fix(DeltaNeutralBasisTradingStrategy): Rebalance when position multiplier < 1e18 (#37)

* Add test to rebalance when position multiplier < 1e18; should fail

* Fetch collateral units to send in rebalance; Failing tests should pass

* Update comments explaining the fix

* Update version to 0.0.11-basis.0

* bump package to 0.0.12

Author: Sachin

contracts/extensions/DeltaNeutralBasisTradingStrategyExtension.sol

@@ -863,7 +863,14 @@ contract DeltaNeutralBasisTradingStrategyExtension is BaseExtension {
         if (baseRebalanceUnits < 0) {
             _withdraw(oppositeBoundUnits);
 
-            _executeDexTrade(baseRebalanceUnits.abs(), oppositeBoundUnits, true);
+            // `_withdraw` sets position units to oppositeBoundUnits. The SetToken converts the real units, in this case oppositeBoundUnits,
+            // to virtual units and stores the virtual units. Converting the stored virtual units back to real units will return oppositeBoundUnits
+            // when position multiplier == 1e18 and oppositeBoundUnits - 1 when position mulitplier < 1e18. Hence, trying to trade
+            // oppositeBoundUnits worth of collateral when position unit < 1e18 would revert with "Unit cant be greater than existing".
+            // To avoid the revert, we fetch the latest position unit and pass it to the trade function.
+            uint256 collateralSendUnits = strategy.setToken.getDefaultPositionRealUnit(address(collateralToken)).toUint256();
+
+            _executeDexTrade(baseRebalanceUnits.abs(), collateralSendUnits, true);
         } else {
             _executeDexTrade(baseRebalanceUnits.abs(), oppositeBoundUnits, false);
         }

package.json

@@ -1,6 +1,6 @@
 {
   "name": "@setprotocol/set-v2-strategies",
-  "version": "0.0.11",
+  "version": "0.0.12",
   "description": "",
   "main": "dist",
   "types": "dist/types",

test/extensions/deltaNeutralBasisTradingStrategyExtension.spec.ts

@@ -1148,6 +1148,31 @@ describe("DeltaNeutralBasisTradingStrategyExtension", () => {
           });
         });
 
+        describe("when rebalance interval has not elapsed but is below min LR & position multiplier < 1e18", async () => {
+          beforeEach(async () => {
+            await perpV2Setup.setBaseTokenOraclePrice(perpV2Setup.vETH, usdc(900));
+            await perpV2PriceFeedMock.setPrice(BigNumber.from(900).mul(10 ** 8));
+
+            // pass time to accrue streaming fee
+            await increaseTimeAsync(ONE_DAY_IN_SECONDS.mul(7));
+
+            // collect fees to push position multiplier lower than 1e18
+            systemSetup.streamingFeeModule.connect(owner.wallet).accrueFee(setToken.address);
+          });
+
+          it("should verify initial testing conditions", async () => {
+            const currentLeverageRatio = await leverageStrategyExtension.getCurrentLeverageRatio();
+            const positionMultiplier = await setToken.positionMultiplier();
+
+            expect(positionMultiplier).to.be.lt(ether(1));
+            expect(currentLeverageRatio.abs()).to.be.lt(methodology.minLeverageRatio.abs());
+          });
+
+          it("should be able to rebalance", async () => {
+            await expect(subject()).to.not.be.reverted;
+          });
+        });
+
         describe("when rebalance interval has not elapsed below min leverage ratio and greater than max trade size", async () => {
           let newExchangeSettings: PerpV2BasisExchangeSettings;