts. In collateral decimals (10e6 for USDC).
+
     }
 
     struct ExecutionSettings {
@@ -204,7 +209,8 @@ contract DeltaNeutralBasisTradingStrategyExtension is BaseExtension {
         int256 _maxLeverageRatio,
         uint256 _recenteringSpeed,
         uint256 _rebalanceInterval,
-        uint256 _reinvestInterval
+        uint256 _reinvestInterval,
+        uint256 _minReinvestUnits
     );
     event ExecutionSettingsUpdated(
         uint256 _twapCooldownPeriod,
@@ -529,7 +535,8 @@ contract DeltaNeutralBasisTradingStrategyExtension is BaseExtension {
             methodology.maxLeverageRatio,
             methodology.recenteringSpeed,
             methodology.rebalanceInterval,
-            methodology.reinvestInterval
+            methodology.reinvestInterval,
+            methodology.minReinvestUnits
         );
     }
 
@@ -1386,9 +1393,10 @@ contract DeltaNeutralBasisTradingStrategyExtension is BaseExtension {
         //   `reinvest()` transaction is mined.
         if (block.timestamp.sub(lastReinvestTimestamp) > methodology.reinvestInterval) {
             uint256 reinvestmentNotional = strategy.basisTradingModule.getUpdatedSettledFunding(strategy.setToken);
+            uint256 setTotalSupply = strategy.setToken.totalSupply();
+            uint256 reinvestUnits = reinvestmentNotional.fromPreciseUnitToDecimals(collateralDecimals).preciseDiv(setTotalSupply);
 
-            // Reinvest only if reinvestment amount is greater than 1 wei worth of USDC (to account for rounding errors)
-            if (reinvestmentNotional.fromPreciseUnitToDecimals(collateralDecimals) > 1) {
+            if (reinvestUnits >= methodology.minReinvestUnits) {
                 return ShouldRebalance.REINVEST;
             }
         }
@@ -1427,6 +1435,7 @@ contract DeltaNeutralBasisTradingStrategyExtension is BaseExtension {
             _methodology.recenteringSpeed <= PreciseUnitMath.preciseUnit() && _methodology.recenteringSpeed > 0,
             "Must be valid recentering speed"
         );
+        require(_methodology.minReinvestUnits > 0, "Must be valid min reinvest units");
         require (
             _execution.slippageTolerance <= PreciseUnitMath.preciseUnit(),
             "Slippage tolerance must be <100%"

package.json

@@ -1,6 +1,6 @@
 {
   "name": "@setprotocol/set-v2-strategies",
-  "version": "0.0.9",
+  "version": "0.0.10",
   "description": "",
   "main": "dist",
   "types": "dist/types",

test/extensions/deltaNeutralBasisTradingStrategyExtension.spec.ts

@@ -250,6 +250,7 @@ describe("DeltaNeutralBasisTradingStrategyExtension", () => {
     const recenteringSpeed = ether(0.05);
     const rebalanceInterval = ONE_DAY_IN_SECONDS;
     const reinvestInterval = ONE_DAY_IN_SECONDS.mul(7);
+    const minReinvestUnits = TWO;
 
     const exchangeName = "UniswapV3ExchangeAdapterV2";
     const buyExactSpotTradeData = await uniswapV3ExchangeAdapter.generateDataParam(
@@ -295,7 +296,8 @@ describe("DeltaNeutralBasisTradingStrategyExtension", () => {
       maxLeverageRatio: maxLeverageRatio,
       recenteringSpeed: recenteringSpeed,
       rebalanceInterval: rebalanceInterval,
-      reinvestInterval: reinvestInterval
+      reinvestInterval: reinvestInterval,
+      minReinvestUnits: minReinvestUnits
     };
     execution = {
       twapCooldownPeriod: twapCooldownPeriod,
@@ -365,7 +367,8 @@ describe("DeltaNeutralBasisTradingStrategyExtension", () => {
         maxLeverageRatio: ether(-1.3),
         recenteringSpeed: ether(0.05),
         rebalanceInterval: BigNumber.from(86400),
-        reinvestInterval: ONE_DAY_IN_SECONDS.mul(7)
+        reinvestInterval: ONE_DAY_IN_SECONDS.mul(7),
+        minReinvestUnits: TWO
       };
       subjectExecutionSettings = {
         twapCooldownPeriod: BigNumber.from(120),
@@ -2617,7 +2620,8 @@ describe("DeltaNeutralBasisTradingStrategyExtension", () => {
           maxLeverageRatio: ether(-1.1),
           recenteringSpeed: ether(0.1),
           rebalanceInterval: BigNumber.from(43200),
-          reinvestInterval: ONE_DAY_IN_SECONDS.mul(7)
+          reinvestInterval: ONE_DAY_IN_SECONDS.mul(7),
+          minReinvestUnits: TWO
         };
         subjectCaller = owner;
       };
@@ -2650,10 +2654,24 @@ describe("DeltaNeutralBasisTradingStrategyExtension", () => {
             subjectMethodologySettings.maxLeverageRatio,
             subjectMethodologySettings.recenteringSpeed,
             subjectMethodologySettings.rebalanceInterval,
-            subjectMethodologySettings.reinvestInterval
+            subjectMethodologySettings.reinvestInterval,
+            subjectMethodologySettings.minReinvestUnits
           );
         });
 
+        describe("when min reinvest units is zero", async () => {
+          beforeEach(async () => {
+            subjectMethodologySettings = {
+              ...subjectMethodologySettings,
+              minReinvestUnits: ZERO
+            };
+          });
+
+          it("should revert", async () => {
+            await expect(subject()).to.be.revertedWith("Must be valid min reinvest units");
+          });
+        });
+
         describe("when the caller is not the operator", async () => {
           beforeEach(async () => {
             subjectCaller = await getRandomAccount();
@@ -3513,7 +3531,7 @@ describe("DeltaNeutralBasisTradingStrategyExtension", () => {
             });
           });
 
-          describe("when reinvestment amount is zero", async () => {
+          describe("when reinvestment amount is below threshold", async () => {
             beforeEach(async () => {
               // Set oracle price above mark price to accrue negative funding
               await perpV2Setup.setBaseTokenOraclePrice(perpV2Setup.vETH, usdc(1020));
@@ -3828,7 +3846,7 @@ describe("DeltaNeutralBasisTradingStrategyExtension", () => {
             });
           });
 
-          describe("when reinvestment amount is zero", async () => {
+          describe("when reinvestment amount is below threshold", async () => {
             beforeEach(async () => {
               // Set oracle price above mark price to accrue negative funding
               await perpV2Setup.setBaseTokenOraclePrice(perpV2Setup.vETH, usdc(1020));

utils/types.ts

@@ -90,6 +90,7 @@ export interface PerpV2BasisMethodologySettings {
   recenteringSpeed: BigNumber;
   rebalanceInterval: BigNumber;
   reinvestInterval: BigNumber;
+  minReinvestUnits: BigNumber;
 }
 
 export interface PerpV2BasisExecutionSettings {